UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09491
Allianz Variable Insurance Products Trust
(Exact name of registrant as specified in charter)
5701 Golden Hills Drive, Minneapolis, MN 55416-1297
(Address of principal executive offices) (Zip code)
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219-8000
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-624-0197
Date of fiscal year end: December 31
Date of reporting period: June 30, 2018
Item 1. | Reports to Stockholders. |
AZL® BlackRock Global Allocation Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL BlackRock Global Allocation Fund
(Unaudited)
As a shareholder of the AZL BlackRock Global Allocation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL BlackRock Global Allocation Fund | $ | 1,000.00 | $ | 983.10 | $ | 5.65 | 1.15 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL BlackRock Global Allocation Fund | $ | 1,000.00 | $ | 1,019.09 | $ | 5.76 | 1.15 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Consolidated Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 58.4 | % | |||
U.S. Treasury Obligations | 29.0 | ||||
Foreign Bonds | 6.5 | ||||
Securities Held as Collateral for Securities on Loan | 3.6 | ||||
Exchange Traded Funds | 2.6 | ||||
Corporate Bonds | 1.8 | ||||
Yankee Dollars | 1.2 | ||||
Money Markets | 1.0 | ||||
Preferred Stocks | 0.6 | ||||
Convertible Preferred Stocks | 0.4 | ||||
Convertible Bonds | 0.4 | ||||
Bank Loans | 0.2 | ||||
Purchased Options | — | ^ | |||
Rights | — | ^ | |||
Warrants | — | ^ | |||
Private Placements | — | ^ | |||
|
| ||||
Total Investment Securities | 105.7 | ||||
Net other assets (liabilities) | (5.7 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
Investments | Percent of Net Assets | ||||
United States | 71.2 | % | |||
Japan | 10.0 | ||||
Germany | 3.9 | ||||
France | 2.6 | ||||
United Kingdom | 2.6 | ||||
Netherlands | 1.6 | ||||
Canada | 1.7 | ||||
India | 1.4 | ||||
Switzerland | 1.4 | ||||
China | 1.3 | ||||
All other countries | 8.0 | ||||
|
| ||||
Total Investment Securities | 105.7 | ||||
Net other assets (liabilities) | (5.7 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (58.4%): | ||||||||
Aerospace & Defense (0.9%): | ||||||||
324 | Boeing Co. (The) | $ | 108,705 | |||||
434 | Dassault Aviation SA | 825,771 | ||||||
169 | General Dynamics Corp. | 31,503 | ||||||
12 | Lockheed Martin Corp. | 3,545 | ||||||
448 | Northrop Grumman Corp. | 137,850 | ||||||
677 | Raytheon Co. | 130,783 | ||||||
21,360 | Safran SA | 2,590,921 | ||||||
|
| |||||||
3,829,078 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%): | ||||||||
194 | Deutsche Post AG | 6,334 | ||||||
|
| |||||||
Airlines (1.1%): | ||||||||
71,722 | Azul SA, ADR*^ | 1,173,371 | ||||||
659 | Delta Air Lines, Inc. | 32,647 | ||||||
49,900 | Japan Airlines Co., Ltd. | 1,768,559 | ||||||
1,022 | Turk Hava Yollari Anonim Ortakligi* | 3,011 | ||||||
24,893 | United Continental Holdings, Inc.* | 1,735,789 | ||||||
|
| |||||||
4,713,377 | ||||||||
|
| |||||||
Auto Components (1.2%): | ||||||||
8,900 | Aisin Sieki Co., Ltd. | 405,228 | ||||||
27,600 | Bridgestone Corp. | 1,078,519 | ||||||
51,683 | Cheng Shin Rubber Industry Co., Ltd. | 77,690 | ||||||
30 | Compagnie Generale des Establissements Michelin SCA, Class B | 3,648 | ||||||
21,400 | Denso Corp. | 1,041,175 | ||||||
2,400 | Exedy Corp. | 74,243 | ||||||
3 | Hyundai Mobis Co., Ltd. | 570 | ||||||
8,400 | Koito Manufacturing Co., Ltd. | 554,240 | ||||||
315 | Lear Corp. | 58,530 | ||||||
2,400 | Stanley Electric Co., Ltd. | 81,626 | ||||||
20,700 | Toyota Industries Corp. | 1,158,941 | ||||||
|
| |||||||
4,534,410 | ||||||||
|
| |||||||
Automobiles (1.3%): | ||||||||
4,500 | Baic Motor Corp., Ltd. | 4,284 | ||||||
4,000 | Dongfeng Motor Corp., Series H | 4,224 | ||||||
166 | Ford Motor Co. | 1,838 | ||||||
64,400 | Fuji Heavy Industries, Ltd. | 1,873,833 | ||||||
146 | General Motors Co. | 5,752 | ||||||
2,800 | Guangzhou Automobile Group Co., Ltd. | 2,718 | ||||||
3,269 | Hero MotoCorp, Ltd. | 165,642 | ||||||
4,184 | Maruti Suzuki India, Ltd. | 538,611 | ||||||
36,000 | Suzuki Motor Corp. | 1,985,592 | ||||||
87 | Tata Motors, Ltd.* | 341 | ||||||
|
| |||||||
4,582,835 | ||||||||
|
| |||||||
Banks (3.9%): | ||||||||
35,323 | ABN AMRO Group NV^ | 914,129 | ||||||
8,000 | Agricultural Bank of China, Ltd. | 3,716 | ||||||
540 | Banco Bilbao Vizcaya Argentaria SA | 3,814 | ||||||
476 | Banco do Brasil SA | 3,495 | ||||||
246 | Banco Santander Brasil SA | 1,857 | ||||||
120,765 | Bank of America Corp. | 3,404,366 | ||||||
7,000 | Bank of China, Ltd. | 3,449 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
67 | Bank of Nova Scotia | $ | 3,794 | |||||
487 | Barclays plc | 1,214 | ||||||
8 | BB&T Corp. | 404 | ||||||
122 | BNP Paribas SA | 7,561 | ||||||
8,000 | China Construction Bank | 7,336 | ||||||
1,000 | Chinatrust Financial Holding Co., Ltd. | 720 | ||||||
30,936 | Citigroup, Inc. | 2,070,238 | ||||||
199 | Credit Agricole SA | 2,653 | ||||||
1,475 | Criteria Caixacorp SA | 6,371 | ||||||
162 | Danske Bank A/S | 5,064 | ||||||
140 | DnB NOR ASA | 2,732 | ||||||
21,201 | Fifth Third Bancorp | 608,469 | ||||||
441 | Grupo Financiero Banorte SAB de C.V. | 2,594 | ||||||
107 | Hana Financial Holdings Group, Inc. | 4,109 | ||||||
187,796 | HSBC Holdings plc | 1,760,578 | ||||||
8,000 | Industrial & Commercial Bank of China | 5,943 | ||||||
296 | Industrial Bank of Korea (IBK) | 4,086 | ||||||
108,484 | ING Groep NV | 1,556,548 | ||||||
604 | Intesa Sanpaolo SpA | 1,748 | ||||||
9,621 | JPMorgan Chase & Co. | 1,002,508 | ||||||
46,416 | Kotak Mahindra Bank, Ltd. | 908,495 | ||||||
14,698 | Lloyds Banking Group plc | 12,225 | ||||||
14 | M&T Bank Corp. | 2,382 | ||||||
800 | Mitsubishi UFJ Financial Group, Inc. | 4,538 | ||||||
1,000 | Resona Holdings, Inc. | 5,344 | ||||||
202 | Royal Bank of Canada | 15,212 | ||||||
11 | Shinhan Financial Group Co., Ltd. | 426 | ||||||
674 | Skandinaviska Enskilda Banken AB, Class A | 6,401 | ||||||
123 | Societe Generale | 5,179 | ||||||
93,399 | State Bank of India* | 353,152 | ||||||
21,911 | SunTrust Banks, Inc. | 1,446,564 | ||||||
2,000 | Taiwan Cooperative Financial Holding Co., Ltd. | 1,170 | ||||||
65 | Toronto-Dominion Bank (The) | 3,763 | ||||||
233 | Unicredit SpA | 3,875 | ||||||
18,701 | Wells Fargo & Co. | 1,036,783 | ||||||
154 | Woori Bank | 2,250 | ||||||
87,348 | Yes Bank, Ltd. | 432,571 | ||||||
|
| |||||||
15,629,826 | ||||||||
|
| |||||||
Beverages (0.5%): | ||||||||
16,572 | Anheuser-Busch InBev NV | 1,671,633 | ||||||
24 | Carlsberg A/S, Class B | 2,826 | ||||||
139 | Coca-Cola Co. (The) | 6,097 | ||||||
351 | Constellation Brands, Inc., Class C | 76,823 | ||||||
59 | Diageo plc | 2,117 | ||||||
100 | Kirin Holdings Co., Ltd. | 2,673 | ||||||
1,467 | PepsiCo, Inc. | 159,712 | ||||||
|
| |||||||
1,921,881 | ||||||||
|
| |||||||
Biotechnology (0.8%): | ||||||||
829 | AbbVie, Inc. | 76,807 | ||||||
483 | Amgen, Inc. | 89,157 | ||||||
1,889 | Biogen Idec, Inc.* | 548,263 | ||||||
70 | Celgene Corp.* | 5,559 |
Continued
2
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
31,123 | Gilead Sciences, Inc. | $ | 2,204,754 | |||||
5,787 | Tesaro, Inc.*^ | 257,348 | ||||||
|
| |||||||
3,181,888 | ||||||||
|
| |||||||
Building Products (0.2%): | ||||||||
255 | Compagnie de Saint-Gobain SA | 11,371 | ||||||
5,300 | Daikin Industries, Ltd. | 633,977 | ||||||
1,565 | Fortune Brands Home & Security, Inc.^ | 84,025 | ||||||
1,923 | Masco Corp. | 71,959 | ||||||
5,000 | Nichias Corp. | 62,559 | ||||||
|
| |||||||
863,891 | ||||||||
|
| |||||||
Capital Markets (1.8%): | ||||||||
321 | Ameriprise Financial, Inc. | 44,901 | ||||||
631 | Bank of New York Mellon Corp. (The) | 34,030 | ||||||
46,284 | Charles Schwab Corp. (The) | 2,365,112 | ||||||
23 | CME Group, Inc. | 3,770 | ||||||
37 | Franklin Resources, Inc.^ | 1,186 | ||||||
275 | Goldman Sachs Group, Inc. (The) | 60,657 | ||||||
100 | Hong Kong Exchanges & Clearing, Ltd. | 2,996 | ||||||
52,144 | Morgan Stanley | 2,471,626 | ||||||
500 | Nomura Holdings, Inc. | 2,421 | ||||||
338 | State Street Corp. | 31,464 | ||||||
136,710 | UBS Group AG | 2,104,143 | ||||||
|
| |||||||
7,122,306 | ||||||||
|
| |||||||
Chemicals (3.3%): | ||||||||
16,562 | Air Products & Chemicals, Inc. | 2,579,200 | ||||||
50,400 | Asahi Kasei Corp. | 639,799 | ||||||
45 | BASF SE | 4,302 | ||||||
14,800 | Daicel Chemical Industries, Ltd. | 163,586 | ||||||
56,043 | DowDuPont, Inc. | 3,694,354 | ||||||
9 | Evonik Industries AG | 308 | ||||||
37,000 | Formosa Chemicals & Fibre Corp. | 147,302 | ||||||
38,000 | Formosa Plastics Corp. | 140,127 | ||||||
5,200 | Hitachi Chemical Co., Ltd. | 104,768 | ||||||
893 | Huntsman Corp. | 26,076 | ||||||
46 | Koninklijke DSM NV | 4,619 | ||||||
5,200 | Kuraray Co., Ltd. | 71,536 | ||||||
582 | LG Chem, Ltd. | 173,949 | ||||||
5 | Lotte Chemical Corp. | 1,559 | ||||||
300 | Mitsubishi Chemical Holdings Corp. | 2,508 | ||||||
48,000 | Nan Ya Plastics Corp. | 137,161 | ||||||
27,500 | Nitto Denko Corp. | 2,077,924 | ||||||
73,900 | PTT Global Chemical Public Co., Ltd. | 162,680 | ||||||
18,500 | Shin-Etsu Chemical Co., Ltd. | 1,641,354 | ||||||
5,000 | Toagosei Co., Ltd. | 57,725 | ||||||
54,400 | Toray Industries, Inc. | 428,288 | ||||||
27,300 | Ube Industries, Ltd. | 708,956 | ||||||
|
| |||||||
12,968,081 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.0%): | ||||||||
229 | Country Garden Services Holdings Co., Ltd.*^ | 294 | ||||||
10 | Republic Services, Inc., Class A | 684 | ||||||
116 | Waste Management, Inc. | 9,435 | ||||||
|
| |||||||
10,413 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment (0.0%): | ||||||||
407 | Cisco Systems, Inc. | $ | 17,513 | |||||
1,829 | Nokia OYJ | 10,492 | ||||||
|
| |||||||
28,005 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
4,100 | ComSys Holdings Corp. | 108,651 | ||||||
802 | Eiffage SA | 87,174 | ||||||
12,100 | Kinden Corp. | 197,557 | ||||||
2,000 | Kyudenko Corp. | 96,494 | ||||||
5,000 | Maeda Road Construction Co., Ltd. | 95,022 | ||||||
4,700 | Nippo Corp. | 85,597 | ||||||
4,400 | Okumura Corp. | 143,485 | ||||||
100 | TAISEI Corp. | 5,510 | ||||||
22,000 | Toda Corp. | 191,269 | ||||||
|
| |||||||
1,010,759 | ||||||||
|
| |||||||
Construction Materials (0.0%): | ||||||||
14,836 | Cemex SAB de C.V.* | 9,766 | ||||||
2,000 | China National Buildings Material Co., Ltd. | 1,970 | ||||||
11,000 | Siam Cement PCL | 136,755 | ||||||
|
| |||||||
148,491 | ||||||||
|
| |||||||
Consumer Finance (0.0%): | ||||||||
1,079 | Ally Financial, Inc. | 28,345 | ||||||
4 | American Express Co. | 392 | ||||||
562 | Capital One Financial Corp. | 51,648 | ||||||
848 | Discover Financial Services | 59,708 | ||||||
|
| |||||||
140,093 | ||||||||
|
| |||||||
Containers & Packaging (0.0%): | ||||||||
776 | Crown Holdings, Inc.* | 34,734 | ||||||
769 | International Paper Co. | 40,050 | ||||||
499 | Packaging Corp. of America | 55,782 | ||||||
|
| |||||||
130,566 | ||||||||
|
| |||||||
Distributors (0.0%): | ||||||||
3,400 | Canon Marketing Japan, Inc. | 70,780 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%): | ||||||||
77 | New Oriental Education & Technology Group, Inc., ADR | 7,289 | ||||||
|
| |||||||
Diversified Financial Services (0.0%): | ||||||||
1,028 | AMP, Ltd. | 2,706 | ||||||
968 | Berkshire Hathaway, Inc., Class B* | 180,677 | ||||||
101,000 | Fubon Financial Holdings Co., Ltd. | 169,158 | ||||||
|
| |||||||
352,541 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.9%): | ||||||||
221 | AT&T, Inc. | 7,096 | ||||||
49,535 | Cellnex Telecom SAU | 1,246,390 | ||||||
8,000 | China Communications Services Corp., Ltd. | 5,063 | ||||||
218,000 | Chunghwa Telecom Co., Ltd. | 786,358 | ||||||
11,851 | El Towers SpA | 654,563 | ||||||
80,000 | HKT Trust & HKT, Ltd. | 102,010 | ||||||
2,800 | Nippon Telegraph & Telephone Corp. | 127,248 | ||||||
63,500 | Singapore Telecommunications, Ltd. | 143,381 | ||||||
31,368 | Telecom Italia SpA | 20,439 | ||||||
587,676 | Telecom Italia SpA* | 436,078 | ||||||
2,384 | Verizon Communications, Inc. | 119,939 | ||||||
|
| |||||||
3,648,565 | ||||||||
|
|
Continued
3
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities (0.8%): | ||||||||
200 | Centrais Eletricas Brasileiras SA* | $ | 708 | |||||
7,494 | CEZ | 177,854 | ||||||
14,000 | CK Infrastructure Holdings, Ltd. | 103,631 | ||||||
16,500 | CLP Holdings, Ltd. | 177,035 | ||||||
164,118 | Enel SpA | 909,162 | ||||||
32 | Entergy Corp.^ | 2,585 | ||||||
12,500 | Hongkong Electric Holdings, Ltd. | 87,383 | ||||||
100 | Kansai Electric Power Co., Inc. (The) | 1,457 | ||||||
12,731 | NextEra Energy, Inc. | 2,126,460 | ||||||
74 | PG&E Corp. | 3,149 | ||||||
2,099 | PGE SA* | 5,231 | ||||||
45 | Scottish & Southern Energy plc | 804 | ||||||
|
| |||||||
3,595,459 | ||||||||
|
| |||||||
Electrical Equipment (0.5%): | ||||||||
15 | Eaton Corp. plc | 1,121 | ||||||
17 | Emerson Electric Co. | 1,175 | ||||||
16,000 | GS Yuasa Corp. | 72,858 | ||||||
2,900 | Mabuchi Motor Co., Ltd. | 137,789 | ||||||
144,400 | Mitsubishi Electric Corp. | 1,918,878 | ||||||
148 | Rockwell Automation, Inc. | 24,602 | ||||||
|
| |||||||
2,156,423 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.6%): | ||||||||
235 | Corning, Inc.^ | 6,465 | ||||||
2,000 | Hitachi, Ltd. | 14,090 | ||||||
59,400 | Hon Hai Precision Industry Co., Ltd. | 162,457 | ||||||
5,000 | Japan Aviation Electronics Industry, Ltd. | 78,631 | ||||||
300 | Keyence Corp. | 169,219 | ||||||
25 | LG Display Co., Ltd. | 410 | ||||||
15,000 | Murata Manufacturing Co., Ltd. | 2,518,552 | ||||||
|
| |||||||
2,949,824 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
102 | Halliburton Co. | 4,596 | ||||||
595 | Helmerich & Payne, Inc.^ | 37,937 | ||||||
8,668 | Schlumberger, Ltd. | 581,016 | ||||||
|
| |||||||
623,549 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.3%): | ||||||||
621 | American Tower Corp. | 89,529 | ||||||
75 | Equity Residential Property Trust | 4,777 | ||||||
18,000 | Link REIT (The) | 163,652 | ||||||
105 | ProLogis, Inc. | 6,897 | ||||||
852 | Stockland Trust Group | 2,511 | ||||||
5,923 | Unibail-Rodamco-Westfield | 1,304,073 | ||||||
67 | Vornado Realty Trust | 4,953 | ||||||
202 | Weyerhaeuser Co. | 7,365 | ||||||
|
| |||||||
1,583,757 | ||||||||
|
| |||||||
Food & Staples Retailing (0.7%): | ||||||||
126 | BIM Birlesik Magazalar AS | 1,843 | ||||||
158 | Costco Wholesale Corp. | 33,019 | ||||||
41,550 | CVS Health Corp. | 2,673,742 | ||||||
3,909 | Jeronimo Martins SGPS SA | 56,242 | ||||||
116 | Koninklijke Ahold Delhaize NV | 2,775 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
1,400 | Seven & I Holdings Co., Ltd. | $ | 61,030 | |||||
238 | Sysco Corp. | 16,253 | ||||||
110 | Walgreens Boots Alliance, Inc. | 6,602 | ||||||
2,797 | Wal-Mart Stores, Inc. | 239,563 | ||||||
276 | Wesfarmers, Ltd. | 10,120 | ||||||
350 | Woolworths, Ltd. | 7,927 | ||||||
|
| |||||||
3,109,116 | ||||||||
|
| |||||||
Food Products (1.7%): | ||||||||
52,000 | Ajinomoto Co., Inc. | 982,085 | ||||||
320 | ConAgra Foods, Inc.^ | 11,434 | ||||||
37,068 | Danone SA | 2,717,118 | ||||||
118 | General Mills, Inc.^ | 5,223 | ||||||
1,913 | JBS SA | 4,542 | ||||||
2,815 | Mondelez International, Inc., Class A | 115,414 | ||||||
30,669 | Nestle SA, Registered Shares | 2,375,256 | ||||||
257 | Tiger Brands, Ltd. | 6,217 | ||||||
90,000 | Uni-President Enterprises Corp. | 228,285 | ||||||
154,000 | Want Want China Holdings, Ltd. | 136,061 | ||||||
7,500 | WH Group, Ltd. | 6,064 | ||||||
|
| |||||||
6,587,699 | ||||||||
|
| |||||||
Gas Utilities (0.3%): | ||||||||
397 | GAIL India, Ltd. | 1,973 | ||||||
51,600 | Tokyo Gas Co., Ltd. | 1,369,439 | ||||||
|
| |||||||
1,371,412 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.5%): | ||||||||
2,342 | Baxter International, Inc. | 172,934 | ||||||
106 | Boston Scientific Corp.* | 3,466 | ||||||
37 | Danaher Corp. | 3,651 | ||||||
133 | Edwards Lifesciences Corp.* | 19,361 | ||||||
24,800 | HOYA Corp. | 1,408,670 | ||||||
13 | Intuitive Surgical, Inc.* | 6,220 | ||||||
1,518 | Medtronic plc | 129,956 | ||||||
100 | Olympus Co., Ltd. | 3,736 | ||||||
83 | Siemens Healthineers AG* | 3,426 | ||||||
883 | Stryker Corp. | 149,103 | ||||||
|
| |||||||
1,900,523 | ||||||||
|
| |||||||
Health Care Providers & Services (3.4%): | ||||||||
17,432 | Acadia Healthcare Co., Inc.*^ | 713,143 | ||||||
464 | Aetna, Inc. | 85,144 | ||||||
3,900 | Alfresa Holdings Corp. | 91,592 | ||||||
8 | AmerisourceBergen Corp. | 682 | ||||||
12,669 | Anthem, Inc. | 3,015,602 | ||||||
32 | Cardinal Health, Inc. | 1,563 | ||||||
64 | Cigna Corp. | 10,877 | ||||||
137 | Express Scripts Holding Co.* | 10,578 | ||||||
52 | Fresenius Medical Care AG & Co., KGaA | 5,248 | ||||||
37,131 | Fresenius SE & Co. KGaA | 2,981,243 | ||||||
29,245 | Hapvida Participacoes e Investimentos SA* | 223,017 | ||||||
18,123 | HCA Holdings, Inc. | 1,859,420 | ||||||
15 | Humana, Inc. | 4,464 | ||||||
229 | McKesson Corp. | 30,549 |
Continued
4
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
4,500 | Medipal Holdings Corp. | $ | 90,416 | |||||
40,827 | NMC Health plc | 1,926,300 | ||||||
70,072 | Notre Dame Intermedica Participacoes SA* | 391,499 | ||||||
582,322 | PT Siloam International Hospital Tbk* | 212,397 | ||||||
41 | Ramsay Health Care, Ltd. | 1,640 | ||||||
2,000 | Suzuken Co., Ltd. | 84,627 | ||||||
30,082 | Tenet Healthcare Corp.* | 1,009,853 | ||||||
967 | UnitedHealth Group, Inc. | 237,244 | ||||||
|
| |||||||
12,987,098 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
67,300 | Ping An Healthcare and Technology Co., Ltd.* | 428,914 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.9%): | ||||||||
140 | Carnival Corp., Class A | 8,023 | ||||||
7,996 | Dave & Buster’s Entertainment, Inc.*^ | 380,609 | ||||||
1,000 | Galaxy Entertainment Group, Ltd. | 7,675 | ||||||
11,200 | Genting Singapore, Ltd. | 10,062 | ||||||
22 | Hilton Worldwide Holdings, Inc. | 1,742 | ||||||
150 | Hyatt Hotels Corp., Class A | 11,573 | ||||||
180 | Las Vegas Sands Corp. | 13,745 | ||||||
296 | McDonald’s Corp. | 46,380 | ||||||
45,458 | MGM Resorts International | 1,319,645 | ||||||
317 | Royal Caribbean Cruises, Ltd. | 32,841 | ||||||
400 | Sands China, Ltd. | 2,132 | ||||||
14,814 | Sodexo SA^ | 1,479,871 | ||||||
467 | Wyndham Hotels & Resorts, Inc. | 27,474 | ||||||
662 | Wyndham Worldwide Corp. | 29,307 | ||||||
50 | Yum China Holdings, Inc. | 1,923 | ||||||
156 | Yum! Brands, Inc. | 12,202 | ||||||
|
| |||||||
3,385,204 | ||||||||
|
| |||||||
Household Durables (0.5%): | ||||||||
2,800 | Alpine Electronics, Inc. | 57,715 | ||||||
1,376 | Berkeley Group Holdings plc (The) | 68,709 | ||||||
1,573 | Coway Co., Ltd. | 122,205 | ||||||
9,094 | Mohawk Industries, Inc.* | 1,948,571 | ||||||
300 | Panasonic Corp. | 4,031 | ||||||
200 | Sony Corp. | 10,263 | ||||||
|
| |||||||
2,211,494 | ||||||||
|
| |||||||
Household Products (0.6%): | ||||||||
1,548 | Colgate-Palmolive Co. | 100,326 | ||||||
257 | Essity AB, Class B | 6,341 | ||||||
335 | Hindustan Unilever, Ltd. | 8,021 | ||||||
46 | Kimberly-Clark Corp.^ | 4,846 | ||||||
29,776 | Procter & Gamble Co. (The) | 2,324,314 | ||||||
100 | Unicharm Corp. | 3,010 | ||||||
|
| |||||||
2,446,858 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.2%): | ||||||||
2,000 | China Resources Power Holdings Co. | 3,506 | ||||||
13,515 | NextEra Energy Partners LP^ | 630,745 | ||||||
8,233 | Vistra Energy Corp.* | 194,793 | ||||||
|
| |||||||
829,044 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates (1.2%): | ||||||||
1,000 | Citic, Ltd. | $ | 1,402 | |||||
1,000 | Fosun International, Ltd. | 1,868 | ||||||
48,461 | General Electric Co. | 659,554 | ||||||
3,000 | Jardine Matheson Holdings, Ltd. | 189,057 | ||||||
81,822 | Koninklijke Philips Electronics NV | 3,467,854 | ||||||
1,000 | Toshiba Corp.* | 3,003 | ||||||
|
| |||||||
4,322,738 | ||||||||
|
| |||||||
Insurance (1.0%): | ||||||||
64 | Allstate Corp. (The) | 5,841 | ||||||
6 | American International Group, Inc. | 318 | ||||||
24 | Aon plc | 3,292 | ||||||
278 | Aviva plc | 1,848 | ||||||
31,767 | AXA SA | 778,204 | ||||||
91,000 | Cathay Financial Holding Co., Ltd. | 160,440 | ||||||
6,959 | Chubb, Ltd. | 883,932 | ||||||
2,186 | Hartford Financial Services Group, Inc. (The) | 111,770 | ||||||
300 | Japan Post Holdings Co., Ltd. | 3,285 | ||||||
1,727 | Legal & General Group plc | 6,060 | ||||||
168 | Manulife Financial Corp. | 3,019 | ||||||
12,850 | Marsh & McLennan Cos., Inc. | 1,053,315 | ||||||
4,034 | MetLife, Inc. | 175,882 | ||||||
100 | MS&AD Insurance Group Holdings, Inc. | 3,107 | ||||||
9 | Muenchener Rueckversicherungs-Gesellschaft AG | 1,907 | ||||||
7 | Progressive Corp. (The) | 414 | ||||||
464 | Prudential Financial, Inc. | 43,389 | ||||||
53 | Prudential plc | 1,211 | ||||||
364 | Reinsurance Group of America, Inc. | 48,587 | ||||||
14,300 | Tokio Marine Holdings, Inc. | 669,692 | ||||||
1,229 | Travelers Cos., Inc. (The) | 150,356 | ||||||
|
| |||||||
4,105,869 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (1.1%): | ||||||||
2,649 | Amazon.com, Inc.*(a) | 4,502,770 | ||||||
3 | Booking Holdings, Inc.* | 6,081 | ||||||
121 | Expedia, Inc.^ | 14,543 | ||||||
700 | Rakuten, Inc. | 4,727 | ||||||
|
| |||||||
4,528,121 | ||||||||
|
| |||||||
Internet Software & Services (4.8%): | ||||||||
12,151 | Alibaba Group Holding, Ltd., ADR*^ | 2,254,375 | ||||||
20 | Alphabet, Inc., Class A* | 22,584 | ||||||
3,868 | Alphabet, Inc., Class C* | 4,315,334 | ||||||
2 | Autohome, Inc., ADR^ | 202 | ||||||
62,580 | Cloudera, Inc.* | 853,591 | ||||||
63,800 | Dropbox, Inc.* | 2,021,283 | ||||||
503 | eBay, Inc.* | 18,239 | ||||||
35,132 | Facebook, Inc., Class A* | 6,826,851 | ||||||
5,547 | Lookout, Inc.*(b) | 1,109 | ||||||
29 | Momo, Inc., ADR* | 1,262 | ||||||
96 | SINA Corp.* | 8,130 | ||||||
48,400 | Tencent Holdings, Ltd. | 2,410,292 | ||||||
660 | VeriSign, Inc.* | 90,697 | ||||||
|
| |||||||
18,823,949 | ||||||||
|
|
Continued
5
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services (1.0%): | ||||||||
514 | Accenture plc, Class C | $ | 84,085 | |||||
89 | Alliance Data Systems Corp. | 20,755 | ||||||
16 | Amadeus IT Holding SA | 1,261 | ||||||
1,070 | Amdocs, Ltd. | 70,823 | ||||||
48 | Automatic Data Processing, Inc. | 6,439 | ||||||
110 | Cognizant Technology Solutions Corp., Class A^ | 8,689 | ||||||
41 | DXC Technology Co. | 3,305 | ||||||
9,108 | FleetCor Technologies, Inc.* | 1,918,600 | ||||||
1,000 | Fujitsu, Ltd. | 6,058 | ||||||
1,724 | Global Payments, Inc. | 192,209 | ||||||
227 | HCL Technologies, Ltd. | 3,062 | ||||||
19 | Infosys, Ltd. | 365 | ||||||
9,472 | International Business Machines Corp. | 1,323,238 | ||||||
1,146 | MasterCard, Inc., Class A | 225,212 | ||||||
18 | Paychex, Inc.^ | 1,230 | ||||||
19 | Perspecta, Inc. | 390 | ||||||
1,615 | Visa, Inc., Class A | 213,907 | ||||||
|
| |||||||
4,079,628 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.0%): | ||||||||
62 | Agilent Technologies, Inc. | 3,834 | ||||||
487 | Thermo Fisher Scientific, Inc. | 100,877 | ||||||
|
| |||||||
104,711 | ||||||||
|
| |||||||
Machinery (0.1%): | ||||||||
206 | Caterpillar, Inc. | 27,948 | ||||||
32 | Cummins, Inc. | 4,256 | ||||||
19,463 | Doosan Bobcat, Inc. | 558,424 | ||||||
4,582 | GEA Group AG | 154,435 | ||||||
6,900 | Hino Motors, Ltd. | 73,477 | ||||||
155 | Illinois Tool Works, Inc. | 21,474 | ||||||
72 | Ingersoll-Rand plc | 6,461 | ||||||
24 | PACCAR, Inc. | 1,487 | ||||||
294 | Sandvik AB | 5,212 | ||||||
726 | Volvo AB, Class B | 11,569 | ||||||
|
| |||||||
864,743 | ||||||||
|
| |||||||
Media (3.0%): | ||||||||
9,918 | Charter Communications, Inc., Class A* | 2,908,057 | ||||||
133,790 | Comcast Corp., Class A | 4,389,650 | ||||||
3,483 | DISH Network Corp., Class A* | 117,064 | ||||||
15,329 | I-Cable Communications, Ltd.* | 240 | ||||||
2,520 | Liberty Broadband Corp., Class A*^ | 190,613 | ||||||
10,833 | Liberty Broadband Corp., Class C*^ | 820,275 | ||||||
24,465 | Liberty Global plc, Class A*^ | 673,766 | ||||||
9,038 | Liberty SiriusXM Group, Class A* | 407,162 | ||||||
15,145 | Liberty SiriusXM Group, Class C* | 686,977 | ||||||
9,000 | Nippon Television Holdings, Inc. | 151,785 | ||||||
81,093 | RAI Way SpA | 379,690 | ||||||
3,100 | Toho Co., Ltd. | 103,874 | ||||||
6,600 | TV Asahi Holdings Corp.^ | 144,607 | ||||||
309 | Walt Disney Co. (The) | 32,386 | ||||||
51,957 | Zon Multimedia Servicos de Telecommunicacoes e Multimedia SGPS SA | 284,595 | ||||||
|
| |||||||
11,290,741 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining (0.1%): | ||||||||
132 | Anglo American plc^ | $ | 2,931 | |||||
35 | ArcelorMittal | 1,022 | ||||||
1,900 | DOWA Mining Co. | 58,505 | ||||||
319 | Eregli Demir ve Celik Fabrikalari T.A.S. | 708 | ||||||
154 | Freeport-McMoRan Copper & Gold, Inc. | 2,658 | ||||||
314 | Glencore International plc | 1,488 | ||||||
100 | JFE Holdings, Inc. | 1,887 | ||||||
19 | Kumba Iron Ore, Ltd. | 405 | ||||||
33 | Newcrest Mining, Ltd. | 535 | ||||||
632 | POSCO | 186,738 | ||||||
144 | Rio Tinto plc | 7,940 | ||||||
76 | Rio Tinto, Ltd. | 4,717 | ||||||
549 | South32, Ltd. | 1,478 | ||||||
322 | Teck Cominco, Ltd., Class B | 8,204 | ||||||
13,700 | Tokyo Steel Manufacturing Co., Ltd. | 121,547 | ||||||
214 | Vale SA | 2,727 | ||||||
450 | Vedanta, Ltd. | 1,541 | ||||||
2,900 | Yamato Kogyo Co., Ltd. | 87,586 | ||||||
|
| |||||||
492,617 | ||||||||
|
| |||||||
Multiline Retail (0.1%): | ||||||||
2,073 | Dollar General Corp. | 204,398 | ||||||
531 | Kohl’s Corp.^ | 38,710 | ||||||
161 | Target Corp. | 12,255 | ||||||
|
| |||||||
255,363 | ||||||||
|
| |||||||
Multi-Utilities (0.2%): | ||||||||
426 | Engie Group | 6,519 | ||||||
7,284 | Sempra Energy | 845,745 | ||||||
|
| |||||||
852,264 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.4%): | ||||||||
49,025 | Anadarko Petroleum Corp. | 3,591,081 | ||||||
1,099 | BP plc | 8,366 | ||||||
148 | Canadian Natural Resources, Ltd. | 5,342 | ||||||
357 | Chevron Corp. | 45,136 | ||||||
6,000 | CNOOC, Ltd. | 10,280 | ||||||
32,030 | Coal India, Ltd. | 123,518 | ||||||
224 | ConocoPhillips Co. | 15,595 | ||||||
17,329 | Enbridge, Inc. | 619,599 | ||||||
114,340 | EnCana Corp.^ | 1,492,137 | ||||||
242 | ENI SpA | 4,493 | ||||||
10,489 | Exxon Mobil Corp. | 867,755 | ||||||
941 | Fieldwood Energy LLC*(b) | 34,347 | ||||||
3,485 | Fieldwood Energy LLC*(b) | 127,203 | ||||||
26,000 | Formosa Petrochemical Corp. | 104,281 | ||||||
2,045 | Hindustan Petroleum Corp., Ltd. | 7,734 | ||||||
395 | Husky Energy, Inc. | 6,157 | ||||||
72 | Imperial Oil, Ltd. | 2,394 | ||||||
1,115 | Indian Oil Corp., Ltd. | 2,537 | ||||||
200 | INPEX Corp. | 2,067 | ||||||
299 | Kinder Morgan, Inc. | 5,283 | ||||||
1,398 | Marathon Petroleum Corp. | 98,084 | ||||||
50 | Occidental Petroleum Corp. | 4,184 | ||||||
42,815 | Oil & Natural Gas Corp., Ltd. | 98,778 |
Continued
6
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
100 | Petroleo Brasileiro SA | $ | 501 | |||||
1,049 | Petroleo Brasileiro SA* | 4,648 | ||||||
587 | Phillips 66 | 65,926 | ||||||
2,826 | Pioneer Natural Resources Co. | 534,792 | ||||||
145 | Polski Koncern Naftowy Orlen SA | 3,252 | ||||||
133,813 | Reliance Industries, Ltd. | 1,897,532 | ||||||
217 | Repsol SA | 4,237 | ||||||
58,001 | Royal Dutch Shell plc, Class A | 2,012,476 | ||||||
23,496 | Royal Dutch Shell plc, Class A, ADR | 1,626,628 | ||||||
170 | Royal Dutch Shell plc, Class A | 5,890 | ||||||
429 | Royal Dutch Shell plc, Class B | 15,342 | ||||||
15 | SK Energy Co., Ltd. | 2,716 | ||||||
13,649 | Snam SpA | 56,855 | ||||||
165 | Suncor Energy, Inc. | 6,715 | ||||||
39,600 | Thai Oil Public Co., Ltd. | 92,857 | ||||||
48 | Total SA | 2,919 | ||||||
650 | Total SA, ADR | 39,364 | ||||||
15,189 | TransCanada Corp. | 657,246 | ||||||
1,092 | Valero Energy Corp. | 121,026 | ||||||
128,075 | Williams Cos., Inc. (The) | 3,472,113 | ||||||
|
| |||||||
17,899,386 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%): | ||||||||
100 | Suzano Papel e Celulose SA | 1,154 | ||||||
|
| |||||||
Personal Products (0.3%): | ||||||||
18,645 | Edgewell Personal Care Co.*^ | 940,826 | ||||||
2 | L’Oreal SA | 493 | ||||||
108 | Unilever NV | 6,020 | ||||||
74 | Unilever plc | 4,093 | ||||||
|
| |||||||
951,432 | ||||||||
|
| |||||||
Pharmaceuticals (2.4%): | ||||||||
47 | Allergan plc | 7,836 | ||||||
108,900 | Astellas Pharma, Inc. | 1,659,275 | ||||||
232 | Aurobindo Pharma, Ltd. | 2,056 | ||||||
26,556 | Bayer AG, Registered Shares | 2,925,612 | ||||||
196 | Bristol-Myers Squibb Co. | 10,847 | ||||||
526 | GlaxoSmithKline plc | 10,611 | ||||||
1,829 | Gw Pharmaceuticals, ADR* | 255,218 | ||||||
14,516 | Johnson & Johnson Co. | 1,761,371 | ||||||
2,106 | Merck & Co., Inc. | 127,834 | ||||||
200 | Mitsubishi Tanabe Pharma Corp. | 3,454 | ||||||
74 | Novartis AG, Registered Shares | 5,607 | ||||||
11 | Novo Nordisk A/S, Class B | 508 | ||||||
1,600 | Otsuka Holdings Co., Ltd. | 77,492 | ||||||
79,514 | Pfizer, Inc. | 2,884,768 | ||||||
82 | Roche Holding AG | 18,254 | ||||||
116 | Sanofi-Aventis SA | 9,288 | ||||||
200 | Shionogi & Co., Ltd. | 10,265 | ||||||
100 | Takeda Pharmacuetical Co., Ltd. | 4,224 | ||||||
|
| |||||||
9,774,520 | ||||||||
|
| |||||||
Professional Services (0.0%): | ||||||||
29 | Experian plc | 717 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
24 | Reed Elsevier plc | $ | 514 | |||||
1 | SGS SA, Registered Shares | 2,665 | ||||||
|
| |||||||
3,896 | ||||||||
|
| |||||||
Real Estate Management & Development (0.9%): | ||||||||
290,500 | CapitaLand, Ltd. | 672,689 | ||||||
1,000 | Country Garden Holdings Co., Ltd. | 1,745 | ||||||
200 | Daiwa House Industry Co., Ltd. | 6,811 | ||||||
54,000 | Hang Lung Properties, Ltd. | 110,907 | ||||||
56,000 | Sino Land Co., Ltd. | 90,829 | ||||||
115,666 | Sun Hung Kai Properties, Ltd. | 1,735,452 | ||||||
12,500 | Swire Pacific, Ltd., Class A | 132,078 | ||||||
26,579 | The St. Joe Co.*^ | 477,093 | ||||||
23,000 | Wharf Holdings, Ltd. (The) | 73,673 | ||||||
18,000 | Wharf Real Estate Investment Co., Ltd. | 127,826 | ||||||
|
| |||||||
3,429,103 | ||||||||
|
| |||||||
Road & Rail (0.6%): | ||||||||
63,800 | ComfortDelGro Corp., Ltd. | 109,905 | ||||||
289 | CSX Corp. | 18,432 | ||||||
21,900 | East Japan Railway Co. | 2,097,712 | ||||||
100 | Kintetsu Corp. | 4,080 | ||||||
16 | Norfolk Southern Corp. | 2,414 | ||||||
5,300 | Seino Holdings Co., Ltd. | 93,842 | ||||||
32 | Union Pacific Corp.^ | 4,534 | ||||||
|
| |||||||
2,330,919 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.9%): | ||||||||
135 | Applied Materials, Inc. | 6,236 | ||||||
6 | Broadcom, Inc. | 1,456 | ||||||
1,649 | Intel Corp. | 81,971 | ||||||
554 | KLA-Tencor Corp. | 56,802 | ||||||
40 | Lam Research Corp. | 6,914 | ||||||
824 | Micron Technology, Inc.* | 43,211 | ||||||
1,000 | Nanya Technology Corp. | 2,723 | ||||||
24 | NVIDIA Corp. | 5,686 | ||||||
46,463 | QUALCOMM, Inc. | 2,607,503 | ||||||
11,200 | ROHM Co., Ltd. | 938,074 | ||||||
72 | SK Hynix, Inc. | 5,520 | ||||||
24,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 170,788 | ||||||
84 | Texas Instruments, Inc. | 9,261 | ||||||
|
| |||||||
3,936,145 | ||||||||
|
| |||||||
Software (3.2%): | ||||||||
21 | Activision Blizzard, Inc. | 1,603 | ||||||
460 | Adobe Systems, Inc.* | 112,153 | ||||||
158 | CA, Inc. | 5,633 | ||||||
43 | Check Point Software Technologies, Ltd.* | 4,200 | ||||||
82 | Dell Technologies, Inc., Class V* | 6,936 | ||||||
9,631 | Domo, Inc.* | 249,780 | ||||||
17,481 | Domo, Inc., Class B* | 477,231 | ||||||
543 | Electronic Arts, Inc.* | 76,574 | ||||||
465 | Intuit, Inc. | 95,002 | ||||||
73,883 | Microsoft Corp. | 7,285,602 | ||||||
3,081 | Oracle Corp. | 135,749 |
Continued
7
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
100 | Oracle Corp. | $ | 8,154 | |||||
6 | Red Hat, Inc.* | 806 | ||||||
125 | SAP AG | 14,440 | ||||||
53,836 | Snap, Inc., Class A*^ | 704,713 | ||||||
78 | Symantec Corp. | 1,611 | ||||||
68,532 | Uber Technologies, Inc.*(b) | 2,741,280 | ||||||
73 | VMware, Inc., Class A*^ | 10,729 | ||||||
149,952 | Zynga, Inc.* | 610,305 | ||||||
|
| |||||||
12,542,501 | ||||||||
|
| |||||||
Specialty Retail (0.3%): | ||||||||
5 | AutoZone, Inc.*^ | 3,355 | ||||||
586 | Home Depot, Inc. (The) | 114,329 | ||||||
2,130 | Lowe’s Cos., Inc. | 203,564 | ||||||
3,757 | O’Reilly Automotive, Inc.* | 1,027,801 | ||||||
470 | Ross Stores, Inc. | 39,833 | ||||||
700 | Shimamura Co., Ltd. | 61,619 | ||||||
|
| |||||||
1,450,501 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.9%): | ||||||||
45,494 | Apple, Inc. | 8,421,394 | ||||||
391 | Hewlett Packard Enterprise Co. | 5,713 | ||||||
523 | HP, Inc. | 11,867 | ||||||
44,967 | Pure Storage, Inc., Class A*^ | 1,073,812 | ||||||
21,943 | Samsung Electronics Co., Ltd. | 916,332 | ||||||
5,719 | Western Digital Corp.^ | 442,708 | ||||||
|
| |||||||
10,871,826 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.3%): | ||||||||
25 | Adidas AG | 5,459 | ||||||
18 | Compagnie Financiere Richemont SA | 1,526 | ||||||
17,312 | Luxottica Group SpA | 1,116,166 | ||||||
21 | Nike, Inc., Class C | 1,673 | ||||||
239 | PVH Corp. | 35,783 | ||||||
1 | Swatch Group AG (The), Class B | 475 | ||||||
87 | Swatch Group AG (The), Registered Shares | 7,536 | ||||||
78 | Titan Co., Ltd. | 999 | ||||||
134 | VF Corp. | 10,924 | ||||||
|
| |||||||
1,180,541 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.3%): | ||||||||
43,394 | Housing Development Finance Corp., Ltd. | 1,207,917 | ||||||
|
| |||||||
Tobacco (0.7%): | ||||||||
28,919 | Altria Group, Inc. | 1,642,310 | ||||||
121 | Imperial Tobacco Group plc, Class A | 4,505 | ||||||
8,835 | KT&G Corp. | 847,307 | ||||||
115 | Philip Morris International, Inc. | 9,285 | ||||||
|
| |||||||
2,503,407 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.0%): | ||||||||
433 | United Rentals, Inc.* | 63,919 | ||||||
|
| |||||||
Transportation Infrastructure (0.0%): | ||||||||
68 | Aena SA | 12,334 | ||||||
24 | Atlantia SpA | 709 | ||||||
6,000 | Beijing Capital International Airport Co., Ltd. | 6,310 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Transportation Infrastructure, continued | ||||||||
3,600 | Kamigumi Co., Ltd. | $ | 74,640 | |||||
26,100 | Malaysia Airports Holdings Berhad | 56,887 | ||||||
4,000 | Zhejiang Expressway Co., Ltd. | 3,564 | ||||||
|
| |||||||
154,444 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.3%): | ||||||||
35,100 | Advanced Information Service plc | 196,102 | ||||||
1,000 | China Mobile, Ltd. | 8,870 | ||||||
133,000 | Far EasTone Telecommunications Co., Ltd. | 343,711 | ||||||
88,100 | Intouch Holdings Public Co., Ltd. | 141,582 | ||||||
5,400 | KDDI Corp. | 147,659 | ||||||
161 | MTN Group, Ltd. | 1,266 | ||||||
638 | SK Telecom Co., Ltd. | 133,609 | ||||||
112,000 | Taiwan Mobile Co., Ltd. | 405,940 | ||||||
1,080,171 | Vodafone Group plc | 2,616,959 | ||||||
19,338 | Vodafone Group plc, ADR^ | 470,107 | ||||||
|
| |||||||
4,465,805 | ||||||||
|
| |||||||
Total Common Stocks (Cost $200,099,241) | 233,555,943 | |||||||
|
| |||||||
Preferred Stocks (0.6%): | ||||||||
Banks (0.1%): | ||||||||
13,274 | Citigroup Capital XIII, Series A, 8.70%^ | 359,725 | ||||||
84,000 | USB Capital IX, 3.50%(US0003M+102bps) | 76,125 | ||||||
|
| |||||||
435,850 | ||||||||
|
| |||||||
Consumer Finance (0.1%): | ||||||||
14,582 | GMAC Capital Trust I, Series 2, 8.13% | 383,507 | ||||||
|
| |||||||
Health Care Providers & Services (0.1%): | ||||||||
143,925 | Grand Rounds, Inc., Series C*(b) | 361,252 | ||||||
|
| |||||||
Internet Software & Services (0.1%): | ||||||||
63,925 | Lookout, Inc. Preferred Shares, Series F*(b) | 533,774 | ||||||
|
| |||||||
Software (0.2%): | ||||||||
116,157 | Palantir Technologies, Inc., Series I*(b) | 671,387 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.0%): | ||||||||
150 | Samsung Electronics Co., Ltd., 2.46% | 5,059 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $2,575,576) | 2,390,829 | |||||||
|
| |||||||
Warrant (0.0%): | ||||||||
Paper & Forest Products (0.0%): | ||||||||
157,250 | TFS Corp., Ltd. | — | ||||||
|
| |||||||
Total Warrant (Cost $—) | — | |||||||
|
| |||||||
Convertible Preferred Stocks (0.4%): | ||||||||
Banks (0.0%): | ||||||||
125 | Wells Fargo & Co., Series L, Class A, 7.50% | 157,433 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.1%): | ||||||||
5,481 | Welltower, Inc., Series I, 6.50%^ | 325,845 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.3%): | ||||||||
5,747 | Mandatory Exchange Trust, 5.75%(c) | 1,199,003 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Cost $957,313) | 1,682,281 | |||||||
|
| |||||||
Rights (0.0%): | ||||||||
Banks (0.0%): | ||||||||
604 | Intesa Sanpaolo SpA, Expires on 12/31/49* | — | ||||||
|
|
Continued
8
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, | Fair Value | |||||||
Rights, continued | ||||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
217 | Repsol SA, Expires on 7/09/18*^ | $ | 123 | |||||
|
| |||||||
Total Rights (Cost $—) | 123 | |||||||
|
| |||||||
Private Placements (0.0%): | ||||||||
Household Durables (0.0%): | ||||||||
$ | 3,065,000 | AliphCom, Inc., 12.00%, 4/1/20(b)(d) | — | |||||
23,389 | Jawbone, 0.00%*(b) | — | ||||||
|
| |||||||
— | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
268,000 | AliphCom, Inc., 12.00%, 4/1/20(b)(d) | — | ||||||
|
| |||||||
Total Private Placements (Cost $3,333,000) | — | |||||||
|
| |||||||
Convertible Bonds (0.4%): | ||||||||
Food Products (0.0%): | ||||||||
400,000 | REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14(d)(e) | — | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
631,620 | Dana Gas Sukuk, Ltd., 7.00%, 10/31/18(d) | 571,616 | ||||||
|
| |||||||
Pharmaceuticals (0.3%): | ||||||||
600,000 | Bayer Capital Corp. BV, 5.63%, 11/22/19+(c) | 749,667 | ||||||
|
| |||||||
Real Estate Management & Development (0.0%): | ||||||||
250,000 | CapitaLand, Ltd., 1.95%, 10/17/23+(c) | 181,921 | ||||||
|
| |||||||
Total Convertible Bonds (Cost $1,852,142) | 1,503,204 | |||||||
|
| |||||||
Bank Loans (0.2%): | ||||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
453,711 | Hilton Worldwide Finance LLC, 3.33%, 10/25/20 | 453,520 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
111,961 | Fieldwood Energy LLC, 0.00%, 4/11/22 | 112,017 | ||||||
151,147 | Fieldwood Energy LLC, 0.00%, 4/11/23 | 145,983 | ||||||
|
| |||||||
258,000 | ||||||||
|
| |||||||
Total Bank Loans (Cost $706,386) | 711,520 | |||||||
|
| |||||||
Corporate Bonds (1.8%): | ||||||||
Banks (0.3%): | ||||||||
124,000 | Bank of America Corp., Series G, 2.37% (US0003M+66 bps), 7/21/21, Callable 7/21/20 @ 100 | 121,556 | ||||||
162,000 | Bank of America Corp., 4.00%, 1/22/25, MTN | 159,919 | ||||||
276,000 | Citigroup, Inc., 2.45%, 1/10/20, Callable 12/10/19 @ 100^ | 272,900 | ||||||
646,000 | Citigroup, Inc., Series O, 5.87% (US0003M+406 bps), 12/29/49, Callable 3/27/20 @ 100 | 661,731 | ||||||
260,000 | Citigroup, Inc., Series Q, 5.95% (US0003M+410 bps), 12/29/49, Callable 8/15/20 @ 100^ | 267,800 | ||||||
85,000 | Santander Holdings USA, Inc., 3.70%, 3/28/22, Callable 2/28/22 @ 100 | 83,749 | ||||||
|
| |||||||
1,567,655 | ||||||||
|
| |||||||
Beverages (0.1%): | ||||||||
175,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 1/12/24, Callable 12/12/23 @ 100 | 173,919 | ||||||
285,000 | Anheuser-Busch InBev Worldwide, Inc., 4.00%, 4/13/28, Callable 1/13/28 @ 100^ | 284,338 | ||||||
|
| |||||||
458,257 | ||||||||
|
|
Contracts, | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Biotechnology (0.1%): | ||||||||
$ | 270,000 | AbbVie, Inc., 2.90%, 11/6/22 | $ | 262,000 | ||||
54,000 | Amgen, Inc., 1.85%, 8/19/21, Callable 7/19/21 @ 100 | 51,721 | ||||||
|
| |||||||
313,721 | ||||||||
|
| |||||||
Capital Markets (0.1%): | ||||||||
303,000 | Goldman Sachs Group, Inc. (The), Series M, 5.38% (US0003M+392 bps), 12/31/49, Callable 5/10/20 @ 100 | 308,302 | ||||||
228,000 | Morgan Stanley, Series H, 5.45% (US0003M+361 bps), 7/29/49, Callable 7/15/19 @ 100 | 230,994 | ||||||
|
| |||||||
539,296 | ||||||||
|
| |||||||
Chemicals (0.0%): | ||||||||
54,000 | Sherwin-Williams, 2.25%, 5/15/20 | 53,103 | ||||||
|
| |||||||
Communications Equipment (0.0%): | ||||||||
53,000 | Hughes Satellite Systems Corp., 7.63%, 6/15/21 | 56,379 | ||||||
|
| |||||||
Consumer Finance (0.2%): | ||||||||
191,000 | Ally Financial, Inc., 3.50%, 1/27/19^ | 190,761 | ||||||
200,000 | American Express Co., Series C, 4.90% (US0003M+329 bps), 12/29/49, Callable 3/15/20 @ 100^ | 200,600 | ||||||
125,000 | General Motors Financial Co., Inc., 3.45%, 4/10/22, Callable 2/10/22 @ 100 | 122,828 | ||||||
87,000 | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100 | 86,910 | ||||||
|
| |||||||
601,099 | ||||||||
|
| |||||||
Food & Staples Retailing (0.3%): | ||||||||
1,125,000 | CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100 | 1,119,295 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.2%): | ||||||||
135,000 | Becton Dickinson & Co., 3.36%, 6/6/24, Callable 4/6/24 @ 100 | 129,679 | ||||||
276,000 | Becton, Dickinson & Co., 3.13%, 11/8/21 | 271,996 | ||||||
228,000 | Becton, Dickinson & Co., 2.89%, 6/6/22, Callable 5/6/22 @ 100 | 220,529 | ||||||
|
| |||||||
622,204 | ||||||||
|
| |||||||
Insurance (0.1%): | ||||||||
173,000 | Prudential Financial, Inc., 5.87% (US0003M+418 bps), 9/15/42, Callable 9/15/22 @ 100^ | 182,731 | ||||||
115,000 | Prudential Financial, Inc., 5.62% (US0003M+392 bps), 6/15/43, Callable 6/15/23 @ 100 | 118,594 | ||||||
|
| |||||||
301,325 | ||||||||
|
| |||||||
Internet Software & Services (0.0%): | ||||||||
159,000 | eBay, Inc., 2.75%, 1/30/23, Callable 12/30/22 @ 100 | 153,181 | ||||||
|
| |||||||
Media (0.1%): | ||||||||
200,000 | NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(c) | 202,000 | ||||||
|
|
Continued
9
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Personal Products (0.1%): | ||||||||
$ | 144,000 | Edgewell Personal Care Co., 4.70%, 5/19/21^ | $ | 143,640 | ||||
149,000 | Edgewell Personal Care Co., 4.70%, 5/24/22^ | 145,648 | ||||||
|
| |||||||
289,288 | ||||||||
|
| |||||||
Pharmaceuticals (0.0%): | ||||||||
149,000 | Forest Laboratories, Inc., 5.00%, 12/15/21, Callable 9/16/21 @ 100(c) | 154,162 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.2%): | ||||||||
498,000 | Apple, Inc., 3.35%, 2/9/27, Callable 11/9/26 @ 100 | 486,296 | ||||||
478,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100^ | 461,018 | ||||||
|
| |||||||
947,314 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $7,440,343) | 7,378,279 | |||||||
|
| |||||||
Foreign Bonds (6.5%): | ||||||||
Banks (0.2%): | ||||||||
330,000 | Lloyds TSB Bank plc, Series E, 13.00%(GUKG5+1,340bps), 1/29/49, Callable 1/21/29 @ 126+ | 768,281 | ||||||
|
| |||||||
Sovereign Bond (6.3%): | ||||||||
1,218,000 | Australian Government, 3.00%, 3/21/47+(c) | 883,080 | ||||||
2,397,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 0.52%, 1/1/23+(f) | 604,300 | ||||||
1,778,707 | Bundesrepub. Deutshland, 0.13%, 8/15/26+(c) | 2,055,456 | ||||||
5,571,000 | Bundesrepublik Deutschland Bundesanleihe, 0.50%, 2/15/28+(c) | 6,623,087 | ||||||
3,894,000 | Canadian Government, 0.50%, 8/1/18+ | 2,960,714 | ||||||
957,000 | Canadian Government, 0.75%, 3/1/21+ | 704,889 | ||||||
267,600,000 | Japan Treasury Discount Bill, 0.00%, 9/10/18+ | 2,417,934 | ||||||
168,600,000 | Japan Treasury Discount Bill, 0.00%, 10/1/18+ | 1,528,366 | ||||||
273,450,000 | Japan Treasury Discount Bill, Series 369, 0.10%, 10/15/18+ | 2,471,820 | ||||||
27,409,300 | Mexican Bonos Desarr, 8.50%, 12/13/18+(g) | 1,383,062 | ||||||
19,300,000 | Mexican Bonos Desarr, Series M, 6.50%, 6/10/21+(g) | 941,015 | ||||||
310,000 | Republic of Argentina, 3.38%, 1/15/23+ | 327,600 | ||||||
100,000 | Republic of Argentina, 5.25%, 1/15/28+ | 99,839 | ||||||
690,083 | Republic of Argentina, 7.82%, 12/31/33+ | 802,043 | ||||||
27,103,100 | United Mexican States, 6.50%, 6/9/22+(g) | 1,309,352 | ||||||
|
| |||||||
25,112,557 | ||||||||
|
| |||||||
Total Foreign Bonds (Cost $26,234,476) | 25,880,838 | |||||||
|
| |||||||
Yankee Dollars (1.2%): | ||||||||
Banks (0.2%): | ||||||||
614,000 | HSBC Holdings plc, 6.38% (USISDA05+371 bps), 12/29/49, Callable 9/17/24 @ 100 | 607,363 | ||||||
|
| |||||||
Capital Markets (0.1%): | ||||||||
207,000 | UBS Group AG, 4.13%, 9/24/25(c) | 205,553 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.2%): | ||||||||
260,000 | Intelsat Jackson Holdings SA, 7.50%, 4/1/21, Callable 8/3/18 @ 101.25^ | 258,050 | ||||||
89,000 | Intelsat Jackson Holdings SA, 8.00%, 2/15/24, Callable 2/15/19 @ 104(c) | 93,450 | ||||||
289,000 | Telecom Italia SpA, 5.30%, 5/30/24(c) | 285,026 | ||||||
|
| |||||||
636,526 | ||||||||
|
|
Contracts, | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Food Products (0.1%): | ||||||||
$ | 408,000 | Danone SA, 2.59%, 11/2/23, Callable 9/2/23 @ 100(c) | $ | 384,253 | ||||
|
| |||||||
Industrial Conglomerates (0.0%): | ||||||||
200,000 | Odebrecht Finance, Ltd., 4.38%, 4/25/25(c) | 69,000 | ||||||
|
| |||||||
Multi-Utilities (0.0%): | ||||||||
178,000 | Petroleos Mexicanos, 5.98% (US0003M+365 bps), 3/11/22^ | 190,015 | ||||||
|
| |||||||
Paper & Forest Products (0.1%): | ||||||||
1,018,000 | TFS Corp., Ltd., 8.75%, 8/1/23, Callable 8/1/19 @ 106.56(d) | 685,241 | ||||||
|
| |||||||
Pharmaceuticals (0.1%): | ||||||||
271,000 | Actavis Funding SCS, 3.45%, 3/15/22, Callable 1/15/22 @ 100 | 266,661 | ||||||
|
| |||||||
Road & Rail (0.0%): | ||||||||
519,907 | Inversiones Alsacia SA, 8.00%, 12/31/18, Callable 7/19/18 @ 100(d) | 12,998 | ||||||
|
| |||||||
Sovereign Bond (0.4%): | ||||||||
729,000 | Republic of Argentina, 7.50%, 4/22/26 | 672,503 | ||||||
527,000 | Republic of Argentina, 6.88%, 1/26/27^ | 463,760 | ||||||
905,000 | Republic of Argentina, 5.88%, 1/11/28^ | 735,312 | ||||||
|
| |||||||
1,871,575 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $6,125,937) | 4,929,185 | |||||||
|
| |||||||
U.S. Treasury Obligations (29.0%): | ||||||||
U.S. Treasury Bills (10.8%) | ||||||||
14,000,000 | 1.00%, 7/5/18 | 13,998,063 | ||||||
15,000,000 | 1.64%, 7/19/18 | 14,987,693 | ||||||
14,000,000 | 1.60%, 7/26/18 | 13,983,877 | ||||||
|
| |||||||
42,969,633 | ||||||||
|
| |||||||
U.S. Treasury Notes (18.2%) | ||||||||
1,000,000 | 1.25%, 12/15/18(h) | 996,094 | ||||||
820,100 | 1.13%, 7/31/21 | 783,644 | ||||||
9,694,100 | 2.63%, 2/28/23 | 9,655,096 | ||||||
12,358,600 | 2.75%, 4/30/23 | 12,370,669 | ||||||
9,723,100 | 2.75%, 5/31/23 | 9,735,254 | ||||||
20,371,700 | 2.88%, 5/31/25(a) | 20,449,684 | ||||||
15,527,200 | 2.75%, 2/15/28(a) | 15,394,370 | ||||||
3,320,400 | 2.88%, 5/15/28 | 3,327,015 | ||||||
|
| |||||||
72,711,826 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $115,423,869) | 115,681,459 | |||||||
|
| |||||||
Purchased Options (0.0%): | ||||||||
Total Purchased Options (Cost $1,294,158) | 930,028 | |||||||
|
| |||||||
Purchased Swaptions (0.0%): | ||||||||
Total Purchased Swaptions (Cost $91,520) | 54 | |||||||
|
| |||||||
Purchased Interest Rate Cap (0.0%): | ||||||||
Total Purchased Interest Rate Cap (Cost $25,545) | 36 | |||||||
|
| |||||||
Exchange Traded Funds (2.6%): | ||||||||
191,469 | iShares Gold Trust(h) | 2,301,457 | �� | |||||
68,336 | SPDR Gold Trust(h) | 8,108,067 | ||||||
|
| |||||||
Total Exchange Traded Funds (Cost $10,595,632) | 10,409,524 | |||||||
|
|
Continued
10
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (3.6%): | ||||||||
$ | 14,188,875 | AZL BlackRock Global Allocation Fund Securities Lending Collateral Account(i) | $ | 14,188,875 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 14,188,875 | ||||||
|
| |||||||
Unaffiliated Investment Company (1.0%): | ||||||||
3,842,898 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(h)(j) | 3,842,898 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $3,842,898) | 3,842,898 | |||||||
|
| |||||||
Total Investment Securities (Cost $394,786,911) —105.7%(k) | 423,085,076 | |||||||
Net other assets (liabilities) — (5.7)% | (24,094,020 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 398,991,056 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
GUKG5—UK Govt Bonds 5 Year Note Generic Bid Yield
MTN—Medium Term Note
SPDR—Standard & Poor’s Depository Receipts
US0003M—3 Month US Dollar LIBOR
USISDA05—5 Year ICE Swap Rate
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $13,562,572. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | All or a portion of this security has been pledged as collateral for open derivative positions. |
(b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 1.12% of the net assets of the fund. |
(c) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(d) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.34% of the net assets of the fund. |
(e) | Defaulted bond. |
(f) | Principal amount is stated in 1,000 Brazilian Real Units. |
(g) | Principal amount is stated in 100 Mexican Peso Units. |
(h) | All or a portion of these securities are held by the AZL Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”). |
(i) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(j) | The rate represents the effective yield at June 30, 2018. |
(k) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
11
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Argentina | 0.8 | % | ||
Australia | 0.5 | % | ||
Belgium | 0.4 | % | ||
Bermuda | — | %^ | ||
Brazil | 0.5 | % | ||
Canada | 1.6 | % | ||
Cayman Islands | — | %^ | ||
Chile | — | %^ | ||
China | 1.3 | % | ||
Czech Republic | — | %^ | ||
Denmark | — | %^ | ||
European Community | — | %^ | ||
Finland | — | %^ | ||
France | 2.4 | % | ||
Germany | 3.9 | % | ||
Guernsey | — | %^ | ||
Hong Kong | 0.7 | % | ||
India | 1.4 | % | ||
Indonesia | 0.1 | % | ||
Ireland (Republic of) | — | %^ | ||
Israel | — | %^ | ||
Italy | 1.0 | % | ||
Japan | 9.3 | % | ||
Jersey | 0.1 | % |
Country | Percentage | |||
Liberia | — | %^ | ||
Luxembourg | 0.1 | % | ||
Malaysia | — | %^ | ||
Mexico | 0.9 | % | ||
Netherlands | 1.4 | % | ||
Norway | — | %^ | ||
Panama | — | %^ | ||
Poland | — | %^ | ||
Portugal | 0.1 | % | ||
Republic of Korea (South) | 0.7 | % | ||
Singapore | 0.2 | % | ||
South Africa | — | %^ | ||
Spain | 0.3 | % | ||
Sweden | — | %^ | ||
Switzerland | 1.3 | % | ||
Taiwan, Province Of China | 0.7 | % | ||
Thailand | 0.2 | % | ||
Turkey | — | %^ | ||
United Arab Emirates | 0.5 | % | ||
United Kingdom | 2.4 | % | ||
United States | 67.2 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
Securities Sold Short (-0.3%):
At June 30, 2018, the Fund’s securities sold short were as follows:
Security Description | Proceeds Received | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||
Estee Lauder Co., Inc. (The) | $ | (304,579 | ) | $ | (287,520 | ) | $ | 17,059 | ||||
Lyondellbasell Industries NV | (689,214 | ) | (694,691 | ) | (5,477 | ) | ||||||
Pernod Ricard SA | (199,683 | ) | (194,537 | ) | 5,146 | |||||||
Yaskawa Electric Corp. | (196,382 | ) | (197,477 | ) | (1,095 | ) | ||||||
|
|
|
|
|
| |||||||
$ | (1,389,858 | ) | $ | (1,374,225 | ) | $ | 15,633 | |||||
|
|
|
|
|
|
Futures Contracts
Cash of $290,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Short Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/21/18 | 3 | $ | (118,791 | ) | $ | 2,857 | |||||||||
NASDAQ 100 E-Mini September Futures (U.S. Dollar) | 9/21/18 | 24 | (3,392,040 | ) | 55,791 | |||||||||||
Nikkei 225 Index September Futures (Japanese Yen) | 9/13/18 | 3 | (301,152 | ) | 6,841 | |||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/21/18 | 6 | (816,480 | ) | 18,302 | |||||||||||
|
| |||||||||||||||
$ | 83,791 | |||||||||||||||
|
|
Continued
12
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Option Contracts
At June 30, 2018, the Fund’s over-the-counter options purchased were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||||||
BP plc | UBS Warburg | Call | 52.00 | USD | 6/21/19 | 34,666 | $ | 1,802,632 | $ | 43,151 | ||||||||||||||||||||
Chevron Corp. | UBS Warburg | Call | 125.00 | USD | 1/18/19 | 10,746 | 1,343,250 | 87,936 | ||||||||||||||||||||||
ConocoPhillips | �� | UBS Warburg | Call | 75.00 | USD | 6/21/19 | 18,108 | 1,358,100 | 89,764 | |||||||||||||||||||||
EURO STOXX 50 Index | Deutsche Bank | Call | 3426.55 | EUR | 9/21/18 | 106 | 363,214 | 9,476 | ||||||||||||||||||||||
EURO STOXX 50 Index | UBS Warburg | Call | 134.92 | EUR | 6/18/21 | 6,489 | 875,496 | 26,709 | ||||||||||||||||||||||
EURO STOXX Bank Index | Societe Generale | Call | 117.57 | EUR | 3/20/20 | 4,977 | 585,146 | 37,268 | ||||||||||||||||||||||
EURO STOXX Bank Index | Barclays Bank | Call | 136.97 | EUR | 3/19/21 | 6,300 | 862,911 | 25,446 | ||||||||||||||||||||||
EURO STOXX Bank Index | Deutsche Bank | Call | 136.56 | EUR | 4/16/21 | 5,988 | 817,721 | 25,248 | ||||||||||||||||||||||
EURO STOXX Bank Index | Citigroup | Call | 131.88 | EUR | 6/17/22 | 8,162 | 1,076,405 | 26,807 | ||||||||||||||||||||||
Exxon Mobil Corp. | UBS Warburg | Call | 95.00 | USD | 1/18/19 | 7,306 | 694,070 | 6,005 | ||||||||||||||||||||||
Occidental Petroleum Corp. | UBS Warburg | Call | 75.00 | USD | 1/18/19 | 6,847 | 513,525 | 75,698 | ||||||||||||||||||||||
Occidental Petroleum Corp. | UBS Warburg | Call | 92.50 | USD | 6/21/19 | 9,106 | 842,305 | 33,390 | ||||||||||||||||||||||
Royal Dutch Shell plc | UBS Warburg | Call | 77.00 | USD | 6/21/19 | 19,788 | 1,523,676 | 33,796 | ||||||||||||||||||||||
Russell 2000 Index | Bank of America | Call | 1700.00 | USD | 12/21/18 | 816 | 1,387,200 | 41,391 | ||||||||||||||||||||||
Russell 2000 Index | Bank of America | Call | 1700.00 | USD | 3/15/19 | 1,085 | 1,844,500 | 76,161 | ||||||||||||||||||||||
Schlumberger, Ltd. | UBS Warburg | Call | 90.00 | USD | 1/18/19 | 10,576 | 951,840 | 2,518 | ||||||||||||||||||||||
SPDR Gold Shares(b) | JPMorgan Chase | Call | 129.00 | USD | 7/20/18 | 4,848 | 625,392 | 83 | ||||||||||||||||||||||
SPDR Gold Shares(b) | JPMorgan Chase | Call | 130.00 | USD | 7/20/18 | 4,846 | 629,980 | 60 | ||||||||||||||||||||||
SPDR Gold Shares(b) | Societe Generale | Call | 129.00 | USD | 8/17/18 | 16,232 | 2,093,928 | 2,037 | ||||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Call | 4756.33 | JPY | 3/13/20 | 14,063 | 66,888,269 | 21,528 | ||||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Call | 4816.24 | JPY | 9/11/20 | 11,381 | 54,813,627 | 18,686 | ||||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Call | 4894.87 | JPY | 12/11/20 | 11,358 | 55,595,933 | 17,246 | ||||||||||||||||||||||
Suncor Energy Inc. | UBS Warburg | Call | 45.00 | USD | 6/21/19 | 23,428 | 1,054,260 | 50,419 | ||||||||||||||||||||||
Tokyo Stock Exchange Price Index | Bank of America | Call | 191.28 | JPY | 12/13/19 | 269,219 | 51,496,210 | 17,113 | ||||||||||||||||||||||
Tokyo Stock Exchange Price Index | Morgan Stanley | Call | 191.28 | JPY | 12/13/19 | 509,036 | 97,368,406 | 32,356 | ||||||||||||||||||||||
Tokyo Stock Exchange Price Index | BNP Paribas SA | Call | 194.04 | JPY | 3/13/20 | 363,317 | 70,498,031 | 25,034 | ||||||||||||||||||||||
Tokyo Stock Exchange Price Index | Morgan Stanley | Call | 192.04 | JPY | 4/10/20 | 323,621 | 62,148,177 | 22,348 | ||||||||||||||||||||||
Total SA | UBS Warburg | Call | 60.00 | USD | 1/18/19 | 23,303 | 1,398,180 | 82,151 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total (Cost $1,271,216) |
| $ | 929,825 | |||||||||||||||||||||||||||
|
|
At June 30, 2018, the Fund’s over-the-counter options written were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||||||
Apple, Inc. | Barclays Bank | Call | 160.00 | USD | 1/18/19 | 2,690 | $ | 430,400 | $ | (80,561 | ) | |||||||||||||||||||
BP plc | UBS Warburg | Call | 59.00 | USD | 6/21/19 | 34,666 | 2,045,294 | (14,373 | ) | |||||||||||||||||||||
Charter Communications, Inc. | Citigroup | Call | 305.00 | USD | 12/21/18 | 1,078 | 328,790 | (25,747 | ) | |||||||||||||||||||||
Charter Communications, Inc. | Citigroup | Call | 315.00 | USD | 12/21/18 | 2,119 | 667,485 | (42,236 | ) | |||||||||||||||||||||
Comcast Corp. | Citigroup | Call | 36.25 | USD | 1/18/19 | 11,466 | 415,643 | (15,707 | ) | |||||||||||||||||||||
ConocoPhillips | UBS Warburg | Call | 85.00 | USD | 6/21/19 | 18,108 | 1,539,180 | (39,990 | ) | |||||||||||||||||||||
DowDuPont, Inc. | Barclays Bank | Call | 70.00 | USD | 1/18/19 | 5,957 | 416,990 | (17,650 | ) | |||||||||||||||||||||
EURO STOXX 50 Index | Citigroup | Call | 161.62 | EUR | 6/19/20 | 8,162 | 1,319,142 | (5,838 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Societe Generale | Call | 159.00 | EUR | 3/20/20 | 4,977 | 791,343 | (3,959 | ) | |||||||||||||||||||||
Fifth Third Bancorp | Morgan Stanley | Call | 34.00 | USD | 11/16/18 | 19,699 | 669,766 | (5,463 | ) | |||||||||||||||||||||
FleetCor Technologies, Inc. | Barclays Bank | Call | 180.00 | USD | 1/18/19 | 1,321 | 237,780 | (50,255 | ) | |||||||||||||||||||||
Microsoft Corp. | Barclays Bank | Call | 90.00 | USD | 1/18/19 | 4,767 | 429,030 | (58,466 | ) | |||||||||||||||||||||
Occidental Petroleum Corp. | UBS Warburg | Call | 105.00 | USD | 6/21/19 | 9,106 | 956,130 | (11,829 | ) | |||||||||||||||||||||
Pioneer Natural Resources Co. | UBS Warburg | Call | 165.00 | USD | 1/18/19 | 2,826 | 466,290 | (97,126 | ) | |||||||||||||||||||||
Royal Dutch Shell plc | UBS Warburg | Call | 87.50 | USD | 6/21/19 | 19,788 | 1,731,450 | (9,206 | ) | |||||||||||||||||||||
Russell 2000 Index | Bank of America | Call | 1875.00 | USD | 12/21/18 | 816 | 1,530,000 | (5,196 | ) | |||||||||||||||||||||
Russell 2000 Index | Bank of America | Call | 1900.00 | USD | 3/15/19 | 1,085 | 2,061,500 | (12,639 | ) | |||||||||||||||||||||
SPDR Gold Shares(b) | Societe Generale | Call | 142.00 | USD | 8/17/18 | 162 | 23,004 | (187 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Call | 5679.90 | JPY | 3/13/20 | 14,063 | 79,876,434 | (6,332 | ) | |||||||||||||||||||||
Suncor Energy Inc. | UBS Warburg | Call | 50.00 | USD | 6/21/19 | 23,428 | 1,171,400 | (23,409 | ) |
Continued
13
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||||||
Tokyo Stock Exchange Price Index | Bank of America | Call | 221.29 | JPY | 12/13/19 | 269,219 | $ | 59,575,473 | $ | (6,416 | ) | |||||||||||||||||||
Tokyo Stock Exchange Price Index | Morgan Stanley | Call | 221.29 | JPY | 12/13/19 | 509,036 | 112,644,576 | (12,133 | ) | |||||||||||||||||||||
Tokyo Stock Exchange Price Index | BNP Paribas SA | Call | 237.47 | JPY | 3/13/20 | 363,317 | 86,276,888 | (7,404 | ) | |||||||||||||||||||||
Tokyo Stock Exchange Price Index | Morgan Stanley | Call | 233.87 | JPY | 4/10/20 | 323,621 | 75,685,243 | (7,046 | ) | |||||||||||||||||||||
United Continental Holdings, Inc. | Deutsche Bank | Call | 75.00 | USD | 1/18/19 | 3,469 | 260,175 | (16,175 | ) | |||||||||||||||||||||
EURO STOXX 50 Index | Citigroup | Put | 106.02 | EUR | 6/19/20 | 5,441 | 576,855 | (97,809 | ) | |||||||||||||||||||||
EURO STOXX 50 Index | UBS Warburg | Put | 106.38 | EUR | 6/18/21 | 4,268 | 454,030 | (101,904 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Societe Generale | Put | 100.77 | EUR | 3/20/20 | 3,318 | 334,355 | (39,787 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Barclays Bank | Put | 110.23 | EUR | 3/19/21 | 4,201 | 463,076 | (100,733 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Deutsche Bank | Put | 99.04 | EUR | 4/16/21 | 1,996 | 197,684 | (33,763 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Deutsche Bank | Put | 118.81 | EUR | 4/16/21 | 1,996 | 237,145 | (62,267 | ) | |||||||||||||||||||||
Exxon Mobil Corp. | UBS Warburg | Put | 60.00 | USD | 1/18/19 | 7,306 | 438,360 | (2,315 | ) | |||||||||||||||||||||
Russell 2000 Index | Bank of America | Put | 1600.00 | USD | 12/21/18 | 681 | 1,089,600 | (39,298 | ) | |||||||||||||||||||||
S&P 500 Index | Bank of America | Put | 2600.00 | USD | 3/15/19 | 624 | 1,622,400 | (60,383 | ) | |||||||||||||||||||||
Schlumberger, Ltd. | UBS Warburg | Put | 60.00 | USD | 1/18/19 | 10,576 | 634,560 | (21,457 | ) | |||||||||||||||||||||
SPDR Gold Shares(b) | Societe Generale | Put | 119.00 | USD | 8/17/18 | 162 | 19,278 | (26,900 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Put | 3832.77 | JPY | 3/13/20 | 14,063 | 53,900,245 | (37,460 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Put | 3820.96 | JPY | 9/11/20 | 7,587 | 28,989,624 | (25,450 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley | Put | 3786.60 | JPY | 12/11/20 | 7,573 | 28,675,922 | (27,822 | ) | |||||||||||||||||||||
Tokyo Stock Exchange Price Index | Bank of America | Put | 156.59 | JPY | 12/13/19 | 269,219 | 42,157,003 | (28,683 | ) | |||||||||||||||||||||
Tokyo Stock Exchange Price Index | Morgan Stanley | Put | 156.59 | JPY | 12/13/19 | 509,036 | 79,709,947 | (54,230 | ) | |||||||||||||||||||||
Tokyo Stock Exchange Price Index | BNP Paribas SA | Put | 155.80 | JPY | 3/13/20 | 363,317 | 56,604,789 | (41,189 | ) | |||||||||||||||||||||
Tokyo Stock Exchange Price Index | Morgan Stanley | Put | 157.82 | JPY | 4/10/20 | 323,621 | 51,073,866 | (43,006 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total (Premiums $1,119,970) | $ | (1,419,799 | ) | |||||||||||||||||||||||||||
|
|
At June 30, 2018, the Fund’s exchange traded options purchased were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | ||||||||||||||||
SPDR Gold Shares(b) | Call | 128.00 USD | 7/20/18 | 81 | $ | 10,368 | $ | 203 | ||||||||||||||
|
| |||||||||||||||||||||
Total (Cost $22,942) | $ | 203 | ||||||||||||||||||||
|
|
At June 30, 2018, the Fund’s open over-the-counter interest rate swaptions purchased were as follows:
Description and terms of payments to be received from another party | Description and terms of payments to be paid to another party | Expiration Date | Counterparty | Notional Amount (Local) | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Fixed 2.42% Semi-annually | 3-Month U.S. Dollar LIBOR BBA Quarterly | 7/9/18 | Goldman Sachs | 1,077 | USD | $ | 54 | $ | (91,466 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||
Total (Cost $91,520) | $ | 54 | $ | (91,466 | ) | |||||||||||||||||||
|
|
|
|
At June 30, 2018, the Fund’s open interest rate cap contracts purchased were as follows:
Description | Exercise Rate | Counterparty | Expiration Date | Notional Amount | Upfront Premiums Paid (Received) | Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
5Y – 30Y CMS Index Cap | 0.60% | Goldman Sachs | 11/6/18 | $ | 8,330,000 | $ | 25,545 | $ | 36 | $ | (25,509 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 25,545 | $ | 36 | $ | (25,509 | ) | ||||||||||||||||||
|
|
|
|
|
|
Continued
14
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Forward Currency Contracts
At June 30, 2018, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Short Contracts: |
| |||||||||||||||||||||||||||||||
U.S. Dollar | 1,765,583 | Japanese Yen | 192,015,999 | Deutsche Bank | 7/12/18 | $ | 29,588 | |||||||||||||||||||||||||
U.S. Dollar | 1,355,697 | European Euro | 1,145,000 | UBS Warburg | 7/12/18 | 17,478 | ||||||||||||||||||||||||||
U.S. Dollar | 1,046,755 | Australian Dollar | 1,351,000 | Deutsche Bank | 7/13/18 | 47,112 | ||||||||||||||||||||||||||
U.S. Dollar | 2,216,635 | European Euro | 1,872,000 | Goldman Sachs | 7/13/18 | 28,572 | ||||||||||||||||||||||||||
U.S. Dollar | 1,767,233 | Japanese Yen | 192,001,000 | BNP Paribas SA | 7/19/18 | 30,537 | ||||||||||||||||||||||||||
U.S. Dollar | 2,217,794 | European Euro | 1,872,000 | Goldman Sachs | 7/20/18 | 28,591 | ||||||||||||||||||||||||||
U.S. Dollar | 687,863 | Australian Dollar | 904,000 | Goldman Sachs | 7/26/18 | 18,944 | ||||||||||||||||||||||||||
U.S. Dollar | 2,294,173 | European Euro | 1,872,000 | BNP Paribas SA | 7/27/18 | 103,830 | ||||||||||||||||||||||||||
U.S. Dollar | 2,295,980 | European Euro | 1,872,000 | UBS Warburg | 8/3/18 | 104,457 | ||||||||||||||||||||||||||
U.S. Dollar | 441,827 | European Euro | 372,000 | JPMorgan Chase | 8/20/18 | 5,747 | ||||||||||||||||||||||||||
U.S. Dollar | 1,004,000 | Brazilian Real | 3,878,854 | BNP Paribas SA | 9/6/18 | 10,149 | ||||||||||||||||||||||||||
U.S. Dollar | 2,444,072 | Japanese Yen | 267,599,999 | Barclays Bank | 9/10/18 | 14,249 | ||||||||||||||||||||||||||
U.S. Dollar | 1,531,810 | Japanese Yen | 168,600,000 | Bank of America | 10/1/18 | (1,509 | ) | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | 437,745 | |||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Long Contracts: |
| |||||||||||||||||||||||||||||||
Australian Dollar | 1,351,000 | U.S. Dollar | 1,010,555 | Deutsche Bank | 7/13/18 | $ | (10,912 | ) | ||||||||||||||||||||||||
British Pound | 761,000 | U.S. Dollar | 1,035,231 | JPMorgan Chase | 8/10/18 | (29,192 | ) | |||||||||||||||||||||||||
British Pound | 760,000 | U.S. Dollar | 1,030,340 | Barclays Bank | 8/16/18 | (25,349 | ) | |||||||||||||||||||||||||
British Pound | 789,000 | U.S. Dollar | 1,064,777 | JPMorgan Chase | 8/23/18 | (21,107 | ) | |||||||||||||||||||||||||
British Pound | 1,324,000 | U.S. Dollar | 1,771,462 | Deutsche Bank | 9/14/18 | (18,416 | ) | |||||||||||||||||||||||||
British Pound | 1,324,000 | U.S. Dollar | 1,766,912 | Deutsche Bank | 9/21/18 | (13,336 | ) | |||||||||||||||||||||||||
British Pound | 1,324,000 | U.S. Dollar | 1,767,186 | Goldman Sachs | 9/28/18 | (13,079 | ) | |||||||||||||||||||||||||
British Pound | 1,320,000 | U.S. Dollar | 1,762,861 | JPMorgan Chase | 10/5/18 | (13,443 | ) | |||||||||||||||||||||||||
European Euro | 1,145,000 | U.S. Dollar | 1,421,392 | UBS Warburg | 7/12/18 | (83,173 | ) | |||||||||||||||||||||||||
European Euro | 1,872,000 | U.S. Dollar | 2,342,209 | Deutsche Bank | 7/13/18 | (154,146 | ) | |||||||||||||||||||||||||
European Euro | 1,872,000 | U.S. Dollar | 2,343,360 | Goldman Sachs | 7/20/18 | (154,157 | ) | |||||||||||||||||||||||||
European Euro | 1,872,000 | U.S. Dollar | 2,345,185 | BNP Paribas SA | 7/27/18 | (154,842 | ) | |||||||||||||||||||||||||
European Euro | 1,872,000 | U.S. Dollar | 2,346,135 | UBS Warburg | 8/3/18 | (154,611 | ) | |||||||||||||||||||||||||
European Euro | 273,076 | U.S. Dollar | 323,601 | JPMorgan Chase | 8/20/18 | (3,486 | ) | |||||||||||||||||||||||||
Japanese Yen | 192,016,000 | U.S. Dollar | 1,799,959 | Deutsche Bank | 7/12/18 | (63,964 | ) | |||||||||||||||||||||||||
Japanese Yen | 192,001,000 | U.S. Dollar | 1,802,437 | BNP Paribas SA | 7/19/18 | (65,742 | ) | |||||||||||||||||||||||||
Norwegian Krone | 6,357,000 | U.S. Dollar | 799,794 | Morgan Stanley | 7/27/18 | (18,041 | ) | |||||||||||||||||||||||||
Polish Zloty | 3,525,000 | U.S. Dollar | 1,013,747 | Goldman Sachs | 8/2/18 | (71,705 | ) | |||||||||||||||||||||||||
South African Rand | 16,642,363 | U.S. Dollar | 1,246,236 | Barclays Bank | 7/20/18 | (35,453 | ) | |||||||||||||||||||||||||
Swedish Krona | 8,750,206 | European Euro | 847,000 | Goldman Sachs | 9/21/18 | (11,726 | ) | |||||||||||||||||||||||||
Swedish Krona | 8,666,455 | European Euro | 839,000 | Barclays Bank | 9/28/18 | (11,742 | ) | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | (1,127,622 | ) | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Total Net Forward Currency Contracts |
| $ | (689,877 | ) | ||||||||||||||||||||||||||||
|
|
Swap Agreements
At June 30, 2018, the Fund’s open centrally cleared credit default swap agreements (buy protection) were as follows:(c)
Description | Clearing Agent | Payment Frequency | Implied Credit Spread at June 30, 2018(d) | Expiration Date | Notional Amount(e) | Fixed Rate | Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
CDX North America High Yield Index Swap Agreement with Series 29 | Bank of America | Quarterly | 3.42 | % | 12/20/22 | $ | 187,682 | 5.00 | % | $ | (11,648 | ) | $ | (13,520 | ) | $ | 1,872 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (11,648 | ) | $ | (13,520 | ) | $ | 1,872 | |||||||||||||||||||||||||
|
|
|
|
|
|
Continued
15
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
At June 30, 2018, the Fund’s open over-the-counter currency swap agreements were as follows:
Paid by the Fund | Received by the Fund | Notional Amount | Counterparty | Upfront Paid | Value | Unrealized (Depreciation) | ||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||
0.10% JPY | Semi-annually | 2.01 | % | Semi-annually | 273,450,000 JPY | Bank of America | $ | — | $ | 171,840 | $ | 171,840 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | — | $ | 171,840 | $ | 171,840 | |||||||||||||||||||||
|
|
|
|
|
|
At June 30, 2018, the Fund’s open centrally cleared interest rate swap agreements were as follows:
Paid by the Fund | Received by the Fund | Expiration Date | Clearing Agent | Notional Amount | Upfront (Received) | Value | Unrealized (Depreciation) | ||||||||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||||||||||||||
3-Month LIBOR | Quarterly | 2.40% | Semi-annually | 3/7/23 | Bank of America | 5,293,612 | USD | $ | 58 | $ | (114,639 | ) | $ | (114,697 | ) | ||||||||||||||||||||||||||||||
0.42% | Annually | 6-Month EURIBOR | Semi-annually | 3/7/23 | Bank of America | 4,684,846 | EUR | 52 | (50,112 | ) | (50,164 | ) | |||||||||||||||||||||||||||||||||
0.34% | Annually | 6-Month EURIBOR | Semi-annually | 6/14/23 | Bank of America | 4,569,918 | EUR | 58 | (21,099 | ) | (21,157 | ) | |||||||||||||||||||||||||||||||||
3-Month LIBOR | Quarterly | 2.33% | Semi-annually | 6/14/23 | Bank of America | 5,698,956 | USD | 63 | (150,089 | ) | (150,152 | ) | |||||||||||||||||||||||||||||||||
0.37% | Annually | 6-Month EURIBOR | Semi-annually | 8/15/26 | Bank of America | 1,778,707 | EUR | 27 | 50,958 | 50,931 | |||||||||||||||||||||||||||||||||||
0.84% | Annually | 6-Month EURIBOR | Semi-annually | 2/15/28 | Bank of America | 3,059,000 | EUR | 69 | — | (69 | ) | ||||||||||||||||||||||||||||||||||
0.84% | Annually | 6-Month EURIBOR | Semi-annually | 2/15/28 | Bank of America | 3,070,000 | EUR | 69 | — | (69 | ) | ||||||||||||||||||||||||||||||||||
1.08% | Annually | 6-Month EURIBOR | Semi-annually | 7/25/28 | Bank of America | 2,156,000 | EUR | 45 | (46,278 | ) | (46,323 | ) | |||||||||||||||||||||||||||||||||
3-Month LIBOR | Quarterly | 2.73% | Semi-annually | 7/25/28 | Bank of America | 3,072,000 | USD | 52 | (64,686 | ) | (64,738 | ) | |||||||||||||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||||||||||||||||||||||
$ | (395,945 | ) | $ | (396,438 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
At June 30, 2018, the Fund’s open over-the-counter total return swap agreements were as follows:
Reference Entity | Fixed Amount Paid (Received) by the Fund(f) | Financing Rate | Counterparty | Expiration Date | Notional Amount | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 92,430 | EUR | 0.00 | % | BNP Paribas SA | 12/20/19 | 92,430 | EUR | $ | — | $ | 21,439 | $ | 21,439 | ||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 131,430 | EUR | 0.00 | % | BNP Paribas SA | 12/20/19 | 131,430 | EUR | — | 33,396 | 33,396 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 122,040 | EUR | 0.00 | % | BNP Paribas SA | 12/20/19 | 122,040 | EUR | — | 29,987 | 29,987 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 51,650 | EUR | 0.00 | % | BNP Paribas SA | 12/17/20 | 51,650 | EUR | — | 10,685 | 10,685 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 28,920 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 28,920 | EUR | — | 9,984 | 9,984 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 28,860 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 28,860 | EUR | — | 10,054 | 10,054 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 67,410 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 67,410 | EUR | — | 23,377 | 23,377 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 29,100 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 29,100 | EUR | — | 9,774 | 9,774 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 28,800 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 28,800 | EUR | — | 10,124 | 10,124 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 106,700 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 106,700 | EUR | — | 35,837 | 35,837 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 106,900 | EUR | 0.00 | % | BNP Paribas SA | 12/18/20 | 106,900 | EUR | — | 21,019 | 21,019 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 36,240 | EUR | 0.00 | % | BNP Paribas SA | 12/17/21 | 36,240 | EUR | — | 280 | 280 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 56,450 | EUR | 0.00 | % | BNP Paribas SA | 12/17/21 | 56,450 | EUR | — | 5,079 | 5,079 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 53,400 | EUR | 0.00 | % | BNP Paribas SA | 12/17/21 | 53,400 | EUR | — | 8,641 | 8,641 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 59,750 | EUR | 0.00 | % | BNP Paribas SA | 12/17/21 | 59,750 | EUR | — | 1,226 | 1,226 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 55,400 | EUR | 0.00 | % | BNP Paribas SA | 12/16/22 | 55,400 | EUR | — | 4,321 | 4,321 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 126,610 | EUR | 0.00 | % | BNP Paribas SA | 12/16/22 | 126,610 | EUR | — | 3,982 | 3,982 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 32,850 | EUR | 0.00 | % | BNP Paribas SA | 12/16/22 | 32,850 | EUR | — | 3,048 | 3,048 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 54,450 | EUR | 0.00 | % | BNP Paribas SA | 12/21/22 | 54,450 | EUR | — | 5,430 | 5,430 | |||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 80,745 | EUR | 0.00 | % | BNP Paribas SA | 12/15/23 | 80,745 | EUR | — | (123 | (123 | ) | ||||||||||||||||||||||||
EURO STOXX 50 Index Dividends December Futures | 79,520 | EUR | 0.00 | % | BNP Paribas SA | 12/15/23 | 79,520 | EUR | — | 1,308 | 1,308 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 3,880,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/21 | 3,880,000 | JPY | — | 6,197 | 6,197 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 15,520,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/21 | 15,520,000 | JPY | — | 24,788 | 24,788 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 3,855,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/21 | 3,855,000 | JPY | — | 6,423 | 6,423 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 4,215,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/21 | 4,215,000 | JPY | — | 3,171 | 3,171 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 7,655,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/21 | 7,655,000 | JPY | — | 13,342 | 13,342 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 7,950,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/22 | 7,950,000 | JPY | — | 11,707 | 11,707 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 7,970,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/22 | 7,970,000 | JPY | — | 11,527 | 11,527 |
Continued
16
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Reference Entity | Fixed Amount Paid (Received) by the Fund(f) | Financing Rate | Counterparty | Expiration Date | Notional Amount | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 4,260,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/22 | 4,260,000 | JPY | — | $ | 3,279 | $ | 3,279 | |||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 15,720,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/22 | 15,720,000 | JPY | — | 25,040 | 25,040 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini March Futures | 4,230,000 | JPY | 0.00 | % | BNP Paribas SA | 3/31/23 | 4,230,000 | JPY | — | 3,803 | 3,803 | |||||||||||||||||||||||||
NIKKEI 225 Dividend Index E-Mini April Futures | 4,280,000 | JPY | 0.00 | % | JPMorgan Chase | 4/3/23 | 4,280,000 | JPY | — | 3,351 | 3,351 | |||||||||||||||||||||||||
S&P 500 Index Dividends December Futures | 257,125 | USD | 0.00 | % | BNP Paribas SA | 12/21/18 | 257,125 | USD | — | 39,600 | 39,600 | |||||||||||||||||||||||||
S&P 500 Index Dividends December Futures | 107,944 | USD | 0.00 | % | Goldman Sachs | 12/18/20 | 107,944 | USD | — | 25,031 | 25,031 | |||||||||||||||||||||||||
S&P 500 Index Dividends December Futures | 133,513 | USD | 0.00 | % | BNP Paribas SA | 12/17/21 | 133,513 | USD | — | 34,925 | 34,925 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
$ | 461,052 | |||||||||||||||||||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
(b) | All or a portion of these securities are held by the AZL Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”). |
(c) | Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include upfront or daily payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement. |
(d) | The notional amount represents the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement. |
(e) | The notional amount represents the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement. |
(f) | At termination date, the fixed amount paid (received) will be exchanged for the total return of the reference entity. |
Balances Reported in the Consolidated Statement of Assets and Liabilities for Options Written, Forward Currency Contracts and Swap Agreements
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Options written | $ | — | $ | — | $ | — | $ | — | $ | (1,419,799 | ) | |||||||||
Forward currency contracts | — | — | 439,254 | (1,129,131 | ) | — | ||||||||||||||
Centrally cleared swap agreements(a) | 493 | (13,520 | ) | 52,803 | (447,369 | ) | — | |||||||||||||
Over-the-counter swap agreements | — | — | 633,015 | (123 | ) | — |
(a) | Includes cumulative cumulative unrealized appreciation (depreciation) on these swap agreements as reported in the Consolidated Schedule of Portfolio Investments. Only current day’s variation margin for centrally cleared swap agreements is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
See accompanying notes to the consolidated financial statements.
17
AZL BlackRock Global Allocation Fund
Consolidated Statement of Assets and Liabilities
June 30, 2018
Assets: | |||||
Investment securities, at cost | $ | 394,786,911 | |||
|
| ||||
Investment securities, at value* | $ | 423,085,076 | |||
Cash | 9,148 | ||||
Segregated cash for collateral | 693,430 | ||||
Deposits with brokers for securities sold short | 1,258,163 | ||||
Interest and dividends receivable | 1,037,516 | ||||
Foreign currency, at value (cost $167,371) | 170,509 | ||||
Unrealized appreciation on forward currency contracts | 439,254 | ||||
Unrealized appreciation on swap agreements | 633,015 | ||||
Receivable for investments sold | 1,371,565 | ||||
Receivable for variation margin on swap agreements | 6,027 | ||||
Receivable for variation margin on futures contracts | 2,053 | ||||
Reclaims receivable | 277,586 | ||||
Prepaid expenses | 2,392 | ||||
|
| ||||
Total Assets | 428,985,734 | ||||
|
| ||||
Liabilities: | |||||
Cash received as collateral for derivatives | 960,000 | ||||
Written options (Proceeds received $1,119,970) | 1,419,799 | ||||
Unrealized depreciation on swap agreements | 123 | ||||
Unrealized depreciation on forward currency contracts | 1,129,131 | ||||
Payable for investments purchased | 10,473,274 | ||||
Payable for collateral received on loaned securities | 14,188,875 | ||||
Securities sold short (Proceeds received $1,389,858) | 1,374,225 | ||||
Payable for variation margin on futures contracts | 7,064 | ||||
Payable for variation margin on swap agreements | 16,573 | ||||
Interest payable on securities sold short | 579 | ||||
Accrued foreign taxes | 27,049 | ||||
Manager fees payable | 248,861 | ||||
Administration fees payable | 10,635 | ||||
Distribution fees payable | 82,954 | ||||
Custodian fees payable | 27,302 | ||||
Administrative and compliance services fees payable | 15,993 | ||||
Transfer agent fees payable | 814 | ||||
Trustee fees payable | 4,023 | ||||
Other accrued liabilities | 7,404 | ||||
|
| ||||
Total Liabilities | 29,994,678 | ||||
|
| ||||
Net Assets | $ | 398,991,056 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 345,323,978 | |||
Accumulated net investment income/(loss) | 2,661,726 | ||||
Accumulated net realized gains/(losses) from investment transactions | 23,433,415 | ||||
Net unrealized appreciation/(depreciation) on investments | 27,571,937 | ||||
|
| ||||
Net Assets | $ | 398,991,056 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 32,752,837 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.18 | |||
|
| ||||
* Includes securities on loan of $13,562,572. |
Consolidated Statement of Operations
For the Period Ended June 30, 2018
Investment Income: | |||||
Dividends | $ | 2,949,836 | |||
Interest | 1,925,515 | ||||
Income from securities lending | 38,637 | ||||
Foreign withholding tax | (186,441 | ) | |||
|
| ||||
Total Investment Income | 4,727,547 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,530,146 | ||||
Administration fees | 98,210 | ||||
Distribution fees — Class 2 | 510,049 | ||||
Custodian fees | 122,027 | ||||
Administrative and compliance services fees | 4,112 | ||||
Trustee fees | 13,443 | ||||
Transfer agency fees | 3,672 | ||||
Professional fees | 13,611 | ||||
Shareholder reports | 2,863 | ||||
Dividends on securities sold short | 7,427 | ||||
Other expenses | 41,050 | ||||
|
| ||||
Total expenses | 2,346,610 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,380,937 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 9,370,827 | ||||
Net realized gains/(losses) on futures contracts | (993,766 | ) | |||
Net realized gains/(losses) on written options contracts | 1,722,760 | ||||
Net realized gains (losses) on securities transactions sold short | (2,678 | ) | |||
Net realized gains/(losses) on swap agreements | 232,501 | ||||
Net realized gains/(losses) on forward currency contracts | 115,809 | ||||
Change in net unrealized appreciation/depreciation on securities transactions | (17,092,862 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 108,004 | ||||
Change in net unrealized appreciation/depreciation on written option contracts | (761,281 | ) | |||
Change in net unrealized appreciation/depreciation on securities transactions sold short | 15,633 | ||||
Change in net unrealized appreciation/depreciation on swap agreements | (839,388 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | (944,889 | ) | |||
Change in accrued foreign tax liability | 18,785 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (9,050,545 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (6,669,608 | ) | ||
|
|
See accompanying notes to the consolidated financial statements.
18
AZL BlackRock Global Allocation Fund
Consolidated Statements of Changes in Net Assets
For the Period Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,380,937 | $ | 3,740,221 | ||||||
Net realized gains/(losses) on investment transactions | 10,445,453 | 17,889,573 | ||||||||
Change in unrealized appreciation/depreciation on investments | (19,495,998 | ) | 29,429,868 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (6,669,608 | )) | 51,059,662 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (7,349,577 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (7,349,577 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 265,551 | 215,077 | ||||||||
Proceeds from dividends reinvested | — | 7,349,577 | ||||||||
Value of shares redeemed | (12,270,874 | ) | (43,709,966 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (12,005,323 | ) | (36,145,312 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (18,674,931 | ) | 7,564,773 | |||||||
Net Assets: | ||||||||||
Beginning of period | 417,665,987 | 410,101,214 | ||||||||
|
|
|
| |||||||
End of period | $ | 398,991,056 | $ | 417,665,987 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 2,661,726 | $ | 280,789 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 21,001 | 17,936 | ||||||||
Dividends reinvested | — | 608,409 | ||||||||
Shares redeemed | (974,202 | ) | (3,675,557 | ) | ||||||
|
|
|
| |||||||
Change in shares | (953,201 | ) | (3,049,212 | ) | ||||||
|
|
|
|
See accompanying notes to the consolidated financial statements.
19
AZL BlackRock Global Allocation Fund
Consolidated Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.39 | $ | 11.16 | $ | 10.99 | $ | 11.97 | $ | 12.05 | $ | 10.58 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.12 | 0.20 | 0.10 | 0.12 | 0.07 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.28 | ) | 1.33 | 0.27 | (0.27 | ) | 0.12 | 1.42 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.21 | ) | 1.45 | 0.47 | (0.17 | ) | 0.24 | 1.49 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.22 | ) | (0.02 | ) | (0.28 | ) | (0.08 | ) | — | (a) | |||||||||||||||||||
Net Realized Gains | — | — | (0.28 | ) | (0.53 | ) | (0.24 | ) | (0.02 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.22 | ) | (0.30 | ) | (0.81 | ) | (0.32 | ) | (0.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 12.18 | $ | 12.39 | $ | 11.16 | $ | 10.99 | $ | 11.97 | $ | 11.97 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (1.69 | )% | 13.00 | % | 4.35 | % | (1.41 | )% | 1.78 | % | 14.11 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 398,991 | $ | 417,666 | $ | 410,101 | $ | 789,320 | $ | 777,743 | $ | 646,689 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.17 | % | 0.90 | % | 1.10 | % | 0.84 | % | 1.14 | % | 0.72 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.15 | % | 1.17 | % | 1.12 | % | 1.11 | % | 1.11 | % | 1.14 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.15 | % | 1.17 | % | 1.12 | % | 1.11 | % | 1.11 | % | 1.14 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly | 1.15 | % | 1.17 | % | 1.12 | % | 1.11 | % | 1.11 | %(e) | 1.14 | %(e) | ||||||||||||||||||
Portfolio Turnover Rate(f) | 68 | % | 115 | % | 140 | % | 82 | % | 74 | % | 50 | % |
(a) | Less than $0.005. |
(b) | The return includes reinvested dividends and fund level expenses, but excludes insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remitted a portion of the brokerage commission which were used to pay certain Fund expenses. The Fund ceased participation in the program in June 2014. |
(f) | Portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period. Not annualized for periods less than one year. |
See accompanying notes to the consolidated financial statements.
20
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL BlackRock Global Allocation Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. The Fund is a wholly-owned and controlled subsidiary of AZL MVP BlackRock Global Strategy Plus Fund, which is affiliated with the Investment Adviser.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Consolidation of Subsidiaries
The Fund’s primary vehicle for gaining exposure to the commodities markets is through investment in the AZL Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund formed in the Cayman Islands, which invests primarily in commodity-related instruments. As of June 30, 2018, the Fund’s aggregate investment in the Subsidiary was $11,382,046, representing 2.85% of the Fund’s net assets. The Subsidiary’s financial statements, including its investments, and its operating results have been consolidated with those of the Fund. All intercompany transactions have been eliminated.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments, or from other assets and liabilities, from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Floating Rate Loans
The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are variable and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. A Fund records an investment when the borrower withdraws money and records the interest as earned.
Short Sales
The Funds may engage in short sales against the box (i.e., where the Funds owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Funds sells a borrowed security and
21
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
has a corresponding obligation to the lender to return the identical security. The Funds may also incur an interest expense if a security that has been sold short has an interest payment. When the Funds engages in a short sale, the Funds records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Funds also may be required to pay a premium, which would increase the cost of the security sold.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Consolidated Schedule of Portfolio of Investments.
All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Consolidated Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $17 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $3,799 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Consolidated Statement of Operations.
The fund had securities lending transactions of $14,188,875 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2018, no collateral had been posted by the Fund to counterparties for TBAs.
22
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Consolidated Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2018, the Fund entered into forward currency contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the period ended June 30, 2018, the monthly average notional amount for long contracts was $28.5 million and the monthly average notional amount for short contracts was $13.9 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Consolidated Statement of Operations.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to gain exposure to, or economically hedge against changes in the value of equity securities. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Consolidated Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2018, the monthly average notional amount for long contracts was $1.3 million and the monthly average notional amount for short contracts was $6.6 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Consolidated Statement of Operations.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2018, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Consolidated Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
For the period ended June 30, 2018, the monthly average notional amount for written options contracts was $0.9 million. Realized gains and losses are reported as “Net realized gains/(losses) on options contracts” on the Consolidated Statement of Operations.
Swap Agreements
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate, foreign currencies and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be identified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.
23
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Swaps are marked to market daily using pricing sources approved by the Trustees and the change in value, if any, is recorded as unrealized gain or loss. For OTC swaps, payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the OTC swap. A liquidation payment received or made at the termination of the OTC swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Upon entering a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or assets determined to be liquid (the amount is subject to the clearing organization that clears the trade). Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable, as applicable, for variation margin on centrally cleared swaps.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for centrally cleared swap agreements is generally lower than for OTC swap agreements because generally a clearing organization becomes substituted for each counterparty to a centrally cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house or its members will satisfy its obligations to the Fund.
The notional amounts reflect the extent of the total investment exposure the Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Consolidated Schedule of Portfolio Investments. The Fund is a party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, through the Subsidiary, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.
Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of June 30, 2018, the Fund entered into OTC interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). The monthly average gross notional amount for interest rate swaps was $27.3 million for the period ended June 30, 2018.
Currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot rate or another specified rate. The monthly average gross notional amount for currency swaps was $3.2 million for the period ended June 30, 2018.
Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. The monthly average gross notional amount for total return swaps was $5.0 million for the period ended June 30, 2018.
Credit default swap agreements may have as reference obligations one or more securities that are not currently held by the Fund. The protection “buyer” in a credit default contract is generally obligated to pay the protection “seller” an upfront, periodic, or daily stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If the Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
Credit default swap agreements involve greater risks than if a Fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. A Fund will enter into credit default swap agreements only with counterparties that meet certain standards of creditworthiness. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the upfront, periodic, or daily payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. The Fund’s obligations under a credit default swap agreement will be accrued daily (offset against any amounts owed to the Fund). In connection with credit default swaps in which a Fund is the buyer, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into certain offsetting positions, with a value at least equal to the Fund’s exposure (any accrued but unpaid net amounts owed by the Fund to any counterparty), on a marked-to-market basis. In connection with credit default swaps in which a Fund is the seller, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into offsetting positions, with a value at least equal to the full notional amount of the swap (minus any amounts owed to the Fund). Such segregation or “earmarking” will ensure that the Fund has assets available to satisfy its obligations with respect to the transaction and will limit any potential leveraging of the Fund’s portfolio. Such segregation or “earmarking” will not limit the Fund’s exposure to loss.
As of June 30, 2018, the Fund entered into centrally cleared credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The monthly average gross notional amount for credit default swaps was $0.4 million for the period ended June 30, 2018.
Variance swaps involve the agreement of two parties to exchange cash flows based on the measured variance (or square of the volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price is generally chosen such that the fair value of the swaps is zero. At the maturity date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, a Portfolio would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, a Portfolio would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike price. This type of swap is essentially a forward contract on the future realized price variance of the underlying asset. The monthly average gross notional amount for variance swaps was $1.4 million for the period ended June 30, 2018.
24
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | �� | Liability Derivatives | ||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 83,791 | Payable for variation margin on futures contracts* | $ | — | ||||||
Written Options Contracts | Written options contracts | 1,419,799 | ||||||||||
Total Return Swap Agreements | Unrealized appreciation on swap agreements | 461,175 | Unrealized depreciation on swap agreements | 123 | ||||||||
Credit Risk | ||||||||||||
Centrally Cleared Credit Default Swap Agreements | Unrealized appreciation on swap agreements* | 1,872 | Unrealized depreciation on swap agreements* | — | ||||||||
Interest Rate Risk | ||||||||||||
Interest Rate Swap Agreements | Unrealized appreciation on swap agreements* | 50,931 | Unrealized depreciation on swap agreements* | 447,369 | ||||||||
Foreign Exchange Risk | ||||||||||||
Currency Swap Agreements | Unrealized appreciation on swap agreements | 171,840 | Unrealized depreciation on swap agreements | — | ||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 439,254 | Unrealized depreciation on forward currency contracts | 1,129,131 |
* | Includes cumulative appreciation/depreciation of futures contracts and cumulative unrealized gain (loss) on these swap agreements as reported in the Consolidated Schedule of Portfolio Investments. Only current day’s variation margin for both futures contracts and these centrally cleared swap agreements are reported within the Consolidated Statement of Assets and Liabilities. |
The following is a summary of the effect of derivative instruments on the Consolidated Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations | ||||||||||||||||||||
Net Realized Futures Contracts | Net Realized Gains/(Losses) on Swap Agreements | Net Realized Gains/(Losses) on Written Options Contracts | Net Realized Gains/(Losses) on | |||||||||||||||||
Equity Risk | $ | (993,766 | ) | $ | 260,130 | $ | 1,742,483 | $ | — | |||||||||||
Credit Risk | — | (27,629 | ) | — | — | |||||||||||||||
Interest Rate Risk | — | — | (193,679 | ) | — | |||||||||||||||
Foreign Exchange Rate Risk | — | — | 173,956 | 115,809 | ||||||||||||||||
Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result from Operations | ||||||||||||||||||||
Change in Net Unrealized Appreciation/Depreciation on Futures Contracts | Change in Net Unrealized Appreciation/Depreciation on Swap Agreements | Change in Net Unrealized Appreciation/Depreciation on Written Option Contracts | Change in Net Unrealized Appreciation/Depreciation on Forward Currency Contracts | |||||||||||||||||
Equity Risk | $ | 108,004 | $ | (359,468 | ) | $ | (551,796 | ) | $ | — | ||||||||||
Credit Risk | — | 24,805 | — | — | ||||||||||||||||
Interest Rate Risk | — | (476,142 | ) | (117,077 | ) | — | ||||||||||||||
Foreign Exchange Rate Risk | — | (28,583 | ) | (92,408 | ) | (944,889 | ) |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Consolidated Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2018. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Consolidated Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018. As of June 30, 2018, the Fund’s derivative assets and liabilities by type are as follows:
25
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Futures contracts | $ | 2,053 | $ | 7,064 | ||||||
Written option contracts | — | 1,419,799 | ||||||||
Forward currency contracts | 439,254 | 1,129,131 | ||||||||
Swap agreements | 639,042 | 16,696 | ||||||||
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Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | 1,080,349 | 2,572,690 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (8,080 | ) | (23,637 | ) | ||||||
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Total assets and liabilities subject to a MNA | $ | 1,072,269 | $ | 2,549,053 | ||||||
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|
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of June 30, 2018:
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Derivative Assets | ||||||||||||||||||||
Bank of America | $ | 171,840 | $ | (154,125 | ) | $ | — | $ | (17,715 | ) | $ | — | |||||||||||||
Barclays Bank | 14,249 | (14,249 | ) | — | — | — | |||||||||||||||||||
BNP Paribas SA | 577,309 | (269,301 | ) | — | (308,008 | ) | — | ||||||||||||||||||
Deutsche Bank | 76,700 | (76,700 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs | 101,138 | (101,138 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase | 9,098 | (9,098 | ) | — | — | — | |||||||||||||||||||
UBS Warburg | 121,935 | (121,935 | ) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 1,072,269 | $ | (746,546 | ) | $ | — | $ | (352,723 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Fund as of June 30, 2018:
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Bank of America | $ | 154,125 | $ | (154,125 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Barclays Bank | 380,207 | (14,249 | ) | — | — | 365,958 | |||||||||||||||||||
BNP Paribas SA | 269,301 | (269,301 | ) | — | — | — | |||||||||||||||||||
Citigroup | 187,336 | — | — | — | 187,336 | ||||||||||||||||||||
Deutsche Bank | 372,979 | (76,700 | ) | — | — | 296,279 | |||||||||||||||||||
Goldman Sachs | 250,667 | (101,138 | ) | — | — | 149,529 | |||||||||||||||||||
JPMorgan Chase | 67,228 | (9,098 | ) | — | — | 58,130 | |||||||||||||||||||
Morgan Stanley | 236,984 | — | — | — | 236,984 | ||||||||||||||||||||
Societe Generale | 70,834 | — | — | — | 70,834 | ||||||||||||||||||||
UBS Warburg | 559,392 | (121,935 | ) | — | — | 437,457 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 2,549,053 | $ | (746,546 | ) | $ | — | $ | — | $ | 1,802,507 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Consolidated Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Consolidated Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL BlackRock Global Allocation Fund | 0.75 | % | 1.19 | % |
26
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Consolidated Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Consolidated Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Consolidated Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.047% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Consolidated Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $1,880 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. The Fund generally values index options at the average of the closing bid and ask quotations on the principal exchange on which the option is traded and are typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
27
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Bank Loans | $ | — | $ | 711,520 | $ | — | $ | — | $ | 711,520 | |||||||||||||||
Common Stocks | |||||||||||||||||||||||||
Aerospace & Defense | 412,386 | 3,416,692 | — | — | 3,829,078 | ||||||||||||||||||||
Air Freight & Logistics | — | 6,334 | — | — | 6,334 | ||||||||||||||||||||
Airlines | 2,941,807 | 1,771,570 | — | — | 4,713,377 | ||||||||||||||||||||
Auto Components | 58,530 | 4,475,880 | — | — | 4,534,410 | ||||||||||||||||||||
Automobiles | 7,590 | 4,575,245 | — | — | 4,582,835 | ||||||||||||||||||||
Banks | 9,602,429 | 6,027,397 | — | — | 15,629,826 | ||||||||||||||||||||
Beverages | 242,632 | 1,679,249 | — | — | 1,921,881 | ||||||||||||||||||||
Building Products | 155,984 | 707,907 | — | — | 863,891 | ||||||||||||||||||||
Capital Markets | 5,012,746 | 2,109,560 | — | — | 7,122,306 | ||||||||||||||||||||
Chemicals | 6,299,630 | 6,668,451 | — | — | 12,968,081 | ||||||||||||||||||||
Communications Equipment | 17,513 | 10,492 | — | — | 28,005 | ||||||||||||||||||||
Construction & Engineering | — | 1,010,759 | — | — | 1,010,759 | ||||||||||||||||||||
Construction Materials | 9,766 | 138,725 | — | — | 148,491 | ||||||||||||||||||||
Distributors | — | 70,780 | — | — | 70,780 | ||||||||||||||||||||
Diversified Financial Services | 180,677 | 171,864 | — | — | 352,541 | ||||||||||||||||||||
Diversified Telecommunication Services | 127,035 | 3,521,530 | — | — | 3,648,565 | ||||||||||||||||||||
Electric Utilities | 2,132,902 | 1,462,557 | — | — | 3,595,459 | ||||||||||||||||||||
Electrical Equipment | 26,898 | 2,129,525 | — | — | 2,156,423 | ||||||||||||||||||||
Electronic Equipment, Instruments & Components | 6,465 | 2,943,359 | — | — | 2,949,824 | ||||||||||||||||||||
Equity Real Estate Investment Trusts | 113,521 | 1,470,236 | — | — | 1,583,757 | ||||||||||||||||||||
Food & Staples Retailing | 2,969,179 | 139,937 | — | — | 3,109,116 | ||||||||||||||||||||
Food Products | 136,613 | 6,451,086 | — | — | 6,587,699 | ||||||||||||||||||||
Gas Utilities | — | 1,371,412 | — | — | 1,371,412 | ||||||||||||||||||||
Health Care Equipment & Supplies | 484,691 | 1,415,832 | — | — | 1,900,523 | ||||||||||||||||||||
Health Care Providers & Services | 7,593,635 | 5,393,463 | — | — | 12,987,098 | ||||||||||||||||||||
Hotels, Restaurants & Leisure | 1,885,464 | 1,499,740 | — | — | 3,385,204 | ||||||||||||||||||||
Household Durables | 1,948,571 | 262,923 | — | — | 2,211,494 | ||||||||||||||||||||
Household Products | 2,429,486 | 17,372 | — | — | 2,446,858 | ||||||||||||||||||||
Independent Power & Renewable Electricity Producers | 825,538 | 3,506 | — | — | 829,044 | ||||||||||||||||||||
Industrial Conglomerates | 659,554 | 3,663,184 | — | — | 4,322,738 | ||||||||||||||||||||
Insurance | 2,480,115 | 1,625,754 | — | — | 4,105,869 | ||||||||||||||||||||
Internet & Direct Marketing Retail | 4,523,394 | 4,727 | — | — | 4,528,121 | ||||||||||||||||||||
Internet Software & Services | 14,391,265 | 4,431,575 | 1,109 | — | 18,823,949 | ||||||||||||||||||||
IT Services | 4,068,882 | 10,746 | — | — | 4,079,628 | ||||||||||||||||||||
Machinery | 61,626 | 803,117 | — | — | 864,743 | ||||||||||||||||||||
Media | 10,225,950 | 1,064,791 | — | — | 11,290,741 | ||||||||||||||||||||
Metals & Mining | 13,589 | 479,028 | — | — | 492,617 | ||||||||||||||||||||
Multi-Utilities | 845,745 | 6,519 | — | — | 852,264 | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | 13,281,706 | 4,456,130 | 161,550 | — | 17,899,386 | ||||||||||||||||||||
Personal Products | 940,826 | 10,606 | — | — | 951,432 |
28
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Pharmaceuticals | $ | 5,047,874 | $ | 4,726,646 | $ | — | $ | — | $ | 9,774,520 | |||||||||||||||
Professional Services | — | 3,896 | — | — | 3,896 | ||||||||||||||||||||
Real Estate Management & Development | 477,093 | 2,952,010 | — | — | 3,429,103 | ||||||||||||||||||||
Road & Rail | 25,380 | 2,305,539 | — | — | 2,330,919 | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment | 2,819,040 | 1,117,105 | — | — | 3,936,145 | ||||||||||||||||||||
Software | 9,528,847 | 272,374 | 2,741,280 | — | 12,542,501 | ||||||||||||||||||||
Specialty Retail | 1,388,882 | 61,619 | — | — | 1,450,501 | ||||||||||||||||||||
Technology Hardware, Storage & Peripherals | 9,955,494 | 916,332 | — | — | 10,871,826 | ||||||||||||||||||||
Textiles, Apparel & Luxury Goods | 48,380 | 1,132,161 | — | — | 1,180,541 | ||||||||||||||||||||
Thrifts & Mortgage Finance | — | 1,207,917 | — | — | 1,207,917 | ||||||||||||||||||||
Tobacco | 1,651,595 | 851,812 | — | — | 2,503,407 | ||||||||||||||||||||
Transportation Infrastructure | — | 154,444 | — | — | 154,444 | ||||||||||||||||||||
Wireless Telecommunication Services | 470,107 | 3,995,698 | — | — | 4,465,805 | ||||||||||||||||||||
Other Common Stocks+ | 4,947,859 | — | — | — | 4,947,859 | ||||||||||||||||||||
Convertible Bonds | — | 1,503,204 | — | — | 1,503,204 | ||||||||||||||||||||
Convertible Preferred Stocks | |||||||||||||||||||||||||
Banks | 157,433 | — | — | — | 157,433 | ||||||||||||||||||||
Equity Real Estate Investment Trusts | 325,845 | — | — | — | 325,845 | ||||||||||||||||||||
Wireless Telecommunication Services | — | 1,199,003 | — | — | 1,199,003 | ||||||||||||||||||||
Corporate Bonds+ | — | 7,378,279 | — | — | 7,378,279 | ||||||||||||||||||||
Foreign Bonds+ | — | 25,880,838 | — | — | 25,880,838 | ||||||||||||||||||||
Preferred Stocks | |||||||||||||||||||||||||
Banks | 359,725 | 76,125 | — | — | 435,850 | ||||||||||||||||||||
Consumer Finance | 383,507 | — | — | — | 383,507 | ||||||||||||||||||||
Health Care Providers & Services | — | — | 361,252 | — | 361,252 | ||||||||||||||||||||
Internet Software & Services | — | — | 533,774 | — | 533,774 | ||||||||||||||||||||
Software | — | — | 671,387 | — | 671,387 | ||||||||||||||||||||
Technology Hardware, Storage & Peripherals | — | 5,059 | — | — | 5,059 | ||||||||||||||||||||
Private Placements | — | — | — | # | — | — | |||||||||||||||||||
Rights | 123 | — | # | — | — | 123 | |||||||||||||||||||
U.S. Treasury Obligations | — | 115,681,459 | — | — | 115,681,459 | ||||||||||||||||||||
Warrant | — | — | # | — | — | — | |||||||||||||||||||
Yankee Dollars+ | — | 4,929,185 | — | — | 4,929,185 | ||||||||||||||||||||
Exchange Traded Fund | 10,409,524 | — | — | — | 10,409,524 | ||||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 14,188,875 | 14,188,875 | ||||||||||||||||||||
Unaffiliated Investment Company | 3,842,898 | — | — | — | 3,842,898 | ||||||||||||||||||||
Purchased Options | 203 | 929,825 | — | — | 930,028 | ||||||||||||||||||||
Purchased Swaptions | — | 54 | — | — | 54 | ||||||||||||||||||||
Purchased Interest Rate Cap | — | 36 | — | — | 36 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Investment Securities | 148,954,149 | 255,471,700 | 4,470,352 | 14,188,875 | 423,085,076 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Securities Sold Short | (982,211 | ) | (392,014 | ) | — | — | (1,374,225 | ) | |||||||||||||||||
Other Financial Instruments:* | |||||||||||||||||||||||||
Futures Contracts | 83,791 | — | — | — | 83,791 | ||||||||||||||||||||
Written Options | — | (1,419,799 | ) | — | — | (1,419,799 | ) | ||||||||||||||||||
Forward Currency Contracts | — | (689,877 | ) | — | — | (689,877 | ) | ||||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 1,872 | — | — | 1,872 | ||||||||||||||||||||
Over-the-Counter Currency Swaps | — | 171,840 | — | — | 171,840 | ||||||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | (396,438 | ) | — | — | (396,438 | ) | ||||||||||||||||||
Over-the-Counter Total Return Swaps | — | 461,052 | — | — | 461,052 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Investments | $ | 148,055,729 | $ | 253,208,336 | $ | 4,470,352 | $ | 14,188,875 | $ | 419,923,292 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Consolidated Schedule of Portfolio Investments. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2018. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts, written options, forward currency contracts and swaps. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment except futures contracts and centrally cleared interest rate swaps which are presented at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Consolidated Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
29
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL BlackRock Global Allocation Fund | $ | 257,421,692 | $ | 278,192,222 |
For the period ended June 30, 2018, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL BlackRock Global Allocation Fund | $ | 167,007,494 | $ | 155,222,439 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2018 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
AliphCom, Inc., 12.00%, 4/1/20 | 4/27/15 | $ | 735,000 | $ | 3,065,000 | $ | — | — | % | ||||||||||||||||
Dana Gas Sukuk, Ltd., 7.00%, 10/31/18 | 5/8/13 | 650,390 | 631,620 | 571,616 | 0.14 | % | |||||||||||||||||||
Inversiones Alsacia SA, 8.00%, 12/31/18, Callable 7/19/18 @ 100.00 | 12/22/14 | 312,032 | 519,907 | 12,998 | — | % | |||||||||||||||||||
AliphCom, Inc., 12.00%, 4/1/20 | 11/11/15 | 268,000 | 268,000 | — | — | % | |||||||||||||||||||
REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14 | 2/7/12 | 300,000 | 400,000 | — | — | % | |||||||||||||||||||
TFS Corp., Ltd., 8.75%, 8/1/23, Callable 8/1/19 @ 106.56 | 7/20/16 | 2,106,000 | 1,018,000 | 685,241 | 0.17 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Commodities-Related Investment Risk: Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. The U.S. Commodities Futures Trading Commission has proposed changes to certain of its rules governing investment in commodities by mutual funds, such as the Fund. In the event these changes are adopted, or if there are changes in the tax treatment of the Fund’s direct and indirect investments in commodities, the Fund may be unable to obtain exposure to commodity markets, or may be limited in the extent to which or manner in which it can obtain such exposure.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
30
AZL BlackRock Global Allocation Fund
Notes to the Consolidated Financial Statements
June 30, 2018 (Unaudited)
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) and may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $397,251,083. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 38,090,050 | ||
Unrealized (depreciation) | (14,824,782 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 23,265,268 | ||
|
|
Capital loss carry forwards (“CLCFs”) subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires. During the year ended December 31, 2017 the Fund utilized $296,869 in CLCFs to offset capital gains.
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL BlackRock Global Allocation Fund | $ | 7,349,577 | $ | — | $ | 7,349,577 |
(a) Total distributions paid may differ from the Consolidated Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL BlackRock Global Allocation Fund | $ | 6,241,608 | $ | 12,201,058 | $ | — | $ | 42,174,100 | $ | 60,616,766 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales and straddles. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2018.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements
31
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
32
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® DFA Emerging Markets Core Equity Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 21 |
Page 21 |
Statements of Changes in Net Assets Page 22 |
Page 23 |
Notes to the Financial Statements Page 24 |
Page 30 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA Emerging Markets Core Equity Fund
(Unaudited)
As a shareholder of the AZL DFA Emerging Markets Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 1,000.00 | $ | 910.90 | $ | 7.11 | 1.50 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 1,000.00 | $ | 1,017.35 | $ | 7.50 | 1.50 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 24.5 | % | |||
Financials | 17.2 | ||||
Materials | 11.0 | ||||
Consumer Discretionary | 10.1 | ||||
Industrials | 8.3 | ||||
Consumer Staples | 8.1 | ||||
Energy | 6.2 | ||||
Telecommunication Services | 4.1 | ||||
Utilities | 3.7 | ||||
Real Estate | 3.3 | ||||
Health Care | 2.8 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.3 | ||||
Right | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 1.6 | ||||
Money Market | 0.2 | ||||
|
| ||||
Total Investment Securities | 101.1 | ||||
Net other assets (liabilities) | (1.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.1%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
10,000 | Aerospace Industrial Development Corp. | $ | 10,396 | |||||
1,236 | Aselsan Elektronik Sanayi Ve Ticaret AS | 6,227 | ||||||
20,000 | AviChina Industry & Technology Co., Ltd. | 11,868 | ||||||
10,593 | Bharat Electronics, Ltd. | 16,784 | ||||||
2,973 | Embraer SA, ADR | 74,028 | ||||||
650 | Korea Aerospace Industries, Ltd.* | 23,999 | ||||||
174 | S&T Dynamics Co., Ltd.* | 1,081 | ||||||
538 | Samsung Techwin Co., Ltd.* | 11,308 | ||||||
|
| |||||||
155,691 | ||||||||
|
| |||||||
Air Freight & Logistics (0.1%): | ||||||||
39 | Blue Dart Express, Ltd. | 2,083 | ||||||
513 | Hanjin Transportation Co., Ltd. | 9,800 | ||||||
247 | Hyundai Glovis Co., Ltd. | 25,566 | ||||||
26,000 | Sinotrans, Ltd. | 13,651 | ||||||
|
| |||||||
51,100 | ||||||||
|
| |||||||
Airlines (0.4%): | ||||||||
20,000 | Air China, Ltd. | 19,156 | ||||||
34,900 | AirAsia Berhad | 25,849 | ||||||
3,987 | Asiana Airlines, Inc.* | 14,798 | ||||||
39,400 | Bangkok Airways Public Co., Ltd. | 13,567 | ||||||
15,130 | Cebu Air, Inc. | 19,647 | ||||||
70,000 | China Airlines, Ltd.* | 21,883 | ||||||
26,000 | China Eastern Airlines Corp., Ltd., Class H | 17,450 | ||||||
18,000 | China Southern Airlines Co., Ltd., Class H | 14,030 | ||||||
14,200 | Controladora Vuela Compania de Aviacion SAB de C.V., Class A* | 7,237 | ||||||
49,749 | Eva Airways Corp. | 24,058 | ||||||
3,400 | Gol Linhas Aereas Inteligentes SA* | 9,125 | ||||||
472 | Hanjin Kal Corp. | 7,148 | ||||||
497 | Jeju Air Co., Ltd. | 18,733 | ||||||
1,305 | Korean Air Lines Co., Ltd. | 33,050 | ||||||
2,603 | Latam Airlines Group SA, ADR^ | 25,744 | ||||||
2,481 | Pegasus Hava Tasimaciligi As* | 13,296 | ||||||
37,400 | Thai Airways International Public Co., Ltd.* | 14,217 | ||||||
16,783 | Turk Hava Yollari Anonim Ortakligi* | 49,455 | ||||||
|
| |||||||
348,443 | ||||||||
|
| |||||||
Auto Components (1.4%): | ||||||||
6,000 | Actron Technology Corp. | 21,416 | ||||||
6,717 | Apollo Tyres, Ltd. | 24,879 | ||||||
1,676 | Asahi India Glass, Ltd. | 8,147 | ||||||
2,736 | Balkrishna Industries, Ltd. | 41,537 | ||||||
4,296 | Bharat Forge, Ltd. | 38,392 | ||||||
50 | Bosch, Ltd. | 12,769 | ||||||
855 | Ceat, Ltd. | 15,692 | ||||||
22,000 | Chaowei Power Holdings, Ltd. | 11,156 | ||||||
28,000 | Cheng Shin Rubber Industry Co., Ltd. | 42,090 | ||||||
1,100 | Cub Elecparts, Inc. | 14,030 | ||||||
5,000 | Depo Auto Parts Industries Co., Ltd. | 13,201 | ||||||
6,474 | Exide Industries, Ltd. | 24,386 | ||||||
367 | Global & Yuasa Battery Co., Ltd. | 10,403 | ||||||
1,065 | Hankook Tire Co., Ltd. | 40,147 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
5,319 | Hota Industrial Manufacturing Co., Ltd. | $ | 25,784 | |||||
3,000 | Hu Lane Associate, Inc. | 13,620 | ||||||
403 | Hyundai Mobis Co., Ltd. | 76,582 | ||||||
434 | Hyundai Wia Corp. | 15,857 | ||||||
13,923 | Kenda Rubber Industrial Co., Ltd. | 15,346 | ||||||
3,107 | Kumho Tire Co., Inc.* | 17,579 | ||||||
1,500 | Mahle-Metal Leve SA | 9,906 | ||||||
133 | Mando Corp. | 5,254 | ||||||
630 | Mando Corp. | 21,666 | ||||||
4,946 | Metair Investments, Ltd. | 5,596 | ||||||
8,000 | Minth Group, Ltd. | 33,517 | ||||||
9,355 | Motherson Sumi Systems, Ltd. | 38,819 | ||||||
33 | Mrf, Ltd. | 36,063 | ||||||
13,000 | Nan Kang Rubber Tire Co., Ltd. | 11,447 | ||||||
446 | Nexen Tire Corp. | 4,102 | ||||||
15,000 | Nexteer Automotive Group, Ltd. | 22,047 | ||||||
5,900 | Rassini, S.A.B. de C.V., Class A | 10,694 | ||||||
352 | S&T Motiv Co., Ltd. | 10,419 | ||||||
737 | SL Corp. | 11,980 | ||||||
21,840 | Sri Trang Agro-Industry Public Co., Ltd.* | 6,552 | ||||||
115 | Sundaram-Clayton, Ltd. | 7,319 | ||||||
1,176 | Sundram Fasteners, Ltd. | 10,722 | ||||||
2,204 | Sungwoo Hitech Co., Ltd. | 8,541 | ||||||
15,900 | Tenedora Nemak SA de C.V.(a) | 10,931 | ||||||
1,581 | TI Financial Holdings, Ltd. | 14,165 | ||||||
24,000 | Tianneng Power International, Ltd. | 37,313 | ||||||
10,000 | Tong Yang Industry Co., Ltd. | 15,392 | ||||||
1,581 | Tube Investments of India, Ltd. | 5,331 | ||||||
2,000 | Tung Thih Electronic Co., Ltd. | 6,945 | ||||||
11,000 | TYC Brother Industrial Co., Ltd. | 11,572 | ||||||
26 | WABCO India, Ltd. | 2,663 | ||||||
|
| |||||||
841,969 | ||||||||
|
| |||||||
Automobiles (1.6%): | ||||||||
19,500 | Baic Motor Corp., Ltd.(a) | 18,567 | ||||||
829 | Bajaj Auto, Ltd. | 33,987 | ||||||
12,000 | Brilliance China Automotive Holdings, Ltd. | 21,583 | ||||||
4,000 | BYD Co., Ltd., Class H^ | 24,141 | ||||||
14,000 | China Motor Corp. | 13,015 | ||||||
32,000 | Dongfeng Motor Corp., Series H | 33,791 | ||||||
10,700 | DRB-HICOM Berhad | 5,162 | ||||||
1,334 | Ford Otomotiv Sanayi AS | 17,782 | ||||||
49,000 | Geely Automobile Holdings, Ltd. | 125,753 | ||||||
28,500 | Great Wall Motor Co. | 21,693 | ||||||
14,000 | Guangzhou Automobile Group Co., Ltd. | 13,590 | ||||||
530 | Hero MotoCorp, Ltd. | 26,855 | ||||||
814 | Hyundai Motor Co. | 91,592 | ||||||
2,964 | Kia Motors Corp. | 81,988 | ||||||
4,589 | Mahindra & Mahindra, Ltd., GDR | 59,788 | ||||||
905 | Maruti Suzuki India, Ltd. | 116,502 | ||||||
10,600 | Oriental Holdings BHD | 16,108 | ||||||
172,400 | PT Astra International Tbk | 79,247 | ||||||
10,000 | Sanyang Industry Co., Ltd. | 7,165 |
Continued
2
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
22,088 | Tata Motors, Ltd.* | $ | 86,682 | |||||
2,816 | Tvs Motor Co., Ltd. | 22,717 | ||||||
8,400 | UMW Holdings Berhad | 12,411 | ||||||
18,000 | Yulon Motor Co., Ltd. | 12,452 | ||||||
|
| |||||||
942,571 | ||||||||
|
| |||||||
Banks (10.9%): | ||||||||
128,000 | Agricultural Bank of China, Ltd. | 59,449 | ||||||
5,046 | Akbank T.A.S. | 8,240 | ||||||
1,674 | Alior Bank SA* | 29,714 | ||||||
28,700 | Alliance Financial Group Berhad | 28,674 | ||||||
21,400 | AMMB Holdings Berhad | 19,851 | ||||||
1,660 | Axis Bank, Ltd., GDR | 61,498 | ||||||
4,041 | Banco ABC Brasil SA | 15,570 | ||||||
6,660 | Banco Bradesco SA | 41,592 | ||||||
25,925 | Banco Bradesco SA, ADR | 177,845 | ||||||
1,382 | Banco Davivienda SA | 17,456 | ||||||
570 | Banco de Credito e Inversiones | 37,964 | ||||||
3,400 | Banco do Brasil SA | 24,963 | ||||||
5,800 | Banco do Esrado do Rio Grande do Sul SA, Class B | 22,033 | ||||||
1,391 | Banco Santander Brasil SA | 10,500 | ||||||
1,433 | Banco Santander Chile, ADR | 45,039 | ||||||
2,961 | Banco Santander Mexico, ADR | 19,809 | ||||||
790 | Bancolombia SA, ADR | 37,746 | ||||||
11,490 | Bank Millennium SA* | 24,600 | ||||||
8,715 | Bank of Baroda* | 14,310 | ||||||
228,000 | Bank of China, Ltd. | 112,350 | ||||||
32,000 | Bank of Communications Co., Ltd., Class H | 24,392 | ||||||
3,927 | Bank of the Philippine Islands | 6,511 | ||||||
502 | Bank Pekao SA | 15,094 | ||||||
341 | Bank Zachodni WBK SA | 30,294 | ||||||
11,751 | Barclays Africa Group, Ltd. | 136,983 | ||||||
8,638 | BDO Unibank, Inc. | 20,273 | ||||||
5,251 | BNK Financial Group, Inc. | 44,015 | ||||||
2,317 | Canara Bank, Ltd. | 8,494 | ||||||
384 | Capitec Bank Holdings, Ltd. | 24,293 | ||||||
54,781 | Chang Hwa Commercial Bank | 31,830 | ||||||
16,100 | China Banking Corp. | 10,140 | ||||||
34,000 | China Citic Bank Co., Ltd. | 21,139 | ||||||
319,000 | China Construction Bank | 292,522 | ||||||
94,000 | China Development Financial Holding Corp. | 34,357 | ||||||
16,500 | China Merchants Bank Co., Ltd.* | 60,330 | ||||||
36,600 | China Minsheng Banking Corp., Ltd. | 26,027 | ||||||
159,944 | Chinatrust Financial Holding Co., Ltd. | 115,081 | ||||||
32,000 | Chongqing Rural Commercial Bank Co., Ltd. | 18,994 | ||||||
18,811 | CIMB Group Holdings Berhad | 25,396 | ||||||
368,300 | CIMB Thai Bank PCL* | 9,445 | ||||||
4,293 | City Union Bank, Ltd. | 11,575 | ||||||
10,079 | Commercial International Bank Egypt SAE, GDR | 49,825 | ||||||
1,120 | Credicorp, Ltd. | 252,134 | ||||||
8,352 | Dcb Bank, Ltd. | 20,043 | ||||||
2,129 | DGB Financial Group, Inc. | 19,563 | ||||||
67,782 | E.Sun Financial Holding Co., Ltd. | 47,230 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
9,000 | EnTie Commercial Bank | $ | 4,103 | |||||
80,262 | Far Eastern International Bank | 26,587 | ||||||
25,419 | Federal Bank, Ltd. | 30,336 | ||||||
83,346 | First Financial Holdings Co., Ltd. | 56,309 | ||||||
2,676 | Grupo Aval Acciones y Valores SA, ADR | 22,184 | ||||||
1,028 | Grupo Elektra, SAB de C.V. | 28,020 | ||||||
13,480 | Grupo Financiero Banorte SAB de C.V. | 79,282 | ||||||
11,195 | Grupo Financiero Inbursa SAB de C.V., Class O | 15,731 | ||||||
5,152 | Grupo Financiero Interacciones SAB de C.V.* | 24,728 | ||||||
44,282 | Grupo Security SA | 20,277 | ||||||
2,580 | Hana Financial Holdings Group, Inc. | 99,077 | ||||||
3,884 | Hong Leong Bank Berhad | 17,479 | ||||||
6,680 | Hong Leong Financial Group Berhad | 29,741 | ||||||
45,396 | Hua Nan Financial Holdings Co., Ltd. | 26,422 | ||||||
11,167 | ICICI Bank, Ltd. | 44,920 | ||||||
14,310 | IDFC Bank, Ltd. | 8,108 | ||||||
2,401 | Indian Bank | 12,029 | ||||||
1,203 | IndusInd Bank, Ltd. | 33,895 | ||||||
298,000 | Industrial & Commercial Bank of China | 221,378 | ||||||
3,544 | Industrial Bank of Korea (IBK) | 48,925 | ||||||
412 | ING Bank Slaski SA | 19,694 | ||||||
2,289 | Itau Corpbanca, ADR^ | 33,992 | ||||||
39,597 | Itau Unibanco Banco Multiplo SA, ADR | 411,016 | ||||||
3,960 | Itau Unibanco Holding SA | 36,503 | ||||||
4,150 | JB Financial Group Co., Ltd. | 20,726 | ||||||
9,906 | Karnataka Bank, Ltd. | 15,842 | ||||||
7,639 | Karur Vysya Bank, Ltd. | 11,530 | ||||||
8,400 | Kasikornbank Public Co., Ltd. | 49,100 | ||||||
1,280 | KB Financial Group, Inc., ADR | 59,494 | ||||||
873 | KB Financial Group, Inc. | 41,317 | ||||||
9,300 | Kiatnakin Bank Public Co., Ltd. | 19,017 | ||||||
25,000 | King’s Town Bank | 26,807 | ||||||
620 | Komercni Banka AS | 26,094 | ||||||
1,814 | Kotak Mahindra Bank, Ltd. | 35,506 | ||||||
54,800 | Krung Thai Bank Public Co., Ltd. | 27,638 | ||||||
124,300 | LH Financial Group Public Co., Ltd. | 5,440 | ||||||
34,161 | Malayan Banking Berhad | 76,097 | ||||||
234 | mBank SA | 24,958 | ||||||
64,871 | Mega Financial Holdings Co., Ltd. | 57,209 | ||||||
13,678 | Metropolitan Bank & Trust | 18,778 | ||||||
3,190 | Moneta Money Bank A/S(a) | 10,953 | ||||||
2,005 | Nedcor, Ltd. | 36,470 | ||||||
1,581 | OTP Bank Nyrt | 57,343 | ||||||
9,580 | Philippine National Bank* | 8,643 | ||||||
2,877 | Powszechna Kasa Oszczednosci Bank Polski SA* | 28,288 | ||||||
40,800 | PT Bank Central Asia Tbk | 61,070 | ||||||
58,900 | PT Bank Danamon Indonesia Tbk | 26,194 | ||||||
90,400 | PT Bank Mandiri Tbk | 42,979 | ||||||
66,500 | PT Bank Negara Indonesia Tbk | 32,564 | ||||||
80,800 | PT Bank Pan Indonesia Tbk* | 4,795 | ||||||
76,400 | PT Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk | 11,134 |
Continued
3
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
368,000 | PT Bank Rakyat Indonesia Tbk | $ | 72,639 | |||||
123,400 | PT Bank Tabungan Negara Tbk | 21,079 | ||||||
30,800 | Public Bank Berhad | 178,059 | ||||||
1,589 | RBL Bank, Ltd.(a) | 12,794 | ||||||
5,609 | Regional SAB de C.V. | 30,207 | ||||||
19 | RHB Capital Berhad(b) | 26 | ||||||
9,510 | Rizal Commercial Banking Corp. | 4,977 | ||||||
11,873 | Sberbank of Russia, ADR | 170,437 | ||||||
2,780 | Security Bank Corp. | 10,402 | ||||||
2,741 | Shinhan Finnancial Group Co., Ltd., ADR^ | 105,474 | ||||||
7,800 | Siam Commercial Bank Public Co., Ltd. | 27,912 | ||||||
68,722 | SinoPac Financial Holdings Co., Ltd. | 24,780 | ||||||
53,375 | South Indian Bank, Ltd. | 17,360 | ||||||
14,070 | Standard Bank Group, Ltd. | 196,115 | ||||||
1,013 | State Bank of India, GDR* | 37,788 | ||||||
81,435 | Taichung Commercial Bank Co., Ltd. | 27,912 | ||||||
92,830 | Taishin Financial Holding Co., Ltd. | 43,820 | ||||||
70,534 | Taiwan Cooperative Financial Holding Co., Ltd. | 41,285 | ||||||
20,600 | Thanachart Capital Public Co., Ltd. | 29,016 | ||||||
3,859 | The Jammu & Kashmir Bank, Ltd.* | 2,844 | ||||||
20,734 | Turkiye Garanti Bankasi AS | 37,731 | ||||||
4,117 | Turkiye Halk Bankasi AS* | 6,630 | ||||||
19,903 | Turkiye Is Bankasi AS, Class C | 24,638 | ||||||
42,733 | Turkiye Sinai Kalkinma Bankasi AS | 9,027 | ||||||
17,464 | Turkiye Vakiflar Bankasi T.A.O., Class D* | 18,622 | ||||||
4,181 | UCO Bank* | 1,121 | ||||||
10,503 | Union Bank of India* | 12,532 | ||||||
27,560 | Union Bank of Taiwan | 9,130 | ||||||
18,129 | VTB Bank OJSC, GDR | 27,592 | ||||||
5,313 | Woori Bank | 77,610 | ||||||
21,808 | Yapi ve Kredi Bankasi AS* | 11,743 | ||||||
15,610 | Yes Bank, Ltd. | 77,306 | ||||||
|
| |||||||
5,720,513 | ||||||||
|
| |||||||
Beverages (1.1%): | ||||||||
44,269 | Ambev SA, ADR | 204,965 | ||||||
2,470 | Anadolu Efes Biracilik ve Malt Sanayii AS | 12,696 | ||||||
3,826 | Arca Continental SAB de C.V. | 23,499 | ||||||
15,400 | Becle Sab de C.V. | 22,198 | ||||||
8,100 | Carlsberg Brewery Malaysia Berhad | 38,658 | ||||||
11,333 | China Resources Enterprises, Ltd. | 54,841 | ||||||
2,108 | Coca-Cola Icecek AS | 15,573 | ||||||
845 | Compania Cervecerias Unidas SA, ADR | 21,074 | ||||||
763 | Distell Group Holdings, Ltd.* | 7,708 | ||||||
1,016 | Embotelladora Andina SA, Class B, ADR | 23,389 | ||||||
80,400 | Emperador, Inc. | 11,137 | ||||||
706 | Fomento Economico Mexicano SAB de C.V., ADR | 61,979 | ||||||
7,400 | Guinness Anchor Berhad | 40,092 | ||||||
13,000 | Hey Song Corp. | 13,560 | ||||||
1,105 | Hite Jinro | 19,471 | ||||||
8 | Lotte Chilsung Beverage Co., Ltd. | 11,024 | ||||||
106 | Muhak Co., Ltd. | 1,440 | ||||||
2,000 | Tsingtao Brewery Co., Ltd., Class H | 10,960 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
1,491 | United Breweries, Ltd. | $ | 25,027 | |||||
4,625 | United Spirits, Ltd.* | 44,847 | ||||||
230 | Vina Concha y Toro SA, ADR | 9,570 | ||||||
|
| |||||||
673,708 | ||||||||
|
| |||||||
Biotechnology (0.4%): | ||||||||
9,500 | 3SBio, Inc.(a) | 21,478 | ||||||
1,150 | Biocon, Ltd. | 10,397 | ||||||
37 | Cell Biotech Co., Ltd. | 1,207 | ||||||
446 | Celltrion, Inc.* | 121,271 | ||||||
519 | Green Cross Holdings Corp. | 15,452 | ||||||
92 | Medy-Tox, Inc. | 63,275 | ||||||
|
| |||||||
233,080 | ||||||||
|
| |||||||
Building Products (0.1%): | ||||||||
1,183 | Blue Star, Ltd. | 11,082 | ||||||
31,000 | China Lesso Group Holdings, Ltd. | 19,642 | ||||||
714 | IS Dongseo Co., Ltd. | 17,747 | ||||||
1,328 | Kajaria Ceramics, Ltd. | 9,363 | ||||||
55 | KCC Corp. | 16,180 | ||||||
241 | LG Hausys, Ltd. | 14,983 | ||||||
1,456 | Sung Kwang Bend Co., Ltd. | 15,143 | ||||||
30,444 | Taiwan Glass Industry Corp.* | 17,160 | ||||||
9,577 | Trakya Cam Sanayii AS | 8,655 | ||||||
|
| |||||||
129,955 | ||||||||
|
| |||||||
Capital Markets (1.6%): | ||||||||
11,997 | B3 SA- Brasil Bolsa Balcao | 63,592 | ||||||
13,600 | Bolsa Mexicana de Valores SA | 22,898 | ||||||
7,528 | Brait SE | 23,383 | ||||||
23,700 | Bursa Malaysia Berhad | 43,110 | ||||||
79,000 | Capital Securities Corp. | 29,265 | ||||||
38,000 | China Bills Finance Corp. | 17,883 | ||||||
94,000 | China Cinda Asset Management Co., Ltd., Class H | 30,158 | ||||||
18,000 | China Everbright, Ltd. | 33,001 | ||||||
27,500 | China Galaxy Securities Co. | 14,008 | ||||||
6,000 | Citic Securities Co., Ltd. | 11,934 | ||||||
5,798 | Coronation Fund Managers, Ltd. | 24,638 | ||||||
883 | Credit Analysis & Research, Ltd. | 16,159 | ||||||
264 | Crisil, Ltd. | 6,934 | ||||||
4,413 | Daewoo Securities Co., Ltd. | 33,674 | ||||||
1,533 | Daishin Securities Co., Ltd. | 16,067 | ||||||
10,902 | Edelweiss Financial Services, Ltd. | 46,801 | ||||||
16,800 | Haitong Securities Co., Ltd. | 16,909 | ||||||
2,603 | Hanwha Investment & Securities Co., Ltd.* | 6,061 | ||||||
4,000 | Huatai Securities Co., Ltd., Class H(a) | 6,343 | ||||||
4,088 | IIFL Holdings, Ltd. | 39,944 | ||||||
388 | Indiabulls Ventures, Ltd. | 1,590 | ||||||
2,072 | Indiabulls Ventures, Ltd. | 14,694 | ||||||
1,976 | Investec, Ltd. | 13,848 | ||||||
37,459 | Jih Sun Financial Holdings Co., Ltd. | 11,201 | ||||||
7,125 | JM Financial, Ltd. | 12,016 | ||||||
2,838 | JSE, Ltd. | 33,587 | ||||||
212 | KIWOOM Securities Co., Ltd. | 20,595 |
Continued
4
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
629 | Korea Investment Holdings Co., Ltd. | $ | 47,381 | |||||
474,500 | Kresna Graha Investama TBK PT* | 24,035 | ||||||
5,845 | Macquarie Korea Infrastructure Fund | 46,994 | ||||||
38,295 | MasterLink Securities Corp. | 13,498 | ||||||
6,404 | Meritz Securities Co., Ltd. | 20,366 | ||||||
388 | Motilal Oswal Financial Services, Ltd. | 4,380 | ||||||
2,377 | NH Investment & Securities Co., Ltd. | 31,813 | ||||||
11,682 | Peregrine Holdings, Ltd. | 18,351 | ||||||
27,367 | President Securities Corp.* | 13,324 | ||||||
852 | Samsung Securities Co., Ltd. | 26,518 | ||||||
22 | Shinyoung Securities Co., Ltd. | 1,119 | ||||||
19,330 | SK Securities Co., Ltd.* | 18,188 | ||||||
64,916 | Waterland Financial Holdings Co., Ltd. | 22,887 | ||||||
47,965 | Yuanta Financial Holding Co., Ltd. | 21,856 | ||||||
1,321 | Yuanta Securities Korea Co., Ltd.* | 4,358 | ||||||
|
| |||||||
925,361 | ||||||||
|
| |||||||
Chemicals (3.7%): | ||||||||
1,032 | Aarti Industries, Ltd. | 18,522 | ||||||
2,422 | AECI, Ltd. | 18,662 | ||||||
210 | AK Holdings, Inc. | 14,205 | ||||||
230 | Akzo Nobel India, Ltd. | 6,183 | ||||||
3,044 | Asian Paints, Ltd. | 56,130 | ||||||
374 | Atul, Ltd. | 14,475 | ||||||
2,900 | Batu Kawan Berhad | 12,856 | ||||||
2,536 | Berger Paints India, Ltd. | 10,395 | ||||||
4,552 | Castrol (India), Ltd. | 10,865 | ||||||
4,712 | Chambal Fertilizers and Chemicals, Ltd.* | 10,632 | ||||||
50,000 | China BlueChemical, Ltd., Class H | 18,285 | ||||||
20,000 | China General Plastics Corp. | 19,861 | ||||||
64,000 | China Man-Made Fiber Corp.* | 21,818 | ||||||
53,000 | China Petrochemical Development Corp.* | 22,581 | ||||||
3,000 | China Steel Chemical Corp. | 14,650 | ||||||
14,757 | China Synthetic Rubber Corp. | 22,610 | ||||||
752 | Ciech SA | 10,734 | ||||||
1,811 | Coromandel International, Ltd. | 10,389 | ||||||
87,100 | D&L Industries, Inc. | 16,587 | ||||||
2,475 | DCM Shriram, Ltd. | 10,680 | ||||||
1,084 | Dongjin Semichem Co., Ltd. | 11,889 | ||||||
23,000 | Dongyue Group, Ltd. | 19,259 | ||||||
668 | Ecopro Co., Ltd.* | 20,189 | ||||||
1,860 | EID Parry India, Ltd.* | 6,541 | ||||||
24,948 | Eternal Materials Co., Ltd. | 22,785 | ||||||
21,000 | Everlight Chemical Industrial Corp. | 12,808 | ||||||
543 | Finolex Industries, Ltd. | 4,578 | ||||||
2,397 | Foosung Co., Ltd.* | 22,125 | ||||||
23,000 | Formosa Chemicals & Fibre Corp. | 91,566 | ||||||
15,000 | Formosa Plastics Corp. | 55,313 | ||||||
7,290 | Formosan Rubber Group, Inc. | 3,466 | ||||||
27,000 | Fufeng Group, Ltd. | 12,137 | ||||||
22,000 | Grand Pacific Petrochemical Corp. | 21,118 | ||||||
1,098 | Grupa Azoty SA, ADR | 12,636 | ||||||
1,165 | Gujarat Alkalies & Chemicals | 9,029 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
697 | Gujarat Fluorochemicals, Ltd. | $ | 7,527 | |||||
1,377 | Gujarat Narmada Valley Fertilizers & Chemicals, Ltd.* | 8,077 | ||||||
1,843 | H.S. Industries Co., Ltd. | 13,202 | ||||||
140 | Hansol Chemical Co., Ltd. | 9,831 | ||||||
1,957 | Hanwha Chemical Corp. | 38,315 | ||||||
1,147 | Huchems Fine Chemical Corp. | 30,101 | ||||||
486 | Hyosung Corp.(b) | 58,438 | ||||||
944 | I G Petrochemicals, Ltd. | 6,846 | ||||||
12,400 | Indorama Ventures Public Co., Ltd. | 20,447 | ||||||
1,072 | Kansai Nerolac Paints, Ltd. | 6,915 | ||||||
478 | Kolon Industries, Inc. | 28,969 | ||||||
74 | Korea Petrochemical Industry Co., Ltd. | 16,612 | ||||||
179 | Kumho Petrochemical Co., Ltd. | 18,688 | ||||||
11,000 | LCY Chemical Corp. | 17,001 | ||||||
457 | LG Chem, Ltd. | 136,588 | ||||||
252 | Lotte Chemical Corp. | 78,586 | ||||||
23,536 | Mexichem SAB de C.V. | 68,016 | ||||||
21,000 | Nan Ya Plastics Corp. | 60,008 | ||||||
343 | OCI Co., Ltd. | 31,638 | ||||||
200 | OCI Materials Co., Ltd. | 32,081 | ||||||
2,670 | Omnia Holdings, Ltd. | 25,704 | ||||||
9,000 | Oriental Union Chemical Corp. | 9,703 | ||||||
18,756 | Petkim Petrokimya Holding AS | 19,788 | ||||||
24,700 | Petronas Chemicals Group Berhad | 51,404 | ||||||
828 | Phosagro OAO, GDR | 10,643 | ||||||
1,007 | PI Industries, Ltd. | 11,056 | ||||||
2,178 | Pidilite Industries, Ltd. | 33,798 | ||||||
148,100 | PT Barito Pacific Tbk | 20,444 | ||||||
18,400 | PTT Global Chemical Public Co., Ltd. | 40,505 | ||||||
1,592 | Rain Industries, Ltd. | 4,474 | ||||||
13,478 | Rashtriya Chemicals & Fertilizers, Ltd. | 13,928 | ||||||
614 | Samsung Fine Chemicals Co., Ltd. | 35,757 | ||||||
4,733 | Sasol, Ltd., ADR^ | 172,944 | ||||||
368 | Sasol, Ltd. | 13,443 | ||||||
11,600 | Scientex Berhad | 20,699 | ||||||
24,000 | Shinkong Synthetic Fibers Corp. | 9,244 | ||||||
418 | Sinopec Shanghai Petrochemical Co., Ltd., ADR | 25,072 | ||||||
20,964 | Sintex Plastics Technology, Ltd.* | 12,946 | ||||||
37 | SK Chemicals Co., Ltd. | 1,222 | ||||||
40 | SK Chemicals Co., Ltd.* | 3,331 | ||||||
638 | SKC Co., Ltd. | 24,675 | ||||||
379 | SKCKOLONPI, Inc. | 16,806 | ||||||
846 | Sociedad Quimica y Minera de Chile SA, ADR^ | 40,650 | ||||||
268 | Soulbrain Co., Ltd. | 14,874 | ||||||
1,005 | Supreme Industries, Ltd. | 16,586 | ||||||
10 | Taekwang Industrial Co., Ltd. | 12,434 | ||||||
14,000 | Taiwan Fertilizer Co., Ltd. | 19,213 | ||||||
22,000 | TSRC Corp. | 23,666 | ||||||
430 | Unid Co., Ltd. | 20,057 | ||||||
7,103 | UPL, Ltd.* | 64,097 | ||||||
33,660 | USI Corp. | 15,619 | ||||||
|
| |||||||
2,159,227 | ||||||||
|
|
Continued
5
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies (0.4%): | ||||||||
63 | 3M India, Ltd.* | $ | 18,055 | |||||
9,535 | Blue Label Telecoms, Ltd. | 7,196 | ||||||
32,000 | China Everbright International, Ltd. | 41,193 | ||||||
5,000 | Cleanaway Co., Ltd. | 31,317 | ||||||
4,137 | Country Garden Services Holdings Co., Ltd.*^ | 5,305 | ||||||
634 | KEPCO Plant Service & Engineering Co., Ltd. | 20,224 | ||||||
343 | Novus Holdings, Ltd. | 83 | ||||||
155 | S1 Corp. | 13,448 | ||||||
3,000 | Sunny Friend Environmental Technology Co., Ltd. | 21,147 | ||||||
9,000 | Taiwan Secom Co., Ltd. | 26,452 | ||||||
8,000 | Taiwan-Sogo ShinKong Security Corp. | 9,933 | ||||||
1,980 | Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA | 8,569 | ||||||
21,000 | YC Co., Ltd. | 13,701 | ||||||
|
| |||||||
216,623 | ||||||||
|
| |||||||
Communications Equipment (0.2%): | ||||||||
9,000 | Accton Technology Corp. | 25,991 | ||||||
1,000 | Advanced Ceramic X Corp. | 8,303 | ||||||
10,500 | BYD Electronic International Co., Ltd. | 14,151 | ||||||
69,600 | China Fiber Optic Network System Group, Ltd.*(b)(c) | 1,165 | ||||||
42,000 | D-Link Corp. | 19,126 | ||||||
13,000 | Sercomm Corp. | 30,207 | ||||||
1,467 | Sterlite Technologies, Ltd. | 5,886 | ||||||
1,416 | Texcell-NetCom Co., Ltd.* | 26,885 | ||||||
31,000 | Unizyx Holding Corp.* | 14,330 | ||||||
7,572 | Wistron NeWeb Corp. | 18,047 | ||||||
2,000 | Zinwell Corp. | 1,639 | ||||||
|
| |||||||
165,730 | ||||||||
|
| |||||||
Construction & Engineering (1.5%): | ||||||||
971 | Ashoka Buildcon, Ltd. | 3,235 | ||||||
28,000 | BES Engineering Corp. | 7,748 | ||||||
16,167 | Besalco SA | 14,857 | ||||||
515 | Budimex SA | 16,968 | ||||||
14,200 | CH Karnchang PCL | 10,237 | ||||||
46,000 | China Communications Construction Co., Ltd. | 44,202 | ||||||
21,000 | China Machinery Engineering Corp. | 10,021 | ||||||
16,500 | China Railway Contstruction Corp., Ltd. | 16,622 | ||||||
15,000 | China Railway Group, Ltd. | 11,277 | ||||||
15,600 | China Singyes Solar Technologies Holdings, Ltd. | 4,758 | ||||||
24,750 | China State Construction International Holdings, Ltd. | 25,279 | ||||||
16,000 | CTCI Corp. | 25,607 | ||||||
363 | Daelim Industrial Co., Ltd. | 24,902 | ||||||
3,859 | Daewoo Engineering & Construct* | 20,257 | ||||||
808 | Dilip Buildcon, Ltd.(a) | 7,822 | ||||||
102 | e Tec E&C, Ltd. | 13,207 | ||||||
104,100 | Ekovest Berhad | 17,022 | ||||||
37,002 | Empresas ICA SAB de C.V.* | 194 | ||||||
3,512 | Gayatri Highways, Ltd.* | 508 | ||||||
3,512 | Gayatri Projects, Ltd.* | 8,356 | ||||||
38,334 | GMR Infrastructure, Ltd.* | 8,547 | ||||||
1,205 | GS Engineering & Construction Corp. | 49,598 | ||||||
561 | HDC Hyundai Development Co.* | 27,134 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
401 | Hyandai Development Co. | $ | 10,280 | |||||
1,708 | Hyundai Engineering & Construction Co., Ltd. | 87,840 | ||||||
51,500 | IJM Corporation Berhad | 22,821 | ||||||
28,675 | Impulsora del Desarrollo y el Empleo en America Latina SAB de C.V.* | 43,961 | ||||||
3,941 | IRB Infrastructure Developers, Ltd. | 12,124 | ||||||
1,545 | Kalpataru Power Transmission, Ltd. | 9,035 | ||||||
6,030 | Larsen & Tourbo, Ltd., Class S, GDR | 110,478 | ||||||
87,600 | Malaysian Resources Corp. Berhad | 13,024 | ||||||
2,000 | Metallurgical Corporation of China, Ltd., Series H | 590 | ||||||
20,858 | Murray & Roberts Holdings, Ltd. | 26,628 | ||||||
10,799 | NCC, Ltd. | 15,118 | ||||||
117,918 | PT Pembangunan Perumahan Persero Tbk | 16,377 | ||||||
211,300 | PT Surya Semesta Internusa Tbk | 8,321 | ||||||
105,000 | PT Wijaya Karya Persero Tbk | 9,698 | ||||||
59,000 | Rich Development Co., Ltd. | 20,115 | ||||||
4,248 | Sadbhav Engineering, Ltd. | 17,771 | ||||||
9,994 | Salfacorp SA | 15,462 | ||||||
25,000 | Sinopec Engineering Group Co., Ltd. | 26,063 | ||||||
2,990 | Sunway Construction Group Berhad | 1,341 | ||||||
1,031 | Taeyoung Engineering & Construction | 12,795 | ||||||
6,217 | Tekfen Holding AS | 23,482 | ||||||
24,900 | Unique Engineering & Construction Public Co., Ltd. | 8,272 | ||||||
4,000 | United Integrated Services Co., Ltd. | 8,722 | ||||||
81,300 | Waskita Karya Persero TBK PT | 10,895 | ||||||
27,762 | WCT Holdings Berhad | 5,558 | ||||||
2,230 | Wilson Bayly Holmes-Ovcon, Ltd. | 24,284 | ||||||
|
| |||||||
929,413 | ||||||||
|
| |||||||
Construction Materials (1.1%): | ||||||||
669 | ACC, Ltd. | 13,074 | ||||||
2,920 | Ambuja Cements, Ltd. | 8,834 | ||||||
5,000 | Anhui Conch Cement Co., Ltd. | 28,403 | ||||||
35,000 | Asia Cement Corp. | 38,420 | ||||||
37,000 | BBMG Corp. | 13,592 | ||||||
19,500 | Cahya Mata Sarawak Berhad | 11,352 | ||||||
6,902 | Cemex Latam Holdings SA* | 19,557 | ||||||
7,194 | Cemex SAB de C.V., ADR* | 47,192 | ||||||
48,000 | China National Buildings Material Co., Ltd. | 47,288 | ||||||
22,000 | China Resources Cement Holdings, Ltd. | 22,144 | ||||||
2,324 | Cimsa Cimento Sanayi ve Ticaret AS | 5,522 | ||||||
568 | Dalmia Bharat, Ltd. | 18,890 | ||||||
63,000 | Goldsun Building Materials Co., Ltd.* | 19,374 | ||||||
1,359 | Grasim Industries, Ltd. | 19,947 | ||||||
1,641 | Grupo Argos SA | 9,972 | ||||||
3,900 | Grupo Cementos de Chihuahua Sab de C.V. | 25,250 | ||||||
167 | Hanil Cement Co., Ltd. | 21,498 | ||||||
27,300 | Holcim Philippines, Inc. | 3,736 | ||||||
22 | Hyundai Cement Co.* | 1,224 | ||||||
4,060 | India Cements, Ltd. | 6,257 | ||||||
673 | JK Cement, Ltd.* | 8,539 | ||||||
9,900 | Lafarge Malaysia Berhad* | 7,592 | ||||||
58,455 | PPC, Ltd.* | 30,828 |
Continued
6
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction Materials, continued | ||||||||
13,900 | PT Indocement Tunggal Prakarsa Tbk | $ | 13,215 | |||||
36,400 | PT Semen Indonesia (Persero) Tbk | 18,080 | ||||||
395,200 | PT Waskita Beton Precast Tbk | 10,074 | ||||||
34 | Shree Cement, Ltd. | 7,713 | ||||||
19 | Siam City Cement Public Co., Ltd. | 115 | ||||||
36,000 | Taiwan Cement Corp. | 49,976 | ||||||
1,782 | The Ramco Cements, Ltd. | 18,260 | ||||||
4,300 | The Siam Cement Public Co., Ltd. | 53,731 | ||||||
7,780 | Tongyang, Inc. | 13,638 | ||||||
142,600 | TPI Polene Public Co., Ltd. | 7,231 | ||||||
345 | Ultra Tech Cement, Ltd. | 19,203 | ||||||
11,443 | Universal Cement Corp. | 7,544 | ||||||
|
| |||||||
647,265 | ||||||||
|
| |||||||
Consumer Finance (0.4%): | ||||||||
4,100 | AEON Credit Service M BHD | 14,565 | ||||||
720 | Bajaj Finance, Ltd. | 24,090 | ||||||
165 | Bharat Financial Inclusion, Ltd.* | 2,783 | ||||||
1,439 | Cholamandalam Investment And Finance Co., Ltd. | 31,736 | ||||||
13,000 | Gentera SAB de C.V. | 11,458 | ||||||
523 | Kruk SA | 27,925 | ||||||
3,800 | Krungthai Card Public Co., Ltd. | 40,296 | ||||||
6,036 | Magma Fincorp, Ltd. | 14,321 | ||||||
3,968 | Mahindra & Mahindra Financial Services | 27,158 | ||||||
9,321 | Manappuram Finance, Ltd. | 13,385 | ||||||
18,800 | Muangthai Capital PCL | 18,713 | ||||||
2,075 | Muthoot Finance, Ltd. | 11,483 | ||||||
3,693 | Reliance Home Finance, Ltd.* | 3,230 | ||||||
130 | Repco Home Finance, Ltd. | 1,048 | ||||||
209 | Samsung Card Co., Ltd. | 7,176 | ||||||
680 | Shriram City Union Finance, Ltd. | 20,089 | ||||||
1,293 | Shriram Transport Finance | 24,517 | ||||||
9,711 | Srisawad Corp. Public Co., Ltd., Class F | 8,636 | ||||||
188 | Sundaram Finance Holdings, Ltd.* | 329 | ||||||
188 | Sundaram Finance, Ltd. | 4,386 | ||||||
5,000 | Taiwan Acceptance Corp. | 19,420 | ||||||
9,089 | Transaction Capital, Ltd. | 11,319 | ||||||
|
| |||||||
338,063 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
44,000 | Cheng Loong Corp. | 24,734 | ||||||
244 | Dongwon Systems Corp. | 7,376 | ||||||
5,436 | Essel Propack, Ltd. | 9,388 | ||||||
17,000 | Greatview Aspetic Packaging Co., Ltd. | 10,128 | ||||||
5,100 | Klabin SA | 25,691 | ||||||
5,174 | Mpact, Ltd. | 8,802 | ||||||
15,000 | Taiwan Hon Chuan Enterprise Co., Ltd. | 26,414 | ||||||
3,160 | Time Technoplast, Ltd. | 5,395 | ||||||
|
| |||||||
117,928 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
4,741 | Imperial Holdings, Ltd. | 67,666 | ||||||
133 | Inter Cars SA | 8,791 | ||||||
|
| |||||||
76,457 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services (0.2%): | ||||||||
7,283 | Advtech, Ltd. | $ | 8,314 | |||||
3,718 | Estacio Participacoes SA | 23,383 | ||||||
18,000 | Fu Shou Yuan International Group, Ltd. | 20,225 | ||||||
14,587 | Kroton Educacional SA | 35,197 | ||||||
297 | New Oriental Education & Technology Group, Inc., ADR | 28,114 | ||||||
1,200 | TAL Education Group, ADR* | 44,160 | ||||||
|
| |||||||
159,393 | ||||||||
|
| |||||||
Diversified Financial Services (0.9%): | ||||||||
1,902 | Aditya Birla Capital, Ltd.* | 3,694 | ||||||
1,970 | Ayala Corp. | 33,962 | ||||||
533 | Bajaj Holdings And Investment, Ltd. | 22,429 | ||||||
18,680 | Chailease Holding Co., Ltd. | 61,206 | ||||||
30,000 | Far East Horizon, Ltd. | 29,062 | ||||||
37,551 | FirstRand, Ltd. | 174,713 | ||||||
47,000 | Fubon Financial Holdings Co., Ltd. | 78,717 | ||||||
824 | Grupo de Inversiones Suramericana SA | 10,577 | ||||||
1,346 | Grupo de Inversiones Suramericana SA | 16,423 | ||||||
945 | GT Capital Holdings, Inc. | 16,117 | ||||||
8,059 | IDFC, Ltd. | 5,429 | ||||||
7,641 | IFCI, Ltd.* | 1,655 | ||||||
1,006 | Inversiones La Construccion SA | 15,917 | ||||||
9,907 | L&t Finance Holdings, Ltd. | 21,912 | ||||||
348 | Meritz Financial Group, Inc. | 4,181 | ||||||
232,500 | Metro Pacific Investments Corp. | 20,042 | ||||||
422 | NICE Holdings Co., Ltd. | 6,303 | ||||||
17,218 | Power Finance Corp., Ltd. | 19,408 | ||||||
1,427 | PSG Group, Ltd. | 22,478 | ||||||
3,693 | Reliance Capital, Ltd. | 20,868 | ||||||
13,298 | Rural Electrification Corp., Ltd. | 20,278 | ||||||
2,402 | SREI Infrastucture Finance, Ltd. | 2,174 | ||||||
|
| |||||||
607,545 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.2%): | ||||||||
63,000 | Asia Pacific Telecom Co., Ltd.* | 16,545 | ||||||
33,142 | Axtel SAB de C.V.* | 6,627 | ||||||
5,126 | Bharti Infratel, Ltd. | 22,476 | ||||||
34,000 | China Communications Services Corp., Ltd. | 21,519 | ||||||
637 | China Telecom Corp., Ltd., ADR | 29,575 | ||||||
18,000 | China Telecom Corp., Ltd., Class H | 8,394 | ||||||
64,000 | China Unicom (Hong Kong), Ltd. | 79,468 | ||||||
3,099 | Chunghwa Telecom Co., Ltd., ADR | 111,316 | ||||||
70,754 | Jasmine International Public Co., Ltd. | 9,223 | ||||||
4,168 | LG Uplus Corp. | 52,377 | ||||||
15,298 | Magyar Telekom Telecommunications plc | 21,845 | ||||||
5,388 | Netia SA* | 7,257 | ||||||
1,985 | O2 Czech Republic AS | 22,807 | ||||||
8,635 | Orange Polska SA* | 10,690 | ||||||
36,100 | PT Link Net Tbk | 11,073 | ||||||
4,442 | PT Telekomunik Indonesia Persero Tbk, ADR | 115,536 | ||||||
78,300 | PT Tower Bersama Infrastructure Tbk | 27,252 | ||||||
2,225 | Rostelecom, ADR | 15,601 | ||||||
5,200 | Samart Telcoms Public Co., Ltd. | 1,209 |
Continued
7
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
939 | Tata Communications, Ltd.* | $ | 8,118 | |||||
3,362 | Telefonica Brasil SA, ADR^ | 39,907 | ||||||
21,900 | Telekom Malaysia Berhad | 16,849 | ||||||
8,132 | Telkom SA SOC, Ltd. | 29,091 | ||||||
1,800 | TIME dotCom Berhad | 3,406 | ||||||
166,924 | True Corp. Public Co., Ltd. | 26,721 | ||||||
|
| |||||||
714,882 | ||||||||
|
| |||||||
Electric Utilities (1.7%): | ||||||||
3,233 | Adani Transmission, Ltd.* | 7,359 | ||||||
2,000 | Alupar Investimento SA | 7,845 | ||||||
6,634 | Celsia SA ESP | 10,520 | ||||||
3,489 | Centrais Electricas Brasileiras SA, ADR*^ | 11,200 | ||||||
3,266 | Centrais Electricas Brasileiras SA, ADR*^ | 11,464 | ||||||
1,597 | CESC, Ltd. | 21,239 | ||||||
1,970 | CEZ | 46,755 | ||||||
14,978 | Companhia Energetica de Minas Gerais, ADR | 27,560 | ||||||
8,745 | E.CL SA | 16,073 | ||||||
4,866 | EDP — Energias do Brasil SA | 17,229 | ||||||
9,559 | Enea SA | 23,322 | ||||||
4,132 | Energa SA | 9,857 | ||||||
2,700 | Energisa SA | 20,367 | ||||||
9,155 | Enersis Chile SA, ADR | 44,676 | ||||||
10,156 | Enersis SA, ADR | 89,475 | ||||||
4,700 | Equatorial Energia SA | 68,989 | ||||||
10,230 | First Philippine Holdings Corp. | 11,704 | ||||||
8,067 | Interconexion Electrica SA ESP | 39,932 | ||||||
4,834 | Korea Electric Power Corp., ADR | 69,320 | ||||||
2,200 | Light SA | 6,370 | ||||||
2,100 | Manila Electric Co. | 13,988 | ||||||
14,679 | PGE SA* | 36,589 | ||||||
16,884 | Power Grid Corp. of India, Ltd. | 46,022 | ||||||
3,165 | Reliance Infrastructure, Ltd. | 18,072 | ||||||
24,460 | Tata Power Co., Ltd. | 26,149 | ||||||
39,533 | Tauron Polska Energia SA* | 24,156 | ||||||
27,000 | Tenega Nasional Berhad | 97,906 | ||||||
2,361 | Torrent Power, Ltd. | 7,820 | ||||||
7,240 | Transmissora Alianca de Energia Eletrica SA | 35,088 | ||||||
|
| |||||||
867,046 | ||||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
14,000 | AcBel Polytech, Inc. | 8,696 | ||||||
947 | Amara Raja Batteries, Ltd. | 10,032 | ||||||
15,397 | Bharat Heavy Electricals, Ltd. | 16,117 | ||||||
4,083 | Bizlink Holdings, Inc. | 28,671 | ||||||
16,000 | Chung-Hsin Electric & Machinery Manufacturing Corp. | 11,027 | ||||||
10,196 | Crompton Greaves, Ltd.* | 8,318 | ||||||
1,407 | Doosan Heavy Industries & Construction Co., Ltd.* | 19,734 | ||||||
1,360 | Finolex Cables, Ltd. | 11,541 | ||||||
1,685 | GE T&D India, Ltd. | 7,128 | ||||||
2,971 | Havells India, Ltd. | 23,546 | ||||||
38 | Hyundai Electric & Energy Systems Co., Ltd.* | 2,389 | ||||||
6,000 | Jiangnan Group, Ltd. | 354 | ||||||
203 | Korea Electric Terminal Co., Ltd. | 7,993 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
3,000 | Kung Long Batteries Industrial Co., Ltd. | $ | 14,267 | |||||
451 | LG Industrial Systems Co., Ltd. | 28,494 | ||||||
412 | LS Corp. | 27,699 | ||||||
1,000 | Shihlin Electric & Engineering Corp. | 1,354 | ||||||
88,553 | Suzlon Energy, Ltd.* | 9,686 | ||||||
34,000 | Teco Electric & Machinery Co., Ltd. | 25,518 | ||||||
856 | Unison Co., Ltd.* | 1,899 | ||||||
2,829 | V-Guard Industries, Ltd. | 8,092 | ||||||
68,000 | Walsin Lihwa Corp. | 46,186 | ||||||
7,500 | Zhuzhou CSR Times Electric Co., Ltd. | 35,563 | ||||||
|
| |||||||
354,304 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (4.5%): | ||||||||
5,000 | AAC Technologies Holdings, Inc. | 69,971 | ||||||
468 | Amotech Co., Ltd.* | 13,814 | ||||||
8,000 | Asia Optical Co., Inc. | 24,621 | ||||||
23,085 | AU Optronics Corp., ADR^ | 97,651 | ||||||
1,223 | BH Co., Ltd.* | 26,770 | ||||||
3,570 | Career Technology(MFG.) Co., Ltd. | 7,335 | ||||||
4,000 | Chaun-Choung Technology Corp. | 11,478 | ||||||
13,000 | Cheng Uei Precision Industry Co., Ltd. | 13,871 | ||||||
7,000 | Chilisin Electronics Corp. | 40,916 | ||||||
13,000 | Chin-Poon Industrial Co., Ltd. | 16,436 | ||||||
1,000 | Chunghwa Precision Test Tech Co., Ltd. | 26,428 | ||||||
24,000 | Compeq Manufacturing Co., Ltd. | 25,431 | ||||||
24,800 | Coretronic Corp. | 34,576 | ||||||
1,449 | Daeduck Electronics Co., Ltd. | 10,852 | ||||||
932 | Daeduck GDS Co., Ltd. | 11,150 | ||||||
10,600 | Delta Electronics (Thailand) Public Co., Ltd. | 18,694 | ||||||
13,682 | Delta Electronics, Inc. | 49,096 | ||||||
5,000 | Egis Technology, Inc. | 23,254 | ||||||
6,000 | Elite Material Co., Ltd. | 15,693 | ||||||
8,597 | Flexium Interconnect, Inc. | 26,474 | ||||||
2,000 | Flytech Technology Co., Ltd. | 5,128 | ||||||
4,000 | General Interface Solution Holding, Ltd. | 25,930 | ||||||
3,000 | Genius Electronic Optical Co., Ltd.* | 47,002 | ||||||
36,000 | Giantplus Technology Co., Ltd. | 16,524 | ||||||
119,000 | HannStar Display Corp. | 35,597 | ||||||
118,800 | Hon Hai Precision Industry Co., Ltd. | 324,915 | ||||||
83,625 | Inari Amertron Berhad | 46,642 | ||||||
198,000 | Innolux Corp. | 71,072 | ||||||
10,000 | ITEQ Corp. | 23,279 | ||||||
32,000 | JU Teng International Holdings, Ltd. | 5,298 | ||||||
19,000 | KCE Electronics PCL | 21,809 | ||||||
14,000 | Kingboard Chemical Holdings, Ltd. | 50,663 | ||||||
25,000 | Kingboard Laminates Holdings, Ltd. | 30,577 | ||||||
467 | L&F Co., Ltd. | 21,206 | ||||||
1,000 | Largan Precision Co., Ltd. | 147,018 | ||||||
16,250 | LG Display Co., Ltd., ADR^ | 133,901 | ||||||
266 | LG Innotek Co., Ltd. | 34,382 | ||||||
2,000 | Merry Electronics Co., Ltd. | 8,709 | ||||||
16,000 | Pan-International Industrial Corp. | 11,273 | ||||||
2,794 | Partron Co., Ltd. | 17,790 |
Continued
8
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
1,019 | Posiflex Technology, Inc. | $ | 3,876 | |||||
4,974 | Redington India, Ltd. | 7,942 | ||||||
292 | Samsung Electro-Mechanics Co., Ltd., Series L | 38,830 | ||||||
460 | Samsung SDI Co., Ltd. | 88,278 | ||||||
548 | Samwha Capacitor Co., Ltd. | 42,995 | ||||||
520 | Sfa Engineering Corp. | 15,270 | ||||||
5,400 | Simplo Technology Co., Ltd. | 31,679 | ||||||
10,299 | Sinbon Electronics Co., Ltd. | 28,121 | ||||||
4,900 | Sunny Optical Technology Group Co., Ltd. | 90,102 | ||||||
22,000 | Supreme Electronics Co., Ltd. | 24,695 | ||||||
23,100 | Synnex Technology International Corp. | 34,884 | ||||||
14,000 | Taiflex Scientific Co., Ltd. | 19,319 | ||||||
13,000 | Taiwan PCB Techvest Co., Ltd. | 12,147 | ||||||
6,000 | Taiwan Union Technology Corp. | 21,135 | ||||||
2,000 | Test Research, Inc. | 4,103 | ||||||
7,000 | Thinking Electronic Industrial Co., Ltd. | 20,470 | ||||||
4,000 | Tong Hsing Electronic Industries, Ltd. | 13,891 | ||||||
100,000 | Tongda Group Holdings, Ltd. | 20,239 | ||||||
12,000 | TPK Holding Co., Ltd.* | 25,320 | ||||||
8,000 | Tripod Technology Corp. | 21,977 | ||||||
42,000 | Truly International Holdings, Ltd., Series L* | 8,015 | ||||||
4,000 | TXC Corp. | 5,004 | ||||||
35,000 | Unimicron Technology Corp. | 18,686 | ||||||
32,625 | V.S. Industry Berhad | 12,491 | ||||||
2,000 | Waison Group Holdings, Ltd. | 1,086 | ||||||
20,000 | Weikeng Industrial Co., Ltd. | 14,821 | ||||||
1,404 | Wisol Co., Ltd. | 17,497 | ||||||
27,000 | WPG Holdings, Ltd. | 38,235 | ||||||
24,531 | WT Microelectronics Co., Ltd. | 35,757 | ||||||
2,627 | Yageo Corp. | 96,846 | ||||||
9,000 | Zhen Ding Technology Holding, Ltd. | 19,880 | ||||||
|
| |||||||
2,476,817 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
91,600 | Bumi Armada Berhad* | 16,321 | ||||||
96,600 | Sapurakencana Petroleum Berhad* | 15,205 | ||||||
25,100 | Serba Dinamik Holdings Berhad | 20,171 | ||||||
11,900 | Yinson Holdings BHD | 13,461 | ||||||
|
| |||||||
65,158 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.0%): | ||||||||
1,733 | Korea Asset In Trust Co., Ltd. | 7,733 | ||||||
|
| |||||||
Food & Staples Retailing (1.9%): | ||||||||
2,431 | Almacenes Exito SA | 13,444 | ||||||
17 | BGF Retail Co., Ltd. | 165 | ||||||
9 | BGF Retail Co., Ltd. | 1,576 | ||||||
2,894 | Bid Corp., Ltd. | 58,096 | ||||||
2,846 | BIM Birlesik Magazalar AS | 41,622 | ||||||
13,535 | Cencosud SA | 33,480 | ||||||
91 | CJ Freshway Corp. | 2,644 | ||||||
3,904 | Clicks Group, Ltd. | 55,892 | ||||||
2,733 | Companhia Brasileira de Distribuicao Grupo Pao de Acucar, ADR | 54,606 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
30,500 | CP ALL Public Co., Ltd. | $ | 67,645 | |||||
6,717 | Dis-Chem Pharmacies, Ltd.(a) | 12,815 | ||||||
183 | E-Mart Co., Ltd. | 41,766 | ||||||
12,811 | Grupo Comercial Chedraui SAB de C.V. | 29,680 | ||||||
245 | GS Retail Co., Ltd. | 9,659 | ||||||
1,487 | Hyundai Greenfood Co., Ltd. | 19,006 | ||||||
15,227 | La comer,SAB de C.V.* | 15,928 | ||||||
5,081 | Lenta, Ltd., GDR* | 27,978 | ||||||
3,556 | Massmart Holdings, Ltd. | 28,889 | ||||||
9,708 | Organizacion Soriana SAB de C.V.* | 17,132 | ||||||
6,768 | Pickn Pay Stores, Ltd. | 37,043 | ||||||
8,000 | President Chain Store Corp. | 90,576 | ||||||
16,000 | Puregold Price Club, Inc. | 13,970 | ||||||
3,063 | Raia Drogasil SA | 51,782 | ||||||
5,540 | Robinsons Retail Holdings, Inc. | 8,249 | ||||||
6,474 | Shoprite Holdings, Ltd. | 103,864 | ||||||
39,000 | Sun Art Retail Group, Ltd. | 50,802 | ||||||
16,000 | Taiwan Tea Corp. | 7,870 | ||||||
3,784 | The Spar Group, Ltd. | 51,134 | ||||||
34,239 | Wal-Mart de Mexico SAB de C.V. | 90,394 | ||||||
1,349 | X5 Retail Group NV, GDR | 35,707 | ||||||
|
| |||||||
1,073,414 | ||||||||
|
| |||||||
Food Products (2.9%): | ||||||||
1,544 | Astral Foods, Ltd. | 32,112 | ||||||
8,544 | AVI, Ltd. | 67,376 | ||||||
253 | Binggrae Co., Ltd. | 13,629 | ||||||
1,891 | BRF SA, ADR* | 8,850 | ||||||
518 | Britannia Industries, Ltd. | 46,959 | ||||||
2,240 | CCL Products India, Ltd. | 8,830 | ||||||
38,900 | Century Pacific Food, Inc. | 11,667 | ||||||
12,000 | Charoen Pokphand Enterprise | 23,648 | ||||||
48,200 | Charoen Pokphand Foods Public Co., Ltd. | 35,224 | ||||||
55,000 | China Agri-Industries Holdings, Ltd. | 20,986 | ||||||
44,000 | China Foods, Ltd. | 22,769 | ||||||
9,000 | China Mengniu Dairy Co., Ltd. | 30,354 | ||||||
65,000 | China Shengmu Organic Milk, Ltd.*(a) | 5,618 | ||||||
198 | CJ CheilJedang Corp. | 62,576 | ||||||
7,073 | Clover Industries, Ltd. | 8,433 | ||||||
603 | Daesang Corp. | 14,358 | ||||||
38 | Dongwon Industries Co., Ltd. | 11,653 | ||||||
3,401 | Easy Bio, Inc. | 25,513 | ||||||
53,000 | Felda Global Ventures Holdings | 19,784 | ||||||
41,500 | GFPT Public Co., Ltd. | 15,028 | ||||||
65 | Glaxo SmithKline Consumer Healthcare, Ltd. | 6,167 | ||||||
26,000 | Great Wall Enterprise Co., Ltd. | 34,735 | ||||||
3,148 | Gruma, SAB de C.V., Class B | 38,456 | ||||||
9,603 | Grupo Bimbo SAB de C.V., Series A | 18,722 | ||||||
7,929 | Grupo Herdez SAB de C.V. | 16,509 | ||||||
1,920 | Grupo Nutresa SA | 17,697 | ||||||
3,000 | Health And Happiness H&H International Holdings, Ltd.* | 20,647 | ||||||
2,438 | Industrias Bachoco, SAB de C.V. | 11,688 |
Continued
9
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
31,300 | IOI Corp. Berhad | $ | 35,192 | |||||
21,400 | JBS SA | 50,807 | ||||||
2,092 | Kernel Holding SA | 26,564 | ||||||
2,569 | KRBL, Ltd. | 12,630 | ||||||
4,800 | Kuala Lumpur Kepong Berhad | 28,720 | ||||||
11,147 | Lien Hwa Industrial Corp. | 13,799 | ||||||
51,844 | Multiexport Foods SA | 22,714 | ||||||
3,000 | Namchow Chemical Industrial Co., Ltd. | 5,982 | ||||||
20 | Namyang Dairy Products Co., Ltd. | 11,546 | ||||||
240 | Nestle India, Ltd. | 34,352 | ||||||
50 | NongShim Co., Ltd. | 14,572 | ||||||
1,981 | Oceana Group, Ltd. | 11,416 | ||||||
89 | Orion Corp. | 11,887 | ||||||
1,517 | Pioneer Foods, Ltd. | 12,385 | ||||||
2,800 | PPB Group Berhad | 13,634 | ||||||
24,688 | PT Astra Agro Lestari Tbk | 19,288 | ||||||
96,300 | PT Charoen Pokphand Indonesia Tbk | 24,705 | ||||||
2,000 | PT Indofood CBP Sukses Makmur Tbk | 1,234 | ||||||
147,200 | PT Indofood Sukses Makmur Tbk | 68,286 | ||||||
163,300 | PT Japfa Comfeed Indonesia Tbk | 18,280 | ||||||
111,700 | PT Sawit Sumbermas Sarana Tbk | 9,898 | ||||||
33,700 | PT Tiga Pilar Sejahtera Food Tbk* | 573 | ||||||
140,300 | PT Tunas Baru Lampung Tbk | 8,660 | ||||||
128,100 | PT Ultrajaya Milk Industry & Trading Co. Tbk | 12,092 | ||||||
1,800 | Qinqin Foodstuffs Group* | 545 | ||||||
11,320 | QL Resources Berhad | 16,816 | ||||||
137 | Samyang Corp. | 10,077 | ||||||
118 | Samyang Holdings Corp. | 12,565 | ||||||
11,600 | San Miguel Food And Beverage, Inc. | 12,989 | ||||||
3,900 | Sao Martinho SA | 17,895 | ||||||
21,995 | Sime Darby Plantation Berhad | 29,013 | ||||||
1,600 | SLC Agricola SA | 21,075 | ||||||
7,619 | Standard Foods Corp. | 15,412 | ||||||
10,893 | Tata Global Beverages, Ltd. | 42,783 | ||||||
48,000 | Thai Union Group Public Co., Ltd. | 22,888 | ||||||
25,300 | Thai Vegetable Oil Public Co., Ltd. | 20,243 | ||||||
1,525 | Tiger Brands, Ltd. | 36,891 | ||||||
24,000 | Tingyi (Caymen Is) Holding Corp. | 55,643 | ||||||
1,918 | Tongaat Hulett, Ltd. | 11,196 | ||||||
57,600 | Uni-President Enterprises Corp. | 146,103 | ||||||
12,130 | Universal Robina Corp. | 27,510 | ||||||
51,000 | Want Want China Holdings, Ltd. | 45,059 | ||||||
7,000 | Yihai International Holding, Ltd. | 13,332 | ||||||
|
| |||||||
1,677,239 | ||||||||
|
| |||||||
Gas Utilities (0.7%): | ||||||||
16,800 | China Gas Holdings, Ltd. | 67,486 | ||||||
36,000 | China Oil & Gas Group, Ltd. | 2,791 | ||||||
12,000 | China Resources Gas Group, Ltd. | 51,868 | ||||||
410 | Cia de Gas de Sao Paulo | 6,281 | ||||||
7,000 | ENN Energy Holdings, Ltd. | 68,745 | ||||||
1,212 | GAIL India, Ltd., GDR | 35,321 | ||||||
780 | Gujarat Gas, Ltd. | 8,303 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities, continued | ||||||||
1,851 | Gujarat State Petronet, Ltd. | $ | 4,858 | |||||
5,365 | Infraestructura Energetica Nova, SAB de C.V. | 24,051 | ||||||
501 | Korea Gas Corp.* | 28,841 | ||||||
7,600 | Petronas Gas Berhad | 32,497 | ||||||
130,200 | PT Perusahaan Gas Negara Tbk | 18,063 | ||||||
118 | Samchully Co., Ltd. | 11,852 | ||||||
20,000 | Towngas China Co., Ltd. | 19,385 | ||||||
|
| |||||||
380,342 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
44 | Dio Corp.* | 1,422 | ||||||
13,600 | Hartalega Holdings Berhad | 20,169 | ||||||
9,500 | Kossan Rubber Industries Berhad | 19,838 | ||||||
26,000 | Lifetech Scientific Corp.* | 8,158 | ||||||
348 | Osstem Implant Co., Ltd.* | 15,878 | ||||||
12,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 8,481 | ||||||
1,000 | St.Shine Optical Co., Ltd. | 22,864 | ||||||
13,100 | Top Glove Corp. Berhad | 39,274 | ||||||
357 | Vieworks Co., Ltd. | 9,765 | ||||||
|
| |||||||
145,849 | ||||||||
|
| |||||||
Health Care Providers & Services (0.6%): | ||||||||
1,802 | Apollo Hospitals Enterprise, Ltd. | 27,506 | ||||||
39,600 | Bangkok Chain Hospital Public Co., Ltd. | 18,296 | ||||||
5,800 | Bumrungrad Hospital Public Co., Ltd. | 29,160 | ||||||
93,300 | Chularat Hospital Public Co., Ltd. | 5,852 | ||||||
295 | Dr Lal PathLabs, Ltd.(a) | 4,124 | ||||||
2,700 | Fleury SA | 18,478 | ||||||
4,322 | Fortis Healthcare, Ltd.* | 8,482 | ||||||
33,917 | Life Healthcare Group Holdings Pte, Ltd. | 61,518 | ||||||
16,373 | Netcare, Ltd. | 32,966 | ||||||
6,700 | OdontoPrev SA | 22,823 | ||||||
5,066 | Qualicorp SA | 24,056 | ||||||
6,700 | Shanghai Pharmaceuticals Holding Co., Ltd. | 18,400 | ||||||
13,600 | Sinopharm Group Co., Series H | 54,557 | ||||||
11,500 | Universal Medical Financial & Technical Advisory Services Co., Ltd.(a) | 9,148 | ||||||
|
| |||||||
335,366 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.2%): | ||||||||
9,784 | Alsea SAB de C.V. | 33,715 | ||||||
34,444 | Berjaya Sports Toto Berhard | 20,862 | ||||||
13,000 | Central Plaza Hotel Public Co., Ltd. | 16,862 | ||||||
56,000 | China Travel International Investment Hong Kong, Ltd. | 21,786 | ||||||
2,525 | City Lodge Hotels, Ltd. | 26,120 | ||||||
4,276 | Cox & Kings, Ltd. | 13,044 | ||||||
3,400 | Cvc Brasil Operadora E Agenc | 39,458 | ||||||
90,300 | Erawan Group PCL | 17,158 | ||||||
1,391 | Famous Brands, Ltd.* | 11,496 | ||||||
38,300 | Genting Berhard | 79,699 | ||||||
15,400 | Genting Malaysia Berhad | 18,582 | ||||||
1,435 | Gourmet Master Co., Ltd. | 13,878 | ||||||
694 | Grand Korea Leisure Co., Ltd. | 16,207 |
Continued
10
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
179 | Hana Tour Service, Inc. | $ | 14,022 | |||||
8,400 | Hoteles City Express SAB de CV* | 8,977 | ||||||
4,874 | Indian Hotels Co., Ltd. | 9,381 | ||||||
4,200 | International Meal Co. A | 8,671 | ||||||
6,770 | Jollibee Foods Corp. | 33,371 | ||||||
2,340 | Jubilant Foodworks, Ltd. | 47,310 | ||||||
884 | Kangwon Land, Inc. | 20,731 | ||||||
31,800 | Magnum Berhad | 16,437 | ||||||
73,800 | Melco Resorts And Entertainment Philippines Corp.* | 7,187 | ||||||
11,100 | MINI International Public Co., Ltd. | 10,867 | ||||||
301 | Modetour Network, Inc. | 7,340 | ||||||
531 | Orbis SA | 12,561 | ||||||
353 | Paradise Co., Ltd. | 5,709 | ||||||
46,000 | Shanghai Jin Jiang International Hotels Group Co. | 18,564 | ||||||
5,781 | Sun International, Ltd.* | 25,813 | ||||||
15,271 | Tsogo Sun Holdings, Ltd. | 22,813 | ||||||
2,000 | Wowprime Corp. | 5,895 | ||||||
3,500 | Xiabuxiabu Catering Management(a) | 7,627 | ||||||
1,154 | Yum China Holdings, Inc. | 44,383 | ||||||
|
| |||||||
656,526 | ||||||||
|
| |||||||
Household Durables (0.8%): | ||||||||
30,000 | Ability Enterprise Co., Ltd. | 16,129 | ||||||
392 | Amica Wronki SA | 11,386 | ||||||
11,000 | Amtran Technology Co., Ltd. | 4,977 | ||||||
5,000 | Basso Industry Corp. | 10,667 | ||||||
29,815 | Consorcio ARA SAB de CV | 10,136 | ||||||
1,335 | Construtora Tenda SA* | 8,217 | ||||||
589 | Coway Co., Ltd. | 45,759 | ||||||
10,196 | Crompton Greaves Consumer Electricals, Ltd. | 33,633 | ||||||
7,200 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 20,402 | ||||||
2,300 | Even Construtora e Incorporadora SA* | 2,166 | ||||||
3,500 | Ez Tec Empreendimentos e Participacoes SA | 14,452 | ||||||
2,801 | Gafisa SA* | 7,467 | ||||||
11,000 | Haier Electronics Group Co., Ltd. | 37,598 | ||||||
121 | Hanssem Co., Ltd. | 11,395 | ||||||
49 | Hyundai Livart Furniture Co., Ltd. | 1,002 | ||||||
249 | Johnson Controls-Hitachi Air Conditioning India, Ltd. | 8,699 | ||||||
27,000 | Kinpo Electronics, Inc. | 8,810 | ||||||
1,783 | LG Electronics, Inc. | 132,391 | ||||||
19,600 | Megawide Construction Corp. | 7,365 | ||||||
8,200 | MRV Engenharia e Participacoes SA | 25,329 | ||||||
3,000 | Nien Made Enterprise Co., Ltd. | 25,615 | ||||||
44,771 | Skyworth Digital Holdings, Ltd. | 19,918 | ||||||
23,334 | Steinhoff International Holdings NV* | 2,193 | ||||||
27,000 | Tatung Co., Ltd.* | 23,946 | ||||||
363 | Whirlpool of India, Ltd. | 8,114 | ||||||
3,000 | Zeng Hsing Industrial Co., Ltd. | 12,691 | ||||||
|
| |||||||
510,457 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
1,549 | Eveready Industries India, Ltd.* | 5,088 | ||||||
6,389 | Hindustan Unilever, Ltd. | 152,981 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Products, continued | ||||||||
22,170 | Kimberl- Clark de Mexico SAB de C.V. | $ | 37,483 | |||||
14,900 | PT Unilever Indonesia Tbk | 47,907 | ||||||
|
| |||||||
243,459 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.8%): | ||||||||
12,900 | Aboitiz Power Corp. | 8,399 | ||||||
8,418 | Adani Green Energy, Ltd.* | 3,293 | ||||||
10,952 | Adani Power, Ltd.* | 2,579 | ||||||
25,005 | AES Gener SA | 6,201 | ||||||
7,121 | AES Tiete Energia SA | 17,825 | ||||||
37,000 | China Longyuan Power Group Corp. | 29,678 | ||||||
78,666 | China Power International Develpoment, Ltd. | 18,121 | ||||||
14,000 | China Resources Power Holdings Co. | 24,543 | ||||||
118,755 | Colbun SA | 24,519 | ||||||
34,000 | Datang International Power Generation Co., Ltd.* | 10,388 | ||||||
3,700 | Electricity Generating Public Co., Ltd. | 25,009 | ||||||
54,218 | Energy Development Corp.* | 5,315 | ||||||
2,700 | Eneva SA* | 8,285 | ||||||
2,800 | Engie Brasil Energia SA | 24,575 | ||||||
68,600 | First Gen Corp. | 18,591 | ||||||
9,900 | Glow Energy Public Co., Ltd. | 28,312 | ||||||
38,000 | Huadian Fuxin Energy Corp., Class H | 8,902 | ||||||
20,000 | Huadian Power International Corp., Ltd. | 7,889 | ||||||
708 | Huaneng Power International, Inc., ADR^ | 18,585 | ||||||
132,000 | Huaneng Renewables Corp., Ltd. | 43,724 | ||||||
10,150 | JSW Energy, Ltd.* | 9,712 | ||||||
109,100 | Lopez Holdings Corp. | 7,311 | ||||||
25,620 | NHPC, Ltd. | 8,763 | ||||||
11,558 | NTPC, Ltd. | 26,936 | ||||||
9,799 | PTC India, Ltd. | 10,824 | ||||||
11,263 | Reliance Power, Ltd.* | 5,254 | ||||||
18,300 | SPCG Public Co., Ltd. | 10,660 | ||||||
565,900 | Super Energy Corp. PCL* | 10,770 | ||||||
21,000 | Taiwan Cogeneration Corp. | 18,730 | ||||||
|
| |||||||
443,693 | ||||||||
|
| |||||||
Industrial Conglomerates (1.9%): | ||||||||
20,580 | Aboitiz Equity Ventures, Inc. | 21,022 | ||||||
53,185 | Alfa SAB de C.V., Class A | 61,769 | ||||||
119,100 | Alliance Global Group, Inc.* | 25,926 | ||||||
6,000 | Beijing Enterprises Holdings, Ltd. | 29,178 | ||||||
17,096 | Bera Holding AS* | 7,424 | ||||||
10,650 | Berli Jucker Public Co., Ltd. | 16,245 | ||||||
6,859 | Bidvest Group, Ltd. | 98,446 | ||||||
27,200 | Boustead Holdings Berhad | 16,568 | ||||||
21,000 | Citic, Ltd. | 29,439 | ||||||
239 | CJ Corp. | 30,430 | ||||||
131,200 | DMCI Holdings, Inc. | 25,814 | ||||||
234 | Doosan Corp. | 21,810 | ||||||
5,398 | Enka Insaat ve Sanayi AS | 5,491 | ||||||
31,620 | Far Eastern New Century Corp. | 29,948 | ||||||
15,000 | Fosun International, Ltd. | 28,018 | ||||||
4,194 | Grupo Carso SAB de C.V. | 14,192 | ||||||
21,847 | GRUPO KUO SAB de C.V., Series B | 48,402 |
Continued
11
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
961 | Hanwha Corp. | $ | 27,199 | |||||
15,100 | Hap Seng Consolidated Berhad | 36,634 | ||||||
73,498 | Jaiprakash Associates, Ltd.* | 17,189 | ||||||
24,540 | JG Summit Holdings, Inc. | 22,993 | ||||||
28,701 | KAP Industrial Holdings, Ltd. | 15,681 | ||||||
9,150 | KOC Holdings AS | 28,297 | ||||||
401 | Kolon Corp. | 15,137 | ||||||
770 | LG Corp. | 49,763 | ||||||
5,835 | Reunert, Ltd. | 34,127 | ||||||
395 | Samsung C&T Corp. | 41,245 | ||||||
11,620 | San Miguel Corp. | 30,047 | ||||||
13,000 | Shanghai Industrial Holdings, Ltd. | 30,229 | ||||||
21,995 | Sime Darby Berhad | 13,333 | ||||||
408 | SK C&C Co., Ltd. | 94,703 | ||||||
1,290 | SM Investments Corp. | 21,148 | ||||||
61,000 | Thoresen Thai Agencies Public Co., Ltd. | 11,688 | ||||||
28,447 | Turkiye Sise ve Cam Fabrikalari AS | 26,195 | ||||||
|
| |||||||
1,025,730 | ||||||||
|
| |||||||
Insurance (2.7%): | ||||||||
595 | Bajaj Finserv, Ltd. | 50,447 | ||||||
7,200 | Bangkok Life Assurance Public Co., Ltd. | 6,686 | ||||||
3,975 | BB Seguridade Participacoes SA | 25,235 | ||||||
41,000 | Cathay Financial Holding Co., Ltd. | 72,286 | ||||||
19,061 | China Life Insurance Co., Ltd. | 20,061 | ||||||
11,000 | China Life Insurance Co., Ltd. | 28,242 | ||||||
7,200 | China Pacific Insurance Group Co., Ltd., Class H | 27,654 | ||||||
6,000 | China Taiping Insurance Holdings Co., Ltd. | 18,538 | ||||||
2,138 | Discovery, Ltd. | 22,982 | ||||||
1,507 | Dongbu Insurance Co., Ltd. | 79,767 | ||||||
2,696 | Hanwha General Insurance Co., Ltd. | 15,787 | ||||||
6,393 | Hanwha Life Insurance Co., Ltd. | 30,333 | ||||||
1,751 | Heungkuk Fire & Marine Insurance Co., Ltd.* | 10,225 | ||||||
2,150 | Hyundai Marine & Fire Insurance Co., Ltd. | 64,967 | ||||||
2,724 | Korean Reinsurance Co. | 28,951 | ||||||
3,772 | Liberty Holding, Ltd. | 31,916 | ||||||
6,360 | LPI Capital Berhad | 26,903 | ||||||
1,228 | Max Financial Services, Ltd.* | 7,749 | ||||||
31,190 | Mercuries Life Insurance Co., Ltd.* | 16,724 | ||||||
1,882 | Meritz Fire & Marine Insurance Co., Ltd. | 32,411 | ||||||
526 | Mirae Asset Life Insurance Co., Ltd. | 2,618 | ||||||
22,561 | MMI Holdings, Ltd. | 29,010 | ||||||
28,000 | People’s Insurance Co. Group of China, Ltd. | 13,046 | ||||||
18,000 | Picc Property & Casuality Co., Ltd., Class H | 19,262 | ||||||
43,000 | Ping An Insurance Group Co. of China, Ltd. | 392,954 | ||||||
2,500 | Porto Seguro SA | 26,103 | ||||||
4,240 | Powszechny Zaklad Ubezpieczen SA | 43,977 | ||||||
518,000 | PT Panin Financial Tbk* | 7,369 | ||||||
250 | Samsung Fire & Marine Insurance Co., Ltd. | 59,208 | ||||||
456 | Samsung Life Insurance Co., Ltd. | 40,219 | ||||||
20,610 | Sanlam, Ltd. | 104,583 | ||||||
2,021 | Santam, Ltd. | 42,079 | ||||||
111,105 | Shin Kong Financial Holdings Co., Ltd. | 42,768 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
9,000 | Shinkong Insurance Co., Ltd. | $ | 10,477 | |||||
6,763 | Sul America SA | 32,358 | ||||||
20,100 | Syarikat Takaful Malaysia Keluarga BHD | 19,612 | ||||||
675 | Tongyang Life Insurance | 4,474 | ||||||
|
| |||||||
1,507,981 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.3%): | ||||||||
3,830 | B2w Cia Digital* | 26,489 | ||||||
108 | CJ O Shopping Co., Ltd. | 27,086 | ||||||
719 | Ctrip.com International, ADR* | 34,246 | ||||||
91 | GS Home Shopping, Inc. | 14,685 | ||||||
206 | Hyundai Home Shopping Network Corp. | 20,783 | ||||||
959 | JD.com, Inc., ADR* | 37,353 | ||||||
4,208 | Vipshop Holdings, Ltd., ADR* | 45,657 | ||||||
|
| |||||||
206,299 | ||||||||
|
| |||||||
Internet Software & Services (4.1%): | ||||||||
398 | 58.com, Inc., ADR* | 27,597 | ||||||
1,817 | Alibaba Group Holding, Ltd., ADR*^ | 337,108 | ||||||
436 | Baidu, Inc., ADR* | 105,947 | ||||||
422 | Bitauto Holdings, Ltd., ADR*^ | 10,035 | ||||||
1,139 | Daou Technology, Inc. | 23,631 | ||||||
194 | Daum Kakao Corp. | 19,904 | ||||||
1,199 | MiX Telematics, Ltd., ADR | 21,246 | ||||||
489 | NetEase, Inc., ADR | 123,556 | ||||||
234 | NHN Corp. | 159,931 | ||||||
500 | Sohu.com, Ltd., ADR* | 17,750 | ||||||
26,800 | Tencent Holdings, Ltd. | 1,334,626 | ||||||
399 | YY, Inc., ADR* | 40,088 | ||||||
|
| |||||||
2,221,419 | ||||||||
|
| |||||||
IT Services (2.4%): | ||||||||
10,000 | Chinasoft International, Ltd. | 7,707 | ||||||
7,536 | Cielo SA | 32,186 | ||||||
621 | eClerx Services, Ltd. | 11,782 | ||||||
3,739 | EOH Holdings, Ltd. | 8,824 | ||||||
10,228 | HCL Technologies, Ltd. | 137,992 | ||||||
2,673 | Hexaware Technologies, Ltd. | 17,857 | ||||||
26,885 | Infosys, Ltd., ADR | 522,375 | ||||||
605 | Larsen & Toubro Infotech, Ltd.(a) | 14,755 | ||||||
3,373 | Mindtree, Ltd. | 48,525 | ||||||
2,374 | Mphasis, Ltd. | 37,539 | ||||||
37,500 | MyEG Services Berhad | 8,954 | ||||||
954 | Persistent Systems, Ltd. | 11,287 | ||||||
145 | Samsung SDS Co., Ltd. | 26,049 | ||||||
12,199 | Sonda SA | 18,124 | ||||||
9,911 | Tata Consultancy Services, Ltd. | 266,743 | ||||||
5,583 | Tech Mahindra, Ltd. | 53,373 | ||||||
14,000 | Travelsky Technology, Ltd., Series H | 40,626 | ||||||
10,846 | Vakrangee, Ltd. | 10,581 | ||||||
11,629 | Wipro, Ltd. | 44,507 | ||||||
|
| |||||||
1,319,786 | ||||||||
|
|
Continued
12
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products (0.1%): | ||||||||
6,000 | Giant Manufacturing Co., Ltd. | $ | 25,363 | |||||
3,000 | Kmc Kuei Meng International, Inc. | 13,580 | ||||||
|
| |||||||
38,943 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.0%): | ||||||||
1,081 | Divi’s Laboratories, Ltd. | 16,379 | ||||||
26 | Samsung Biologics Co., Ltd.*(a) | 9,722 | ||||||
|
| |||||||
26,101 | ||||||||
|
| |||||||
Machinery (1.0%): | ||||||||
816 | AIA Engineering, Ltd. | 17,866 | ||||||
2,000 | AirTac International Group | 28,410 | ||||||
15,517 | Ashok Leyland, Ltd. | 28,468 | ||||||
30,200 | Changsha Zoomlion Heavy Industry Science & Technology | 12,822 | ||||||
10,500 | China Conch Venture Holdings, Ltd. | 38,372 | ||||||
7,600 | China International Marine Containers Group Co., Ltd. | 9,899 | ||||||
18,000 | CRRC Corp., Ltd., Class H | 13,897 | ||||||
3,000 | CSBC Corp. Taiwan* | 1,754 | ||||||
1,465 | Cummins India, Ltd. | 13,838 | ||||||
352 | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | 8,514 | ||||||
638 | Doosan Bobcat, Inc. | 18,305 | ||||||
4,412 | Doosan Infracore Co., Ltd.* | 38,110 | ||||||
176 | Eicher Motors, Ltd. | 73,389 | ||||||
925 | Escorts, Ltd. | 11,756 | ||||||
6,385 | Famur SA* | 8,545 | ||||||
8,000 | Haitian International Holdings, Ltd. | 18,831 | ||||||
2,286 | Hiwin Technologies Corp. | 26,954 | ||||||
374 | HY-Lok Corp. | 8,585 | ||||||
36 | Hyundai Construction Equipment Co., Ltd.* | 4,548 | ||||||
307 | Hyundai Heavy Industries Co.* | 28,054 | ||||||
337 | Hyundai Mipo Dockyard Co., Ltd.* | 25,911 | ||||||
3,800 | Iochpe-Maxion SA | 20,495 | ||||||
9,940 | Jain Irrigation Systems, Ltd. | 11,126 | ||||||
1,000 | King Slide Works Co., Ltd. | 14,117 | ||||||
1,000 | Kinik Co. | 2,314 | ||||||
24,000 | Lonking Holdings, Ltd. | 11,023 | ||||||
136 | Otokar Otomotiv Ve Savunma Sanayi AS | 2,234 | ||||||
7,000 | Rechi Precision Co., Ltd. | 7,438 | ||||||
6,203 | Samsung Heavy Industries Co., Ltd., Class R* | 39,683 | ||||||
127 | Schaeffler India, Ltd. | 10,292 | ||||||
2,000 | Shin Zu Shing Co., Ltd. | 5,898 | ||||||
48,500 | Skp Resources BHD | 16,782 | ||||||
12,000 | Sunonwealth Electric Machine Industry Co., Ltd. | 16,984 | ||||||
304 | Timken India, Ltd. | 3,200 | ||||||
1,129 | TK Corp. | 11,997 | ||||||
20,000 | Weichai Power Co., Ltd., Class H | 27,525 | ||||||
11,000 | Yungtay Engineering Co., Ltd. | 17,456 | ||||||
|
| |||||||
655,392 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
24,000 | China Shipping Development Co., Ltd., Class H | 11,507 | ||||||
392,151 | Cia Sud Americana de Vapores SA* | 11,112 | ||||||
39,000 | COSCO SHIPPING Development Co., Ltd.* | 6,479 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Marine, continued | ||||||||
42,750 | Evergreen Marine Corp. (Taiwan), Ltd.* | $ | 18,214 | |||||
390 | Grindrod Shipping Holdings, Ltd.* | 4,096 | ||||||
15,617 | Grindrod, Ltd.* | 10,695 | ||||||
3,885 | Hyundai Merchant Marine Co., Ltd.* | 17,490 | ||||||
1,009 | Korea Line Corp.* | 20,203 | ||||||
16,500 | MISC Berhad | 24,197 | ||||||
3,884 | Pan Ocean Co., Ltd.* | 17,002 | ||||||
14,000 | U-Ming Marine Transport Corp. | 15,374 | ||||||
5,000 | Wan HAI Lines, Ltd. | 2,771 | ||||||
22,000 | Wisdom Marine Lines Co., Ltd. | 20,707 | ||||||
21,707 | Yang Ming Marine Transport* | 6,403 | ||||||
|
| |||||||
186,250 | ||||||||
|
| |||||||
Media (1.4%): | ||||||||
160,000 | Alibaba Pictures Group, Ltd.* | 17,479 | ||||||
52,700 | Astro Malaysia Holdings Berhad | 20,744 | ||||||
47,000 | BEC World Public Co., Ltd. | 11,130 | ||||||
748 | Cheil Worldwide, Inc. | 13,839 | ||||||
408 | CJ CGV Co., Ltd. | 24,589 | ||||||
301 | CJ E&M Corp. | 30,981 | ||||||
546 | CJ Hellovision Co., Ltd. | 5,288 | ||||||
4,478 | Cyfrowy Polsat SA | 27,670 | ||||||
13,912 | Dish Tv India, Ltd.* | 14,565 | ||||||
5,872 | Grupo Televisa SA, ADR | 111,274 | ||||||
2,310 | Inox Leisure, Ltd.* | 8,749 | ||||||
2,348 | Jagran Prakashan, Ltd. | 4,707 | ||||||
856 | KT Skylife Co., Ltd. | 10,518 | ||||||
193 | Loen Entertainment, Inc. | 15,586 | ||||||
8,806 | Megacable Holdings SAB de C.V. | 36,292 | ||||||
800 | Multiplus SA | 6,059 | ||||||
1,157 | Naspers, Ltd. | 293,385 | ||||||
327,000 | PT Global MediaCom Tbk | 12,660 | ||||||
177,400 | PT Media Nusantara Citra Tbk | 11,362 | ||||||
190,700 | PT Surya Citra Media Tbk | 27,374 | ||||||
750 | PVR, Ltd. | 15,030 | ||||||
1,500 | Smiles Fidelidade SA | 20,149 | ||||||
2,026 | Sun Tv Network, Ltd. | 23,111 | ||||||
7,747 | Tv18 Broadcast, Ltd.* | 5,955 | ||||||
81,100 | Vgi Global Media plc | 18,844 | ||||||
3,354 | ZEE Entertainment Enterprises, Ltd. | 26,619 | ||||||
|
| |||||||
813,959 | ||||||||
|
| |||||||
Metals & Mining (5.1%): | ||||||||
4,055 | African Rainbow Minerals, Ltd. | 32,244 | ||||||
38,000 | Aluminum Corp. of China, Ltd.* | 16,662 | ||||||
394 | Anglo American Platinum, Ltd. | 10,314 | ||||||
13,699 | AngloGold Ashanti, Ltd., ADR^ | 112,468 | ||||||
203 | APL Apollo Tubes, Ltd. | 4,910 | ||||||
2,033 | ArcelorMittal South Africa, Ltd.* | 314 | ||||||
974 | Assore, Ltd. | 20,824 | ||||||
4,059 | Boryszew SA* | 6,895 | ||||||
3,325 | Capital SA | 33,092 | ||||||
29,500 | China Hongqiao Group, Ltd. | 27,772 | ||||||
24,000 | China Metal Products Co., Ltd. | 22,625 |
Continued
13
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
32,000 | China Oriental Group Co., Ltd. | $ | 22,426 | |||||
86,000 | China Steel Corp. | 66,834 | ||||||
44,400 | China Zhongwang Holdings, Ltd. | 23,423 | ||||||
56,000 | Chung Hung Steel Corp.* | 23,206 | ||||||
21,050 | Companhia Siderurgica Nacional SA, ADR*^ | 42,521 | ||||||
1,666 | Dongkuk Steel Mill Co., Ltd. | 12,608 | ||||||
14,863 | Eregli Demir ve Celik Fabrikalari T.A.S. | 32,992 | ||||||
15,000 | Feng Hsin Steel Co., Ltd. | 28,772 | ||||||
11,770 | Gerdau SA, ADR | 41,666 | ||||||
22,000 | Gloria Material Technology Corp. | 13,682 | ||||||
26,819 | Gold Field, Ltd., ADR | 95,744 | ||||||
294 | Grupa Kety SA | 25,118 | ||||||
46,130 | Grupo Mexico SAB de C.V., Series B | 130,777 | ||||||
735 | Grupo Simec SA de C.V., Series B* | 2,307 | ||||||
14,244 | Harmony Gold Mining Co., Ltd. | 21,884 | ||||||
10,047 | Hindalco Industries, Ltd. | 33,730 | ||||||
1,195 | Hyundai Steel Co. | 56,364 | ||||||
4,714 | Impala Platinum Holdings, Ltd.* | 6,964 | ||||||
4,832 | Industrias CH, SAB de C.V., Series B* | 20,929 | ||||||
1,590 | Industrias Penoles SAB de C.V. | 28,555 | ||||||
1,296 | Jastrzebska Spolka Weglowa SA* | 26,405 | ||||||
15,000 | Jiangxi Copper Co., Ltd. | 19,013 | ||||||
6,063 | Jindal Saw, Ltd. | 7,019 | ||||||
13,059 | Jindal Steel & Power, Ltd.* | 42,426 | ||||||
22,868 | JSW Steel, Ltd. | 108,930 | ||||||
43,143 | Kardemir Karabuk Demir Celik Sanayi VE Ticaret AS, Class D* | 41,407 | ||||||
1,696 | KGHM Polska Miedz SA | 39,790 | ||||||
44 | KISWIRE, Ltd. | 1,151 | ||||||
71 | Korea Zinc Co. | 24,580 | ||||||
1,878 | Koza Altin Isletmeleri AS* | 17,337 | ||||||
1,140 | Kumba Iron Ore, Ltd. | 24,327 | ||||||
166 | Kumkang Kind Co., Ltd. | 4,302 | ||||||
46,000 | Maanshan Iron & Steel Co., Ltd.* | 20,292 | ||||||
2,036 | Magnitogorsk Iron & Steel Works, GDR | 17,938 | ||||||
23,056 | Minera Frisco SAB de C.V.* | 8,674 | ||||||
2,737 | MMC Norilsk Nickel PJSC, ADR | 49,348 | ||||||
38,000 | MMG, Ltd.* | 26,373 | ||||||
2,840 | Moil, Ltd. | 7,182 | ||||||
10,596 | National Aluminum Co., Ltd. | 9,988 | ||||||
7,353 | Northam Platinum, Ltd.* | 19,674 | ||||||
864 | Novolipetsk Steel PJSC, GDR | 20,946 | ||||||
364 | Poongsan Corp. | 11,109 | ||||||
1,832 | POSCO, ADR | 135,788 | ||||||
85 | POSCO | 25,115 | ||||||
29,640 | Press Metal Aluminium Holdings Berhad | 31,926 | ||||||
449,100 | PT Aneka Tambang Persero Tbk | 27,791 | ||||||
71,800 | PT Vale Indonesia Tbk* | 20,195 | ||||||
3,505 | Royal Bafokeng Platinum, Ltd.* | 5,092 | ||||||
697 | Seah Besteel Corp. | 13,394 | ||||||
282 | Seah Steel Corp. | 19,264 | ||||||
2,792 | Severstal PAO, GDR | 40,783 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
66,000 | Shougang Fushan Resources Group, Ltd. | $ | 15,641 | |||||
71,766 | Sibanye Gold, Ltd.* | 42,956 | ||||||
11,722 | Steel Authority of India, Ltd.* | 14,173 | ||||||
32,220 | TA Chen Stainless Pipe | 38,261 | ||||||
9,813 | Tata Steel, Ltd., GDR | 80,386 | ||||||
11,000 | Thye Ming Industrial Co., Ltd. | 14,196 | ||||||
7,000 | Ton Yi Industrial Corp. | 2,881 | ||||||
22,000 | Tung Ho Steel Enterprise Corp. | 16,246 | ||||||
22,223 | Vale SA, ADR | 284,898 | ||||||
10,000 | Vale SA | 127,432 | ||||||
6,773 | Vedanta, Ltd., ADR | 92,113 | ||||||
5,402 | Vedanta, Ltd. | 18,503 | ||||||
15,000 | YC INOX Co., Ltd. | 13,086 | ||||||
3,000 | Yeong Guan Energy Technology Group Co., Ltd. | 5,754 | ||||||
38,213 | Yieh Phui Enterprise Co., Ltd. | 12,968 | ||||||
3,500 | Zhaojin Mining Industry Co., Ltd.^ | 2,668 | ||||||
72,000 | Zijin Mining Group Co., Ltd. | 27,308 | ||||||
|
| |||||||
2,695,651 | ||||||||
|
| |||||||
Multiline Retail (0.7%): | ||||||||
59,000 | Far Eastern Department Stores, Ltd. | 37,824 | ||||||
295 | Hyundai Department Store Co., Ltd. | 30,546 | ||||||
12,854 | Lojas Renner SA | 95,999 | ||||||
1,090 | Poya International Co., Ltd. | 11,728 | ||||||
34,100 | PT Matahari Department Store Tbk | 20,908 | ||||||
485,000 | PT Mitra Adiperkasa Tbk | 30,461 | ||||||
39,838 | Ripley Corp SA | 37,831 | ||||||
3,596 | S.A.C.I. Falabella | 32,981 | ||||||
130 | Shinsegae Department Store Co. | 46,771 | ||||||
16,963 | Woolworths Holdings, Ltd. | 68,500 | ||||||
|
| |||||||
413,549 | ||||||||
|
| |||||||
Multi-Utilities (0.0%): | ||||||||
88,020 | YTL Corporation Berhad | 24,594 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (6.1%): | ||||||||
4,729 | Aegis Logistics, Ltd. | 14,712 | ||||||
30,900 | Bangchak Corp. Public Co., Ltd. | 29,867 | ||||||
38,500 | Banpu Public Co., Ltd. | 22,676 | ||||||
4,863 | Bharat Pertoleum Corp., Ltd. | 26,486 | ||||||
1,639 | Chennai Petroleum Corp., Ltd. | 7,269 | ||||||
42,000 | China Coal Energy Co., Ltd., Class H | 17,341 | ||||||
186,000 | China Petroleum & Chemical Corp., Class H | 166,961 | ||||||
21,000 | China Shenhua Energy Co., Ltd. | 49,447 | ||||||
326 | CNOOC, Ltd., ADR | 55,824 | ||||||
70,000 | CNOOC, Ltd. | 119,935 | ||||||
2,482 | Coal India, Ltd. | 9,571 | ||||||
3,850 | Cosan sa industria e Comercio | 35,350 | ||||||
3,352 | Ecopetrol SA, ADR | 68,884 | ||||||
1,700 | Empresas Copec SA | 26,038 | ||||||
13,500 | Energy Absolute Public Co., Ltd. | 13,316 | ||||||
6,797 | Exxaro Resources, Ltd. | 62,332 | ||||||
13,000 | Formosa Petrochemical Corp. | 52,140 | ||||||
10,974 | Gazprom OAO, ADR | 48,184 |
Continued
14
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
3,413 | Grupa Lotos SA | $ | 51,870 | |||||
1,737 | GS Holdings | 84,723 | ||||||
3,975 | Gujarat Mineral Development Corp., Ltd. | 6,179 | ||||||
48 | Hankook Shell Oil Co., Ltd. | 15,224 | ||||||
11,200 | Hengyuan Refining Co. BHD | 17,238 | ||||||
8,845 | Hindustan Petroleum Corp., Ltd. | 33,452 | ||||||
12,804 | Indian Oil Corp., Ltd. | 29,134 | ||||||
60,200 | Indika Energy Tbk PT | 14,339 | ||||||
168,900 | IRPC Public Co., Ltd. | 29,542 | ||||||
40,000 | Kunlun Energy Co., Ltd. | 34,930 | ||||||
340 | Lubelski Wegiel Bogdanka SA | 4,897 | ||||||
877 | LUKOIL PJSC, ADR | 60,451 | ||||||
218,800 | Medco Energi Internasional* | 14,696 | ||||||
7,265 | MOL Hungarian Oil & Gas plc | 70,252 | ||||||
140 | NovaTek OAO, Registered Shares, GDR | 20,738 | ||||||
7,632 | Oil & Natural Gas Corp., Ltd. | 17,608 | ||||||
5,553 | Oil India, Ltd. | 16,979 | ||||||
82,000 | PetroChina Co., Ltd., Class H | 62,432 | ||||||
18,410 | Petroleo Brasileiro SA, ADR | 162,745 | ||||||
10,434 | Petroleo Brasileiro SA, ADR | 104,653 | ||||||
144,200 | Petron Corp. | 23,982 | ||||||
3,300 | Petron Malaysia Refining & Marketing BHD | 5,906 | ||||||
3,800 | Petronas Dagangan Berhad | 23,283 | ||||||
10,744 | Petronet LNG, Ltd. | 34,351 | ||||||
10,880 | Pilipinas Shell Petroleum Corp. | 10,461 | ||||||
5,025 | Polski Koncern Naftowy Orlen SA | 112,681 | ||||||
12,311 | Polskie Gornictwo Naftowe i Gazownictwo SA | 18,767 | ||||||
490,000 | PT Adaro Energy Tbk | 61,096 | ||||||
336,100 | PT Delta Dunia Makmur Tbk* | 17,202 | ||||||
15,000 | PT Indo Tambangraya Megah Tbk | 23,417 | ||||||
126,500 | PT Tambang Batubara Bukit Asam Tbk | 34,971 | ||||||
31,700 | PT United Tractors Tbk | 69,767 | ||||||
9,600 | PTT Exploration & Production Public Co., Ltd. | 40,655 | ||||||
185,600 | PTT PCL | 268,594 | ||||||
3,900 | QGEP Participacoes SA | 14,845 | ||||||
8,252 | Reliance Industries, Ltd., GDR(a) | 231,518 | ||||||
777 | Reliance Industries, Ltd. | 11,018 | ||||||
6,618 | Rosneft Oil Co., Registered Shares, GDR | 41,004 | ||||||
27,680 | Semirara Mining and Power Corp. | 15,716 | ||||||
53,800 | Siamgas & Petrochemicals PCL | 14,930 | ||||||
723 | SK Energy Co., Ltd. | 130,918 | ||||||
355 | SK Gas, Ltd. | 29,907 | ||||||
341 | S-Oil Corp. | 33,465 | ||||||
867 | Tatneft Pjsc, ADR | 55,574 | ||||||
15,900 | Thai Oil Public Co., Ltd. | 37,284 | ||||||
2,493 | The Great Eastern Shipping Co., Ltd. | 10,261 | ||||||
2,064 | Tupras-Turkiye Petrol Rafine | 48,546 | ||||||
4,566 | Ultrapar Participacoes SA, ADR | 54,061 | ||||||
252,000 | United Energy Group, Ltd. | 33,341 | ||||||
|
| |||||||
3,185,936 | ||||||||
|
| |||||||
Paper & Forest Products (0.8%): | ||||||||
2,001 | Century Plyboards India, Ltd. | 7,336 | ||||||
7,803 | Duratex SA | 17,499 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Paper & Forest Products, continued | ||||||||
5,996 | Empresas CMPC SA | $ | 21,857 | |||||
2,179 | Fibria Celulose SA, ADR | 40,508 | ||||||
2,331 | Hansol Holdings Co., Ltd. | 9,356 | ||||||
146 | Hansol Paper Co., Ltd. | 2,193 | ||||||
19,000 | Lee & Man Paper Manufacturing, Ltd. | 19,131 | ||||||
23,397 | Long Chen Paper Co., Ltd. | 19,939 | ||||||
1,095 | Mondi, Ltd. | 29,681 | ||||||
29,000 | Nine Dragons Paper Holdings, Ltd. | 36,889 | ||||||
44,300 | PT Indah Kiat Pulp & Paper Corp Tbk* | 57,430 | ||||||
18,030 | Sappi, Ltd. | 120,052 | ||||||
6,600 | Suzano Papel e Celulose SA | 76,168 | ||||||
12,900 | Ta Ann Holdings Berhad | 8,404 | ||||||
47,000 | YFY, Inc.* | 18,559 | ||||||
|
| |||||||
485,002 | ||||||||
|
| |||||||
Personal Products (1.2%): | ||||||||
181 | Amorepacific Corp. | 52,323 | ||||||
384 | Amorepacific Group | 42,518 | ||||||
926 | Bajaj Corp., Ltd. | 5,452 | ||||||
3,000 | Chlitina Holding, Ltd. | 29,194 | ||||||
945 | Colgate-Palmolive India, Ltd. | 16,337 | ||||||
173 | Cosmax, Inc. | 25,187 | ||||||
6,364 | Dabur India, Ltd. | 36,341 | ||||||
2,786 | Emami, Ltd. | 21,507 | ||||||
101 | Gillette India, Ltd. | 9,466 | ||||||
2,030 | Godrej Consumer Products, Ltd. | 36,303 | ||||||
3,000 | Grape King BIO, Ltd. | 22,620 | ||||||
9,000 | Hengan International Group Co., Ltd. | 86,073 | ||||||
499 | Korea Kolmar Co., Ltd. | 37,813 | ||||||
84 | LG Household & Health Care, Ltd. | 105,171 | ||||||
8,551 | Marico, Ltd. | 41,376 | ||||||
4,000 | Natura Cosmeticos SA | 31,288 | ||||||
174 | Procter & Gamble Hygiene & Healthcare, Ltd. | 25,205 | ||||||
2,000 | TCI Co., Ltd. | 30,853 | ||||||
|
| |||||||
655,027 | ||||||||
|
| |||||||
Pharmaceuticals (1.7%): | ||||||||
154 | Abbott India, Ltd. | 16,269 | ||||||
2,184 | Adcock Ingram Holdings, Ltd. | 9,588 | ||||||
510 | Ajanta Pharma, Ltd.* | 7,311 | ||||||
840 | Alembic Pharmaceuticals, Ltd. | 6,160 | ||||||
3,575 | Aspen Pharmacare Holdings, Ltd. | 67,344 | ||||||
7,287 | Aurobindo Pharma, Ltd. | 64,563 | ||||||
3,311 | Cadila Healthcare, Ltd.* | 18,223 | ||||||
8,000 | Center Laboratories, Inc.* | 18,663 | ||||||
16,000 | China Grand Pharmaceutical and Healthcare Holdings, Ltd.* | 11,250 | ||||||
21,000 | China Medical System Holdings, Ltd. | 41,775 | ||||||
22,000 | China Pharmaceutical Enterprise & Investment Corp. | 66,131 | ||||||
3,000 | China Shineway Pharmaceutical Group, Ltd. | 5,850 | ||||||
12,000 | China Traditional Chinese Medicine Co., Ltd. | 10,360 | ||||||
190 | Chong Kun Dang Pharmaceutical Corp. | 17,115 | ||||||
156 | Chongkundang Holdings Corp. | 9,065 | ||||||
3,827 | Cipla, Ltd. | 34,431 |
Continued
15
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
12,000 | Dawnrays Pharmaceutical Holdings, Ltd. | $ | 7,435 | |||||
2,231 | Dr. Reddy’s Laboratories, Ltd., ADR | 71,838 | ||||||
27,400 | Genomma Lab Internacional Sab de C.V.* | 22,949 | ||||||
8 | Glaxo smithkline Pharmaceuticals, Ltd. | 327 | ||||||
3,004 | Glenmark Pharmaceuticals, Ltd. | 25,533 | ||||||
34 | Hanmi Pharm Co., Ltd. | 12,829 | ||||||
204,000 | Hua Han Bio-Pharmaceutical Holdings, Ltd.*(b)(c) | 5,168 | ||||||
2,700 | Hypermarcas SA | 19,189 | ||||||
2,351 | Ipca Laboratories, Ltd. | 24,015 | ||||||
2,206 | Jubilant Life Sciences, Ltd. | 22,521 | ||||||
754 | Kwang Dong Pharmmaceutical Co. | 5,182 | ||||||
3,131 | Lupin, Ltd. | 41,273 | ||||||
701 | Natco Pharma, Ltd. | 8,239 | ||||||
552 | Piramal Enterprises, Ltd. | 20,427 | ||||||
287,900 | PT Kalbe Farma Tbk | 24,489 | ||||||
697 | Richter Gedeon Nyrt | 12,751 | ||||||
507 | Samjin Pharmaceutical Co., Ltd. | 20,532 | ||||||
57 | Sanofi India, Ltd. | 4,316 | ||||||
49,000 | Sino Biopharmaceutical, Ltd. | 74,773 | ||||||
133 | Solara Active Pharma Sciences, Ltd.* | 441 | ||||||
40,172 | SSY Group, Ltd. | 44,477 | ||||||
803 | Strides Shasun, Ltd. | 4,626 | ||||||
3,891 | Sun Pharmaceutical Industries, Ltd. | 32,000 | ||||||
11,000 | Tong Ren Tang Technologies Co., Ltd. | 17,372 | ||||||
695 | Torrent Pharmaceuticals, Ltd. | 14,208 | ||||||
5,000 | TTY Biopharm Co., Ltd. | 15,996 | ||||||
95 | Yuhan Corp. | 18,536 | ||||||
3,029 | Yungjin Pharmaceutical Co., Ltd.* | 20,180 | ||||||
16,000 | YungShin Global Holding Corp. | 21,596 | ||||||
|
| |||||||
1,017,316 | ||||||||
|
| |||||||
Professional Services (0.0%): | ||||||||
3,000 | Sporton International, Inc. | 14,560 | ||||||
|
| |||||||
Real Estate Management & Development (3.3%): | ||||||||
28,000 | Agile Property Holdings, Ltd. | 47,694 | ||||||
3,615 | Aliansce Shopping Centers SA | 13,667 | ||||||
7,349 | Attacq, Ltd.* | 9,139 | ||||||
38,800 | Ayala Land, Inc. | 27,557 | ||||||
215,000 | Bangkok Land PCL* | 12,076 | ||||||
30,000 | Beijing Capital Land, Ltd. | 12,905 | ||||||
12,023 | BR Malls Participacoes SA* | 30,221 | ||||||
14,000 | C C Land Holdings, Ltd. | 3,118 | ||||||
15,400 | Cathay Real Estate Development Co., Ltd. | 8,081 | ||||||
12,300 | Central Pattana Public Co., Ltd. | 25,886 | ||||||
36,000 | China Evergrande Group* | 91,529 | ||||||
40,000 | China Overseas Grand Oceans Group, Ltd. | 14,707 | ||||||
30,000 | China Overseas Land & Investment, Ltd. | 98,146 | ||||||
12,000 | China Overseas Property Holdings, Ltd. | 3,957 | ||||||
30,000 | China Resources Land, Ltd. | 100,417 | ||||||
15,000 | China Sce Property Holdings, Ltd. | 7,076 | ||||||
50,000 | China South City Holdings, Ltd. | 9,726 | ||||||
7,300 | China Vanke Co., Ltd., Class H | 25,490 | ||||||
3,000 | Chong Hong Construction Co., Ltd. | 9,256 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
46,000 | CIFI Holdings Group Co., Ltd. | $ | 29,107 | |||||
10,190 | Corporacion Inmobiliaria Vesta SAB de C.V. | 13,343 | ||||||
36,000 | Country Garden Holdings Co., Ltd. | 62,808 | ||||||
6,951 | DLF, Ltd. | 19,123 | ||||||
852 | Dongwon Development Co., Ltd. | 2,980 | ||||||
13,200 | DoubleDragon Properties Corp.* | 6,308 | ||||||
44,500 | Eco World Development Group Berhad* | 13,538 | ||||||
2,544 | Etalon Group, Ltd. | 6,962 | ||||||
16,000 | Farglory Land Development Co., Ltd. | 17,005 | ||||||
474,000 | Filinvest Land, Inc. | 12,434 | ||||||
96,000 | Franshion Properties China, Ltd. | 48,110 | ||||||
65,000 | Fullshare Holdings, Ltd. | 32,121 | ||||||
30,000 | Future Land Development Holdings, Ltd. | 27,009 | ||||||
16,000 | Greenland Hong Kong Holdings, Ltd. | 5,901 | ||||||
12,500 | Greentown China Holdings, Ltd. | 16,737 | ||||||
18,000 | Guangzhou R&F Properties Co., Ltd., Class H | 36,101 | ||||||
15,600 | Highwealth Construction Corp. | 23,146 | ||||||
4,000 | Huaku Development Co., Ltd. | 8,696 | ||||||
19,000 | Hung Sheng Construction, Ltd. | 25,444 | ||||||
1,800 | Iguatemi Empresa de Shopping Centers SA | 14,395 | ||||||
5,190 | Indiabulls Real Estate, Ltd.* | 11,831 | ||||||
21,700 | IOI Properties Group Berhad | 8,591 | ||||||
12,000 | Jiayuan International Group, Ltd. | 20,793 | ||||||
33,000 | K Wah International Holdings L | 18,920 | ||||||
4,405 | Korea Real Estate Investment & Trust Co., Ltd. | 10,724 | ||||||
15,000 | KWG Property Holding, Ltd. | 18,691 | ||||||
6,200 | L.P.N. Development Public Co., Ltd. | 1,871 | ||||||
14,182 | LC Corp. SA | 9,278 | ||||||
18,500 | Longfor Properties Co., Ltd. | 49,787 | ||||||
52,975 | Mah Sing Group Berhad | 14,019 | ||||||
190,500 | Megaworld Corp. | 15,280 | ||||||
59,000 | Mingfa Group International Co., Ltd.*(b)(c) | 423 | ||||||
1,265 | Multiplan Empreendimentos Imobiliarios SA | 18,480 | ||||||
1,588 | NEPI Rockcastle plc | 14,173 | ||||||
938 | Oberoi Realty, Ltd. | 6,530 | ||||||
8,462 | Parque Arauco SA | 23,822 | ||||||
944 | Phoenix Mills, Ltd. (The) | 9,162 | ||||||
53,000 | Poly Property Group Co., Ltd. | 21,815 | ||||||
1,252 | Prestige Estates Projects, Ltd. | 4,938 | ||||||
33,000 | Prince Housing & Development Corp. | 12,013 | ||||||
21,400 | Pruksa Holding Public Co., Ltd. | 12,279 | ||||||
417,700 | PT Alam Sutera Realty Tbk* | 9,549 | ||||||
434,245 | PT Ciputra Development Tbk | 30,860 | ||||||
2,256,500 | PT Hanson International Tbk* | 20,750 | ||||||
577,600 | PT Lippo Karawaci Tbk | 13,698 | ||||||
177,300 | PT Modernland Realty Tbk | 3,585 | ||||||
327,500 | PT Pakuwon Jati Tbk | 12,101 | ||||||
251,500 | PT Summarecon Agung Tbk | 15,857 | ||||||
130,100 | Quality Houses PCL | 12,103 | ||||||
54,000 | Radium Life Tech Co., Ltd.* | 19,826 | ||||||
20,000 | Redco Properties Group, Ltd.(a) | 10,189 | ||||||
464,000 | Renhe Commercial Holdings Co., Ltd.* | 9,158 |
Continued
16
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
49,352 | Robinsons Land Corp. | $ | 17,188 | |||||
14,000 | Ronshine China Holdings, Ltd., Class H* | 18,040 | ||||||
15,600 | Ruentex Development Co., Ltd.* | 17,994 | ||||||
14,000 | Shanghai Industrial Urban development Group, Ltd. | 2,558 | ||||||
75,023 | Shenzhen Investment, Ltd. | 27,216 | ||||||
21,000 | Shimao Property Holdings, Ltd. | 54,842 | ||||||
95,500 | Shui On Land, Ltd. | 24,084 | ||||||
21,995 | Sime Darby Property Berhad | 6,519 | ||||||
48,500 | Sino-Ocean Land Holdings, Ltd. | 28,111 | ||||||
30,000 | Skyfame Realty Holdings, Ltd. | 22,053 | ||||||
65,700 | SM Prime Holdings, Inc. | 44,220 | ||||||
707 | Sobha, Ltd. | 4,548 | ||||||
36,500 | Soho China, Ltd. | 17,319 | ||||||
14,100 | SP Setia Berhad | 10,823 | ||||||
20,464 | Sunway Berhad | 7,859 | ||||||
28,400 | Supalai Public Co., Ltd.* | 20,157 | ||||||
67,000 | Taiwan Land Development Corp.* | 19,820 | ||||||
42,100 | UEM Sunrise Berhad | 7,389 | ||||||
31,500 | UOA Development Berhad | 18,561 | ||||||
89,800 | Vista Land & Lifescapes, Inc. | 10,327 | ||||||
172,000 | Yuexiu Property Co., Ltd. | 32,783 | ||||||
24,000 | Yuzhou Properties Co., Ltd. | 14,054 | ||||||
|
| |||||||
1,859,477 | ||||||||
|
| |||||||
Road & Rail (0.2%): | ||||||||
102 | CJ Korea Express Co., Ltd.* | 15,362 | ||||||
2,574 | Container Corp. of India, Ltd. | 24,486 | ||||||
7,300 | Cosan Logistica SA | 18,142 | ||||||
1,934 | Globaltrans Investment plc, GDR | 19,736 | ||||||
11,970 | Localiza Rent a Car SA | 73,055 | ||||||
821 | PKP Cargo SA* | 9,722 | ||||||
10,000 | Rumo SA* | 36,129 | ||||||
|
| |||||||
196,632 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (6.8%): | ||||||||
9,000 | A-DATA Technology Co., Ltd. | 19,379 | ||||||
5,000 | Advanced Wireless Semiconductor Co. | 12,575 | ||||||
5,100 | Ardentec Corp. | 5,638 | ||||||
13,000 | Chipbond Technology Corp. | 26,944 | ||||||
2,091 | Dongbu Hitek Co., Ltd. | 36,720 | ||||||
5,080 | Elite Advanced Laser Corp. | 17,232 | ||||||
2,000 | eMemory Technology, Inc. | 25,049 | ||||||
251 | EO Technics Co., Ltd. | 15,689 | ||||||
23,000 | Epistar Corp.* | 28,724 | ||||||
20,000 | Everlight Electronics Co., Ltd. | 25,183 | ||||||
250,000 | GCL-Poly Energy Holdings, Ltd.* | 23,442 | ||||||
9,000 | Gigastorage Corp.* | 3,127 | ||||||
15,634 | Gintech Energy Corp.* | 6,660 | ||||||
30,800 | Globetronics Technology Berhad | 16,823 | ||||||
12,000 | Greatek Electronics, Inc. | 21,304 | ||||||
11,000 | Holtek Semiconductor, Inc. | 26,744 | ||||||
11,000 | Hua Hong Semiconductor, Ltd.(a) | 37,453 | ||||||
75 | Hyundai Robotics Co., Ltd.* | 23,762 | ||||||
1,838 | Jusung Engineering Co., Ltd. | 13,519 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
31,000 | King Yuan Electronics Co., Ltd. | $ | 28,188 | |||||
13,000 | Kinsus Interconnect Technology Corp. | 22,276 | ||||||
410 | Koh Young Technology, Inc. | 37,502 | ||||||
2,000 | Land Mark Optoelectronics Corp. | 18,657 | ||||||
121 | LEENO Industrial, Inc. | 6,837 | ||||||
15,000 | Lite-On Semiconductor Corp. | 20,956 | ||||||
34,435 | Macronix International Co., Ltd.* | 48,917 | ||||||
3,600 | Malaysian Pacific Industries Berhad | 9,114 | ||||||
7,000 | MediaTek, Inc. | 68,806 | ||||||
10,816 | Motech Industries, Inc.* | 5,458 | ||||||
11,424 | Nanya Technology Corp. | 31,113 | ||||||
26,430 | Neo Solar Power Corp.* | 8,748 | ||||||
9,000 | Novatek Microelectronics Corp. | 40,550 | ||||||
13,000 | Pan Jit International, Inc.* | 24,272 | ||||||
1,000 | Parade Technologies, Ltd. | 16,778 | ||||||
3,000 | Phison Electronics Corp. | 23,697 | ||||||
15,000 | Powertech Technology, Inc. | 43,502 | ||||||
935 | PSK, Inc. | 21,405 | ||||||
9,000 | Radiant Opto-Electronics Corp. | 17,990 | ||||||
6,000 | Realtek Semiconductor Corp. | 21,816 | ||||||
10,057 | Semiconductor Manufacturing International Corp., ADR*^ | 65,371 | ||||||
1,476 | Seoul Semiconductor Co., Ltd. | 21,955 | ||||||
5,300 | SFA Semicon Co., Ltd.* | 9,101 | ||||||
4,000 | Sigurd Microelectronics Corp. | 4,973 | ||||||
14,000 | Sino-American Silicon Products, Inc. | 56,379 | ||||||
5,000 | Sitronix Technology Corp. | 19,256 | ||||||
6,595 | SK Hynix, Inc. | 505,577 | ||||||
9,000 | Taiwan Semiconductor Co., Ltd. | 25,465 | ||||||
48,851 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 1,785,992 | ||||||
14,000 | Taiwan Surface Mounting Technology Corp. | 12,527 | ||||||
862 | Tes Co., Ltd. | 18,097 | ||||||
3,228 | Topco Scientific Co., Ltd. | 8,455 | ||||||
758 | Toptec Co., Ltd.* | 16,575 | ||||||
35,700 | Unisem (M) Berhad | 20,372 | ||||||
72,299 | United Microelectronics Corp., ADR | 203,883 | ||||||
20,000 | Vanguard International Semiconductor Corp. | 45,739 | ||||||
5,250 | Visual Photonics Epitaxy Co., Ltd. | 19,757 | ||||||
3,153 | WIN Semiconductors Corp. | 22,650 | ||||||
56,648 | Winbond Electronics Corp. | 36,172 | ||||||
750 | Wonik Ips Co., Ltd. | 18,890 | ||||||
74,000 | Xinyi Solar Holdings, Ltd. | 22,675 | ||||||
|
| |||||||
3,842,410 | ||||||||
|
| |||||||
Software (0.5%): | ||||||||
1,872 | Asseco Poland SA | 20,018 | ||||||
1,339 | CD Projekt SA* | 57,781 | ||||||
244 | Com2uS Corp. | 36,742 | ||||||
1,953 | Cyient, Ltd. | 21,836 | ||||||
333 | DuzonBIzon Co., Ltd. | 18,501 | ||||||
4,000 | Kingsoft Corp., Ltd. | 12,072 | ||||||
4,341 | Kpit Technologies, Ltd. | 17,194 | ||||||
54 | Ncsoft Corp. | 17,959 |
Continued
17
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
158 | Netmarble Games Corp.(a) | $ | 21,554 | |||||
271 | NHN Entertainment Corp.* | 15,764 | ||||||
548 | NIIT Technologies, Ltd. | 8,776 | ||||||
424 | Oracle Financial Services Software, Ltd.* | 25,199 | ||||||
1,758 | Tata Elxsi, Ltd. | 34,216 | ||||||
|
| |||||||
307,612 | ||||||||
|
| |||||||
Specialty Retail (1.0%): | ||||||||
39,000 | Beauty Community Public Co., Ltd., Class F | 14,349 | ||||||
19,800 | Bermaz Motor Berhad | 10,789 | ||||||
394 | Cashbuild, Ltd. | 9,446 | ||||||
11,000 | China Harmony New Energy Auto Holding, Ltd. | 4,693 | ||||||
2,900 | Cia. Hering | 10,822 | ||||||
255,000 | GOME Electrical Appliances Holdings, Ltd.* | 25,971 | ||||||
101,400 | Home Product Center Public Co., Ltd. | 41,031 | ||||||
3,000 | Hotai Motor Co., Ltd. | 26,402 | ||||||
134 | Hotel Shilla Co., Ltd. | 14,831 | ||||||
291 | Lotte Himart Co., Ltd. | 20,565 | ||||||
4,828 | Mr.Price Group, Ltd. | 79,363 | ||||||
16,800 | Padini Holdings Berhad | 24,806 | ||||||
347,300 | PT ACE Hardware Indonesia Tbk | 30,772 | ||||||
13,142 | Super Group, Ltd.* | 33,610 | ||||||
4,203 | The Foschini Group, Ltd. | 53,272 | ||||||
8,941 | Truworths International, Ltd. | 50,392 | ||||||
4,908 | Via Varejo SA | 23,685 | ||||||
8,500 | Zhongsheng Group Holdings, Ltd. | 25,427 | ||||||
|
| |||||||
500,226 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (6.0%): | ||||||||
32,000 | Acer, Inc. | 26,102 | ||||||
4,399 | Advantech Co., Ltd. | 28,980 | ||||||
30,841 | ASE Technology Holding Co., Ltd., ADR* | 141,869 | ||||||
13,000 | Asia Vital Components Co., Ltd. | 12,202 | ||||||
5,000 | Asustek Computer, Inc. | 45,643 | ||||||
3,562 | Casetek Holdings, Ltd. | 8,660 | ||||||
11,000 | Catcher Technology Co., Ltd. | 122,868 | ||||||
8,085 | Chicony Electronics Co., Ltd. | 18,211 | ||||||
14,000 | Clevo Co. | 15,745 | ||||||
99,967 | CMC Magnetics Corp.* | 29,481 | ||||||
56,000 | Compal Electronics, Inc. | 35,237 | ||||||
92,000 | Coolpad Group, Ltd.*(b) | 1,840 | ||||||
2,000 | Ennoconn Corp.* | 29,009 | ||||||
8,220 | Foxconn Technology Co., Ltd. | 20,102 | ||||||
11,000 | Gigabyte Technology Co., Ltd. | 24,324 | ||||||
9,000 | High Tech Computer Corp.* | 16,778 | ||||||
20,000 | Inventec Corp. | 15,701 | ||||||
4,000 | Legend Holdings Corp., Class H(a) | 12,172 | ||||||
122,000 | Lenovo Group, Ltd. | 65,703 | ||||||
46,460 | Lite-On Technology Corp. | 56,198 | ||||||
11,000 | Micro-Star International Co., Ltd. | 33,953 | ||||||
26,119 | Mitac Holding Corp. | 28,305 | ||||||
28,000 | Pegatron Corp. | 57,546 | ||||||
7,000 | Primax Electronics, Ltd. | 14,177 | ||||||
53,000 | Qisda Corp. | 37,347 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
29,000 | Quanta Computer, Inc. | $ | 50,850 | |||||
49,360 | Ritek Corp.* | 23,758 | ||||||
1,913 | Samsung Electronics Co., Ltd., GDR | 1,993,785 | ||||||
6,800 | Samsung Electronics Co., Ltd. | 283,966 | ||||||
208 | Sindoh Co., Ltd. | 9,909 | ||||||
8,000 | Transcend Infromation, Inc. | 22,194 | ||||||
69,332 | Wistron Corp. | 51,429 | ||||||
|
| |||||||
3,334,044 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.3%): | ||||||||
5,885 | Aksa Akrilik Kimya Sanayii AS | 14,713 | ||||||
12,000 | Anta Sports Products, Ltd. | 63,131 | ||||||
1,300 | Arezzo Industria E Comercio SA | 14,654 | ||||||
3,289 | Arvind, Ltd. | 19,112 | ||||||
587 | CCC SA | 32,377 | ||||||
76,000 | China Dongxiang Group Co., Ltd. | 13,898 | ||||||
10,000 | Cosmo Lady China Holdings Co., Ltd.(a) | 4,984 | ||||||
2,059 | De Licacy Industrial Co., Ltd. | 1,647 | ||||||
2,085 | Eclat Textile Co., Ltd. | 24,769 | ||||||
451 | F&f Co., Ltd. | 33,040 | ||||||
8,075 | Feng Tay Enterprise Co., Ltd. | 40,489 | ||||||
885 | Fila Korea, Ltd. | 26,693 | ||||||
14,000 | Formosta Taffeta Co., Ltd. | 15,333 | ||||||
600 | Guararapes Confeccoes SA | 14,655 | ||||||
535 | Handsome Co., Ltd. | 19,990 | ||||||
585 | Hansae Co., Ltd. | 8,579 | ||||||
1,315 | Indo Count Industies, Ltd. | 1,186 | ||||||
785 | KPR Mill, Ltd. | 7,304 | ||||||
459 | LF Corp. | 11,565 | ||||||
26,500 | Li Ning Co., Ltd.* | 29,014 | ||||||
4 | LPP SA | 9,056 | ||||||
3,212 | Makalot Industrial Co., Ltd. | 14,445 | ||||||
68 | Page Industries, Ltd. | 27,556 | ||||||
30,000 | Pou Chen Corp. | 34,813 | ||||||
2,940 | Rajesh Exports, Ltd. | 25,768 | ||||||
1,269 | Raymond, Ltd. | 16,965 | ||||||
35,000 | Roo Hsing Co., Ltd.* | 16,518 | ||||||
7,000 | Ruentex Industries, Ltd. | 14,268 | ||||||
7,000 | Shenzhou International Group | 85,836 | ||||||
388 | SRF, Ltd. | 9,600 | ||||||
34,140 | Tainan Spinning Co., Ltd. | 15,039 | ||||||
7,000 | Taiwan Paiho, Ltd. | 14,728 | ||||||
4,591 | Titan Co., Ltd. | 58,828 | ||||||
627 | Vardhman Textiles, Ltd. | 11,157 | ||||||
5,586 | Welspun India, Ltd. | 4,410 | ||||||
337 | Youngone Corp. | 10,124 | ||||||
239 | Youngone Holdings Co., Ltd. | 11,772 | ||||||
|
| |||||||
778,016 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.7%): | ||||||||
1,135 | Can Fin Homes, Ltd. | 5,630 | ||||||
5,015 | Dewan Housing Finance Corp., Ltd. | 46,538 | ||||||
1,572 | Gruh Finance, Ltd. | 6,970 | ||||||
6,407 | Housing Development Finance Corp., Ltd. | 178,346 |
Continued
18
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance, continued | ||||||||
5,052 | Indiabulls Housing Finance, Ltd. | $ | 84,163 | |||||
7,284 | LIC Housing Finance, Ltd. | 49,769 | ||||||
|
| |||||||
371,416 | ||||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
3,300 | British American Tobacco Malaysia Berhad | 28,403 | ||||||
31,635 | ITC, Ltd. | 122,803 | ||||||
823 | KT&G Corp. | 78,929 | ||||||
7,000 | PT Gudang Garam Tbk | 32,812 | ||||||
214 | VST Industries, Ltd. | 9,062 | ||||||
|
| |||||||
272,009 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
11,062 | Adani Enterprises, Ltd. | 18,269 | ||||||
6,830 | Barloworld, Ltd. | 64,221 | ||||||
1,537 | Daewoo International Corp. | 29,478 | ||||||
1,664 | Hudaco Industries, Ltd. | 18,374 | ||||||
590 | LG International Corp. | 12,773 | ||||||
270,000 | New Provenance Everlasting Holdings, Ltd.* | 1,897 | ||||||
52,300 | PT AkR Corporindo Tbk | 15,665 | ||||||
2,473 | SK Network Co., Ltd. | 9,980 | ||||||
88 | Trencor, Ltd. | 218 | ||||||
|
| |||||||
170,875 | ||||||||
|
| |||||||
Transportation Infrastructure (1.3%): | ||||||||
9,195 | Adani Ports & Special Economic Zone, Ltd. | 50,027 | ||||||
30,500 | Airports of Thailand PCL | 58,038 | ||||||
13,600 | Bangkok Aviation Fuel Services Public Co., Ltd. | 12,932 | ||||||
140,782 | Bangkok Exressway & Metro Public Co., Ltd. | 31,627 | ||||||
20,000 | Beijing Capital International Airport Co., Ltd. | 21,035 | ||||||
13,964 | China Merchants Holdings International Co., Ltd. | 28,181 | ||||||
11,900 | Companhia de Concessoes Rodoviarias | 30,863 | ||||||
26,000 | Cosco Pacific, Ltd. | 21,518 | ||||||
3,700 | Ecorodovias Infraestrutura e Logistica SA | 7,009 | ||||||
1,854 | Gateway Distriparks, Ltd. | 4,806 | ||||||
4,715 | Grupo Aeroportuario del Centro Norte, SAb de C.V. | 24,630 | ||||||
260 | Grupo Aeroportuario del Sureste SAB de C.V., ADR | 41,382 | ||||||
4,648 | Grupo Aeroporturaio del Pacifico SAB de C.V. | 43,143 | ||||||
5,801 | Gujarat Pipavav Port, Ltd. | 8,930 | ||||||
19,750 | International Container Terminal Services, Inc. | 28,510 | ||||||
16,000 | Jiangsu Expressway Co., Ltd., Series H | 19,001 | ||||||
12,000 | Malaysia Airports Holdings Berhad | 26,155 | ||||||
4,080 | Promotora y Operadora de Infraestructura SAB de C.V. | 36,527 | ||||||
57,956 | PT Jasa Marga Persero Tbk | 16,879 | ||||||
15,000 | Qingdao Port International Co., Ltd.(a) | 11,230 | ||||||
22,789 | Shenzhen International Holdings, Ltd. | 47,107 | ||||||
58,253 | Sociedad Matriz SAAM SA | 5,327 | ||||||
18,000 | Taiwan High Speed Rail Corp. | 14,106 | ||||||
6,974 | TAV Havalimanlari Holding AS | 34,085 | ||||||
70,000 | Tianjin Port Development Holdings, Ltd. | 8,473 | ||||||
29,300 | Westports Holding Berhad | 24,565 | ||||||
20,000 | Zhejiang Expressway Co., Ltd. | 17,818 | ||||||
|
| |||||||
673,904 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Water Utilities (0.5%): | ||||||||
36,941 | Aguas Andinas SA, Class A | $ | 20,194 | |||||
38,000 | Beijing Enterprises Water Group, Ltd. | 20,700 | ||||||
4,600 | Cia de Saneamento Do Parana | 10,625 | ||||||
1,600 | Cia de Saneamento Do Parana | 19,811 | ||||||
6,610 | Companhia de Saneamento Basico do Estado de Sao Paulo, ADR | 39,726 | ||||||
1,200 | Companhia de Saneamento de Minas Gerais- Copasa MG | 12,802 | ||||||
64,000 | CT Environmental Group, Ltd. | 8,857 | ||||||
22,000 | Guangdong Investment, Ltd. | 34,834 | ||||||
16,068 | Inversiones Aguas Metropolitanas SA | 24,559 | ||||||
67,400 | Manila Water Co. | 35,367 | ||||||
37,300 | TTW Public Co., Ltd. | 13,188 | ||||||
|
| |||||||
240,663 | ||||||||
|
| |||||||
Wireless Telecommunication Services (2.9%): | ||||||||
11,500 | Advanced Information Service plc | 64,250 | ||||||
16,141 | America Movil SAB de C.V., Series L, ADR | 268,910 | ||||||
38,090 | Axiata Group Berhad | 35,858 | ||||||
13,131 | Bharti Airtel, Ltd. | 73,163 | ||||||
19,500 | China Mobile, Ltd. | 172,966 | ||||||
5,853 | China Mobile, Ltd., ADR | 259,815 | ||||||
17,300 | DIGI.com Berhad | 17,748 | ||||||
2,969 | Empresa Nacional de Telecomunicaciones SA | 27,285 | ||||||
18,000 | Far EasTone Telecommunications Co., Ltd. | 46,517 | ||||||
520 | Globe Telecom, Inc. | 15,002 | ||||||
29,245 | Idea Cellular, Ltd.* | 25,317 | ||||||
16,200 | Maxis Berhad | 21,881 | ||||||
2,220 | MegaFon PJSC, Registered Shares, GDR | 19,565 | ||||||
26,672 | MTN Group, Ltd. | 209,731 | ||||||
1,112 | PLDT, Inc., ADR | 25,999 | ||||||
30,600 | PT Indosat Tbk | 6,786 | ||||||
112,500 | PT XL Axiata Tbk* | 19,758 | ||||||
25,752 | Reliance Communications, Ltd.* | 5,158 | ||||||
1,682 | SK Telecom Co., Ltd., ADR | 39,224 | ||||||
14,000 | Taiwan Mobile Co., Ltd. | 50,743 | ||||||
1,730 | Tim Participacoes SA, ADR^ | 29,168 | ||||||
15,400 | Total Access Communication Public Co., Ltd. | 17,091 | ||||||
5,607 | Turkcell Iletisim Hizmetleri AS, ADR | 36,670 | ||||||
11,621 | Veon, Ltd., ADR | 27,658 | ||||||
7,366 | Vodacom Group, Ltd. | 65,838 | ||||||
|
| |||||||
1,582,101 | ||||||||
|
| |||||||
Total Common Stocks (Cost $52,663,616) | 56,015,200 | |||||||
|
| |||||||
Preferred Stocks (0.2%): | ||||||||
Airlines (0.0%): | ||||||||
3,500 | Azul SA* | 19,112 | ||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
2,900 | Braskem SA, Class A, 6.24% | 37,704 | ||||||
2,000 | Unipar Carbocloro SA, 15.06% | 20,041 | ||||||
|
| |||||||
57,745 | ||||||||
|
| |||||||
Electric Utilities (0.0%): | ||||||||
723 | Companhia de Transmissao de Energia Eletrica Paulista, 12.72% | 10,775 | ||||||
|
|
Continued
19
AZL DFA Emerging Markets Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Preferred Stocks, continued | ||||||||
Independent Power & Renewable Electricity Producers (0.0%): | ||||||||
4,100 | Companhia Energetica de Sao Paulo, Class B, 0.23% | $ | 17,194 | |||||
|
| |||||||
Machinery (0.0%): | ||||||||
17,000 | Marcopolo SA, 0.63% | 14,565 | ||||||
|
| |||||||
Metals & Mining (0.0%): | ||||||||
7,000 | Usinas Siderurgicas de Minas Gerais SA, Class A, 0.65% | 13,241 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $100,121) | 132,632 | |||||||
|
| |||||||
Right (0.0%): | ||||||||
Real Estate Management & Development (0.0%): | ||||||||
139,200 | Renhe Commercial Holdings Co, Ltd., Expires on 7/11/18* | 177 | ||||||
|
| |||||||
Total Right (Cost $—) | 177 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (1.6%): | ||||||||
$ | 912,663 | AZL DFA Emerging Markets Core Equity Fund Securities Lending Collateral Account(d) | $ | 912,663 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 912,663 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.2%): | ||||||||
138,941 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(e) | 138,941 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $138,941) | 138,941 | |||||||
|
| |||||||
Total Investment Securities (Cost $53,815,341) — 101.1%(f) | 57,199,613 | |||||||
Net other assets (liabilities) — (1.1)% | (644,029 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 56,555,584 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
GDR—Global Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $863,711. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.12% of the net assets of the Fund. |
(c) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.01% of the net assets of the fund. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(e) | The rate represents the effective yield at June 30, 2018. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Bermuda | 0.4 | % | ||
Brazil | 6.5 | % | ||
Cayman Islands | 0.6 | % | ||
Chile | 1.4 | % | ||
China | 11.0 | % | ||
Colombia | 0.5 | % | ||
Czech Republic | 0.2 | % | ||
Egypt | 0.1 | % | ||
Guernsey | — | %^ | ||
Hong Kong | 5.2 | % | ||
Hungary | 0.3 | % | ||
India | 12.6 | % | ||
Indonesia | 2.7 | % | ||
Malaysia | 3.5 | % | ||
Malta | — | %^ | ||
Mexico | 3.2 | % |
Country | Percentage | |||
Netherlands | — | %^ | ||
Philippines | 1.4 | % | ||
Poland | 1.6 | % | ||
Republic of Korea (South) | 17.2 | % | ||
Romania | — | %^ | ||
Russian Federation | 1.2 | % | ||
South Africa | 6.8 | % | ||
Spain | — | %^ | ||
Switzerland | — | %^ | ||
Taiwan, Province Of China | 17.0 | % | ||
Thailand | 2.9 | % | ||
Turkey | 1.1 | % | ||
Ukraine | — | %^ | ||
United States | 2.6 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
See accompanying notes to the financial statements.
20
AZL DFA Emerging Markets Core Equity Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 53,815,341 | |||
|
| ||||
Investment securities, at value* | $ | 57,199,613 | |||
Interest and dividends receivable | 211,220 | ||||
Foreign currency, at value (cost $534,660) | 532,484 | ||||
Reclaims receivable | 12,613 | ||||
Prepaid expenses | 4,574 | ||||
|
| ||||
Total Assets | 57,960,504 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 124,286 | ||||
Payable for investments purchased | 278,761 | ||||
Payable for collateral received on loaned securities | 912,663 | ||||
Accrued foreign taxes | 41,964 | ||||
Manager fees payable | 33,874 | ||||
Administration fees payable | 1,324 | ||||
Distribution fees payable | 12,048 | ||||
|
| ||||
Total Liabilities | 1,404,920 | ||||
|
| ||||
Net Assets | $ | 56,555,584 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 54,997,456 | |||
Accumulated net investment income/(loss) | 868,011 | ||||
Accumulated net realized gains/(losses) from investment transactions | (2,647,998 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 3,338,115 | ||||
|
| ||||
Net Assets | $ | 56,555,584 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 5,532,971 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.22 | |||
|
|
* | Includes securities on loan of $863,711. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 801,829 | |||
Income from securities lending | 7,745 | ||||
Foreign withholding tax | (58,286 | ) | |||
|
| ||||
Total Investment Income | 751,288 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 390,330 | ||||
Administration fees | 120,078 | ||||
Distribution fees | 78,066 | ||||
Custodian fees | 28,845 | ||||
Administrative and compliance services fees | 559 | ||||
Transfer agent fees | 3,044 | ||||
Trustee fees | 1,812 | ||||
Professional fees | 1,822 | ||||
Shareholder reports | 382 | ||||
Other expenses | 692 | ||||
|
| ||||
Total expenses before reductions | 625,630 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (93,679 | ) | |||
Less expense contractually waived/reimbursed by the Manager | (63,613 | ) | |||
|
| ||||
Net expenses | 468,338 | ||||
|
| ||||
Net Investment Income/(Loss) | 282,950 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 1,081,647 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (6,772,647 | ) | |||
Change in accrued foreign tax liability | 30,693 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (5,660,307 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (5,377,357 | ) | ||
|
|
See accompanying notes to the financial statements.
21
AZL DFA Emerging Markets Core Equity Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 282,950 | $ | 592,564 | ||||||
Net realized gains/(losses) on investment transactions | 1,081,647 | 1,352,279 | ||||||||
Change in unrealized appreciation/depreciation on investments | (6,741,954 | ) | 17,142,331 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (5,377,357 | ) | 19,087,174 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (668,124 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (668,124 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 975,242 | 926,887 | ||||||||
Proceeds from dividends reinvested | — | 668,124 | ||||||||
Value of shares redeemed | (6,089,784 | ) | (10,968,166 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (5,114,542 | ) | (9,373,155 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (10,491,899 | ) | 9,045,895 | |||||||
Net Assets: | ||||||||||
Beginning of period | 67,047,483 | 58,001,588 | ||||||||
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|
|
| |||||||
End of period | $ | 56,555,584 | $ | 67,047,483 | ||||||
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Accumulated net investment income/(loss) | $ | 868,011 | $ | 585,061 | ||||||
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| |||||||
Share Transactions: | ||||||||||
Shares issued | 89,754 | 91,727 | ||||||||
Dividends reinvested | — | 63,997 | ||||||||
Shares redeemed | (533,161 | ) | (1,077,621 | ) | ||||||
|
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|
| |||||||
Change in shares | (443,407 | ) | (921,897 | ) | ||||||
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|
See accompanying notes to the financial statements.
22
AZL DFA Emerging Markets Core Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 27, 2015 to December 31, 2015(a) | |||||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.22 | $ | 8.41 | $ | 7.53 | $ | 10.00 | ||||||||||||
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Investment Activities: | ||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | 0.12 | 0.10 | 0.06 | ||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.06 | ) | 2.80 | 0.85 | (2.53 | ) | ||||||||||||||
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Total from Investment Activities | (1.00 | ) | 2.92 | 0.95 | (2.47 | ) | ||||||||||||||
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| |||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||
Net Investment Income | — | (0.11 | ) | (0.07 | ) | — | ||||||||||||||
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Total Dividends | — | (0.11 | ) | (0.07 | ) | — | ||||||||||||||
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Net Asset Value, End of Period | $ | 10.22 | $ | 11.22 | $ | 8.41 | $ | 7.53 | ||||||||||||
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Total Return(b) | (8.91 | )%(c) | 34.86 | % | 12.63 | % | (24.70 | )%(c) | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 56,556 | $ | 67,047 | $ | 58,002 | $ | 61,691 | ||||||||||||
Net Investment Income/(Loss)(d) | 0.91 | % | 0.92 | % | 1.03 | % | 1.02 | % | ||||||||||||
Expenses Before Reductions(d)(e) | 2.00 | % | 2.07 | % | 2.03 | % | 2.00 | % | ||||||||||||
Expenses Net of Reductions(d) | 1.50 | % | 1.49 | % | 1.50 | % | 1.60 | % | ||||||||||||
Portfolio Turnover Rate | 9 | %(c) | 9 | % | 16 | % | 26 | %(c) |
(a) | For the period April 27, 2015 (commencement of operations) to December 31, 2015. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
23
AZL DFA Emerging Markets Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA Emerging Markets Core Equity Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
24
AZL DFA Emerging Markets Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $1 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $761 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $912,663 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA Emerging Markets Core Equity Fund | 1.25 | % | 1.50 | % |
* | The Manager voluntarily reduced the management fee to 0.95% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2018, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2018 | Expires 12/31/2019 | Expires 12/31/2020 | Total | |||||||||||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 44,947 | $ | 144,438 | $ | 180,802 | $ | 463,866 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
25
AZL DFA Emerging Markets Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $290 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||
Aerospace & Defense | $ | 74,028 | $ | 81,663 | $ | — | $ | — | $ | 155,691 | |||||||||||||||
Airlines | 42,106 | 306,337 | — | — | 348,443 | ||||||||||||||||||||
Auto Components | 31,531 | 810,438 | — | — | 841,969 | ||||||||||||||||||||
Banks | 1,739,996 | 3,980,517 | — | — | 5,720,513 | ||||||||||||||||||||
Beverages | 366,674 | 307,034 | — | — | 673,708 | ||||||||||||||||||||
Capital Markets | 86,490 | 838,871 | — | — | 925,361 |
26
AZL DFA Emerging Markets Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Chemicals | $ | 306,682 | $ | 1,852,545 | $ | — | $ | — | $ | 2,159,227 | |||||||||||||||
Commercial Services & Supplies | 13,874 | 202,749 | — | — | 216,623 | ||||||||||||||||||||
Communications Equipment | — | 164,565 | 1,165 | — | 165,730 | ||||||||||||||||||||
Construction & Engineering | 74,474 | 854,939 | — | — | 929,413 | ||||||||||||||||||||
Construction Materials | 101,971 | 545,294 | — | — | 647,265 | ||||||||||||||||||||
Consumer Finance | 11,458 | 326,605 | — | — | 338,063 | ||||||||||||||||||||
Containers & Packaging | 25,691 | 92,237 | — | — | 117,928 | ||||||||||||||||||||
Diversified Consumer Services | 130,854 | 28,539 | — | — | 159,393 | ||||||||||||||||||||
Diversified Financial Services | 42,917 | 564,628 | — | — | 607,545 | ||||||||||||||||||||
Diversified Telecommunication Services | 302,961 | 411,921 | — | — | 714,882 | ||||||||||||||||||||
Electric Utilities | 476,108 | 390,938 | — | — | 867,046 | ||||||||||||||||||||
Electronic Equipment, Instruments & Components | 231,552 | 2,245,265 | — | — | 2,476,817 | ||||||||||||||||||||
Food & Staples Retailing | 306,446 | 766,968 | — | — | 1,073,414 | ||||||||||||||||||||
Food Products | 224,413 | 1,452,826 | — | — | 1,677,239 | ||||||||||||||||||||
Gas Utilities | 30,332 | 350,010 | — | — | 380,342 | ||||||||||||||||||||
Health Care Providers & Services | 65,357 | 270,009 | — | — | 335,366 | ||||||||||||||||||||
Hotels, Restaurants & Leisure | 135,204 | 521,322 | — | — | 656,526 | ||||||||||||||||||||
Household Durables | 88,169 | 422,288 | — | — | 510,457 | ||||||||||||||||||||
Household Products | 37,483 | 205,976 | — | — | 243,459 | ||||||||||||||||||||
Independent Power & Renewable Electricity Producers | 103,283 | 340,410 | — | — | 443,693 | ||||||||||||||||||||
Industrial Conglomerates | 124,363 | 901,367 | — | — | 1,025,730 | ||||||||||||||||||||
Insurance | 83,696 | 1,424,285 | — | — | 1,507,981 | ||||||||||||||||||||
Internet & Direct Marketing Retail | 143,745 | 62,554 | — | — | 206,299 | ||||||||||||||||||||
Internet Software & Services | 683,327 | 1,538,092 | — | — | 2,221,419 | ||||||||||||||||||||
IT Services | 572,685 | 747,101 | — | — | 1,319,786 | ||||||||||||||||||||
Machinery | 20,495 | 634,897 | — | — | 655,392 | ||||||||||||||||||||
Marine | 11,112 | 175,138 | — | — | 186,250 | ||||||||||||||||||||
Media | 173,774 | 640,185 | — | — | 813,959 | ||||||||||||||||||||
Metals & Mining | 1,206,312 | 1,489,339 | — | — | 2,695,651 | ||||||||||||||||||||
Multiline Retail | 166,811 | 246,738 | — | — | 413,549 | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | 638,425 | 2,547,511 | — | — | 3,185,936 | ||||||||||||||||||||
Paper & Forest Products | 156,032 | 328,970 | — | — | 485,002 | ||||||||||||||||||||
Personal Products | 31,288 | 623,739 | — | — | 655,027 | ||||||||||||||||||||
Pharmaceuticals | 113,976 | 898,172 | 5,168 | — | 1,017,316 | ||||||||||||||||||||
Real Estate Management & Development | 113,928 | 1,745,126 | 423 | — | 1,859,477 | ||||||||||||||||||||
Road & Rail | 127,326 | 69,306 | — | — | 196,632 | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment | 2,055,246 | 1,787,164 | — | — | 3,842,410 | ||||||||||||||||||||
Specialty Retail | 34,507 | 465,719 | — | — | 500,226 | ||||||||||||||||||||
Technology Hardware, Storage & Peripherals | 141,869 | 3,192,175 | — | — | 3,334,044 | ||||||||||||||||||||
Textiles, Apparel & Luxury Goods | 29,309 | 748,707 | — | — | 778,016 | ||||||||||||||||||||
Transportation Infrastructure | 188,881 | 485,023 | — | — | 673,904 | ||||||||||||||||||||
Water Utilities | 127,717 | 112,946 | — | — | 240,663 | ||||||||||||||||||||
Wireless Telecommunication Services | 714,729 | 867,372 | — | — | 1,582,101 | ||||||||||||||||||||
All Other Common Stocks+ | — | 3,232,317 | — | — | 3,232,317 | ||||||||||||||||||||
Preferred Stocks+ | 132,632 | — | — | — | 132,632 | ||||||||||||||||||||
Right | 177 | — | — | — | 177 | ||||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 912,663 | 912,663 | ||||||||||||||||||||
Unaffiliated Investment Company | 138,941 | — | — | — | 138,941 | ||||||||||||||||||||
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|
|
| ||||||||||||||||
Total Investments | $ | 12,981,357 | $ | 43,298,837 | $ | 6,756 | $ | 912,663 | $ | 57,199,613 | |||||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
27
AZL DFA Emerging Markets Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 5,855,037 | $ | 11,083,672 |
6. Investment Risks
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $53,982,555. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 10,850,198 | ||
Unrealized (depreciation) | (7,633,140 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 3,217,058 | ||
|
|
As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 3,162,905 | $ | 555,308 | $ | 3,718,213 |
During the year ended June 30, 2018, the Fund utilized $1,338,246 in CLCFs to offset capital gains.
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 668,124 | $ | — | $ | 668,124 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
28
AZL DFA Emerging Markets Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Accumulated Earnings/ | |||||||||||||||||||||
AZL DFA Emerging Markets Core Equity Fund | $ | 740,083 | $ | — | $ | (3,718,213 | ) | $ | 9,913,615 | $ | 6,935,485 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
29
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
30
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® DFA Five-Year Global Fixed Income Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 7 |
Page 7 |
Statements of Changes in Net Assets Page 8 |
Page 9 |
Notes to the Financial Statements Page 10 |
Page 16 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA Five-Year Global Fixed Income Fund
(Unaudited)
As a shareholder of the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,000.00 | $ | 999.00 | $ | 4.02 | 0.81 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,000.00 | $ | 1,020.80 | $ | 4.06 | 0.81 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Foreign Bonds | 57.7 | % | |||
Yankee Dollars | 20.8 | ||||
Corporate Bonds | 18.7 | ||||
Securities Held as Collateral for Securities on Loan | 2.4 | ||||
Money Markets | 0.8 | ||||
|
| ||||
Total Investment Securities | 100.4 | ||||
Net other assets (liabilities) | (0.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds (18.7%): | ||||||||
Banks (0.1%): | ||||||||
$ | 750,000 | US Bank NA Cincinnati, 2.85%, 1/23/23, Callable 12/23/22 @ 100 | $ | 734,361 | ||||
|
| |||||||
Beverages (1.5%): | ||||||||
210,000 | Coca-Cola Co. (The), 2.20%, 5/25/22^ | 203,828 | ||||||
1,200,000 | Coca-Cola Co. (The), 1.13%, 9/22/22 | 1,453,235 | ||||||
4,800,000 | Coca-Cola Co. (The), 0.75%, 3/9/23, Callable 12/9/22 @ 100 | 5,698,664 | ||||||
|
| |||||||
7,355,727 | ||||||||
|
| |||||||
Communications Equipment (1.2%): | ||||||||
4,000,000 | Cisco Systems, Inc., 2.20%, 2/28/21 | 3,924,400 | ||||||
2,000,000 | Cisco Systems, Inc., 1.85%, 9/20/21, Callable 8/20/21 @ 100 | 1,909,346 | ||||||
|
| |||||||
5,833,746 | ||||||||
|
| |||||||
Consumer Finance (2.6%): | ||||||||
12,435,000 | Toyota Motor Credit Corp., 2.60%, 1/11/22 | 12,180,264 | ||||||
200,000 | Toyota Motor Credit Corp., 0.75%, 7/21/22 | 237,547 | ||||||
257,000 | Toyota Motor Credit Corp., 2.38%, 2/1/23 | 326,124 | ||||||
|
| |||||||
12,743,935 | ||||||||
|
| |||||||
Diversified Financial Services (0.5%): | ||||||||
2,610,000 | Berkshire Hathaway, Inc., 2.20%, 3/15/21, Callable 2/15/21 @ 100 | 2,568,174 | ||||||
|
| |||||||
Household Products (2.3%): | ||||||||
2,000,000 | Colgate-Palmolive Co., 2.30%, 5/3/22 | 1,947,801 | ||||||
2,000,000 | Procter & Gamble Co. (The), 1.70%, 11/3/21 | 1,924,487 | ||||||
100,000 | Procter & Gamble Co. (The), 2.00%, 11/5/21 | 124,431 | ||||||
1,474,000 | Procter & Gamble Co. (The), 2.15%, 8/11/22 | 1,422,720 | ||||||
4,700,000 | Procter & Gamble Co. (The), 2.00%, 8/16/22 | 5,901,756 | ||||||
|
| |||||||
11,321,195 | ||||||||
|
| |||||||
Industrial Conglomerates (0.7%): | ||||||||
1,850,000 | 3M Co., 0.38%, 2/15/22, Callable 11/15/21 @ 100 | 2,182,481 | ||||||
200,000 | 3M Co., 0.95%, 5/15/23 | 241,192 | ||||||
900,000 | General Electric Co., 0.38%, 5/17/22, Callable 4/17/22 @ 100 | 1,048,117 | ||||||
|
| |||||||
3,471,790 | ||||||||
|
| |||||||
IT Services (1.5%): | ||||||||
7,600,000 | IBM Corp., 2.50%, 1/27/22^ | 7,426,915 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.6%): | ||||||||
600,000 | Chevron Corp., 2.10%, 5/16/21, Callable 4/15/21 @ 100^ | 585,960 | ||||||
7,000,000 | Chevron Corp., 2.50%, 3/3/22, Callable 2/3/22 @ 100 | 6,866,440 | ||||||
500,000 | Exxon Mobil Corp., 2.40%, 3/6/22, Callable 1/6/22 @ 100 | 488,899 | ||||||
|
| |||||||
7,941,299 | ||||||||
|
| |||||||
Pharmaceuticals (2.1%): | ||||||||
100,000 | Johnson & Johnson, 0.25%, 1/20/22, Callable 12/20/21 @ 100 | 117,634 | ||||||
2,000,000 | Merck & Co., Inc., 2.35%, 2/10/22 | 1,947,617 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Pharmaceuticals, continued | ||||||||
$ | 958,000 | Novartis Capital Corp., 2.40%, 5/17/22, Callable 4/17/22 @ 100 | $ | 930,539 | ||||
3,000,000 | Pfizer, Inc., 1.95%, 6/3/21 | 2,919,157 | ||||||
4,021,000 | Pfizer, Inc., 0.25%, 3/6/22, Callable 2/6/22 @ 100 | 4,713,042 | ||||||
|
| |||||||
10,627,989 | ||||||||
|
| |||||||
Software (4.1%): | ||||||||
6,551,000 | Microsoft Corp., 2.40%, 2/6/22, Callable 1/6/22 @ 100 | 6,412,096 | ||||||
2,500,000 | Microsoft Corp., 2.38%, 2/12/22, Callable 1/12/22 @ 100^ | 2,444,426 | ||||||
10,307,000 | Oracle Corp., 1.90%, 9/15/21, Callable 8/15/21 @ 100 | 9,816,585 | ||||||
1,833,000 | Oracle Corp., 2.50%, 5/15/22, Callable 3/15/22 @ 100 | 1,784,824 | ||||||
|
| |||||||
20,457,931 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
2,000,000 | Apple, Inc., 1.00%, 11/10/22 | 2,419,842 | ||||||
|
| |||||||
Total Corporate Bonds (Cost $95,584,935) | 92,902,904 | |||||||
|
| |||||||
Foreign Bonds (57.7%): | ||||||||
Banks (21.3%): | ||||||||
2,226,000 | ANZ New Zealand International, Ltd., Series E, 0.40%, 3/1/22+ | 2,596,004 | ||||||
550,000 | Bank Nederlandse Gemeenten NV, Series E, 1.00%, 3/15/22+ | 720,155 | ||||||
2,100,000 | Bank Nederlandse Gemeenten NV, 0.50%, 8/26/22+ | 2,510,025 | ||||||
1,800,000 | Bank Nederlandse Gemeenten NV, 2.25%, 8/30/22+ | 2,304,268 | ||||||
1,600,000 | Bank Nederlandse Gemeenten NV, 0.25%, 2/22/23+ | 1,890,168 | ||||||
1,983,000 | Bayerische Landesbodenkreditanstalt, 2.50%, 2/9/22+ | 2,533,918 | ||||||
2,220,000 | Commonwealth Bank of Australia, 3.25%, 3/31/22+ | 1,656,298 | ||||||
1,000,000 | Commonwealth Bank of Australia, Series E, 0.50%, 7/11/22+ | 1,172,468 | ||||||
550,000 | Cooperatieve Rabobank UA, 0.13%, 10/11/21+ | 643,340 | ||||||
500,000 | Cooperatieve Rabobank UA, Series G, 4.00%, 1/11/22+ | 662,278 | ||||||
2,389,000 | Cooperatieve Rabobank UA, Series E, 4.75%, 6/6/22+ | 3,281,172 | ||||||
2,093,000 | Cooperatieve Rabobank UA, 0.50%, 12/6/22+ | 2,467,574 | ||||||
1,150,000 | Dexia Credit Local SA, 0.63%, 1/21/22+ | 1,374,708 | ||||||
9,350,000 | Dexia Credit Local SA, 0.25%, 6/2/22+ | 11,016,848 | ||||||
1,500,000 | Dexia Credit Local SA, Series E, 1.13%, 6/15/22+ | 1,957,996 | ||||||
5,530,000 | Kreditanstalt fuer Wiederaufbau, Series E, 0.88%, 3/15/22+ | 7,228,141 | ||||||
500,000 | Kreditanstalt fuer Wiederaufbau, 0.63%, 7/4/22+ | 602,764 | ||||||
4,100,000 | Kreditanstalt fuer Wiederaufbau, 0.00%, 12/15/22+ | 4,810,019 | ||||||
1,700,000 | Kreditanstalt fuer Wiederaufbau, 0.13%, 2/24/23+ | 2,003,026 | ||||||
475,000 | Land Nordrhein-Westfalen, 0.13%, 3/16/23+ | 557,619 | ||||||
200,000 | Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.88%, 3/7/22+ | 260,694 | ||||||
3,000,000 | National Australia Bank, Ltd., Series G, 0.88%, 1/20/22+ | 3,567,986 |
Continued
2
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 500,000 | National Australia Bank, Ltd., 0.35%, 9/7/22+ | $ | 581,915 | ||||
3,000,000 | Nederlandse Waterschapsbank NV, 0.50%, 10/27/22+ | 3,580,536 | ||||||
100,000 | Nederlandse Waterschapsbank NV, 0.50%, 1/19/23+ | 119,362 | ||||||
250,000 | Nordea Bank AB, Series E, 2.00%, 2/17/21+ | 307,226 | ||||||
1,900,000 | Nordea Bank AB, Series E, 3.25%, 7/5/22+ | 2,480,485 | ||||||
1,000,000 | NRW Bank, 0.00%, 8/10/22+ | 1,170,202 | ||||||
1,787,000 | NRW Bank, 0.00%, 11/11/22+ | 2,087,250 | ||||||
4,500,000 | NRW Bank, 0.13%, 3/10/23+ | 5,275,548 | ||||||
1,164,000 | Oesterreichische Kontrollbank AG, Series E, 0.75%, 3/7/22+ | 1,510,839 | ||||||
7,700,000 | Royal Bank of Canada, Series DPNT, 1.97%, 3/2/22+ | 5,686,402 | ||||||
600,000 | Skandinaviska Enskilda Banken AB, Series G, 0.30%, 2/17/22+ | 702,348 | ||||||
1,190,000 | Skandinaviska Enskilda Banken AB, 1.25%, 8/5/22+ | 1,543,973 | ||||||
2,700,000 | State of North Rhine-Westphalia Germany, 0.00%, 12/5/22+ | 3,159,698 | ||||||
3,167,000 | State of North Rhine-Westphalia Germany, 0.38%, 2/16/23+ | 3,763,944 | ||||||
3,450,000 | Svenska Handelsbanken AB, Series E, 0.25%, 2/28/22+ | 4,029,283 | ||||||
1,000,000 | Svenska Handelsbanken AB, 2.63%, 8/23/22+ | 1,277,530 | ||||||
1,100,000 | Svenska Handelsbanken AB, 1.13%, 12/14/22+ | 1,326,481 | ||||||
5,000,000 | Toronto-Dominion Bank (The), Series DPNT, 2.62%, 12/22/21+ | 3,792,887 | ||||||
9,600,000 | Toronto-Dominion Bank (The), Series DPNT, 1.99%, 3/23/22+ | 7,095,528 | ||||||
300,000 | Westpac Banking Corp., Series E, 0.25%, 1/17/22+ | 349,088 | ||||||
|
| |||||||
105,657,994 | ||||||||
|
| |||||||
Capital Markets (0.3%): | ||||||||
400,000 | FMS Wertmanagement, 1.00%, 9/7/22+ | 523,120 | ||||||
900,000 | FMS Wertmanagement AoeR, 0.88%, 2/14/22+ | 1,177,045 | ||||||
|
| |||||||
1,700,165 | ||||||||
|
| |||||||
Consumer Finance (0.2%): | ||||||||
1,500,000 | Toyota Credit Canada, Inc., 2.02%, 2/28/22+ | 1,109,270 | ||||||
|
| |||||||
Diversified Financial Services (13.9%): | ||||||||
1,000,000 | Agence Francaise de Developpement, 0.13%, 4/30/22+ | 1,176,716 | ||||||
1,500,000 | Agence Francaise de Developpement, 0.50%, 10/25/22+ | 1,789,526 | ||||||
5,700,000 | ASB Finance, Ltd., Series E, 0.50%, 6/10/22+ | 6,651,957 | ||||||
248,000 | Asian Development Bank, 0.20%, 5/25/23+ | 292,039 | ||||||
403,000 | Council Of Europe Development Bank, 0.38%, 10/27/22+ | 479,800 | ||||||
500,000 | European Financial Stability Facility, Series E, 2.25%, 9/5/22+ | 641,931 | ||||||
11,868,000 | European Financial Stability Facility, 0.00%, 11/17/22+ | 13,907,504 | ||||||
2,000,000 | European Investment Bank, 2.38%, 1/18/23+ | 1,520,709 | ||||||
400,000 | European Investment Bank, 1.63%, 3/15/23+ | 502,824 | ||||||
12,131,000 | European Stability Mechanism, 0.00%, 10/18/22+ | 14,203,205 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Diversified Financial Services, continued | ||||||||
$ | 650,000 | International Bank for Reconstruction & Development, 1.00%, 12/19/22+ | $ | 851,518 | ||||
400,000 | Kommunalbanken AS, 1.13%, 11/30/22+ | 524,344 | ||||||
12,000,000 | Kommuninvest I Sverige AB, 1.00%, 9/15/21+ | 1,378,176 | ||||||
106,000,000 | Kommuninvest I Sverige AB, 0.25%, 6/1/22+ | 11,848,908 | ||||||
8,000,000 | Kommuninvest I Sverige AB, 0.75%, 2/22/23+ | 907,501 | ||||||
1,600,000 | Landwirtschaftliche Rentenbank, 1.25%, 5/20/22+ | 1,972,059 | ||||||
1,466,000 | Municipality Finance plc, 1.25%, 12/7/22+ | 1,933,038 | ||||||
4,680,000 | OP Corporate Bank plc, Series E, 0.75%, 3/3/22+ | 5,557,576 | ||||||
450,000 | OP Corporate Bank plc, 0.38%, 10/11/22+ | 525,637 | ||||||
500,000 | Temasek Financial I, Ltd., Series E, 0.50%, 3/1/22+ | 592,088 | ||||||
800,000 | Temasek Financial I, Ltd., Series G, 4.63%, 7/26/22+ | 1,184,999 | ||||||
|
| |||||||
68,442,055 | ||||||||
|
| |||||||
Food Products (0.1%): | ||||||||
500,000 | Nestle Finance International, Ltd., 1.75%, 9/12/22+ | 623,526 | ||||||
|
| |||||||
Insurance (0.8%): | ||||||||
600,000 | UNEDIC ASSEO, 0.13%, 5/25/22+ | 708,061 | ||||||
2,600,000 | UNEDIC ASSEO, 0.88%, 10/25/22+ | 3,165,983 | ||||||
|
| |||||||
3,874,044 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.1%): | ||||||||
1,800,000 | �� | Shell International Finance BV, Series E, 1.25%, 3/15/22+ | 2,185,338 | |||||
900,000 | Shell International Finance BV, Series E, 1.00%, 4/6/22+ | 1,082,570 | ||||||
1,300,000 | Statoil ASA, 0.88%, 2/17/23, Callable 11/17/22 @ 100+ | 1,553,236 | ||||||
600,000 | Total Capital Canada, Ltd., Series E, 1.13%, 3/18/22+ | 725,493 | ||||||
|
| |||||||
5,546,637 | ||||||||
|
| |||||||
Pharmaceuticals (1.6%): | ||||||||
1,900,000 | Sanofi, 1.13%, 3/10/22, Callable 12/10/21 @ 100+ | 2,296,567 | ||||||
1,100,000 | Sanofi, 0.00%, 9/13/22, Callable 6/13/22 @ 100+ | 1,273,481 | ||||||
3,900,000 | Sanofi, 0.50%, 3/21/23, Callable 12/21/22 @ 100+ | 4,600,923 | ||||||
|
| |||||||
8,170,971 | ||||||||
|
| |||||||
Sovereign Bond (18.4%): | ||||||||
6,300,000 | Caisse d’Amortissement de la Dette Sociale, 0.13%, 11/25/22+ | 7,442,884 | ||||||
3,000,000 | Canada Housing Trust, 2.40%, 12/15/22+(a) | 2,291,251 | ||||||
3,000,000 | Canada Housing Trust No 1, 1.75%, 6/15/22+(a) | 2,235,496 | ||||||
9,000,000 | Finland Government Bond, 1.50%, 4/15/23+(a) | 11,366,454 | ||||||
2,900,000 | French Republic Government Bond OAT, 0.00%, 3/25/23+ | 3,412,422 | ||||||
6,100,000 | French Republic Government Bond OAT, 1.75%, 5/25/23+ | 7,792,170 | ||||||
500,000 | Netherlands Government Bond, 3.75%, 1/15/23+ | 692,642 | ||||||
8,000,000 | Norwegian Government Bond, 2.00%, 5/24/23+(a) | 1,012,997 | ||||||
8,000,000 | Province of Alberta, 1.35%, 9/1/21+ | 5,908,376 | ||||||
4,000,000 | Province of British Columbia, 3.25%, 12/18/21+ | 3,136,980 | ||||||
4,000,000 | Province of British Columbia, 2.70%, 12/18/22+ | 3,086,192 | ||||||
6,700,000 | Province of Ontario, 3.15%, 6/2/22+ | 5,232,830 | ||||||
6,000,000 | Province of Quebec, 4.25%, 12/1/21+ | 4,850,437 |
Continued
3
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 950,000 | Province of Quebec, 0.88%, 5/24/22+ | $ | 1,232,353 | ||||
8,900,000 | Province of Quebec, 3.50%, 12/1/22+ | 7,064,075 | ||||||
7,600,000 | Republic of Austria, 0.00%, 9/20/22+(a)(b) | 8,986,296 | ||||||
2,000,000 | Republic of Austria, 3.40%, 11/22/22+(a) | 2,714,870 | ||||||
99,000,000 | Swedish Government, 3.50%, 6/1/22+ | 12,711,512 | ||||||
|
| |||||||
91,170,237 | ||||||||
|
| |||||||
Total Foreign Bonds (Cost $293,847,825) | 286,294,899 | |||||||
|
| |||||||
Yankee Dollars (20.8%): | ||||||||
Banks (10.5%): | ||||||||
370,000 | Australia & New Zealand Banking Group, Ltd., 2.55%, 11/23/21 | 359,410 | ||||||
1,667,000 | Australia & New Zealand Banking Group, Ltd., 2.63%, 11/9/22 | 1,604,516 | ||||||
7,500,000 | Bank Nederlandse Gemeenten, 2.38%, 2/1/22(a) | 7,347,249 | ||||||
4,595,000 | Bank of Montreal, 1.90%, 8/27/21^ | 4,394,572 | ||||||
1,000,000 | Bank of Nova Scotia, 2.70%, 3/7/22^ | 977,433 | ||||||
700,000 | Commonwealth Bank of Australia, 2.00%, 9/6/21(a) | 668,149 | ||||||
2,625,000 | Commonwealth Bank of Australia, 2.75%, 3/10/22(a) | 2,560,573 | ||||||
1,000,000 | Cooperatieve Rabobank UA, 3.88%, 2/8/22 | 1,014,141 | ||||||
2,000,000 | National Australia Bank, Ltd., 1.88%, 7/12/21 | 1,906,800 | ||||||
5,500,000 | National Australia Bank, Ltd., 2.80%, 1/10/22 | 5,360,782 | ||||||
2,587,000 | National Australia Bank, Ltd., Series G, 2.50%, 5/22/22 | 2,478,847 | ||||||
600,000 | National Australian Bank of New York, Series G, 2.63%, 1/14/21 | 589,517 | ||||||
1,500,000 | Nederlandse Waterschapsbank NV, 1.88%, 4/14/22 | 1,440,174 | ||||||
1,000,000 | Rabobank Nederland NY, Series G, 2.50%, 1/19/21 | 980,839 | ||||||
2,500,000 | Rabobank Nederland NY, 2.75%, 1/10/22^ | 2,438,216 | ||||||
8,031,000 | Royal Bank of Canada, Series G, 2.75%, 2/1/22 | 7,887,653 | ||||||
448,000 | Svenska Handelsbanken AB, 1.88%, 9/7/21 | 427,800 | ||||||
3,000,000 | Toronto-Dominion Bank (The), 1.80%, 7/13/21^ | 2,872,953 | ||||||
1,000,000 | Westpac Banking Corp., 2.00%, 8/19/21 | 958,101 | ||||||
4,000,000 | Westpac Banking Corp., 2.80%, 1/11/22^ | 3,906,541 | ||||||
1,976,000 | Westpac Banking Corp., 2.50%, 6/28/22 | 1,899,196 | ||||||
|
| |||||||
52,073,462 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Diversified Financial Services (1.3%): | ||||||||
$ | 7,000,000 | Kommunalbanken AS, Registered Shares, 2.25%, 1/25/22 | $ | 6,835,227 | ||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.1%): | ||||||||
835,000 | Equinor ASA, 3.15%, 1/23/22 | 835,992 | ||||||
10,000,000 | Shell International Finance BV, 1.75%, 9/12/21^ | 9,578,295 | ||||||
1,000,000 | Shell International Finance BV, 2.38%, 8/21/22 | 967,569 | ||||||
4,000,000 | Total Capital International SA, 2.88%, 2/17/22 | 3,962,297 | ||||||
|
| |||||||
15,344,153 | ||||||||
|
| |||||||
Sovereign Bond (5.9%): | ||||||||
6,000,000 | Caisse D’amort Dette SOC, Registered Shares, 1.88%, 2/12/22 | 5,768,142 | ||||||
5,000,000 | CPPIB Capital, Inc., 2.25%, 1/25/22(a) | 4,873,270 | ||||||
8,000,000 | CPPIB Capital, Inc., Registered Shares, 2.25%, 1/25/22 | 7,797,232 | ||||||
1,500,000 | Province of Manitoba, 2.13%, 5/4/22 | 1,445,340 | ||||||
8,500,000 | Province of Ontario, 2.40%, 2/8/22 | 8,305,881 | ||||||
1,000,000 | Province of Quebec, 2.38%, 1/31/22 | 978,282 | ||||||
|
| |||||||
29,168,147 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $106,209,183) | 103,420,989 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (2.4%): | ||||||||
$ | 12,090,710 | AZL DFA Five-Year Global Fixed Income Fund Securities Lending Collateral Account(b) | 12,090,710 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 12,090,710 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.8%): | ||||||||
4,065,095 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(c) | 4,065,095 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $4,065,095) | 4,065,095 | |||||||
|
| |||||||
Total Investment Securities (Cost $511,797,748) — 100.4%(d) | 498,774,597 | |||||||
Net other assets (liabilities) — (0.4)% | (1,883,012 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 496,891,585 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $11,693,799. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(c) | The rate represents the effective yield at June 30, 2018. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
4
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Australia | 6.0 | % | ||
Austria | 2.6 | % | ||
Canada | 18.6 | % | ||
Finland | 3.9 | % | ||
France | 11.7 | % | ||
Germany | 7.4 | % | ||
Luxembourg | 3.0 | % | ||
Netherlands | 9.2 | % |
Country | Percentage | |||
New Zealand | 1.9 | % | ||
Norway | 2.1 | % | ||
Singapore | 0.4 | % | ||
SNAT | 3.6 | % | ||
Sweden | 7.8 | % | ||
United States | 21.8 | % | ||
|
| |||
100.0 | % | |||
|
|
Forward Currency Contracts
At June 30, 2018, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Short Contracts: |
| |||||||||||||||||||
U.S. Dollar | 4,330,234 | Australian Dollar | 5,631,535 | Bank of America | 7/6/18 | $ | 163,381 | |||||||||||||
U.S. Dollar | 629,860 | British Pound | 480,114 | Bank of America | 7/11/18 | (3,975 | ) | |||||||||||||
U.S. Dollar | 121,145 | British Pound | 89,573 | State Street | 7/11/18 | 2,893 | ||||||||||||||
U.S. Dollar | 411,360 | British Pound | 303,406 | State Street | 7/11/18 | 10,810 | ||||||||||||||
U.S. Dollar | 21,186,854 | British Pound | 14,867,823 | State Street | 7/11/18 | 1,558,709 | ||||||||||||||
U.S. Dollar | 1,910,403 | Canadian Dollar | 2,456,708 | Bank of America | 7/20/18 | 40,772 | ||||||||||||||
U.S. Dollar | 3,213,765 | Canadian Dollar | 4,169,005 | Bank of America | 7/20/18 | 41,022 | ||||||||||||||
U.S. Dollar | 4,564,083 | Canadian Dollar | 5,830,328 | Barclays Capital | 7/20/18 | 127,021 | ||||||||||||||
U.S. Dollar | 38,070,089 | Canadian Dollar | 48,218,950 | Barclays Capital | 7/20/18 | 1,373,963 | ||||||||||||||
U.S. Dollar | 1,008,133 | Canadian Dollar | 1,302,321 | Barclays Capital | 7/20/18 | 17,026 | ||||||||||||||
U.S. Dollar | 2,454,036 | Canadian Dollar | 3,149,722 | Barclays Capital | 7/20/18 | 56,999 | ||||||||||||||
U.S. Dollar | 693,363 | Canadian Dollar | 891,891 | Citibank | 7/20/18 | 14,607 | ||||||||||||||
U.S. Dollar | 1,541,675 | Canadian Dollar | 1,975,341 | State Street | 7/20/18 | 38,379 | ||||||||||||||
U.S. Dollar | 2,412,068 | Canadian Dollar | 3,087,688 | State Street | 7/20/18 | 62,241 | ||||||||||||||
U.S. Dollar | 16,114,669 | Australian Dollar | 20,938,896 | State Street | 7/20/18 | 621,093 | ||||||||||||||
U.S. Dollar | 2,390,334 | European Euro | 2,045,538 | Bank of America | 7/24/18 | (2,524 | ) | |||||||||||||
U.S. Dollar | 148,478 | European Euro | 125,952 | Bank of America | 7/24/18 | 1,140 | ||||||||||||||
U.S. Dollar | 1,531,886 | European Euro | 1,316,313 | Bank of America | 7/24/18 | (7,930 | ) | |||||||||||||
U.S. Dollar | 797,902 | European Euro | 684,180 | Bank of America | 7/24/18 | (2,448 | ) | |||||||||||||
U.S. Dollar | 1,287,933 | European Euro | 1,088,677 | Bank of America | 7/24/18 | 14,405 | ||||||||||||||
U.S. Dollar | 1,902,821 | European Euro | 1,604,255 | Bank of America | 7/24/18 | 26,173 | ||||||||||||||
U.S. Dollar | 387,413 | European Euro | 333,706 | Bank of America | 7/24/18 | (2,955 | ) | |||||||||||||
U.S. Dollar | 404,182 | European Euro | 349,376 | Barclays Capital | 7/24/18 | (4,516 | ) | |||||||||||||
U.S. Dollar | 1,234,533 | European Euro | 1,063,786 | Citibank | 7/24/18 | (9,877 | ) | |||||||||||||
U.S. Dollar | 711,224 | European Euro | 605,755 | Citibank | 7/24/18 | 2,616 | ||||||||||||||
U.S. Dollar | 2,805,770 | European Euro | 2,333,009 | Citibank | 7/24/18 | 76,630 | ||||||||||||||
U.S. Dollar | 3,989,384 | European Euro | 3,370,503 | State Street | 7/24/18 | 46,590 | ||||||||||||||
U.S. Dollar | 32,366,295 | European Euro | 26,315,546 | State Street | 7/24/18 | 1,582,526 | ||||||||||||||
U.S. Dollar | 1,890,597 | European Euro | 1,534,085 | State Street | 7/24/18 | 96,034 | ||||||||||||||
U.S. Dollar | 812,476 | European Euro | 681,223 | State Street | 7/24/18 | 15,585 | ||||||||||||||
U.S. Dollar | 965,597 | European Euro | 805,128 | State Street | 7/24/18 | 23,763 | ||||||||||||||
U.S. Dollar | 807,797 | European Euro | 669,846 | State Street | 7/24/18 | 24,215 | ||||||||||||||
U.S. Dollar | 1,245,766 | European Euro | 1,037,432 | State Street | 7/24/18 | 32,184 | ||||||||||||||
U.S. Dollar | 672,295 | European Euro | 572,004 | State Street | 7/24/18 | 3,168 | ||||||||||||||
U.S. Dollar | 2,120,853 | European Euro | 1,765,479 | State Street | 7/24/18 | 55,606 | ||||||||||||||
U.S. Dollar | 1,445,539 | European Euro | 1,205,390 | State Street | 7/24/18 | 35,481 | ||||||||||||||
U.S. Dollar | 2,282,700 | European Euro | 1,902,261 | State Street | 7/24/18 | 57,447 | ||||||||||||||
U.S. Dollar | 50,988 | European Euro | 42,826 | Bank of America | 7/26/18 | 883 | ||||||||||||||
U.S. Dollar | 77,109,621 | European Euro | 62,877,387 | Bank of America | 7/26/18 | 3,545,086 | ||||||||||||||
U.S. Dollar | 1,212,358 | European Euro | 1,007,842 | State Street | 7/26/18 | 33,215 |
Continued
5
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
U.S. Dollar | 1,001,535 | Norwegian Krone | 8,290,375 | Barclays Capital | 7/27/18 | $ | (17,975 | ) | ||||||||||||||||
U.S. Dollar | 27,312,641 | Swedish Krona | 241,503,318 | Barclays Capital | 7/30/18 | 278,496 | ||||||||||||||||||
U.S. Dollar | 73,919,954 | European Euro | 63,062,238 | Citibank | 7/30/18 | 117,201 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 10,145,160 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
Long Contracts: |
| |||||||||||||||||||||||
Australian Dollar | 2,024,602 | U.S. Dollar | 1,552,414 | Bank of America | 7/6/18 | $ | (54,382 | ) | ||||||||||||||||
Australian Dollar | 969,091 | U.S. Dollar | 731,884 | Bank of America | 7/6/18 | (14,839 | ) | |||||||||||||||||
Australian Dollar | 383,553 | U.S. Dollar | 283,564 | State Street | 7/6/18 | 232 | ||||||||||||||||||
Australian Dollar | 2,008,250 | U.S. Dollar | 1,496,897 | Bank of America | 7/20/18 | (10,908 | ) | |||||||||||||||||
Australian Dollar | 1,817,952 | U.S. Dollar | 1,372,096 | Bank of America | 7/20/18 | (26,916 | ) | |||||||||||||||||
Australian Dollar | 2,026,956 | U.S. Dollar | 1,527,301 | Bank of America | 7/20/18 | (27,471 | ) | |||||||||||||||||
Australian Dollar | 2,378,723 | U.S. Dollar | 1,776,211 | Barclays Capital | 7/20/18 | (16,094 | ) | |||||||||||||||||
Australian Dollar | 2,010,446 | U.S. Dollar | 1,513,930 | Barclays Capital | 7/20/18 | (26,316 | ) | |||||||||||||||||
Australian Dollar | 4,983,892 | U.S. Dollar | 3,733,149 | Citibank | 7/20/18 | (45,357 | ) | |||||||||||||||||
Australian Dollar | 997,202 | U.S. Dollar | 735,102 | State Street | 7/20/18 | 2,770 | ||||||||||||||||||
Australian Dollar | 1,664,899 | U.S. Dollar | 1,230,803 | State Street | 7/20/18 | 1,126 | ||||||||||||||||||
Australian Dollar | 3,050,576 | U.S. Dollar | 2,310,727 | State Street | 7/20/18 | (53,477 | ) | |||||||||||||||||
Canadian Dollar | 794,998 | U.S. Dollar | 597,976 | Bank of America | 7/20/18 | 7,043 | ||||||||||||||||||
|
| |||||||||||||||||||||||
(264,589 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
Total Net Forward Currency Contracts |
| $ | 9,880,571 | |||||||||||||||||||||
|
|
See accompanying notes to the financial statements.
6
AZL DFA Five-Year Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 511,797,748 | |||
|
| ||||
Investment securities, at value* | $ | 498,774,597 | |||
Interest and dividends receivable | 2,512,536 | ||||
Foreign currency, at value (cost $215,193) | 218,284 | ||||
Unrealized appreciation on forward currency contracts | 10,208,531 | ||||
Receivable for capital shares issued | 73,850 | ||||
Receivable for investments sold | 393,126 | ||||
Prepaid expenses | 2,979 | ||||
|
| ||||
Total Assets | 512,183,903 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 327,960 | ||||
Payable for investments purchased | 2,348,943 | ||||
Payable for capital shares redeemed | 183,350 | ||||
Payable for collateral received on loaned securities | 12,090,710 | ||||
Manager fees payable | 204,105 | ||||
Administration fees payable | 11,303 | ||||
Distribution fees payable | 102,052 | ||||
Custodian fees payable | 5,551 | ||||
Administrative and compliance services fees payable | 722 | ||||
Transfer agent fees payable | 547 | ||||
Trustee fees payable | 3,221 | ||||
Other accrued liabilities | 13,854 | ||||
|
| ||||
Total Liabilities | 15,292,318 | ||||
|
| ||||
Net Assets | $ | 496,891,585 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 497,606,716 | |||
Accumulated net investment income/(loss) | 6,703,166 | ||||
Accumulated net realized gains/(losses) from investment transactions | (4,254,100 | ) | |||
Net unrealized appreciation/(depreciation) on investments | (3,164,197 | ) | |||
|
| ||||
Net Assets | $ | 496,891,585 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 49,732,595 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.99 | |||
|
|
* | Includes securities on loan of $11,693,799. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Interest | $ | 3,388,116 | |||
Dividends | 29,816 | ||||
Income from securities lending | 29,541 | ||||
|
| ||||
Total Investment Income | 3,447,473 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,489,202 | ||||
Administration fees | 78,122 | ||||
Distribution fees | 620,498 | ||||
Custodian fees | 26,119 | ||||
Administrative and compliance services fees | 3,494 | ||||
Transfer agent fees | 2,621 | ||||
Trustee fees | 11,460 | ||||
Professional fees | 11,589 | ||||
Shareholder reports | 2,480 | ||||
Other expenses | 4,378 | ||||
|
| ||||
Total expenses before reductions | 2,249,963 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (248,197 | ) | |||
|
| ||||
Net expenses | 2,001,766 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,445,707 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | (5,004,227 | ) | |||
Net realized gains/(losses) on forward currency contracts | 4,831,431 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (14,209,531 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | 12,401,400 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (1,980,927 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (535,220 | ) | ||
|
|
See accompanying notes to the financial statements.
7
AZL DFA Five-Year Global Fixed Income Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,445,707 | $ | 5,533,775 | ||||||
Net realized gains/(losses) on investment transactions | (172,796 | ) | (1,500,815 | ) | ||||||
Change in unrealized appreciation/depreciation on investments | (1,808,131 | ) | 3,547,619 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (535,220 | ) | 7,580,579 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (5,705,989 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (5,705,989 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 12,983,253 | 25,078,366 | ||||||||
Proceeds from dividends reinvested | — | 5,705,989 | ||||||||
Value of shares redeemed | (21,644,402 | ) | (9,400,860 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (8,661,149 | ) | 21,383,495 | |||||||
|
|
|
| |||||||
Change in net assets | (9,196,369 | ) | 23,258,085 | |||||||
Net Assets: | ||||||||||
Beginning of period | 506,087,954 | 482,829,869 | ||||||||
|
|
|
| |||||||
End of period | $ | 496,891,585 | $ | 506,087,954 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 6,703,166 | $ | 5,257,459 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 1,305,909 | 2,500,042 | ||||||||
Dividends reinvested | — | 568,326 | ||||||||
Shares redeemed | (2,177,525 | ) | (926,898 | ) | ||||||
|
|
|
| |||||||
Change in shares | (871,616 | ) | 2,141,470 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
8
AZL DFA Five-Year Global Fixed Income Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended | April 27, 2015 to December 31, 2015(a) | |||||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.00 | $ | 9.96 | $ | 9.91 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Investment Activities: | ||||||||||||||||||||
Net Investment Income/(Loss) | 0.03 | 0.11 | 0.11 | 0.06 | ||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.04 | ) | 0.05 | 0.02 | (0.15 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Activities | (0.01 | ) | 0.16 | 0.13 | (0.09 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||
Net Investment Income | — | (0.12 | ) | (0.08 | ) | — | ||||||||||||||
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Total Dividends | — | (0.12 | ) | (0.08 | ) | — | ||||||||||||||
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Net Asset Value, End of Period | $ | 9.99 | $ | 10.00 | $ | 9.96 | $ | 9.91 | ||||||||||||
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| |||||||||||||
Total Return(b) | (0.10 | )%(c) | 1.57 | % | 1.28 | % | (0.90 | )%(c) | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 496,892 | $ | 506,088 | $ | 482,830 | $ | 517,049 | ||||||||||||
Net Investment Income/(Loss)(d) | 0.58 | % | 1.11 | % | 1.01 | % | 0.90 | % | ||||||||||||
Expenses Before Reductions(d)(e) | 0.91 | % | 0.90 | % | 0.90 | % | 0.91 | % | ||||||||||||
Expenses Net of Reductions(d) | 0.81 | % | 0.80 | % | 0.80 | % | 0.81 | % | ||||||||||||
Portfolio Turnover Rate | 32 | %(c) | 83 | % | 52 | % | 127 | %(c) |
(a) | For the period April 27, 2015 (commencement of operations) to December 31, 2015. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
9
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
10
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $17 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,903 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $12,090,710 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2018, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the period ended June 30, 2018, the monthly average notional amount for long contracts was $318.6 million and the monthly average notional amount for short contracts was $318.6 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Foreign Exchange Rate Risk | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | $ | 10,208,531 | Unrealized depreciation on forward currency contracts | $ | 327,960 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Foreign Exchange Rate Risk | ||||||||||
Forward Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | $ | 4,831,431 | $ | 12,401,400 |
11
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2018. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018.
As of June 30, 2018, the Fund’s derivative assets and liabilities by type are as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 10,208,531 | $ | 327,960 | ||||||
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|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 10,208,531 | 327,960 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | — | ||||||||
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| |||||||
Total assets and liabilities subject to a MNA | $ | 10,208,531 | $ | 327,960 | ||||||
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|
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of June 30, 2018:
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Derivative Assets | ||||||||||||||||||||
Bank of America | $ | 3,839,905 | $ | (154,348 | ) | $ | — | $ | — | $ | 3,685,557 | ||||||||||||||
Barclays Capital | 1,853,505 | (64,901 | ) | — | — | 1,788,604 | |||||||||||||||||||
Citibank | 211,054 | (55,234 | ) | — | — | 155,820 | |||||||||||||||||||
State Street | 4,304,067 | (53,477 | ) | — | — | 4,250,590 | |||||||||||||||||||
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Total | $ | 10,208,531 | $ | (327,960 | ) | $ | — | $ | — | $ | 9,880,571 | ||||||||||||||
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Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Bank of America | $ | 154,348 | (154,348 | ) | $ | — | $ | — | $ | — | |||||||||||||||
Barclays Capital | 64,901 | (64,901 | ) | — | — | — | |||||||||||||||||||
Citibank | 55,234 | (55,234 | ) | — | — | — | |||||||||||||||||||
State Street | 53,477 | (53,477 | ) | — | — | — | |||||||||||||||||||
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| ||||||||||||||||
Total | $ | 327,960 | $ | (327,960 | ) | $ | — | $ | — | $ | — | ||||||||||||||
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* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA Five-Year Global Fixed Income Fund | 0.60 | % | 0.95 | % |
* | The Manager voluntarily reduced the management fee to 0.50% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
12
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $2,286 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515, 040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
13
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Corporate Bonds+ | $ | — | $ | 92,902,904 | $ | — | $ | 92,902,904 | ||||||||||||
Foreign Bonds+ | — | 286,294,899 | — | 286,294,899 | ||||||||||||||||
Yankee Dollars+ | — | 103,420,989 | — | 103,420,989 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 12,090,710 | 12,090,710 | ||||||||||||||||
Unaffiliated Investment Company | 4,065,095 | — | — | 4,065,095 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 4,065,095 | 482,618,792 | 12,090,710 | 498,774,597 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Forward Currency Contracts | — | 9,880,571 | — | 9,880,571 | ||||||||||||||||
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| |||||||||||||
Total Investments | $ | 4,065,095 | $ | 492,499,363 | $ | 12,090,710 | $ | 508,655,168 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as forward currency contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 159,197,940 | $ | 158,239,244 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
14
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $511,797,748. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 427,171 | ||
Unrealized (depreciation) | (13,450,322 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | (13,023,151 | ) | |
|
|
As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 3,019,515 | $ | 1,061,789 | $ | 4,081,304 |
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 5,705,989 | $ | — | $ | 5,705,989 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 2,736,630 | $ | — | $ | (4,081,304 | ) | $ | 1,164,763 | $ | (179,911 | ) |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
15
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
16
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® DFA International Core Equity Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 30 |
Page 30 |
Statements of Changes in Net Assets Page 31 |
Page 32 |
Notes to the Financial Statements Page 33 |
Page 39 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA International Core Equity Fund
(Unaudited)
As a shareholder of the AZL DFA International Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA International Core Equity Fund | $ | 1,000.00 | $ | 970.30 | $ | 5.81 | 1.19 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA International Core Equity Fund | $ | 1,000.00 | $ | 1,018.89 | $ | 5.96 | 1.19 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 19.0 | % | |||
Consumer Discretionary | 16.6 | ||||
Financials | 16.6 | ||||
Materials | 14.1 | ||||
Consumer Staples | 7.2 | ||||
Information Technology | 6.2 | ||||
Energy | 6.0 | ||||
Health Care | 5.0 | ||||
Telecommunication Services | 3.4 | ||||
Utilities | 2.6 | ||||
Real Estate | 2.4 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.1 | ||||
Rights | — | ^ | |||
Warrant | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 0.7 | ||||
Money Market | 0.3 | ||||
|
| ||||
Total Investment Securities | 100.1 | ||||
Net other assets (liabilities) | (0.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.7%): | ||||||||
Aerospace & Defense (1.4%): | ||||||||
15,989 | Austal, Ltd. | $ | 22,008 | |||||
44,779 | BAE Systems plc | 382,058 | ||||||
5,900 | Bombardier, Inc., Class B* | 23,340 | ||||||
7,587 | CAE, Inc. | 157,627 | ||||||
3,081 | Chemring Group plc | 9,044 | ||||||
119,811 | Cobham plc* | 203,224 | ||||||
504 | Elbit Systems, Ltd. | 59,401 | ||||||
3,429 | European Aeronautic Defence & Space Co. NV | 400,744 | ||||||
14,340 | Finmeccanica SpA | 141,579 | ||||||
2,535 | Heroux-Devtek, Inc.* | 29,255 | ||||||
1,132 | LiSi | 42,849 | ||||||
539 | Maxar Technologies, Ltd. | 27,063 | ||||||
41,242 | Meggitt plc | 268,376 | ||||||
3,010 | MTU Aero Engines AG | 578,072 | ||||||
37,946 | QinetiQ Group plc | 134,657 | ||||||
25,323 | Rolls-Royce Holdings plc | 329,989 | ||||||
1,136 | Saab AB | 47,158 | ||||||
1,661 | Safran SA | 201,475 | ||||||
20,156 | Senior plc | 80,719 | ||||||
17,700 | Singapore Technologies Engineering, Ltd. | 42,657 | ||||||
3,432 | Ste Industrielle d’Aviation Latecoere SA* | 18,340 | ||||||
1,426 | Thales SA | 183,582 | ||||||
4,635 | Ultra Electronics Holdings plc | 100,620 | ||||||
|
| |||||||
3,483,837 | ||||||||
|
| |||||||
Air Freight & Logistics (0.2%): | ||||||||
6,117 | BPOST SA | 96,319 | ||||||
1,468 | Compania de Distribucion Integral Logista Holdings SA | 37,958 | ||||||
7,375 | Deutsche Post AG | 240,777 | ||||||
5,804 | Freightways, Ltd. | 30,731 | ||||||
37,500 | Kerry Network, Ltd. | 52,254 | ||||||
2,300 | Kintetsu World Express, Inc. | 47,426 | ||||||
1,800 | Konoike Transport Co., Ltd. | 27,149 | ||||||
3,144 | Mainfreight, Ltd. | 59,163 | ||||||
4,000 | Mitsui-Soko Holdings Co., Ltd.* | 12,445 | ||||||
1,146 | Oesterreichische Post AG | 52,293 | ||||||
511 | Panalpina Welttransport Holdings | 69,604 | ||||||
23,455 | PostNL NV | 87,833 | ||||||
23,649 | Royal Mail plc | 157,571 | ||||||
58,500 | Singapore Post, Ltd. | 54,015 | ||||||
36 | XPO Logistics Europe SADIR | 12,099 | ||||||
|
| |||||||
1,037,637 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
2,930 | Air Canada* | 47,366 | ||||||
6,523 | Air France-KLM* | 53,183 | ||||||
26,921 | Air New Zealand, Ltd. | 57,857 | ||||||
1,200 | All Nippon Airways Co., Ltd. | 44,027 | ||||||
1,046 | Cathay Pacific Airways, Ltd. | 1,637 | ||||||
7,741 | Deutsche Lufthansa AG, Registered Shares | 186,137 | ||||||
2,130 | easyJet plc | 46,863 | ||||||
28,658 | El Al Israel Airlines* | 6,117 | ||||||
1,728 | Exchange Income Corp. | 42,119 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Airlines, continued | ||||||||
13,156 | International Consolidated Airlines Group SA | $ | 114,793 | |||||
24,091 | Qantas Airways, Ltd. | 110,140 | ||||||
21,400 | Singapore Airlines, Ltd. | 167,548 | ||||||
|
| |||||||
877,787 | ||||||||
|
| |||||||
Auto Components (3.1%): | ||||||||
1,000 | Aisan Industry Co., Ltd. | 8,424 | ||||||
6,300 | Aisin Sieki Co., Ltd. | 286,847 | ||||||
7,300 | Akebono Brake Industry Co., Ltd.*^ | 17,652 | ||||||
2,288 | Arb Corp., Ltd. | 38,812 | ||||||
266 | Autoneum Holding AG | 62,269 | ||||||
8,806 | Brembo SpA | 119,047 | ||||||
12,900 | Bridgestone Corp. | 504,089 | ||||||
3,874 | CIE Automotive SA | 114,080 | ||||||
7,997 | Compagnie Generale des Establissements Michelin SCA, Class B | 972,400 | ||||||
887 | Continental AG | 202,722 | ||||||
2,800 | Daido Metal Co., Ltd. | 28,514 | ||||||
2,400 | Daikyonishikawa Corp. | 35,140 | ||||||
4,700 | Denso Corp. | 228,669 | ||||||
1,997 | Dometic Group AB(a) | 19,609 | ||||||
1,800 | Eagle Industry Co., Ltd. | 28,857 | ||||||
1,724 | ElringKlinger AG | 22,105 | ||||||
1,700 | Exedy Corp. | 52,589 | ||||||
3,076 | Faurecia | 218,872 | ||||||
2,300 | FCC Co., Ltd. | 64,829 | ||||||
500 | Futaba Industrial Co., Ltd. | 3,137 | ||||||
874 | Grammer AG | 60,819 | ||||||
1,400 | G-Tekt Corp. | 23,685 | ||||||
2,186 | Hella KGAA Hueck & Co. | 122,467 | ||||||
1,600 | Hi-Lex Corp. | 40,511 | ||||||
700 | H-One Co., Ltd. | 7,683 | ||||||
1,200 | Imasen Electric Industrial | 12,715 | ||||||
1,800 | Kasai Kogyo Co., Ltd. | 22,242 | ||||||
2,500 | Keihin Corp. | 50,665 | ||||||
1,600 | Koito Manufacturing Co., Ltd. | 105,569 | ||||||
31,203 | Kongsberg Automotive ASA* | 35,828 | ||||||
500 | KYB Co., Ltd. | 22,723 | ||||||
2,493 | Leoni AG | 126,351 | ||||||
3,233 | Linamar Corp. | 142,183 | ||||||
8,141 | Magna International, Inc., ADR | 473,236 | ||||||
6,366 | Martinrea International, Inc. | 68,285 | ||||||
1,027 | Mgi Coutier | 31,295 | ||||||
2,000 | Mitsuba Corp. | 16,016 | ||||||
1,600 | Musashi Seimitsu Industry Co. L | 52,900 | ||||||
6,000 | NGK Spark Plug Co., Ltd. | 170,927 | ||||||
12,000 | NHK SPRING Co., Ltd. | 112,979 | ||||||
3,600 | Nifco, Inc. | 111,145 | ||||||
4,000 | Nippon Seiki Co., Ltd. | 75,284 | ||||||
700 | Nissin Kogyo Co., Ltd. | 12,364 | ||||||
2,700 | NOK Corp. | 52,200 | ||||||
6,062 | Nokian Renkaat OYJ | 238,916 | ||||||
2,600 | Pacific Industrial Co., Ltd. | 38,153 |
Continued
2
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
1,800 | Piolax, Inc. | $ | 43,300 | |||||
2,839 | Plastic Omnium SA | 119,793 | ||||||
6,300 | Press Kogyo Co., Ltd. | 36,936 | ||||||
400 | Riken Corp. | 20,933 | ||||||
935 | Saf-Holland SA | 14,053 | ||||||
1,600 | Sanden Holdings Corp.* | 20,821 | ||||||
2,200 | Showa Corp. | 36,043 | ||||||
2,500 | Stanley Electric Co., Ltd. | 85,027 | ||||||
17,200 | Sumitomo Electric Industries, Ltd. | 255,870 | ||||||
2,900 | Sumitomo Riko Co., Ltd. | 29,680 | ||||||
7,600 | Sumitomo Rubber Industries, Ltd. | 120,635 | ||||||
300 | T RAD Co., Ltd. | 9,289 | ||||||
1,400 | Tachi-S Co., Ltd. | 23,416 | ||||||
800 | Taiho Kogyo Co., Ltd. | 9,221 | ||||||
3,900 | Tokai Rika Co., Ltd. | 73,969 | ||||||
2,500 | Topre Corp. | 62,866 | ||||||
7,500 | Toyo Tire & Rubber Co., Ltd. | 109,591 | ||||||
4,500 | Toyoda Gosei Co., Ltd. | 113,937 | ||||||
3,500 | Toyota Boshoku Corp. | 64,343 | ||||||
700 | Toyota Industries Corp. | 39,191 | ||||||
1,500 | TPR Co., Ltd. | 34,910 | ||||||
3,600 | TS Tech Co., Ltd. | 150,127 | ||||||
2,000 | Unipres Corp. | 39,139 | ||||||
2,847 | Valeo SA | 155,385 | ||||||
82,000 | Xinyi Glass Holdings, Ltd. | 99,803 | ||||||
6,500 | Yokohama Rubber Co., Ltd. (The) | 134,920 | ||||||
600 | Yorozu Corp. | 9,198 | ||||||
|
| |||||||
7,168,200 | ||||||||
|
| |||||||
Automobiles (3.6%): | ||||||||
9,641 | Bayerische Motoren Werke AG (BMW) | 874,398 | ||||||
17,431 | Daimler AG, Registered Shares | 1,121,329 | ||||||
958 | Ferrari NV | 129,340 | ||||||
31,464 | Fiat Chrysler Automobiles NV | 598,900 | ||||||
4,300 | Fuji Heavy Industries, Ltd. | 125,116 | ||||||
23,400 | Honda Motor Co., Ltd. | 686,238 | ||||||
24,135 | IMMSI SpA* | 13,389 | ||||||
10,900 | Isuzu Motors, Ltd. | 144,593 | ||||||
23,400 | Mazda Motor Corp. | 286,604 | ||||||
48,200 | Nissan Motor Co., Ltd. | 468,445 | ||||||
700 | Nissan Shatai Co., Ltd. | 6,371 | ||||||
14,678 | Piaggio & C SpA | 36,822 | ||||||
27,636 | PSA Peugeot Citroen SA | 630,140 | ||||||
3,686 | Renault SA | 312,843 | ||||||
5,000 | Suzuki Motor Corp. | 275,777 | ||||||
31,838 | Toyota Motor Corp. | 2,058,409 | ||||||
794 | Volkswagen AG | 131,305 | ||||||
4,800 | Yamaha Motor Co., Ltd. | 120,517 | ||||||
|
| |||||||
8,020,536 | ||||||||
|
| |||||||
Banks (9.3%): | ||||||||
3,000 | 77th Bank | 65,391 | ||||||
4,916 | ABN AMRO Group NV(a) | 127,222 | ||||||
4,219 | AIB Group plc | 22,871 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
400 | Akita Bank, Ltd. (The) | $ | 11,135 | |||||
1,197 | Aktia Bank OYJ | 11,456 | ||||||
1,200 | Aomori Bank, Ltd. (The) | 36,219 | ||||||
19,130 | Australia & New Zealand Banking Group, Ltd. | 401,461 | ||||||
6,000 | Awa Bank, Ltd. (The) | 36,906 | ||||||
20,218 | Banca Popolare dell’Emilia Romarna | 110,740 | ||||||
18,614 | Banca Popolare di Sondrio SCARL | 74,767 | ||||||
61,025 | Banco Bpm SpA* | 178,169 | ||||||
106,975 | Banco Comercial Portugues SA, Class R* | 32,104 | ||||||
73,105 | Banco de Sabadell SA | 121,979 | ||||||
124,643 | Banco Santander SA | 665,346 | ||||||
244 | Bank Cler AG | 12,814 | ||||||
6,708 | Bank Hapoalim BM | 45,544 | ||||||
28,290 | Bank Leumi Le-Israel Corp. | 167,678 | ||||||
10,600 | Bank of East Asia, Ltd. (The) | 42,177 | ||||||
2,674 | Bank of Georgia Group plc* | 66,510 | ||||||
20,917 | Bank of Ireland Group plc | 163,026 | ||||||
900 | Bank of Iwate, Ltd. (The) | 34,645 | ||||||
1,400 | Bank of Kyoto, Ltd. (The) | 64,737 | ||||||
15,317 | Bank of Montreal | 1,183,392 | ||||||
500 | Bank of Nagoya, Ltd. (The) | 17,368 | ||||||
13,051 | Bank of Nova Scotia | 746,778 | ||||||
820 | Bank of Okinawa, Ltd. (The) | 30,003 | ||||||
12,981 | Bank of Queensland, Ltd. | 97,781 | ||||||
1,100 | Bank of Saga, Ltd. (The) | 24,660 | ||||||
69 | Banque Cantonale Vaudoise,Registered Shares | 53,076 | ||||||
20,279 | Barclays plc, ADR | 203,398 | ||||||
11,431 | Bendigo & Adelaide Bank, Ltd. | 92,237 | ||||||
206 | Berner Kantonalbank AG | 37,993 | ||||||
6,008 | BNP Paribas SA | 372,372 | ||||||
57,542 | BOC Hong Kong Holdings, Ltd. | 269,799 | ||||||
6,760 | Canadian Imperial Bank of Commerce | 587,579 | ||||||
4,927 | Canadian Western Bank | 129,875 | ||||||
9,000 | Chiba Bank, Ltd. (The) | 63,421 | ||||||
4,300 | Chiba Kogyo Bank, Ltd. (The) | 18,738 | ||||||
3,800 | Chugoku Bank, Ltd. (The) | 38,417 | ||||||
700 | Chukyo Bank, Ltd. (The) | 14,722 | ||||||
2,600 | Chuo Mitsui Trust Holdings, Inc. | 103,010 | ||||||
12,920 | Commerzbank AG* | 123,783 | ||||||
10,689 | Commonwealth Bank of Australia | 578,681 | ||||||
15,000 | Concordia Financial Group, Ltd. | 76,255 | ||||||
6,221 | Credit Agricole SA | 82,925 | ||||||
3,026 | Credito Emiliano SpA | 22,392 | ||||||
348,864 | Credito Valtellinese SpA* | 39,215 | ||||||
7,234 | Criteria Caixacorp SA | 31,247 | ||||||
10,000 | Dah Sing Banking Group, Ltd. | 20,922 | ||||||
5,600 | Dah Sing Financial Holdings, Ltd. | 32,617 | ||||||
800 | Daishi Bank, Ltd. (The) | 31,789 | ||||||
2,845 | Danske Bank A/S | 88,932 | ||||||
6,055 | DnB NOR ASA | 118,153 | ||||||
900 | Ehime Bank, Ltd. (The) | 10,452 | ||||||
763 | Erste Group Bank AG | 31,805 |
Continued
3
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
6,500 | Fidea Holdings Co., Ltd. | $ | 10,088 | |||||
1,816 | First International Bank of Israel | 38,030 | ||||||
1,000 | Fukui Bank, Ltd. (The) | 21,859 | ||||||
8,000 | Fukuoka Financial Group, Inc. | 40,175 | ||||||
8,100 | Gunma Bank, Ltd. (The) | 42,508 | ||||||
15,800 | Hachijuni Bank, Ltd. (The) | 67,534 | ||||||
2,805 | Hang Seng Bank, Ltd. | 69,809 | ||||||
25,589 | Heartland Bank, Ltd. | 29,450 | ||||||
6,700 | Hiroshima Bank, Ltd. (The) | 44,606 | ||||||
1,000 | Hokkoku Bank, Ltd. (The) | 39,339 | ||||||
1,400 | Hokuetsu Bank, Ltd. (The) | 27,877 | ||||||
4,300 | Hokuhoku Financial Group, Inc. | 57,203 | ||||||
22,465 | HSBC Holdings plc, ADR | 1,059,000 | ||||||
6,800 | Hyakugo Bank, Ltd. (The) | 26,677 | ||||||
10,000 | Hyakujushi Bank, Ltd. (The) | 32,844 | ||||||
21,652 | ING Groep NV | 310,666 | ||||||
72,820 | Intesa Sanpaolo SpA | 210,762 | ||||||
24,232 | Isreal Discount Bank | 70,924 | ||||||
5,500 | Iyo Bank, Ltd. (The) | 36,306 | ||||||
6,200 | Jimoto Holdings, Inc. | 9,402 | ||||||
1,200 | Juroku Bank, Ltd. (The) | 31,671 | ||||||
2,584 | Jyske Bank A/S | 141,671 | ||||||
1,742 | Kansai Mirai Financial Group,Inc.* | 13,192 | ||||||
3,405 | KBC Group NV | 262,452 | ||||||
8,000 | Keiyo Bank, Ltd. (The) | 34,273 | ||||||
400 | Kita-Nippon Bank, Ltd. (The) | 9,636 | ||||||
2,400 | Kiyo Bank, Ltd. (The) | 39,552 | ||||||
8,690 | Kyushu Financial Group, Inc. | 41,932 | ||||||
1,601 | Laurentian Bank of Canada | 54,637 | ||||||
48,585 | Liberbank SA* | 24,749 | ||||||
696 | Liechtenstein Landesbank AG | 42,853 | ||||||
83,348 | Lloyds TSB Group plc, ADR | 277,549 | ||||||
117 | Luzerner Kantonalbank AG | 60,844 | ||||||
12,870 | Mebuki Financial Group, Inc. | 43,177 | ||||||
6,134 | Mediobanca SpA | 56,839 | ||||||
700 | Michinoku Bank, Ltd. (The) | 11,477 | ||||||
78,200 | Mitsubishi UFJ Financial Group, Inc. | 443,593 | ||||||
800 | Miyazaki Bank, Ltd. (The) | 24,395 | ||||||
4,380 | Mizrahi Tefahot Bank, Ltd. | 80,666 | ||||||
159,600 | Mizuho Financial Group, Inc. | 268,560 | ||||||
1,300 | Musashino Bank, Ltd. (The) | 38,573 | ||||||
1,300 | Nanto Bank, Ltd. (The) | 33,130 | ||||||
28,207 | National Australia Bank, Ltd. | 574,049 | ||||||
6,256 | National Bank of Canada | 300,402 | ||||||
10,213 | Natixis | 72,306 | ||||||
5,000 | Nishi-Nippon Holdings, Inc. | 58,373 | ||||||
14,029 | Nordea Bank AB | 135,023 | ||||||
8,600 | North Pacific Bank, Ltd. | 28,767 | ||||||
1,300 | Ogaki Kyoritsu Bank, Ltd. (The) | 32,998 | ||||||
18,152 | Oversea-Chinese Banking Corp., Ltd. | 154,616 | ||||||
5,242 | Raiffeisen International Bank-Holding AG | 160,560 | ||||||
13,700 | Resona Holdings, Inc. | 73,213 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
977 | Ringkjoebing Landbobank A/S | $ | 54,634 | |||||
10,304 | Royal Bank of Canada | 775,891 | ||||||
12,565 | Royal Bank of Scotland, ADR* | 85,442 | ||||||
1,190 | San Ju San Financial Group, Inc.* | 21,497 | ||||||
5,000 | San-In Godo Bank, Ltd. (The) | 44,691 | ||||||
11,600 | Senshu Ikeda Holdings, Inc. | 39,113 | ||||||
24,500 | Seven Bank, Ltd. | 74,931 | ||||||
7,000 | Shiga Bank, Ltd. (The) | 35,807 | ||||||
1,000 | Shikoku Bank, Ltd. (The) | 12,330 | ||||||
400 | Shimizu Bank, Ltd. (The) | 7,651 | ||||||
3,100 | Shinsei Bank, Ltd. | 47,650 | ||||||
5,000 | Shizuoka Bank, Ltd. (The) | 44,883 | ||||||
11,212 | Skandinaviska Enskilda Banken AB, Class A | 106,488 | ||||||
4,184 | Societe Generale | 176,165 | ||||||
3,307 | Spar Nord Bank A/S | 35,386 | ||||||
4,203 | Sparebank 1 Sr-Bank ASA | 44,494 | ||||||
121 | St. Galler Kantonalbank AG | 62,993 | ||||||
16,806 | Standard Chartered plc | 153,529 | ||||||
8,900 | Sumitomo Mitsui Financial Group, Inc. | 344,939 | ||||||
1,500 | Suruga Bank, Ltd. | 13,405 | ||||||
11,606 | Svenska Handelsbanken AB, Class A | 128,867 | ||||||
3,158 | Swedbank AB, Class A | 67,559 | ||||||
2,348 | Sydbank A/S | 80,684 | ||||||
6,500 | Toho Bank, Ltd. (The) | 23,517 | ||||||
1,100 | Tokyo Ty Financial Group, Inc. | 26,404 | ||||||
7,500 | Tomony Holdings, Inc. | 32,131 | ||||||
19,576 | Toronto-Dominion Bank (The) | 1,132,668 | ||||||
2,100 | Towa Bank, Ltd. (The) | 21,519 | ||||||
6,200 | Tsukuba Bank, Ltd. | 14,485 | ||||||
36,343 | UBI Banca — Unione di Banche Italiane SCPA | 139,192 | ||||||
11,057 | Unicredit SpA | 183,880 | ||||||
8,427 | United Overseas Bank, Ltd. | 165,997 | ||||||
682 | Valiant Holding AG | 77,233 | ||||||
764 | Van Lanschot Kempen NV | 21,551 | ||||||
9,737 | Virgin Money Holdings UK | 47,129 | ||||||
582 | Walliser Kantonalbank, Registered Shares | 68,212 | ||||||
51,785 | Westpac Banking Corp. | 1,128,197 | ||||||
1,600 | Yamagata Bank, Ltd. (The) | 33,988 | ||||||
5,000 | Yamaguchi Financial Group, Inc. | 56,213 | ||||||
9,000 | Yamanashi Chuo Bank, Ltd. (The) | 34,177 | ||||||
6 | Zuger Kantonalbank AG | 35,761 | ||||||
|
| |||||||
19,438,754 | ||||||||
|
| |||||||
Beverages (1.1%): | ||||||||
10,537 | A.G. Barr plc | 95,586 | ||||||
3,070 | Anheuser-Busch InBev NV | 309,675 | ||||||
2,300 | Asahi Breweries, Ltd. | 117,704 | ||||||
8,796 | Britvic plc | 90,370 | ||||||
562 | C&C Group plc | 2,133 | ||||||
991 | Carlsberg A/S, Class B | 116,700 | ||||||
5,367 | Coca-Cola Amatil, Ltd. | 36,514 | ||||||
600 | Coca-Cola Bottlers Japan Holdings, Inc. | 23,960 | ||||||
2,981 | Coca-Cola European Partners plc | 121,012 |
Continued
4
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
3,906 | Coca-Cola HBC AG | $ | 130,431 | |||||
4,250 | Cott Corp. | 70,418 | ||||||
5,510 | Davide Campari — Milano SpA | 45,280 | ||||||
4,154 | Diageo plc, ADR | 598,218 | ||||||
1,867 | Heineken NV | 187,172 | ||||||
2,200 | ITO EN, Ltd. | 101,655 | ||||||
6,800 | Kirin Holdings Co., Ltd. | 181,794 | ||||||
109 | Laurent-Perrier | 12,220 | ||||||
938 | Olvi OYJ | 34,707 | ||||||
2,807 | Royal Unibrew A/S | 223,678 | ||||||
4,000 | Sapporo Breweries, Ltd. | 100,216 | ||||||
1,000 | Suntory Beverage & Food, Ltd. | 42,693 | ||||||
|
| |||||||
2,642,136 | ||||||||
|
| |||||||
Biotechnology (0.2%): | ||||||||
986 | Bavarian Nordic A/S*^ | 29,051 | ||||||
1,137 | Biotest AG | 32,729 | ||||||
2,219 | CSL, Ltd. | 317,168 | ||||||
634 | Genus plc | 22,011 | ||||||
2,522 | Grifols SA | 75,632 | ||||||
5,747 | Knight Therapeutics, Inc.* | 35,195 | ||||||
3,118 | Sirtex Medical, Ltd. | 72,548 | ||||||
|
| |||||||
584,334 | ||||||||
|
| |||||||
Building Products (1.1%): | ||||||||
1,100 | AICA Kogyo Co., Ltd. | 38,583 | ||||||
2,028 | Arbonia AG* | 33,438 | ||||||
5,600 | Asahi Glass Co., Ltd. | 217,815 | ||||||
1,735 | �� | Assa Abloy AB, Class B | 36,937 | |||||
15 | Belimo Holding AG, Registered Shares | 65,269 | ||||||
2,400 | Bunka Shutter Co., Ltd. | 20,348 | ||||||
1,100 | Central Glass Co., Ltd. | 23,050 | ||||||
631 | Centrotec Sustainable AG | 9,722 | ||||||
2,051 | Compagnie de Saint-Gobain SA | 91,462 | ||||||
1,500 | Daikin Industries, Ltd. | 179,427 | ||||||
119 | dorma kaba Holding AG | 83,419 | ||||||
434 | Geberit AG, Registered Shares | 186,524 | ||||||
12,489 | Gwa Group, Ltd. | 31,391 | ||||||
2,938 | Inwido AB | 21,022 | ||||||
9,081 | Kingspan Group plc | 454,017 | ||||||
3,279 | Lindab International AB | 24,012 | ||||||
5,800 | Lixil Group Corp. | 115,936 | ||||||
5,337 | Nibe Industrier AB, Class B | 57,234 | ||||||
8,000 | Nichias Corp. | 100,095 | ||||||
1,500 | Nichiha Corp. | 56,675 | ||||||
1,500 | Nippon Sheet Glass Co., Ltd. | 14,409 | ||||||
2,000 | Nitto Boseki Co., Ltd. | 47,774 | ||||||
1,500 | Noritz Corp. | 24,429 | ||||||
1,400 | Okabe Co., Ltd. | 12,180 | ||||||
12,336 | Polypipe Group plc | 62,538 | ||||||
353 | Rockwool International A/S | 137,730 | ||||||
22 | Rockwool International A/S | 7,680 | ||||||
1,900 | Sankyo Tateyama, Inc. | 23,729 | ||||||
11,100 | Sanwa Holdings Corp. | 117,441 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
35 | Schweiter Technologies AG | $ | 36,544 | |||||
900 | Shin Nippon Air Technologies Co., Ltd. | 13,576 | ||||||
1,800 | Takara Standard Co., Ltd. | 29,976 | ||||||
2,000 | TOTO, Ltd. | 92,420 | ||||||
2,051 | Uponor OYJ | 32,899 | ||||||
638 | Zehnder Group AG | 26,457 | ||||||
|
| |||||||
2,526,158 | ||||||||
|
| |||||||
Capital Markets (2.6%): | ||||||||
2,048 | 3i Group plc | 24,327 | ||||||
3,200 | AGF Management, Ltd. | 16,943 | ||||||
1,600 | Aizawa Securities Co., Ltd. | 11,224 | ||||||
2,800 | Alaris Royalty Corp. | 33,954 | ||||||
1,655 | Altamir | 31,983 | ||||||
244 | Amundi SA(a) | 16,872 | ||||||
2,634 | Anima Holding SpA(a) | 14,098 | ||||||
17,351 | Ashmore Group plc | 85,373 | ||||||
851 | Avanza Bank Holding AB^ | 43,685 | ||||||
6,232 | Azimut Holding SpA | 96,226 | ||||||
2,819 | Banca Generali SpA | 70,024 | ||||||
4,094 | Binckbank NV | 23,163 | ||||||
3,505 | Bolsas y Mercados Espanoles | 115,665 | ||||||
25,002 | Brewin Dolphin Holdings plc | 117,150 | ||||||
1,119 | Brookfield Asset Management, Inc., Class A | 45,364 | ||||||
1,983 | Bure Equity AB | 22,395 | ||||||
6,165 | Canaccord Genuity Group, Inc. | 34,049 | ||||||
2,455 | CI Financial Corp. | 44,132 | ||||||
112 | Cie Financiere Tradition SA | 11,814 | ||||||
10,072 | Close Brothers Group plc | 197,407 | ||||||
14,749 | Credit Suisse Group AG | 221,436 | ||||||
14,000 | Daiwa Securities Group, Inc. | 81,241 | ||||||
10,467 | Deutsche Bank AG, Registered Shares | 111,160 | ||||||
206 | Deutsche Beteiligungs AG | 8,175 | ||||||
1,253 | Deutsche Boerse AG | 166,931 | ||||||
1,252 | Eastnine AB | 13,086 | ||||||
2,513 | EFG International AG | 18,854 | ||||||
258,000 | Emperor Capital Group, Ltd. | 16,371 | ||||||
2,185 | Euronext NV(a) | 138,657 | ||||||
2,000 | Fiera Capital Corp. | 17,908 | ||||||
6,269 | GAM Holding AG | 86,629 | ||||||
2,674 | Georgia Capital plc* | 36,342 | ||||||
671 | Gimv NV | 40,806 | ||||||
1,675 | Guardian Capital Group, Ltd., Class A | 29,346 | ||||||
142,000 | Guotai Junan International Hol | 30,663 | ||||||
67,243 | Haitong International Securities | 30,638 | ||||||
5,422 | Hargreaves Lansdown plc | 141,003 | ||||||
6,267 | Hong Kong Exchanges & Clearing, Ltd. | 187,787 | ||||||
22,233 | IG Group Holdings plc | 252,562 | ||||||
632 | IGM Financial, Inc. | 18,323 | ||||||
3,744 | Intermediate Capital Group plc | 54,361 | ||||||
15,356 | Investec plc | 108,855 | ||||||
6,662 | IOOF Holdings, Ltd. | 44,196 | ||||||
20,157 | Ip Group plc* | 33,718 |
Continued
5
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
3,988 | IRESS, Ltd. | $ | 35,615 | |||||
1,700 | IwaiCosmo Holdings, Inc. | 21,956 | ||||||
1,400 | Jafco Co., Ltd. | 56,859 | ||||||
7,200 | Japan Exchange Group, Inc. | 133,727 | ||||||
2,771 | Julius Baer Group, Ltd. | 162,854 | ||||||
25,444 | Jupiter Fund Management plc | 149,583 | ||||||
453 | KAS Bank NV | 5,169 | ||||||
32,000 | Kingston Financial Group, Ltd. | 9,069 | ||||||
3,928 | London Stock Exchange Group plc | 231,382 | ||||||
3,369 | Macquarie Group, Ltd. | 309,584 | ||||||
4,411 | Magellan Financial Group, Ltd. | 76,560 | ||||||
70,712 | Man Group plc | 163,963 | ||||||
2,900 | Mito Securities Co., Ltd. | 10,488 | ||||||
7,700 | Monex Group, Inc. | 44,457 | ||||||
4,265 | Navigator Global Investments, Ltd. | 16,874 | ||||||
10,500 | Nex Group plc | 142,150 | ||||||
28,200 | Nomura Holdings, Inc. | 136,530 | ||||||
5,000 | Okasan Securities Group, Inc. | 24,576 | ||||||
226 | Partners Group Holding AG | 165,840 | ||||||
7,517 | Pendal Group, Ltd. | 55,346 | ||||||
1,867 | Perpetual, Ltd. | 57,622 | ||||||
5,913 | Platinum Asset Management, Ltd. | 25,348 | ||||||
38,563 | Quilter plc*(a) | 73,742 | ||||||
3,209 | Rathbone Brothers plc | 109,808 | ||||||
9,785 | Ratos AB, Class B | 32,682 | ||||||
1,124 | Rothschild & Co. | 37,941 | ||||||
5,700 | SBI Holdings, Inc. | 146,492 | ||||||
559 | Schroders plc | 18,325 | ||||||
1,610 | Schroders plc | 67,069 | ||||||
9,000 | Singapore Exchange, Ltd. | 47,286 | ||||||
371 | Swissquote Group Holding SA | 20,559 | ||||||
2,878 | Thomson Reuters Corp. | 116,041 | ||||||
1,131 | TMX Group, Ltd. | 74,150 | ||||||
3,100 | Tokai Tokyo Financial Holdings, Inc. | 19,743 | ||||||
4,000 | Toyo Securities Co., Ltd. | 9,445 | ||||||
19,048 | Tullett Prebon plc | 105,839 | ||||||
13,983 | UBS Group AG | 215,216 | ||||||
3,019 | UBS Group AG | 46,311 | ||||||
1,793 | Vontobel Holding AG | 130,174 | ||||||
122 | Vp Bank AG, Registered Shares | 23,246 | ||||||
|
| |||||||
6,274,517 | ||||||||
|
| |||||||
Chemicals (6.0%): | ||||||||
900 | Achilles Corp. | 17,683 | ||||||
5,100 | Adeka Corp. | 81,582 | ||||||
3,219 | Air Liquide SA | 404,226 | ||||||
6,000 | Air Water, Inc. | 110,020 | ||||||
2,174 | AkzoNobel NV | 185,232 | ||||||
700 | Arakawa Chemical Industries, Ltd. | 11,235 | ||||||
4,212 | Arkema SA | 497,645 | ||||||
24,000 | Asahi Kasei Corp. | 304,666 | ||||||
15,764 | BASF SE | 1,506,840 | ||||||
7,920 | Borregaard ASA | 85,440 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
2,300 | Carlit Holdings Co., Ltd. | $ | 19,543 | |||||
812 | Christian Hansen Holding A/S | 74,928 | ||||||
1,600 | Ci Takiron Corp. | 9,008 | ||||||
9,903 | Clariant AG | 237,225 | ||||||
4,087 | Corbion NV | 130,164 | ||||||
2,800 | Croda International plc | 177,362 | ||||||
9,800 | Daicel Chemical Industries, Ltd. | 108,321 | ||||||
400 | Dainichiseika Color & Chemical | 12,443 | ||||||
5,100 | Dainippon Ink & Chemicals, Inc. | 159,136 | ||||||
5,600 | Denka Co., Ltd. | 186,439 | ||||||
17,121 | DuluxGroup, Ltd. | 96,827 | ||||||
24,199 | Elementis plc | 80,670 | ||||||
88 | EMS-Chemie Holding AG | 56,513 | ||||||
3,991 | Essentra plc | 25,292 | ||||||
1,599 | Evonik Industries AG | 54,734 | ||||||
905 | Frutarom Industries, Ltd. | 89,070 | ||||||
1,815 | Fuchs Petrolub AG | 89,449 | ||||||
679 | FUCHS Petrolub SE | 32,062 | ||||||
1,100 | Fujimori Kogyo Co., Ltd. | 36,221 | ||||||
1,400 | Fuso Chemical Co., Ltd. | 36,091 | ||||||
100 | Givaudan SA, Registered Shares | 226,749 | ||||||
29 | Gurit Holding AG | 23,558 | ||||||
835 | H&R GMBH & Co. KGAA | 9,939 | ||||||
4,570 | Hexpol AB | 47,499 | ||||||
2,600 | Hitachi Chemical Co., Ltd. | 52,384 | ||||||
700 | Hodogaya Chemical Co., Ltd. | 21,023 | ||||||
35,677 | Incitec Pivot, Ltd. | 96,208 | ||||||
1,500 | Ishihara Sangyo Kaisha, Ltd.* | 14,118 | ||||||
10,087 | Israel Chemicals, Ltd. | 46,277 | ||||||
400 | JCU Corp. | 9,293 | ||||||
2,998 | Johnson Matthey plc | 142,962 | ||||||
6,900 | K+S AG, Registered Shares | 170,271 | ||||||
16,000 | Kaneka Corp. | 143,270 | ||||||
1,100 | Kansai Paint Co., Ltd. | 22,812 | ||||||
5,000 | Kanto Denka Kogyo Co., Ltd. | 41,588 | ||||||
7,358 | Kemira OYJ | 97,783 | ||||||
1,500 | Koatsu Gas Kogyo Co., Ltd. | 13,139 | ||||||
1,178 | Koninklijke DSM NV | 118,277 | ||||||
300 | Konishi Co., Ltd. | 4,860 | ||||||
3,200 | Kumiai Chemical Industry Co., Ltd. | 25,086 | ||||||
11,300 | Kuraray Co., Ltd. | 155,452 | ||||||
400 | Kureha Corp. | 28,515 | ||||||
5,438 | Lanxess AG | 423,752 | ||||||
393 | Lenzing AG | 47,419 | ||||||
1,230 | Linde AG | 293,495 | ||||||
1,300 | Lintec Corp. | 37,709 | ||||||
2,350 | Methanex Corp. | 166,145 | ||||||
53,900 | Mitsubishi Chemical Holdings Corp. | 450,563 | ||||||
3,800 | Mitsubishi Gas Chemical Co., Inc. | 85,964 | ||||||
8,000 | Mitsui Chemicals, Inc. | 212,394 | ||||||
800 | Nihon Kagaku Sangyo Co., Ltd. | 9,594 | ||||||
2,300 | Nihon Nohyaku Co., Ltd. | 14,772 |
Continued
6
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
3,600 | Nihon Parkerizing Co., Ltd. | $ | 51,797 | |||||
600 | Nippon Chemical Industrial Co., Ltd. | 26,790 | ||||||
8,000 | Nippon Kayaku Co., Ltd. | 89,391 | ||||||
1,400 | Nippon Pillar Packing Co., Ltd. | 18,582 | ||||||
400 | Nippon Shokubai Co., Ltd. | 28,899 | ||||||
4,000 | Nippon Soda Co., Ltd. | 22,112 | ||||||
1,800 | Nissan Chemical Industries, Ltd. | 83,872 | ||||||
900 | Nitto Denko Corp. | 68,005 | ||||||
1,800 | NOF Corp. | 58,123 | ||||||
3,287 | Novozymes A/S, Class B | 166,449 | ||||||
5,861 | Nufarm, Ltd./Australia | 38,502 | ||||||
4,040 | Nutrien, Ltd. | 219,695 | ||||||
600 | Okura Industrial Co., Ltd. | 14,099 | ||||||
5,934 | Orica, Ltd. | 78,090 | ||||||
1,000 | Osaka Organic Chemical Industry, Ltd. | 13,096 | ||||||
1,343 | Recticel SA | 15,282 | ||||||
2,800 | Riken Technos Corp. | 13,989 | ||||||
500 | Sakai Chemical Industry Co., Ltd. | 13,451 | ||||||
2,400 | Sakata Inx Corp. | 31,333 | ||||||
700 | Sanyo Chemical Industries, Ltd. | 30,307 | ||||||
900 | Sekisui Plastics Co., Ltd. | 8,999 | ||||||
900 | Shin-Etsu Chemical Co., Ltd. | 79,850 | ||||||
4,700 | Showa Denko K.K. | 208,422 | ||||||
1,740 | Sika AG | 239,881 | ||||||
1,754 | SOL SPA | 21,468 | ||||||
1,497 | Solvay SA | 188,438 | ||||||
11,000 | Sumitomo Bakelite Co., Ltd. | 105,918 | ||||||
68,000 | Sumitomo Chemical Co., Ltd. | 384,891 | ||||||
300 | Sumitomo Seika Chemicals Co. Ltd. | 14,965 | ||||||
2,206 | Symrise AG | 193,371 | ||||||
17,365 | Synthomer plc | 120,201 | ||||||
500 | T Hasegawa Co., Ltd. | 10,907 | ||||||
1,200 | T&K Toka Co., Ltd. | 12,921 | ||||||
900 | Taiyo Holdings Co., Ltd. | 36,873 | ||||||
4,500 | Taiyo Nippon Sanso Corp. | 64,439 | ||||||
600 | Takasago International Corp. | 19,194 | ||||||
9,600 | Teijin, Ltd. | 175,941 | ||||||
500 | Tenma Corp. | 8,962 | ||||||
1,223 | Tessenderlo Chemie NV* | 47,664 | ||||||
1,434 | Tikkurila OYJ | 24,608 | ||||||
3,700 | Toagosei Co., Ltd. | 42,716 | ||||||
3,200 | Tokuyama Corp. | 102,536 | ||||||
600 | Tokyo Ohka Kogyo Co., Ltd. | 23,135 | ||||||
11,000 | Toray Industries, Inc. | 86,602 | ||||||
13,500 | Tosoh Corp. | 208,942 | ||||||
1,200 | Toyo Ink SC Holdings Co., Ltd. | 31,281 | ||||||
6,300 | Toyobo Co., Ltd. | 104,768 | ||||||
7,200 | Ube Industries, Ltd. | 186,977 | ||||||
6,745 | Umicore SA | 385,244 | ||||||
5,800 | Victrex plc | 222,034 | ||||||
1,157 | Wacker Chemie AG | 151,232 | ||||||
10,000 | Zeon Corp. | 118,061 | ||||||
|
| |||||||
12,882,242 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies (1.3%): | ||||||||
800 | AEON Delight Co., Ltd. | $ | 27,211 | |||||
17,026 | Aggreko plc | 151,746 | ||||||
25,551 | Babcock International Group plc | 275,498 | ||||||
1,163 | Bilfinger SE^ | 59,127 | ||||||
1,670 | Black Diamond Group, Ltd. | 4,523 | ||||||
14,490 | Brambles, Ltd. | 95,341 | ||||||
282 | Cewe Stiftung & Co. KGAA | 26,055 | ||||||
49,900 | CITIC Envirotech, Ltd. | 20,125 | ||||||
76,899 | Cleanaway Waste Management, Ltd. | 96,575 | ||||||
2,500 | Dai Nippon Printing Co., Ltd. | 55,889 | ||||||
1,000 | Daiseki Co., Ltd. | 29,353 | ||||||
4,203 | De La Rue plc | 30,816 | ||||||
20,752 | Downer EDI, Ltd. | 104,435 | ||||||
1,000 | Duskin Co., Ltd. | 24,932 | ||||||
8,557 | Edenred | 270,031 | ||||||
4,446 | Elis SA | 101,826 | ||||||
61,796 | G4S plc | 217,967 | ||||||
348 | GL Events | 9,364 | ||||||
18,123 | HomeServe plc | 214,423 | ||||||
9,361 | Interserve plc* | 7,841 | ||||||
3,054 | ISS A/S | 104,897 | ||||||
1,800 | Itoki Corp. | 10,483 | ||||||
34,804 | IWG plc | 146,173 | ||||||
1,500 | Kokuyo Co., Ltd. | 26,624 | ||||||
400 | Kyodo Printing Co., Ltd. | 10,358 | ||||||
3,638 | Lassila & Tikanoja OYJ | 69,833 | ||||||
5,185 | Loomis AB | 180,071 | ||||||
700 | Matsuda Sangyo Co., Ltd. | 10,319 | ||||||
5,449 | Mears Group plc | 24,516 | ||||||
27,717 | Mitie Group plc | 57,134 | ||||||
600 | Nissha Printing | 12,365 | ||||||
1,100 | Oyo Corp. | 14,011 | ||||||
2,100 | Park24 Co., Ltd. | 57,159 | ||||||
2,696 | PayPoint plc | 33,248 | ||||||
1,400 | Pilot Corp. | 77,930 | ||||||
15,826 | Prosegur Compania de Seguridad SA | 103,258 | ||||||
58,477 | Rentokil Initial plc | 270,582 | ||||||
1,600 | Sato Holdings Corp. | 47,840 | ||||||
700 | SECOM Co., Ltd. | 53,698 | ||||||
9,943 | Securitas AB, Class B | 163,567 | ||||||
11,583 | Shanks Group plc | 11,919 | ||||||
659 | Societe BIC SA | 61,078 | ||||||
700 | Sohgo Security Services Co., Ltd. | 32,956 | ||||||
2,300 | Takeei Corp. | 24,908 | ||||||
2,256 | Tomra Systems ASA | 47,378 | ||||||
1,300 | Toppan Forms Co., Ltd. | 13,147 | ||||||
5,000 | Toppan Printing Co., Ltd. | 39,144 | ||||||
1,100 | Tosho Printing Co., Ltd. | 9,831 | ||||||
4,470 | Transcontinental, Inc. | 103,818 | ||||||
|
| |||||||
3,641,323 | ||||||||
|
| |||||||
Communications Equipment (0.1%): | ||||||||
2,792 | Adva Optical Networking Se* | 19,951 |
Continued
7
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
700 | Aiphone Co., Ltd. | $ | 10,897 | |||||
2,052 | Ascom Holding AG | 37,197 | ||||||
700 | Denki Kogyo Co., Ltd. | 22,510 | ||||||
991 | Evs Broadcast Equipment SA | 22,723 | ||||||
500 | Icom, Inc. | 12,208 | ||||||
6,772 | Mitel Networks Corp.* | 74,134 | ||||||
36,485 | Nokia OYJ | 209,286 | ||||||
1,022 | Parrot SA* | 6,717 | ||||||
1,300 | Sierra Wireless, Inc.* | 20,798 | ||||||
26,263 | Spirent Communications plc | 40,150 | ||||||
12,465 | Telefonaktiebolaget LM Ericsson, Class B | 95,971 | ||||||
8,000 | Uniden Holdings Corp. | 22,631 | ||||||
6,200 | VTech Holdings, Ltd. | 71,375 | ||||||
|
| |||||||
666,548 | ||||||||
|
| |||||||
Construction & Engineering (1.9%): | ||||||||
4,849 | ACS Actividades de Construccion y Servicios SA | 196,125 | ||||||
3,353 | Aecon Group, Inc. | 39,435 | ||||||
2,015 | Arcadis NV | 36,205 | ||||||
3,000 | Asanuma Corp. | 10,717 | ||||||
4,202 | Astaldi SpA* | 9,819 | ||||||
2,110 | Badger Daylighting, Ltd. | 50,836 | ||||||
375 | Bauer AG | 8,279 | ||||||
16,800 | Boustead Singapore, Ltd. | 9,623 | ||||||
7,647 | Bouygues SA | 329,169 | ||||||
209 | Burkhalter Holding AG | 17,702 | ||||||
14,759 | Cardno, Ltd.* | 14,516 | ||||||
25,120 | Carillion plc*^(b)(c) | 3,960 | ||||||
1,100 | Chudenko Corp. | 27,485 | ||||||
589 | CIE d’Entreprises CFE SA | 72,848 | ||||||
2,026 | Cimic Group, Ltd. | 63,366 | ||||||
6,098 | Costain Group plc | 35,398 | ||||||
500 | Dai-Dan Co., Ltd. | 10,357 | ||||||
6,000 | Daiho Corp. | 35,708 | ||||||
2,773 | Eiffage SA | 301,415 | ||||||
2,783 | Elecnor SA | 41,290 | ||||||
7,737 | Eltel AB*(a) | 19,420 | ||||||
3,414 | Ferrovial SA | 69,984 | ||||||
1,493 | FLSmidth & Co. A/S | 89,300 | ||||||
1,782 | Fomento de Construcciones y Contratas SA* | 22,464 | ||||||
4,400 | Fudo TETRA Corp. | 8,220 | ||||||
200 | Fukuda Corp. | 12,058 | ||||||
6,974 | Galliford Try plc | 80,361 | ||||||
14,200 | Hazama Ando Corp. | 128,898 | ||||||
600 | Hibiya Engineering, Ltd. | 11,952 | ||||||
373 | Hochtief AG | 67,389 | ||||||
1,093 | Implenia AG | 83,224 | ||||||
17,890 | John Laing Group plc(a) | 65,025 | ||||||
15,000 | Kajima Corp. | 116,057 | ||||||
3,000 | Kandenko Co., Ltd. | 32,911 | ||||||
400 | Kawada Technologies, Inc. | 25,865 | ||||||
5,690 | Keller Group plc | 76,096 | ||||||
2,147 | Kier Group plc | 27,175 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
2,800 | Kinden Corp. | $ | 45,716 | |||||
8,456 | Koninklijke BAM Groep NV | 35,556 | ||||||
2,781 | Koninklijke Boskalis Westminster NV | 80,926 | ||||||
2,300 | Kumagai Gumi Co., Ltd. | 80,659 | ||||||
1,300 | Kyowa Exeo Corp. | 34,089 | ||||||
1,300 | Kyudenko Corp. | 62,721 | ||||||
7,400 | Lian Beng Group, Ltd. | 2,740 | ||||||
7,200 | Maeda Corp. | 82,589 | ||||||
3,000 | Maeda Road Construction Co., Ltd. | 57,013 | ||||||
3,300 | Mirait Holdings Corp. | 51,093 | ||||||
6,692 | Monadelphous Group, Ltd. | 74,463 | ||||||
3,820 | NCC AB | 63,481 | ||||||
300 | NDS Co., Ltd. | 16,236 | ||||||
1,000 | Nichireki Co., Ltd. | 10,843 | ||||||
3,000 | Nippo Corp. | 54,636 | ||||||
1,600 | Nippon Densetsu Kogyo Co., Ltd. | 35,210 | ||||||
700 | Nippon Koei Co., Ltd. | 17,355 | ||||||
200 | Nippon Road Co., Ltd. (The) | 10,272 | ||||||
1,500 | Nishimatsu Construction Co., Ltd. | 43,010 | ||||||
20,800 | Obayashi Corp. | 216,260 | ||||||
4,863 | Obrascon Huarte Lain SA | 15,539 | ||||||
1,100 | Okumura Corp. | 35,871 | ||||||
12,582 | Peab AB | 94,733 | ||||||
18,100 | Penta-Ocean Construction Co., Ltd. | 121,111 | ||||||
703 | Per Aarsleff Holding A/S | 24,842 | ||||||
2,500 | Raito Kogyo Co., Ltd. | 26,120 | ||||||
19,598 | Sacyr SA | 53,471 | ||||||
12,041 | Salini Impregilo SpA | 31,355 | ||||||
1,400 | Sanki Engineering Co., Ltd. | 13,704 | ||||||
5,399 | Shikun & Binui, Ltd.* | 9,566 | ||||||
14,700 | Shimizu Corp. | 152,106 | ||||||
2,700 | Spie SA | 54,689 | ||||||
881 | Strabag Se | 34,488 | ||||||
12,380 | Sumitomo Mitsui Construction | 86,122 | ||||||
2,479 | Sweco AB-B Shs | 58,422 | ||||||
700 | Taihei Dengyo Kaisha, Ltd. | 17,719 | ||||||
2,800 | TAISEI Corp. | 154,291 | ||||||
400 | Tekken Corp. | 11,026 | ||||||
900 | TOA Corp. | 23,132 | ||||||
16,300 | Tobishima Corp. | 28,523 | ||||||
1,000 | Toda Corp. | 8,694 | ||||||
400 | Toenec Corp. | 12,005 | ||||||
1,000 | Tokyo Energy & Systems, Inc. | 11,481 | ||||||
5,100 | Tokyu Construction Co., Ltd. | 49,490 | ||||||
1,100 | Totetsu Kogyo Co., Ltd. | 35,025 | ||||||
4,300 | Toyo Construction Co., Ltd. | 19,084 | ||||||
3,200 | Toyo Engineering Corp.* | 21,912 | ||||||
22,100 | United Engineers, Ltd. | 45,588 | ||||||
3,109 | Veidekke ASA | 31,272 | ||||||
3,693 | Vinci SA | 354,666 | ||||||
1,400 | Wakachiku Construction Co., Ltd. | 20,764 | ||||||
2,771 | YIT OYJ | 16,492 | ||||||
1,200 | Yurtec Corp. | 9,839 | ||||||
|
| |||||||
5,008,662 | ||||||||
|
|
Continued
8
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction Materials (0.6%): | ||||||||
17,807 | Adelaide Brighton, Ltd. | $ | 91,946 | |||||
7,356 | Boral, Ltd. | 35,491 | ||||||
3,157 | Brickworks, Ltd. | 36,642 | ||||||
2,325 | Buzzi Unicem SpA | 56,921 | ||||||
7,304 | CRH plc, ADR | 258,196 | ||||||
22,791 | CSR, Ltd. | 77,623 | ||||||
8,443 | Fletcher Building, Ltd. | 39,704 | ||||||
1,137 | HeidelbergCement AG | 95,704 | ||||||
829 | Imerys SA | 66,786 | ||||||
7,436 | James Hardie Industries SE | 125,140 | ||||||
400 | Krosaki Harima Corp. | 22,808 | ||||||
1,931 | LafargeHolcim, Ltd., Registered Shares | 94,192 | ||||||
2,500 | Nippon Concrete Industries Co., Ltd. | 7,460 | ||||||
20,000 | Sumitomo Osaka Cement Co., Ltd. | 93,658 | ||||||
7,200 | Taiheiyo Cement Corp. | 236,684 | ||||||
1,196 | Vicat | 78,440 | ||||||
|
| |||||||
1,417,395 | ||||||||
|
| |||||||
Consumer Finance (0.1%): | ||||||||
3,600 | Aeon Credit Service Co., Ltd. | 76,439 | ||||||
96,000 | Allied Properties HK, Ltd. | 20,483 | ||||||
9,830 | Arrow Global Group plc | 31,386 | ||||||
1,360 | Cembra Money Bank AG | 107,082 | ||||||
1,847 | Credit Corp. Group, Ltd. | 24,820 | ||||||
3,900 | Credit Saison Co., Ltd. | 61,312 | ||||||
18,226 | Eclipx Group, Ltd. | 42,896 | ||||||
106,800 | Enerchina Holdings, Ltd. | 6,190 | ||||||
18,254 | Flexigroup, Ltd. | 29,968 | ||||||
4,100 | Hitachi Capital Corp. | 105,912 | ||||||
2,988 | Hoist Finance AB(a) | 21,816 | ||||||
17,800 | Hong Leong Finance, Ltd. | 34,646 | ||||||
14,415 | International Personal Finance | 38,776 | ||||||
4,300 | J Trust Co., Ltd. | 35,498 | ||||||
1,800 | Jaccs Co., Ltd. | 38,915 | ||||||
15,200 | Orient Corp. | 20,443 | ||||||
4,742 | Provident Financial plc* | 37,521 | ||||||
38,000 | Sun Hung Kai Properties, Ltd. | 21,312 | ||||||
|
| |||||||
755,415 | ||||||||
|
| |||||||
Containers & Packaging (0.9%): | ||||||||
11,159 | Amcor, Ltd. | 119,164 | ||||||
10,464 | BillerudKorsnas AB^ | 147,824 | ||||||
4,231 | Cascades, Inc. | 37,884 | ||||||
1,780 | CCL Industries, Inc. | 87,274 | ||||||
46,684 | DS Smith plc | 320,907 | ||||||
800 | FP Corp. | 44,164 | ||||||
1,900 | Fuji Seal International, Inc. | 67,210 | ||||||
5,634 | Huhtamaki OYJ | 207,993 | ||||||
2,589 | Intertape Polymer Group, Inc. | 35,590 | ||||||
314 | Mayr Melnhof Karton AG | 42,391 | ||||||
69,097 | Orora, Ltd. | 182,850 | ||||||
6,607 | Pact Group Holdings, Ltd. | 25,750 | ||||||
11,000 | Rengo Co., Ltd. | 96,779 | ||||||
17,522 | RPC Group plc | 172,926 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
16,255 | Smurfit Kappa Group plc | $ | 654,009 | |||||
600 | Tomoku Co., Ltd. | 11,030 | ||||||
3,400 | Toyo Seikan Kaisha, Ltd. | 59,676 | ||||||
5 | Vetropack Holding AG | 10,084 | ||||||
1,101 | Vidrala SA | 104,784 | ||||||
|
| |||||||
2,428,289 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
3,471 | Bapcor, Ltd. | 16,887 | ||||||
3,100 | Canon Marketing Japan, Inc. | 64,535 | ||||||
500 | Chori Co., Ltd. | 8,836 | ||||||
5,572 | Connect Group plc | 2,273 | ||||||
1,438 | D’ieteren SA/NV | 59,719 | ||||||
4,313 | Headlam Group plc | 27,781 | ||||||
25,837 | Inchcape plc | 266,026 | ||||||
1,000 | Jardine Cycle & Carriage, Ltd. | 23,313 | ||||||
7,157 | John Menzies plc | 59,203 | ||||||
400 | Paltac Corp. | 23,018 | ||||||
3,025 | Uni-Select, Inc. | 48,119 | ||||||
|
| |||||||
599,710 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%): | ||||||||
23,128 | Aa plc | 37,869 | ||||||
1,100 | Benesse Holdings, Inc. | 39,003 | ||||||
2,634 | Dignity plc | 34,918 | ||||||
5,045 | EnerCare, Inc. | 69,007 | ||||||
12,438 | G8 Education, Ltd. | 21,428 | ||||||
6,026 | InvoCare, Ltd. | 61,370 | ||||||
8,365 | Navitas, Ltd. | 27,586 | ||||||
|
| |||||||
291,181 | ||||||||
|
| |||||||
Diversified Financial Services (0.7%): | ||||||||
1,573 | Ackermans & Van Haaren NV | 270,708 | ||||||
1,091 | AKER ASA | 83,454 | ||||||
52,095 | AMP, Ltd. | 137,113 | ||||||
1,900 | Century Tokyo Leasing Corp. | 107,626 | ||||||
6,399 | Cerved Information Solutions S | 68,574 | ||||||
2,394 | Challenger, Ltd. | 21,044 | ||||||
5,700 | Ecn Capital Corp. | 15,307 | ||||||
11,037 | Element Fleet Management Corp. | 51,889 | ||||||
3,300 | Financial Products Group Co., Ltd. | 42,518 | ||||||
158,669 | First Pacific Co., Ltd. | 76,440 | ||||||
1,200 | Fuyo General Lease Co., Ltd. | 82,261 | ||||||
1,236,000 | G-Resources Group, Ltd.* | 13,995 | ||||||
1,800 | Ibj Leasing Co., Ltd. | 47,596 | ||||||
4,600 | Japan Securities Finance Co., Ltd. | 25,185 | ||||||
23,000 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 141,194 | ||||||
772 | Onex Corp. | 56,669 | ||||||
17,600 | ORIX Corp. | 278,004 | ||||||
1,100 | Ricoh Leasing Co., Ltd. | 36,176 | ||||||
1,000 | Zenkoku Hosho Co., Ltd. | 45,219 | ||||||
|
| |||||||
1,600,972 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.3%): | ||||||||
26,000 | APT Satellite Holdings, Ltd. | 10,667 |
Continued
9
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
644 | BCE, Inc. | $ | 26,083 | |||||
974 | BCE, Inc. | 39,438 | ||||||
5,067 | Belgacom SA | 114,277 | ||||||
20,307 | Bezeq Israeli Telecommunication Corp., Ltd. (The) | 22,893 | ||||||
29,763 | BT Group plc | 85,621 | ||||||
5,828 | Cellnex Telecom SAU(a) | 146,643 | ||||||
18,127 | Chorus, Ltd. | 51,341 | ||||||
94,000 | CITIC Telecom International Holdings, Ltd. | 24,687 | ||||||
7,863 | Com Hem Holding AB | 127,782 | ||||||
67,539 | Deutsche Telekom AG, Registered Shares | 1,048,074 | ||||||
218 | El Towers SpA | 12,041 | ||||||
4,973 | Elisa OYJ | 230,275 | ||||||
40,490 | France Telecom SA | 677,247 | ||||||
34,000 | Hkbn, Ltd. | 52,239 | ||||||
61,295 | HKT Trust & HKT, Ltd. | 78,159 | ||||||
88,000 | Hutchison Telecommunications Holdings, Ltd. | 31,055 | ||||||
271 | Iliad SA | 42,786 | ||||||
16,506 | Inmarsat plc | 119,735 | ||||||
46,232 | KCOM Group plc | 59,065 | ||||||
53,529 | Koninklijke (Royal) KPN NV | 145,493 | ||||||
3,000 | Nippon Telegraph & Telephone Corp. | 136,337 | ||||||
275,553 | PCCW, Ltd. | 155,060 | ||||||
37,800 | Singapore Telecommunications, Ltd. | 85,351 | ||||||
2,262 | Sunrise Communications Group(a) | 184,445 | ||||||
6,021 | Superloop, Ltd. | 11,216 | ||||||
230 | Swisscom AG, Registered Shares | 102,861 | ||||||
29,050 | Talktalk Telecom Group plc^ | 40,058 | ||||||
34,736 | Telecom Corp. of New Zealand, Ltd. | 87,661 | ||||||
337,063 | Telecom Italia SpA* | 250,113 | ||||||
4,552 | Telefonica Deutschland Holding AG | 17,939 | ||||||
38,812 | Telefonica SA | 330,786 | ||||||
4,768 | Telekom Austria AG | 39,727 | ||||||
5,872 | Telenor ASA | 120,401 | ||||||
43,030 | Telia Co AB | 196,679 | ||||||
24,040 | Telstra Corp., Ltd. | 46,565 | ||||||
11,474 | TPG Telecom, Ltd. | 43,876 | ||||||
15,323 | Vocus Communications, Ltd.* | 26,169 | ||||||
|
| |||||||
5,020,845 | ||||||||
|
| |||||||
Electric Utilities (1.3%): | ||||||||
2,033 | Acciona SA | 168,134 | ||||||
53,654 | AusNet Services | 63,944 | ||||||
458 | BKW AG | 29,609 | ||||||
4,700 | Chubu Electric Power Co., Inc. | 70,455 | ||||||
2,800 | Chugoku Electric Power Co., Inc. (The) | 36,192 | ||||||
6,000 | CK Infrastructure Holdings, Ltd. | 44,413 | ||||||
8,064 | CLP Holdings, Ltd. | 86,522 | ||||||
5,549 | Contact Energy, Ltd. | 21,966 | ||||||
18,599 | Electricite de France | 254,931 | ||||||
249 | Elia System Operator SA/NV | 15,469 | ||||||
4,746 | Endesa SA^ | 104,592 | ||||||
40,556 | Enel SpA | 224,667 | ||||||
956 | EVN AG | 17,860 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
700 | Fortis, Inc. | $ | 22,316 | |||||
7,466 | Fortum OYJ | 178,069 | ||||||
18,530 | Genesis Energy, Ltd. | 30,607 | ||||||
41,500 | HK Electric Investments, Ltd.(a) | 39,551 | ||||||
7,700 | Hokkaido Electric Power Co., Inc. | 52,417 | ||||||
5,600 | Hokuriku Electric Power Co.* | 56,260 | ||||||
49,379 | Iberdrola SA | 381,388 | ||||||
5,354 | Infratil, Ltd. | 12,248 | ||||||
6,700 | Kansai Electric Power Co., Inc. (The) | 97,587 | ||||||
3,800 | Kyushu Electric Power Co., Inc. | 42,494 | ||||||
1,925 | Okinawa Electric Power Co., Inc. | 40,115 | ||||||
4,360 | Red Electrica Corporacion SA | 88,699 | ||||||
15,431 | Scottish & Southern Energy plc | 275,642 | ||||||
3,300 | Shikoku Electric Power Co., Inc. | 44,138 | ||||||
43,538 | Spark Infrastructure Group | 73,622 | ||||||
13,794 | Terna SpA | 74,427 | ||||||
5,600 | Tohoku Electric Power Co., Inc. | 68,391 | ||||||
17,100 | Tokyo Electric Power Co., Inc. (The)* | 79,599 | ||||||
|
| |||||||
2,796,324 | ||||||||
|
| |||||||
Electrical Equipment (1.5%): | ||||||||
25,335 | ABB, Ltd. | 553,050 | ||||||
600 | Chiyoda Integre Co., Ltd. | 13,151 | ||||||
6,000 | Daihen Corp. | 36,078 | ||||||
500 | Denyo Co., Ltd. | 7,748 | ||||||
18,000 | Fuji Electric Holdings Co., Ltd. | 136,869 | ||||||
4,000 | Furukawa Electric Co., Ltd. (The) | 139,545 | ||||||
1,200 | Futaba Corp. | 21,029 | ||||||
26,000 | GS Yuasa Corp. | 118,395 | ||||||
474 | Huber & Suhner AG | 28,944 | ||||||
29,500 | Johnson Electric Holdings, Ltd. | 85,822 | ||||||
2,829 | Legrand SA | 207,191 | ||||||
127,089 | Melrose Industries plc | 356,574 | ||||||
394 | Mersen | 15,656 | ||||||
13,000 | Mitsubishi Electric Corp. | 172,752 | ||||||
1,976 | Nexans SA | 67,803 | ||||||
1,000 | Nidec Corp. | 149,842 | ||||||
2,700 | Nissin Electric Co., Ltd. | 24,858 | ||||||
2,100 | Nitto Kogyo Corp. | 41,951 | ||||||
1,460 | Nordex Se* | 14,831 | ||||||
2,359 | OSRAM Licht AG | 96,345 | ||||||
6,311 | PNE Wind AG | 16,750 | ||||||
4,764 | Prysmian SpA | 118,362 | ||||||
1,177 | Schneider Electric SA | 97,893 | ||||||
280,000 | Solartech International Holding, Ltd.*^ | 44,856 | ||||||
190 | Somfy SA | 17,633 | ||||||
2,200 | SwCC Showa Holdings Co., Ltd. | 14,265 | ||||||
4,000 | Tatsuta Electric Wire And Cable Co., Ltd. | 20,343 | ||||||
2,958 | TKH Group NV | 187,723 | ||||||
4,400 | Ushio, Inc. | 55,798 | ||||||
3,491 | Vestas Wind Systems A/S | 215,846 | ||||||
170 | XP Power, Ltd. | 7,919 | ||||||
|
| |||||||
3,085,822 | ||||||||
|
|
Continued
10
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components (1.9%): | ||||||||
1,300 | Ai Holdings Corp. | $ | 28,130 | |||||
3,100 | ALPS Electric Co., Ltd. | 79,524 | ||||||
306 | Also Holding AG, Registered Shares | 36,618 | ||||||
2,200 | Amano Corp. | 51,964 | ||||||
1,200 | Arisawa Manufacturing Co., Ltd. | 12,102 | ||||||
1,300 | Azbil Corp. | 56,641 | ||||||
91 | Barco NV | 11,097 | ||||||
4,005 | Celestica, Inc.* | 47,621 | ||||||
9,400 | Citizen Holdings Co., Ltd. | 61,670 | ||||||
3,400 | CMK Corp. | 21,632 | ||||||
46,000 | Cowell e Holdings, Inc. | 9,730 | ||||||
400 | Dai-ichi Seiko Co., Ltd. | 6,477 | ||||||
400 | Daiwabo Holdings Co., Ltd. | 21,286 | ||||||
3,500 | Dexerials Corp. | 34,896 | ||||||
28,281 | Electrocomponents plc | 282,796 | ||||||
148,000 | FIH Mobile, Ltd.* | 22,808 | ||||||
7,452 | Fingerprint Cards AB* | 5,673 | ||||||
16,000 | Gcl New Energy Holdings, Ltd.* | 652 | ||||||
500 | Hakuto Co., Ltd. | 7,429 | ||||||
13,557 | Halma plc | 244,750 | ||||||
400 | Hamamatsu Photonics K.K. | 17,153 | ||||||
1,034 | Hexagon AB, Class B | 57,609 | ||||||
800 | Hitachi High-Technologies Corp. | 32,599 | ||||||
99,000 | Hitachi, Ltd. | 697,457 | ||||||
1,000 | Horiba, Ltd. | 69,878 | ||||||
3,500 | IBIDEN Co., Ltd. | 56,014 | ||||||
91 | Inficon Holding AG | 46,305 | ||||||
2,823 | Ingenico Group | 253,333 | ||||||
1,000 | Iriso Electronics Co., Ltd. | 60,315 | ||||||
4,000 | Japan Aviation Electronics Industry, Ltd. | 62,905 | ||||||
2,000 | Japan Cash Machine Co., Ltd. | 22,369 | ||||||
21,200 | Japan Display, Inc.* | 27,537 | ||||||
1,000 | Kaga Electronics Co., Ltd. | 23,655 | ||||||
200 | Keyence Corp. | 112,813 | ||||||
2,388 | Kudelski SA^ | 22,399 | ||||||
2,100 | Kyocera Corp. | 118,010 | ||||||
684 | Lagercrantz Group AB, Class B | 7,454 | ||||||
21,534 | Laird plc | 56,825 | ||||||
26 | Lem Holding SA, Registered Shares | 38,842 | ||||||
600 | Macnica Fuji Electronics Holdings | 10,053 | ||||||
2,366 | Micronic Mydata AB^ | 26,449 | ||||||
900 | Murata Manufacturing Co., Ltd. | 151,113 | ||||||
2,800 | Nichicon Corp. | 35,189 | ||||||
600 | Nippon Chemi-Con Corp. | 23,324 | ||||||
1,200 | Nippon Electric Glass Co., Ltd. | 33,318 | ||||||
3,400 | Nippon Signal Co., Ltd. | 32,991 | ||||||
1,900 | OKI Electric Industry Co., Ltd. | 21,254 | ||||||
2,000 | Omron Corp. | 93,009 | ||||||
13,505 | Opus Group AB | 9,770 | ||||||
3,000 | Osaki Electric Co., Ltd. | 23,023 | ||||||
2,587 | Oxford Instruments plc | 34,210 | ||||||
2,479 | Renishaw plc | 173,289 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
600 | Ryoyo Electro Corp. | $ | 9,689 | |||||
900 | Sanshin Electronics Co., Ltd. | 15,619 | ||||||
900 | Shimadzu Corp. | 27,139 | ||||||
600 | Shinko Shoji Co., Ltd. | 9,395 | ||||||
2,000 | Siix Corp. | 43,811 | ||||||
6,000 | SMK Corp. | 20,509 | ||||||
4,575 | Spectris plc | 157,263 | ||||||
2,000 | Sumida Corp. | 22,493 | ||||||
700 | Tachibana Eletech Co., Ltd. | 12,789 | ||||||
8,200 | Taiyo Yuden Co., Ltd. | 228,594 | ||||||
1,500 | TDK Corp. | 152,975 | ||||||
3,900 | Topcon Corp. | 66,779 | ||||||
1,300 | Toyo Corp. | 10,581 | ||||||
1,100 | UKC Holdings Corp. | 22,406 | ||||||
200 | V Technology Co., Ltd. | 36,921 | ||||||
312 | Vaisala OYJ, Class A | 7,865 | ||||||
6,300 | Venture Corp., Ltd. | 82,126 | ||||||
28,000 | Vstecs Holdings, Ltd. | 13,926 | ||||||
3,200 | Yaskawa Electric Corp. | 112,844 | ||||||
2,200 | Yokogawa Electric Corp. | 39,085 | ||||||
|
| |||||||
4,586,769 | ||||||||
|
| |||||||
Energy Equipment & Services (0.7%): | ||||||||
7,314 | Aker Solutions ASA* | 16,079 | ||||||
5,393 | Aker Solutions ASA* | 37,756 | ||||||
1,137 | Bonheur ASA | 15,421 | ||||||
2,991 | BW Offshore, Ltd.* | 15,277 | ||||||
5,101 | Calfrac Well Services, Ltd.* | 21,654 | ||||||
2,800 | Ces Energy Solutions Corp. | 9,564 | ||||||
4,426 | Enerflex, Ltd. | 47,609 | ||||||
8,606 | Ensign Energy Services, Inc. | 38,431 | ||||||
106,730 | Ezion Holdings, Ltd.* | 7,092 | ||||||
2,872 | Fugro NV* | 41,559 | ||||||
4,984 | Hunting plc* | 50,940 | ||||||
14,867 | John Wood Group plc | 122,682 | ||||||
12,946 | Kvaerner ASA* | 27,309 | ||||||
8,257 | Lamprell plc* | 10,284 | ||||||
2,200 | Mullen Group, Ltd. | 25,925 | ||||||
3,324 | Ocean Yield ASA | 29,017 | ||||||
3,553 | Odfjell Drilling, Ltd.* | 14,690 | ||||||
1,500 | Pason Systems, Inc. | 24,557 | ||||||
12,322 | Petrofac, Ltd. | 94,919 | ||||||
18,993 | Petroleum Geo-Services ASA* | 88,673 | ||||||
16,362 | Precision Drilling Corp.* | 54,145 | ||||||
398 | ProSafe SE*^ | 911 | ||||||
21,040 | Saipem SpA* | 96,791 | ||||||
6,871 | SBM Offshore NV | 106,503 | ||||||
174 | Schoeller-Blackman Oilfield Equipment AG | 20,955 | ||||||
8,377 | Secure Energy Services, Inc. | 46,266 | ||||||
2,300 | ShawCor, Ltd. | 44,653 | ||||||
2,400 | Shinko Plantech Co., Ltd. | 24,228 | ||||||
11,430 | Subsea 7 SA | 182,118 | ||||||
1,492 | Tecnicas Reunidas SA | 48,028 |
Continued
11
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Energy Equipment & Services, continued | ||||||||
5,547 | TGS NOPEC Geophysical Co. ASA | $ | 203,985 | |||||
900 | Total Energy Services, Inc. | 7,956 | ||||||
400 | Toyo Kanetsu KK | 14,579 | ||||||
13,311 | Trican Well Service, Inc.* | 30,278 | ||||||
18,254 | Trinidad Drilling, Ltd.* | 25,968 | ||||||
10,731 | Vallourec SA* | 63,471 | ||||||
4,085 | WorleyParsons, Ltd. | 53,076 | ||||||
|
| |||||||
1,763,349 | ||||||||
|
| |||||||
Food & Staples Retailing (2.2%): | ||||||||
24,500 | Aeon Co., Ltd. | 523,937 | ||||||
500 | Ain Holdings, Inc. | 36,892 | ||||||
3,200 | Alcanna, Inc. | 22,250 | ||||||
2,144 | Alimentation Couche-Tard, Inc. | 93,149 | ||||||
1,309 | Amsterdam Commodities NV | 35,836 | ||||||
2,400 | Arcs Co., Ltd. | 65,408 | ||||||
1,200 | Axial Retailing, Inc. | 45,610 | ||||||
900 | Belc Co., Ltd. | 47,592 | ||||||
20,827 | Carrefour SA^ | 336,078 | ||||||
2,135 | Casino Guichard-Perrachon SA | 82,744 | ||||||
1,100 | Cawachi, Ltd. | 22,510 | ||||||
600 | Cocokara Fine, Inc. | 36,828 | ||||||
2,636 | Colruyt SA | 150,317 | ||||||
200 | Cosmos Pharmaceutical Corp. | 40,555 | ||||||
1,300 | Create SD Holdings Co., Ltd. | 37,360 | ||||||
24,356 | Distribuidora Internacional de Alimentacion SA | 70,882 | ||||||
1,888 | Empire Co., Ltd., Class A | 37,904 | ||||||
300 | FamilyMart Co., Ltd. | 31,553 | ||||||
8,283 | Greggs plc | 108,622 | ||||||
1,600 | Heiwado Co., Ltd. | 39,856 | ||||||
1,831 | ICA Gruppen AB | 56,141 | ||||||
200 | Itochu-Shokuhin Co., Ltd. | 11,015 | ||||||
28,611 | J Sainsbury plc | 121,219 | ||||||
1,366 | Kesko OYJ, Class A | 77,666 | ||||||
2,714 | Kesko OYJ, Class B | 165,974 | ||||||
28,566 | Koninklijke Ahold Delhaize NV | 683,362 | ||||||
400 | LAWSON, Inc. | 24,988 | ||||||
1,111 | Loblaw Cos., Ltd. | 57,135 | ||||||
1,430 | Marr SpA | 37,642 | ||||||
54,594 | Metcash, Ltd. | 105,776 | ||||||
3,919 | Metro AG | 32,577 | ||||||
5,170 | METRO AG | 63,876 | ||||||
1,817 | Metro, Inc. | 61,774 | ||||||
900 | Mitsubishi Shokuhin Co., Ltd. | 23,984 | ||||||
600 | Nihon Chouzai Co., Ltd. | 15,922 | ||||||
801 | North West Co., Inc. | 17,866 | ||||||
1,094 | Rallye SA | 12,495 | ||||||
600 | San-A Co., Ltd. | 29,622 | ||||||
4,300 | Seven & I Holdings Co., Ltd. | 187,450 | ||||||
1,454 | Sligro Food Group NV | 76,201 | ||||||
1,800 | Sogo Medical Co., Ltd. | 37,597 | ||||||
37,635 | Sonae SGPS SA | 45,206 | ||||||
500 | Sugi Holdings Co., Ltd. | 28,924 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
1,300 | Sundrug Co., Ltd. | $ | 52,573 | |||||
112,169 | Tesco plc | 379,850 | ||||||
600 | Tsuruha Holdings, Inc. | 75,130 | ||||||
3,100 | United Supermarkets Holdings | 40,104 | ||||||
2,200 | Valor Co., Ltd. | 50,181 | ||||||
1,000 | Welcia Holdings Co., Ltd. | 53,150 | ||||||
5,821 | Wesfarmers, Ltd. | 213,439 | ||||||
1,644 | Weston (George), Ltd. | 134,146 | ||||||
35,391 | William Morrison Supermarkets plc | 117,554 | ||||||
9,123 | Woolworths, Ltd. | 206,613 | ||||||
700 | Yamatane Corp. | 14,513 | ||||||
1,200 | Yaoko Co., Ltd. | 66,149 | ||||||
2,800 | Yokohama Reito Co., Ltd. | 25,505 | ||||||
|
| |||||||
5,269,202 | ||||||||
|
| |||||||
Food Products (2.8%): | ||||||||
4,938 | AAK AB | 78,444 | ||||||
91 | Agrana Beteiligungs AG | 9,367 | ||||||
4,400 | Ajinomoto Co., Inc. | 83,099 | ||||||
3,482 | Aryzta AG*^ | 52,323 | ||||||
1,675 | Associated British Foods plc | 60,381 | ||||||
772 | Atria OYJ | 9,370 | ||||||
5,111 | Austevoll Seafood ASA | 61,417 | ||||||
23,247 | Australian Agricultural Co., Ltd.* | 21,666 | ||||||
1,362 | Bakkafrost P/F | 75,635 | ||||||
33 | Barry Callebaut AG, Registered Shares | 59,282 | ||||||
125 | Bell AG | 40,086 | ||||||
3,394 | Bellamy’s Australia, Ltd.* | 38,963 | ||||||
567 | Bonduelle S.C.A. | 20,457 | ||||||
1,100 | Calbee, Inc. | 41,362 | ||||||
4,349 | Cloetta AB | 13,196 | ||||||
3,432 | Cranswick plc | 152,500 | ||||||
7,971 | Dairy Crest Group plc | 51,591 | ||||||
3,659 | Danone SA | 268,208 | ||||||
10,087 | Devro plc | 26,505 | ||||||
500 | Dydo Drinco, Inc. | 29,700 | ||||||
1,136 | Ebro Foods SA | 26,503 | ||||||
111 | Emmi AG | 94,574 | ||||||
500 | Ezaki Glico Co., Ltd. | 24,013 | ||||||
16,300 | First Resources, Ltd. | 18,641 | ||||||
1,000 | Fuji Oil Co., Ltd. | 35,908 | ||||||
10,349 | Glanbia plc | 191,721 | ||||||
260,400 | Golden Agri-Resources, Ltd. | 58,247 | ||||||
11,957 | GrainCorp, Ltd. | 67,894 | ||||||
18,175 | Greencore Group plc | 44,477 | ||||||
3,373 | Grieg Seafood ASA | 35,539 | ||||||
1,119 | Hilton Food Group plc | 14,703 | ||||||
1,600 | Hokuto Corp. | 28,526 | ||||||
47,400 | Japfa, Ltd. | 22,046 | ||||||
300 | J-Oil Mills, Inc. | 10,780 | ||||||
800 | Kagome Co., Ltd. | 26,566 | ||||||
1,567 | Kerry Group plc, Class A | 163,650 | ||||||
1,100 | Kewpie Corp. | 27,695 |
Continued
12
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
59 | KWS Saat SE | $ | 20,901 | |||||
6,130 | Leroy Seafood Group ASA | 41,311 | ||||||
2,549 | Maple Leaf Foods, Inc. | 64,457 | ||||||
3,528 | Marine Harvest | 70,275 | ||||||
2,600 | Maruha Nichiro Corp. | 104,536 | ||||||
1,600 | Megmilk Snow Brand Co., Ltd. | 42,674 | ||||||
1,100 | Meiji Holdings Co., Ltd. | 92,722 | ||||||
700 | Morinaga & Co., Ltd. | 33,539 | ||||||
3,000 | Morinaga Milk Industry Co., Ltd. | 112,082 | ||||||
26,347 | Nestle SA, Registered Shares | 2,040,524 | ||||||
4,900 | Nichirei Corp. | 124,516 | ||||||
800 | Nippon Beet Sugar Manufacturing Co., Ltd. | 17,331 | ||||||
2,800 | Nippon Flour Mills Co., Ltd. | 48,678 | ||||||
1,500 | Nippon Meat Packers, Inc. | 60,588 | ||||||
20,100 | Nippon Suisan Kaisha, Ltd. | 99,013 | ||||||
800 | Nisshin Oillio Group, Ltd. (The) | 24,043 | ||||||
1,100 | Nisshin Seifun Group, Inc. | 23,267 | ||||||
900 | Nissin Sugar Co., Ltd. | 17,153 | ||||||
326 | Orior AG | 28,053 | ||||||
2,710 | Orkla ASA, Class A | 23,740 | ||||||
11,559 | Parmalat SpA | 39,010 | ||||||
1,700 | Petra Foods, Ltd. | 1,560 | ||||||
51,099 | Premier Foods plc* | 25,553 | ||||||
988 | Premium Brands Holdings Corp. | 85,143 | ||||||
10,000 | Prima Meat Packers, Ltd. | 57,829 | ||||||
11,598 | Ridley Corp., Ltd. | 11,812 | ||||||
5,300 | Rogers Sugar, Inc. | 21,369 | ||||||
1,029 | Salmar ASA | 43,196 | ||||||
2,923 | Saputo, Inc. | 97,063 | ||||||
127 | Savencia SA | 11,121 | ||||||
3,496 | Scales Corp., Ltd. | 10,981 | ||||||
3,767 | Scandi Standard AB | 24,098 | ||||||
392 | Schouw & Co. | 34,598 | ||||||
1,200 | Showa Sangyo Co., Ltd. | 31,341 | ||||||
147 | Sipef SA* | 10,224 | ||||||
300 | Starzen Co., Ltd. | 15,822 | ||||||
2,737 | Suedzucker AG | 43,592 | ||||||
9,961 | Tassal Group, Ltd. | 30,532 | ||||||
21,868 | Tate & Lyle plc | 186,462 | ||||||
432 | Vilmorin & CIE SA | 29,048 | ||||||
2,508 | Viscofan SA | 170,698 | ||||||
42,000 | Vitasoy International Holdings, Ltd. | 134,175 | ||||||
400 | Warabeya Nichiyo Holdings Co., Ltd. | 9,175 | ||||||
2,992 | Wessanen | 62,835 | ||||||
94,112 | WH Group, Ltd.(a) | 76,091 | ||||||
15,800 | Wilmar International, Ltd. | 35,437 | ||||||
200 | Yakult Honsha Co., Ltd. | 13,354 | ||||||
2,000 | Yamazaki Baking Co., Ltd. | 52,246 | ||||||
|
| |||||||
6,538,803 | ||||||||
|
| |||||||
Gas Utilities (0.3%): | ||||||||
12,578 | APA Group | 91,614 | ||||||
10,923 | Gas Natural SDG SA^ | 289,000 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities, continued | ||||||||
26,771 | Hong Kong & China Gas Co., Ltd. | $ | 51,087 | |||||
12,938 | Italgas SpA | 71,258 | ||||||
800 | K&O Energy Group, Inc. | 13,496 | ||||||
3,200 | Osaka Gas Co., Ltd. | 66,211 | ||||||
3,368 | Rubis SCA | 210,157 | ||||||
1,300 | Saibu Gas Co., Ltd. | 35,182 | ||||||
3,700 | Shizuoka Gas Co. Ltd. | 33,924 | ||||||
10,212 | Superior Plus Corp. | 98,741 | ||||||
2,000 | Toho Gas Co., Ltd. | 69,204 | ||||||
2,200 | Tokyo Gas Co., Ltd. | 58,387 | ||||||
|
| |||||||
1,088,261 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (1.3%): | ||||||||
3,115 | Ambu A/S | 104,970 | ||||||
3,613 | Ansell, Ltd. | 72,894 | ||||||
5,613 | Arjo AB, Class B | 20,004 | ||||||
1,600 | Asahi Intecc Co., Ltd. | 60,412 | ||||||
1,072 | Cochlear, Ltd. | 159,352 | ||||||
1,014 | Coloplast A/S, Class B | 101,295 | ||||||
1,992 | Consort Medical plc | 31,328 | ||||||
781 | DiaSorin SpA | 89,019 | ||||||
509 | Draegerwerk AG & Co. KGaA | 36,493 | ||||||
213 | Eckert & Ziegler AG | 9,274 | ||||||
1,745 | Essilor International SA Compagnie Generale d’Optique | 246,186 | ||||||
6,555 | Fisher & Paykel Healthcare Corp., Ltd. | 66,051 | ||||||
7,376 | GN Store Nord A/S | 336,034 | ||||||
405 | Guerbet | 27,052 | ||||||
2,000 | HOYA Corp. | 113,602 | ||||||
1,500 | Nihon Kohden Corp. | 41,757 | ||||||
8,900 | Nipro Corp. | 102,740 | ||||||
1,300 | Olympus Co., Ltd. | 48,564 | ||||||
900 | Paramount Bed Holdings Co., Ltd. | 38,579 | ||||||
1,192 | Sartorius AG | 178,056 | ||||||
876 | Sartorius Stedim Biotech | 91,480 | ||||||
10,538 | Smith & Nephew plc | 193,759 | ||||||
411 | Sonova Holding AG, Registered Shares | 73,761 | ||||||
184 | Straumann Holding AG, Registered Shares | 140,126 | ||||||
1,400 | Sysmex Corp. | 130,554 | ||||||
2,000 | Terumo Corp. | 114,273 | ||||||
5,988 | William Demant Holding A/S* | 240,853 | ||||||
|
| |||||||
2,868,468 | ||||||||
|
| |||||||
Health Care Providers & Services (0.6%): | ||||||||
4,943 | Al Noor Hospitals Group plc | 34,329 | ||||||
900 | Alfresa Holdings Corp. | 21,137 | ||||||
3,417 | Amplifon SpA | 70,721 | ||||||
18,377 | Australian Pharmaceutical Industries, Ltd. | 23,221 | ||||||
1,100 | Bml, Inc. | 28,337 | ||||||
3,973 | Cambian Group plc | 7,978 | ||||||
2,363 | Capio AB(a) | 11,309 | ||||||
4,556 | Ebos Group, Ltd. | 55,351 | ||||||
4,221 | Estia Health, Ltd. | 10,266 |
Continued
13
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
4,012 | Extendicare, Inc. | $ | 22,128 | |||||
656 | Fagron | 11,198 | ||||||
699 | Fresenius Medical Care AG & Co., KGaA | 70,554 | ||||||
2,812 | Fresenius SE & Co. KGaA | 225,775 | ||||||
52,706 | Healthscope, Ltd. | 86,186 | ||||||
2,000 | Japan Lifeline Co., Ltd. | 49,044 | ||||||
16,930 | Japara Healthcare, Ltd. | 22,607 | ||||||
2,680 | Korian-Medica | 90,437 | ||||||
1,284 | Lifco AB-B Shs | 45,702 | ||||||
1,404 | Medical Facilities Corp. | 14,921 | ||||||
7,584 | Metlifecare, Ltd. | 32,139 | ||||||
1,900 | Miraca Holdings, Inc. | 56,578 | ||||||
1,060 | Orpea | 141,339 | ||||||
14,403 | Primary Health Care, Ltd. | 37,248 | ||||||
24,900 | Raffles Medical Group, Ltd. | 18,494 | ||||||
1,233 | Ramsay Health Care, Ltd. | 49,330 | ||||||
3,746 | Ryman Healthcare, Ltd. | 30,350 | ||||||
2,200 | Ship Healthcare Holdings, Inc. | 82,942 | ||||||
2,371 | Sienna Senior Living, Inc. | 29,906 | ||||||
1,446 | Sigma Healthcare, Ltd. | 872 | ||||||
2,635 | Sonic Healthcare, Ltd. | 47,917 | ||||||
8,887 | Spire Healthcare Group plc(a) | 29,378 | ||||||
10,895 | Summerset Group Holdings, Ltd. | 56,412 | ||||||
500 | Suzuken Co., Ltd. | 21,157 | ||||||
1,800 | Toho Holdings Co., Ltd. | 43,899 | ||||||
3,435 | Virtus Health, Ltd. | 14,608 | ||||||
2,800 | Vital Ksk Holdings, Inc. | 29,171 | ||||||
|
| |||||||
1,622,941 | ||||||||
|
| |||||||
Health Care Technology (0.0%): | ||||||||
14,160 | AGFA-Gevaert NV* | 59,450 | ||||||
857 | Compugroup Medical Se | 43,998 | ||||||
1,500 | M3, Inc. | 59,717 | ||||||
1,213 | Raysearch Laboratories AB*^ | 14,208 | ||||||
|
| |||||||
177,373 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.9%): | ||||||||
36,400 | Accordia Golf Trust | 16,444 | ||||||
22,459 | Ardent Leisure Group | 32,896 | ||||||
7,631 | Aristocrat Leisure, Ltd. | 174,213 | ||||||
4,300 | Atom Corp. | 41,765 | ||||||
7,557 | Autogrill SpA | 93,685 | ||||||
3,095 | Betsson AB* | 18,785 | ||||||
14,000 | Cafe de Coral Holdings, Ltd. | 33,818 | ||||||
577 | Carnival plc, ADR | 33,264 | ||||||
485 | Cie des Alpes | 16,626 | ||||||
9,479 | Collins Foods, Ltd. | 39,056 | ||||||
2,000 | Colowide Co., Ltd. | 53,486 | ||||||
8,814 | Compass Group plc | 187,740 | ||||||
2,118 | Corporate Travel Management, Ltd. | 42,944 | ||||||
2,375 | Crown, Ltd. | 23,780 | ||||||
1,951 | Domino’s Pizza Enterprises, Ltd. | 75,337 | ||||||
23,341 | Domino’s Pizza Group plc | 106,567 | ||||||
1,600 | Doutor Nichires Holdings Co., Ltd. | 31,774 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
6,304 | Elior Group^(a) | $ | 90,787 | |||||
20,405 | Enterprise Inns plc* | 39,303 | ||||||
1,133 | Flight Centre, Ltd. | 53,332 | ||||||
557 | Fuller Smith & Turner plc, Class A | 6,983 | ||||||
16,010 | Galaxy Entertainment Group, Ltd. | 122,889 | ||||||
2,773 | Great Canadian Gaming Corp.* | 98,199 | ||||||
10,128 | Greene King plc | 76,873 | ||||||
4,715 | GVC Holdings plc | 65,322 | ||||||
1,700 | HIS Co., Ltd. | 51,232 | ||||||
18,000 | Hongkong & Shanghai Hotels (The) | 25,679 | ||||||
11,300 | Hotel Grand Central, Ltd. | 11,300 | ||||||
1,726 | Intercontinental Hotels Group plc, ADR | 108,168 | ||||||
7,041 | JD Wetherspoon plc | 116,981 | ||||||
1,500 | Kyoritsu Maintenance Co., Ltd. | 82,173 | ||||||
23,554 | Ladbrokes Coral Group plc* | 3,366 | ||||||
17,201 | Marston’s plc | 22,580 | ||||||
200 | Matsuya Foods Co., Ltd. | 6,808 | ||||||
22,000 | Melco International Development Ltd. | 67,623 | ||||||
2,209 | Melia Hotels International SA | 30,259 | ||||||
25,795 | Merlin Entertainments plc(a) | 131,588 | ||||||
15,327 | MGM China Holdings, Ltd. | 35,493 | ||||||
6,833 | Millennium & Copthorne Hotels | 47,873 | ||||||
14,000 | Miramar Hotel & Investment | 26,355 | ||||||
10,745 | Mitchells & Butlers plc | 36,912 | ||||||
902 | Mty Food Group, Inc. | 34,564 | ||||||
122,000 | NagaCorp, Ltd. | 110,889 | ||||||
10,509 | NH Hotel Group SA | 77,620 | ||||||
1,223 | Orascom Development Holding AG* | 18,320 | ||||||
900 | Oriental Land Co., Ltd. | 94,322 | ||||||
17,900 | Oue, Ltd. | 20,495 | ||||||
1,016 | Paddy Power Betfair plc | 111,255 | ||||||
1,718 | Paddy Power plc | 192,650 | ||||||
2,047 | Pandox AB | 34,751 | ||||||
900 | Pizza Pizza Royalty Corp. | 8,387 | ||||||
12,439 | Rank Group plc | 31,455 | ||||||
30,000 | Regal Hotels International Holdings, Ltd. | 18,629 | ||||||
2,000 | Resorttrust, Inc. | 35,307 | ||||||
1,092 | Restaurant Brands International, Inc. | 65,877 | ||||||
2,017 | Restaurant Brands New Zealand, Ltd. | 10,651 | ||||||
6,315 | Restaurant Group plc (The) | 23,442 | ||||||
4,600 | Round One Corp. | 72,281 | ||||||
1,300 | Royal Holdings Co., Ltd. | 35,604 | ||||||
1,200 | Saint Marc Holdings Co., Ltd. | 29,620 | ||||||
1,300 | Saizeriya Co., Ltd. | 29,737 | ||||||
16,988 | Sands China, Ltd. | 90,526 | ||||||
66,868 | SJM Holdings, Ltd. | 83,087 | ||||||
705 | Skistar AB | 14,689 | ||||||
28,970 | Sky City Entertainment Group, Ltd. | 79,172 | ||||||
2,200 | Skylark Co., Ltd. | 32,556 | ||||||
1,092 | Sodexo SA | 109,087 | ||||||
30,575 | SSP Group plc | 255,685 | ||||||
10,849 | Star Entertainment Group, Ltd. (The) | 39,711 |
Continued
14
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
1,200 | Stars Group, Inc. (The)* | $ | 43,527 | |||||
7,146 | Tabcorp Holdings, Ltd. | 23,648 | ||||||
50,634 | Thomas Cook Group plc | 71,941 | ||||||
4,500 | Tokyo Dome Corp. | 40,195 | ||||||
1,100 | Toridoll Holding Corp. | 25,980 | ||||||
8,666 | TUI AG | 190,056 | ||||||
6,856 | Unibet Group plc | 86,278 | ||||||
2,777 | Whitbread plc | 145,042 | ||||||
41,297 | William Hill plc | 165,023 | ||||||
16,830 | Wynn Macau, Ltd. | 54,046 | ||||||
3,500 | Zensho Holdings Co., Ltd. | 88,867 | ||||||
|
| |||||||
5,075,230 | ||||||||
|
| |||||||
Household Durables (1.8%): | ||||||||
2,000 | Alpine Electronics, Inc. | 41,225 | ||||||
520 | Bang & Olufsen A/S* | 11,288 | ||||||
10,063 | Barratt Developments plc | 68,416 | ||||||
6,709 | Bellway plc | 265,852 | ||||||
5,073 | Berkeley Group Holdings plc (The) | 253,316 | ||||||
5,170 | Bonava AB | 60,648 | ||||||
3,114 | Bovis Homes Group plc | 47,057 | ||||||
3,865 | Breville Group, Ltd. | 33,368 | ||||||
2,200 | Casio Computer Co., Ltd. | 35,755 | ||||||
600 | Chofu Seisakusho Co., Ltd. | 12,998 | ||||||
9,906 | Crest Nicholson Holdings plc | 50,903 | ||||||
2,921 | De’Longhi | 82,656 | ||||||
1,000 | Dorel Industries, Inc. | 16,965 | ||||||
2,152 | Duni AB | 30,815 | ||||||
266 | Ekornes ASA | 4,504 | ||||||
3,583 | Electrolux AB, Series B, B Shares | 81,567 | ||||||
2,053 | Fiskars OYJ Abp | 46,412 | ||||||
23 | Forbo Holding AG | 34,380 | ||||||
1,600 | Foster Electric Co., Ltd. | 22,936 | ||||||
1,600 | Fuji Corp., Ltd. | 14,288 | ||||||
2,300 | Fujitsu General, Ltd. | 35,930 | ||||||
9,600 | Haseko Corp. | 132,495 | ||||||
187 | Hunter Douglas NV | 13,757 | ||||||
13,919 | Husqvarna AB, Class B | 131,848 | ||||||
4,300 | Iida Group Holdings Co., Ltd. | 82,871 | ||||||
5,228 | JM AB | 93,315 | ||||||
661 | Kaufman & Broad SA | 31,155 | ||||||
62,400 | Man Wah Holdings, Ltd. | 48,892 | ||||||
4,714 | McCarthy & Stone plc(a) | 6,099 | ||||||
10 | Metall Zug AG | 31,699 | ||||||
1,200 | Misawa Homes Co., Ltd. | 9,962 | ||||||
2,500 | Nissei Build Kogyo Co., Ltd. | 25,704 | ||||||
9,589 | Nobia AB | 73,781 | ||||||
17,300 | Panasonic Corp. | 232,464 | ||||||
9,143 | Persimmon plc | 305,504 | ||||||
31,200 | Pioneer Corp.* | 43,352 | ||||||
1,400 | Pressance Corp. | 21,609 | ||||||
15,445 | Redrow plc | 108,583 | ||||||
500 | Sangetsu Corp. | 10,124 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
1,048 | SEB SA | $ | 182,731 | |||||
13,000 | Sekisui Chemical Co., Ltd. | 221,367 | ||||||
6,800 | Sekisui House, Ltd. | 120,244 | ||||||
9,500 | Sony Corp. | 487,473 | ||||||
2,200 | Starts Corp., Inc. | 53,599 | ||||||
6,900 | Sumitomo Forestry Co., Ltd. | 104,219 | ||||||
328 | Surteco SE | 9,625 | ||||||
110,619 | Taylor Wimpey plc | 261,066 | ||||||
20,687 | Techtronic Industries Co., Ltd. | 114,872 | ||||||
400 | Token Corp. | 35,271 | ||||||
1,733 | Tomtom NV* | 15,646 | ||||||
2,000 | Zojirushi Corp. | 24,421 | ||||||
|
| |||||||
4,285,027 | ||||||||
|
| |||||||
Household Products (0.3%): | ||||||||
2,964 | Essity AB, Class B | 73,133 | ||||||
4,000 | Lion Corp. | 73,334 | ||||||
14,255 | Mcbride plc* | 25,095 | ||||||
2,100 | Pigeon Corp. | 102,102 | ||||||
2,153 | Reckitt Benckiser Group plc | 176,955 | ||||||
9,387 | Svenska Cellulosa AB, Class B | 101,899 | ||||||
1,800 | Unicharm Corp. | 54,171 | ||||||
|
| |||||||
606,689 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.1%): | ||||||||
1,967 | Albioma SA | 44,352 | ||||||
2,200 | Algonquin Power & Utilities Corp. | 21,255 | ||||||
2,859 | Boralex, Inc., Class A | 45,805 | ||||||
2,600 | Capital Power Corp. | 49,903 | ||||||
20,418 | Drax Group plc | 88,291 | ||||||
3,045 | Edp Renovaveis SA | 31,743 | ||||||
1,300 | Electric Power Development Co., Ltd. | 33,551 | ||||||
3,202 | ERG SpA | 69,768 | ||||||
9,297 | Falck Renewables SpA | 22,398 | ||||||
54,874 | Infigen Energy* | 26,785 | ||||||
3,741 | Innergex Renewable Energy, Inc. | 39,303 | ||||||
4,661 | Northland Power, Inc. | 86,979 | ||||||
2,000 | Polaris Infrastructure, Inc. | 21,423 | ||||||
1,917 | Scatec Solar ASA(a) | 12,958 | ||||||
12,748 | Transalta Corp. | 64,007 | ||||||
1,200 | Transalta Renewables, Inc. | 11,356 | ||||||
2,170 | Uniper SE | 64,686 | ||||||
|
| |||||||
734,563 | ||||||||
|
| |||||||
Industrial Conglomerates (1.1%): | ||||||||
8,000 | Chevalier International Holdings Ltd. | 12,175 | ||||||
26,645 | Cir-Compagnie Industriali Riun | 32,593 | ||||||
12,930 | CK Hutchison Holdings, Ltd. | 136,466 | ||||||
54 | Daetwyler Holding AG | 10,393 | ||||||
1,493 | DCC plc | 135,790 | ||||||
2,000 | Guoco Group, Ltd. | 30,064 | ||||||
17,500 | Hopewell Holdings, Ltd. | 59,747 | ||||||
980 | Indus Holding AG | 61,090 | ||||||
1,500 | Katakura Industries Co., Ltd. | 17,606 |
Continued
15
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
2,200 | Keihan Electric Railway Co., Ltd. | $ | 78,923 | |||||
14,100 | Keppel Corp., Ltd. | 74,185 | ||||||
6,713 | Koninklijke Philips Electronics NV | 284,517 | ||||||
3,787 | Koninklijke Philips Electronics NV, NY Shares, NYS | 160,076 | ||||||
900 | Nisshinbo Holdings, Inc. | 9,652 | ||||||
1,487 | Nolato AB | 119,959 | ||||||
2,675 | Rheinmetall AG | 295,378 | ||||||
2,400 | Seibu Holdings, Inc. | 40,447 | ||||||
57,400 | SembCorp Industries, Ltd. | 115,574 | ||||||
70,000 | Shun Tak Holdings, Ltd. | 28,619 | ||||||
5,436 | Smiths Group plc | 121,755 | ||||||
5,400 | Tokai Holdings Corp. | 52,191 | ||||||
|
| |||||||
1,877,200 | ||||||||
|
| |||||||
Insurance (3.8%): | ||||||||
5,489 | Admiral Group plc | 138,041 | ||||||
26,668 | AEGON NV | 159,349 | ||||||
3,711 | Ageas NV | 187,097 | ||||||
67,040 | AIA Group, Ltd. | 580,396 | ||||||
4,109 | Alm Brand A/S | 40,355 | ||||||
25,977 | Assicurazioni Generali SpA | 434,936 | ||||||
55,730 | Aviva plc | 370,523 | ||||||
12,499 | AXA SA | 306,192 | ||||||
496 | Baloise Holding AG, Registered Shares | 72,162 | ||||||
25,009 | Beazley plc | 193,349 | ||||||
7,384 | Chesnara plc | 35,267 | ||||||
597 | Clal Insurance Enterprises Holdings, Ltd.* | 8,347 | ||||||
1,594 | CNP Assurances SA | 36,217 | ||||||
3,800 | Coface SA | 42,201 | ||||||
7,600 | Dai-ichi Life Insurance Co., Ltd. | 135,202 | ||||||
7,585 | Direct Line Insurance Group plc | 34,305 | ||||||
82 | E-L Financial Corp., Ltd. | 51,152 | ||||||
20,019 | Esure Group plc | 57,413 | ||||||
374 | Fairfax Financial Holdings, Ltd. | 209,594 | ||||||
268 | FBD Holdings plc | 3,307 | ||||||
1,983 | Gjensidige Forsikring ASA | 32,488 | ||||||
309 | Hannover Rueck SE | 38,522 | ||||||
5,987 | Harel Insurance Investments & | 44,960 | ||||||
240 | Helvetia Patria Holding AG | 137,206 | ||||||
4,798 | Hiscox, Ltd. | 96,462 | ||||||
2,621 | Industrial Alliance Insurance & Financial Services, Inc. | 101,191 | ||||||
8,600 | Japan Post Holdings Co., Ltd. | 94,167 | ||||||
6,623 | Jardine Lloyd Thompson Group plc | 111,763 | ||||||
22,877 | JRP Group plc | 40,740 | ||||||
4,200 | Lancashire Holdings, Ltd. | 31,419 | ||||||
110,390 | Legal & General Group plc | 387,342 | ||||||
13,895 | Manulife Financial Corp. | 249,693 | ||||||
865 | Manulife Financial Corp. | 15,543 | ||||||
44,734 | MAPFRE SA | 134,606 | ||||||
26,388 | Medibank Private, Ltd. | 57,121 | ||||||
1,055 | Menora Mivtachim Holdings, Ltd. | 11,393 | ||||||
16,641 | Migdal Insurance & Financial Holding, Ltd.* | 14,422 | ||||||
2,400 | MS&AD Insurance Group Holdings, Inc. | 74,558 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
1,025 | Muenchener Rueckversicherungs-Gesellschaft AG | $ | 217,203 | |||||
20,116 | NIB Holdings, Ltd. | 85,623 | ||||||
1,800 | NKSJ Holdings, Inc. | 72,727 | ||||||
2,120 | NN Group NV | 86,014 | ||||||
115,690 | Old Mutual, Ltd. | 229,591 | ||||||
13,324 | Phoenix Group Holdings | 118,995 | ||||||
4,472 | Phoenix Holdings, Ltd. (The) | 23,432 | ||||||
2,827 | Protector Forsikring ASA*^ | 23,005 | ||||||
9,829 | QBE Insurance Group, Ltd. | 71,053 | ||||||
56,602 | Saga plc | 93,527 | ||||||
2,986 | SCOR SA | 110,757 | ||||||
4,237 | Societa Cattolica di Assicuraz | 35,268 | ||||||
14,023 | St. James Place plc | 212,250 | ||||||
4,226 | Standard Life plc | 18,157 | ||||||
11,633 | Steadfast Group, Ltd. | 24,258 | ||||||
7,873 | Storebrand ASA | 63,549 | ||||||
8,920 | Sun Life Financial, Inc. | 358,048 | ||||||
9,055 | Suncorp-Metway, Ltd. | 98,025 | ||||||
275 | Swiss Life Holding AG, Registered Shares | 95,688 | ||||||
2,106 | Swiss Re AG | 182,049 | ||||||
4,600 | T&D Holdings, Inc. | 68,928 | ||||||
828 | Talanx AG | 30,227 | ||||||
3,100 | Tokio Marine Holdings, Inc. | 145,177 | ||||||
3,403 | Topdanmark A/S | 148,948 | ||||||
23 | Trisura Group, Ltd.* | 466 | ||||||
4,088 | Tryg A/S | 95,943 | ||||||
16,849 | Unipol Gruppo Finanziario SpA | 64,895 | ||||||
34,458 | UnipolSai SpA | 75,996 | ||||||
4,045 | Uniqa Insurance Group AG | 37,174 | ||||||
20 | Vaudoise Assurances Holding SA | 10,413 | ||||||
1,204 | Vienna Insurance Group Weiner Staeditische Versicherung AG | 32,712 | ||||||
1,065 | Vittoria Assicurazioni SpA | 17,337 | ||||||
271 | Wuestenrot & Wuerttembergische AG | 5,560 | ||||||
1,274 | Zurich Insurance Group AG | 378,058 | ||||||
|
| |||||||
8,100,054 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.2%): | ||||||||
13,793 | Ocado Group plc* | 186,910 | ||||||
6,700 | Rakuten, Inc. | 45,247 | ||||||
4,000 | Start Today Co., Ltd. | 144,831 | ||||||
1,817 | Takkt AG | 33,264 | ||||||
19,250 | Trade Me Group, Ltd. | 60,710 | ||||||
|
| |||||||
470,962 | ||||||||
|
| |||||||
Internet Software & Services (0.6%): | ||||||||
22,069 | Auto Trader Group plc(a) | 124,003 | ||||||
9,425 | Carsales.com, Ltd. | 105,668 | ||||||
1,200 | Dip Corp. | 30,821 | ||||||
4,572 | Domain Holdings Australia, Ltd. | 10,932 | ||||||
3,000 | GMO Internet, Inc. | 71,353 | ||||||
2,000 | Gree, Inc. | 10,701 | ||||||
1,200 | Gurunavi, Inc. | 9,828 | ||||||
4,400 | Infomart Corp. | 58,378 |
Continued
16
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet Software & Services, continued | ||||||||
2,100 | Internet Initiative Japan, Inc. | $ | 42,194 | |||||
9,063 | Isentia Group, Ltd. | 4,727 | ||||||
3,100 | Kakaku.com, Inc. | 69,874 | ||||||
22,749 | Moneysupermarket.com Group plc | 94,501 | ||||||
8,615 | NetEnt AB* | 45,928 | ||||||
3,213 | Rightmove plc | 225,086 | ||||||
2,236 | Rocket Internet SE*(a) | 71,721 | ||||||
2,400 | Sms Co., Ltd. | 43,805 | ||||||
2,596 | United Internet AG, Registered Shares | 148,631 | ||||||
135 | Xing AG | 43,514 | ||||||
8,400 | Yahoo! Japan Corp. | 27,822 | ||||||
6,786 | Zoopla Property Group plc(a) | 43,743 | ||||||
|
| |||||||
1,283,230 | ||||||||
|
| |||||||
IT Services (1.3%): | ||||||||
3,129 | Acando AB | 10,965 | ||||||
1,026 | Alten SA | 105,709 | ||||||
9,025 | Altran Technologies SA | 130,497 | ||||||
3,748 | Amadeus IT Holding SA | 295,286 | ||||||
4,826 | Atea ASA | 69,568 | ||||||
3,005 | Atos Origin SA | 409,454 | ||||||
610 | Bechtle AG | 47,058 | ||||||
146 | Cancom Se | 14,907 | ||||||
1,348 | Capgemini SA | 180,930 | ||||||
1,045 | CGI Group, Inc., Class A* | 66,169 | ||||||
3,322 | Computacenter plc | 63,325 | ||||||
9,625 | Computershare, Ltd. | 131,712 | ||||||
1,100 | DTS Corp. | 40,830 | ||||||
8,624 | Econocom Group SA/NV | 47,519 | ||||||
3,891 | Fdm Group Holdings plc | 50,293 | ||||||
457 | Formula Systems 1985, Ltd. | 16,571 | ||||||
32,000 | Fujitsu, Ltd. | 193,848 | ||||||
2,546 | Global Dominion Access SA*(a) | 13,791 | ||||||
600 | Gmo Payment Gateway, Inc. | 69,145 | ||||||
6,538 | Indra Sistemas SA* | 78,047 | ||||||
4,300 | IT Holdings Corp. | 197,759 | ||||||
2,400 | Itochu Techno-Solutions Corp. | 41,418 | ||||||
697 | Knowit AB | 13,410 | ||||||
700 | NEC Networks & System Integrat | 15,747 | ||||||
3,000 | Nihon Unisys, Ltd. | 75,291 | ||||||
352 | Nomura Research Institute, Ltd. | 17,041 | ||||||
1,200 | NS Solutions Corp. | 30,169 | ||||||
5,500 | NTT Data Corp. | 63,270 | ||||||
300 | OBIC Co., Ltd. | 24,805 | ||||||
1,400 | Otsuka Corp. | 54,850 | ||||||
663 | Reply SpA | 44,973 | ||||||
800 | SCSK Corp. | 37,167 | ||||||
900 | Sopra Steria Group | 183,344 | ||||||
4,001 | Tieto OYJ | 129,311 | ||||||
590 | Worldline SA*(a) | 33,400 | ||||||
|
| |||||||
2,997,579 | ||||||||
|
| |||||||
Leisure Products (0.2%): | ||||||||
1,156 | Accell Group | 24,682 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
7,303 | Amer Sports OYJ | $ | 230,111 | |||||
1,506 | Brp, Inc. | 72,613 | ||||||
1,200 | Heiwa Corp. | 28,958 | ||||||
600 | Mizuno Corp. | 22,409 | ||||||
3,300 | Namco Bandai Holdings, Inc. | 135,995 | ||||||
26,132 | Photo-Me International plc | 35,110 | ||||||
3,689 | Thule Group AB (The)(a) | 91,604 | ||||||
2,800 | Tomy Co., Ltd. | 23,231 | ||||||
385 | Trigano SA | 68,370 | ||||||
|
| |||||||
733,083 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
823 | AddLife AB | 17,470 | ||||||
1,200 | Eps Holdings, Inc. | 25,755 | ||||||
188 | Eurofins Scientific SE | 104,423 | ||||||
1,884 | Gerresheimer AG | 152,794 | ||||||
132 | Siegfried Holding AG | 52,849 | ||||||
77 | Tecan Group AG | 18,728 | ||||||
|
| |||||||
372,019 | ||||||||
|
| |||||||
Machinery (4.1%): | ||||||||
6,065 | Aalberts Industries NV | 290,179 | ||||||
2,600 | Aichi Corp. | 15,225 | ||||||
4,185 | Alfa Laval AB | 99,029 | ||||||
900 | Alinco, Inc. | 8,690 | ||||||
789 | Alstom SA | 36,232 | ||||||
2,790 | Andritz AG | 148,036 | ||||||
2,700 | Asahi Diamond Industrial Co., Ltd. | 19,046 | ||||||
3,946 | Atlas Copco AB, Class A | 114,408 | ||||||
2,774 | Atlas Copco AB, Class B | 72,570 | ||||||
1,149 | Ats Automation Tooling Systems, Inc.* | 17,080 | ||||||
1,300 | Bando Chemical Industries, Ltd. | 14,337 | ||||||
3,116 | Beijer Alma AB, Class B | 43,195 | ||||||
506 | Bobst Group SA | 51,852 | ||||||
12,886 | Bodycote plc | 166,237 | ||||||
403 | Bucher Industries AG | 134,963 | ||||||
87 | Burckhardt Compression Holding | 30,904 | ||||||
1,412 | Cargotec OYJ | 71,394 | ||||||
2,600 | CKD Corp. | 42,657 | ||||||
17,805 | CNH Industrial NV | 188,629 | ||||||
2,050 | Concentric AB | 35,187 | ||||||
1,110 | Construcc y Aux de Ferrocarr SA | 53,225 | ||||||
42 | Conzzeta AG | 48,356 | ||||||
900 | Daifuku Co., Ltd. | 39,349 | ||||||
4,081 | Deutz AG | 31,416 | ||||||
4,900 | DMG Mori Co., Ltd. | 67,593 | ||||||
2,668 | Duerr AG | 123,908 | ||||||
4,500 | Ebara Corp. | 139,651 | ||||||
3,946 | Epiroc AB, Class A* | 41,422 | ||||||
2,774 | Epiroc AB, Class B* | 25,405 | ||||||
1,500 | Exco Technologies, Ltd. | 10,145 | ||||||
1,500 | Fuji Machine MFG. Co., Ltd. | 26,854 | ||||||
1,000 | Fukushima Industries Corp. | 45,824 | ||||||
303 | Georg Fischer AG | 388,458 |
Continued
17
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
2,900 | Glory, Ltd. | $ | 81,081 | |||||
2,253 | Haldex AB | 22,340 | ||||||
26,103 | Heidelberger Druckmaschinen AG* | 71,673 | ||||||
9,700 | Hino Motors, Ltd. | 103,294 | ||||||
1,200 | Hisaka Works, Ltd. | 11,353 | ||||||
12,300 | Hitachi Zosen Corp. | 57,925 | ||||||
4,800 | IHI Corp. | 167,023 | ||||||
16,053 | IMI plc | 239,664 | ||||||
614 | Industria Macchine Automatiche | 53,318 | ||||||
2,684 | Interpump Group SpA | 83,406 | ||||||
17 | Interroll Holding AG, Registered Shares | 29,839 | ||||||
1,300 | Iseki & Co., Ltd. | 23,183 | ||||||
1,200 | Japan Steel Works, Ltd. (The) | 30,157 | ||||||
8,700 | JTEKT Corp. | 118,165 | ||||||
2,600 | Juki Corp. | 26,136 | ||||||
3,751 | Jungheinrich AG | 139,054 | ||||||
419 | Kardex AG | 58,086 | ||||||
5,400 | Kawasaki Heavy Industries, Ltd. | 158,406 | ||||||
2,997 | Kion Group AG | 215,340 | ||||||
400 | Kitagawa Iron Works Co., Ltd. | 9,434 | ||||||
5,100 | Kitz Corp. | 41,786 | ||||||
572 | Koenig & Bauer AG | 41,318 | ||||||
3,900 | Komatsu, Ltd. | 111,020 | ||||||
138 | Komax Holding AG | 36,426 | ||||||
2,900 | Komori Corp. | 33,733 | ||||||
3,618 | Kone OYJ, Class B | 184,225 | ||||||
1,941 | Konecranes OYJ | 79,957 | ||||||
438 | Krones AG | 56,590 | ||||||
3,100 | Kubota Corp. | 48,687 | ||||||
1,800 | Kurita Water Industries, Ltd. | 51,291 | ||||||
1,000 | Kyokuto Kaihatsu Kogyo Co., Ltd. | 15,267 | ||||||
3,000 | Makino Milling Machine Co., Ltd. | 23,295 | ||||||
172 | MAN AG | 19,462 | ||||||
800 | Max Co., Ltd. | 10,120 | ||||||
13,000 | Meidensha Corp. | 46,888 | ||||||
5,004 | Metso Corp. OYJ | 167,477 | ||||||
10,632 | Minebea Co., Ltd. | 179,165 | ||||||
5,500 | Mitsubishi Heavy Industries, Ltd. | 199,962 | ||||||
2,900 | Mitsui Engineering & Shipbuilding Co., Ltd. | 37,903 | ||||||
12,802 | Morgan Advanced Materials plc | 55,159 | ||||||
1,500 | Morita Holdings Corp. | 30,272 | ||||||
2,100 | Nabtesco Corp. | 64,505 | ||||||
1,100 | Nachi-Fujikoshi Corp. | 49,098 | ||||||
2,000 | Namura Shipbuilding Co., Ltd. | 8,440 | ||||||
1,637 | NFI Group, Inc. | 61,071 | ||||||
4,300 | NGK Insulators, Ltd. | 76,484 | ||||||
995 | Nilfisk Holding A/S* | 48,524 | ||||||
3,900 | Nippon Thompson Co., Ltd. | 30,555 | ||||||
821 | NKT Holding A/S^ | 22,441 | ||||||
300 | Noritake Co., Ltd. | 16,611 | ||||||
2,186 | Norma Group SE | 149,886 | ||||||
14,000 | NSK, Ltd. | 144,164 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
34,000 | NTN Corp. | $ | 139,113 | |||||
700 | Obara Group, Inc. | 39,898 | ||||||
10,003 | OC Oerlikon Corp. AG | 153,207 | ||||||
1,000 | Okuma Corp. | 52,775 | ||||||
400 | Organo Corp. | 11,388 | ||||||
5,200 | OSG Corp. | 107,017 | ||||||
290 | Pfeiffer Vacuum Technology AG | 47,679 | ||||||
118 | Rational AG | 76,872 | ||||||
70 | Rieter Holding AG | 12,111 | ||||||
51,599 | Rotork plc | 227,441 | ||||||
1,800 | Ryobi, Ltd. | 59,152 | ||||||
13,264 | Sandvik AB | 235,141 | ||||||
214 | Schindler Holding AG, Registered Shares | 45,073 | ||||||
626 | Sfs Group AG | 66,210 | ||||||
4,000 | Shinmaywa Industries, Ltd. | 46,967 | ||||||
2,200 | Sintokogio, Ltd. | 19,490 | ||||||
5,919 | SKF AB, Class B | 110,046 | ||||||
2,300 | Sodick Co., Ltd. | 20,947 | ||||||
2,119 | Spirax-Sarco Engineering plc | 182,032 | ||||||
891 | Stabilus SA | 80,165 | ||||||
527 | Sulzer AG, Registered Shares | 63,950 | ||||||
4,200 | Sumitomo Heavy Industries, Ltd. | 141,341 | ||||||
14,200 | Sunningdale Tech, Ltd. | 13,286 | ||||||
900 | Tadano, Ltd. | 11,010 | ||||||
3,600 | Takeuchi Manufacturing Co., Ltd. | 75,572 | ||||||
3,400 | Takuma Co., Ltd. | 41,378 | ||||||
5,654 | Talgo SA*(a) | 33,910 | ||||||
1,200 | THK Co., Ltd. | 34,312 | ||||||
5,000 | Toshiba Machine Co., Ltd. | 23,831 | ||||||
1,884 | Trelleborg AB | 40,119 | ||||||
9,000 | Tsubakimoto Chain Co. | 71,405 | ||||||
7,579 | Valmet Corp. | 146,001 | ||||||
3,363 | Vesuvius plc | 26,529 | ||||||
5,758 | Volvo AB, Class A | 91,837 | ||||||
27,562 | Volvo AB, Class B | 439,170 | ||||||
232 | Vossloh AG | 11,292 | ||||||
505 | Wacker Neuson SE | 12,796 | ||||||
8,139 | Wartsila Corp. OYJ, Class B | 159,745 | ||||||
560 | Washtec AG | 49,494 | ||||||
3,000 | Yamabiko Corp. | 35,834 | ||||||
5,060 | Zardoya Otis SA | 48,277 | ||||||
|
| |||||||
9,785,928 | ||||||||
|
| |||||||
Marine (0.3%): | ||||||||
15 | A.P. Moeller — Maersk A/S, Class A | 17,771 | ||||||
28 | A.P. Moeller — Maersk A/S, Class B | 34,829 | ||||||
556 | Clarkson plc | 16,862 | ||||||
1,333 | D/S Norden A/S* | 23,624 | ||||||
1,685 | DFDS A/S | 107,532 | ||||||
889 | Hapag-Lloyd AG*(a) | 31,633 | ||||||
3,300 | Iino Kaiun Kaisha, Ltd. | 14,962 | ||||||
7,971 | Irish Continental Group | 47,146 | ||||||
1,000 | Kawasaki Kisen Kaisha, Ltd.* | 18,446 |
Continued
18
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Marine, continued | ||||||||
727 | Kuehne & Nagel International AG, Registered Shares | $ | 109,244 | |||||
2,700 | Mitsui O.S.K. Lines, Ltd. | 64,851 | ||||||
3,900 | Nippon Yusen Kabushiki Kaisha | 77,325 | ||||||
600 | NS United Kaiun Kaisha, Ltd. | 11,642 | ||||||
7,500 | Orient Overseas International, Ltd. | 73,002 | ||||||
92,000 | Pacific Basin Shipping, Ltd.* | 25,136 | ||||||
89,000 | Sitc International Holdings Co., Ltd. | 98,839 | ||||||
1,962 | Stolt-Nielsen, Ltd. | 30,533 | ||||||
|
| |||||||
803,377 | ||||||||
|
| |||||||
Media (1.8%): | ||||||||
1,267 | 4imprint Group plc | 28,777 | ||||||
5,715 | Aimia, Inc.* | 10,087 | ||||||
3,249 | Altice NV, Class A | 13,222 | ||||||
1,460 | Altice NV, Class B | 5,926 | ||||||
1,959 | Altice USA, Inc. | 33,421 | ||||||
65 | Apg Sga SA | 24,372 | ||||||
4,886 | Atresmedia Corp. de Medios de Comuicacion SA | 41,060 | ||||||
2,500 | Avex Group Holdings, Inc. | 34,693 | ||||||
1,681 | Axel Springer AG | 121,559 | ||||||
3,565 | Cineplex, Inc. | 79,138 | ||||||
64,925 | Cineworld Group plc | 227,467 | ||||||
546 | Cogeco Communications, Inc. | 27,049 | ||||||
400 | Cogeco, Inc. | 17,686 | ||||||
5,394 | Corus Entertainment, Inc. | 20,353 | ||||||
2,160 | CTS Eventim AG & Co. KGaA | 105,953 | ||||||
2,000 | Cyberagent, Inc. | 120,063 | ||||||
1,600 | Daiichikosho Co., Ltd. | 77,252 | ||||||
1,800 | Dentsu, Inc. | 85,220 | ||||||
4,400 | DHX Media, Ltd. | 9,138 | ||||||
2,163 | Euromoney Institutional Investor plc | 38,276 | ||||||
8,672 | Eutelsat Communications SA | 179,583 | ||||||
6,450 | Event Hospitality And Entertainment, Ltd. | 63,888 | ||||||
800 | Fuji Media Holdings, Inc. | 13,655 | ||||||
2,500 | Hakuhodo DY Holdings, Inc. | 40,088 | ||||||
8,376 | HT&E, Ltd. | 15,623 | ||||||
3,200 | Intage Holdings, Inc. | 36,185 | ||||||
1,711 | Ipsos | 58,464 | ||||||
22,910 | ITE Group plc | 24,179 | ||||||
40,885 | ITV plc | 93,837 | ||||||
1,344 | JCDecaux SA | 44,919 | ||||||
78,217 | John Fairfax Holdings, Ltd. | 43,383 | ||||||
2,300 | Kadokawa Dwango Corp. | 25,424 | ||||||
594 | Kinepolis Group NV | 37,642 | ||||||
8,410 | Lagardere SCA | 221,872 | ||||||
3,548 | Liberty Global plc, Series C* | 94,412 | ||||||
1,449 | Liberty Global plc, Class A* | 39,905 | ||||||
2,546 | M6 Metropole Television SA | 50,898 | ||||||
11,389 | Mediaset Espana Comunicacion SA | 95,841 | ||||||
24,075 | Mediaset SpA* | 76,940 | ||||||
1,809 | Modern Times Group, Class B | 75,669 | ||||||
22,547 | Nine Entertainment Co. Holdings, Ltd. | 41,573 | ||||||
3,968 | Pearson plc, ADR | 46,029 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
2,127 | Pearson plc | $ | 24,728 | |||||
2,969 | Publicis Groupe SA | 204,008 | ||||||
4,026 | Quebecor, Inc., Class B | 82,449 | ||||||
1,012 | REA Group, Ltd. | 68,234 | ||||||
414 | RTL Group | 28,069 | ||||||
1,923 | Sanoma OYJ | 19,500 | ||||||
6,327 | SES Global, Class A | 115,785 | ||||||
33,424 | Seven West Media, Ltd. | 20,748 | ||||||
7,456 | Shaw Communications, Inc. | 151,729 | ||||||
27,500 | Singapore Press Holdings, Ltd. | 52,396 | ||||||
18,618 | Sky Network Television, Ltd. | 32,612 | ||||||
13,400 | SKY Perfect JSAT Holdings, Inc. | 63,855 | ||||||
19,081 | Sky plc | 367,959 | ||||||
4,175 | Societe Television Francaise 1 | 43,984 | ||||||
12,657 | Solocal Group* | 16,153 | ||||||
44,663 | Southern Cross Media Group, Ltd. | 43,264 | ||||||
2,312 | St. Ives plc | 3,138 | ||||||
1,167 | Stroeer Media SE | 70,599 | ||||||
41 | Tamedia AG, Registered Shares | 6,213 | ||||||
13,788 | Technicolor SA* | 16,948 | ||||||
1,586 | Telenet Group Holding NV* | 73,919 | ||||||
3,100 | Television Broadcasts, Ltd. | 9,813 | ||||||
1,000 | Toho Co., Ltd. | 33,508 | ||||||
800 | Tokyo Broadcasting System Hold | 17,921 | ||||||
13,261 | Trinity Mirror plc | 13,421 | ||||||
500 | TV Tokyo Holdings Corp. | 15,276 | ||||||
6,948 | Village Roadshow, Ltd.* | 11,867 | ||||||
8,417 | WPP plc | 132,426 | ||||||
1,895 | Yellow Pages, Ltd.* | 13,018 | ||||||
10,953 | Zon Multimedia Servicos de Telecommunicacoes e Multimedia SGPS SA | 59,995 | ||||||
|
| |||||||
4,354,256 | ||||||||
|
| |||||||
Metals & Mining (5.7%): | ||||||||
8,736 | Acacia Mining plc* | 14,463 | ||||||
7,920 | Acerinox SA | 104,639 | ||||||
1,753 | Agnico Eagle Mines, Ltd. | 80,340 | ||||||
400 | Aichi Steel Corp. | 15,394 | ||||||
16,681 | Alacer Gold Corp.* | 30,837 | ||||||
15,461 | Alamos Gold, Inc., Class A | 88,097 | ||||||
2,200 | Altius Minerals Corp. | 22,008 | ||||||
1,580 | Amg Advanced Metallurgical Group N.V. | 88,468 | ||||||
31,557 | Anglo American plc | 700,679 | ||||||
4,254 | Antofagasta plc | 55,253 | ||||||
1,971 | Aperam SA | 84,562 | ||||||
8,826 | ArcelorMittal | 257,724 | ||||||
12,400 | Argonaut Gold, Inc.* | 21,791 | ||||||
8,215 | Asanko Gold, Inc.* | 8,874 | ||||||
1,445 | Aurubis AG | 110,244 | ||||||
12,440 | Ausdrill, Ltd. | 16,881 | ||||||
7,168 | B2Gold Corp.* | 18,595 | ||||||
28,800 | Barrick Gold Corp. | 378,376 | ||||||
2,708 | Bekaert NV | 87,795 |
Continued
19
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
57,965 | BHP Billiton, Ltd. | $ | 1,452,172 | |||||
17,844 | Billiton plc, ADR | 802,088 | ||||||
25,458 | BlueScope Steel, Ltd. | 324,443 | ||||||
9,186 | Boliden AB | 297,346 | ||||||
17,700 | Capstone Mining Corp.* | 13,600 | ||||||
73,572 | Centamin plc | 115,492 | ||||||
13,877 | Centerra Gold, Inc.* | 77,171 | ||||||
16,254 | China Gold International Resources Corp., Ltd.* | 28,193 | ||||||
5,800 | Continental Gold, Inc.* | 16,723 | ||||||
2,100 | Daido Steel Co., Ltd. | 96,966 | ||||||
2,700 | Daiki Aluminium Industry Co., Ltd. | 16,720 | ||||||
7,325 | Detour Gold Corp.* | 65,866 | ||||||
3,000 | DOWA Mining Co. | 92,376 | ||||||
4,600 | Dundee Precious Metals, Inc.* | 10,988 | ||||||
38,811 | Eldorado Gold Corp.* | 39,269 | ||||||
1,900 | Endeavour Mining Corp.* | 34,097 | ||||||
539 | Eramet | 70,475 | ||||||
40,854 | Evolution Mining, Ltd. | 106,801 | ||||||
16,814 | EVRAZ plc | 112,751 | ||||||
8,102 | First Quantum Minerals, Ltd. | 119,388 | ||||||
83,540 | Fortescue Metals Group, Ltd. | 270,951 | ||||||
5,947 | Fortuna Silver Mines, Inc.* | 33,841 | ||||||
3,312 | Fresnillo plc | 49,923 | ||||||
33,424 | Glencore International plc | 158,439 | ||||||
6,771 | Goldcorp, Inc. | 92,830 | ||||||
1,848 | Goldcorp, Inc. | 25,376 | ||||||
4,758 | Granges AB | 62,265 | ||||||
5,096 | Guyana Goldfields, Inc.* | 19,035 | ||||||
7,250 | Hill & Smith Holdings plc | 141,437 | ||||||
6,200 | Hitachi Metals, Ltd. | 64,309 | ||||||
15,125 | Hochschild Mining plc | 37,985 | ||||||
18,195 | Hudbay Minerals, Inc. | 101,460 | ||||||
24,142 | IAMGOLD Corp.* | 140,683 | ||||||
17,091 | Independence Group NL | 65,298 | ||||||
14,746 | Ivanhoe Mines, Ltd., Class A* | 30,288 | ||||||
4,200 | JFE Holdings, Inc. | 79,238 | ||||||
14,214 | Kazakhmys plc* | 156,931 | ||||||
84,792 | Kinross Gold Corp.* | 319,300 | ||||||
4,744 | Kirkland Lake Gold, Ltd. | 100,474 | ||||||
9,200 | Kobe Steel, Ltd. | 84,113 | ||||||
500 | Kyoei Steel, Ltd. | 9,450 | ||||||
800 | Labrador Iron Ore Royalty Corp. | 14,661 | ||||||
4,400 | Leagold Mining Corp.* | 8,669 | ||||||
17,782 | Lonmin plc* | 9,835 | ||||||
14,207 | Lucara Diamond Corp. | 22,805 | ||||||
42,535 | Lundin Mining Corp. | 236,539 | ||||||
11,288 | MACA, Ltd. | 10,021 | ||||||
4,545 | Major Drilling Group International, Inc.* | 23,996 | ||||||
176,000 | Midas Holdings, Ltd.*(b)(c) | 18,605 | ||||||
7,616 | Mineral Resources, Ltd. | 89,971 | ||||||
6,000 | Mitsubishi Materials Corp. | 164,535 | ||||||
500 | Mitsubishi Steel Manufacturing Co., Ltd. | 9,700 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
4,200 | Mitsui Mining & Smelting Co., Ltd. | $ | 178,408 | |||||
2,200 | Neturen Co., Ltd. | 19,171 | ||||||
17,856 | Nevsun Resources, Ltd. | 62,078 | ||||||
27,410 | New Gold, Inc.* | 57,135 | ||||||
2,532 | Newcrest Mining, Ltd. | 41,035 | ||||||
6,200 | Nippon Denko Co., Ltd. | 17,572 | ||||||
37,000 | Nippon Light Metal Holdings Co. | 83,068 | ||||||
6,600 | Nippon Steel Corp. | 129,465 | ||||||
1,120 | Nisshin Steel Co., Ltd. | 15,441 | ||||||
200 | Nittetsu Mining Co., Ltd. | 9,439 | ||||||
5,998 | Norsk Hydro ASA | 35,924 | ||||||
24,295 | Northern Star Resources, Ltd. | 131,197 | ||||||
4,300 | Nyrstar NV* | 23,053 | ||||||
39,028 | OceanaGold Corp. | 108,370 | ||||||
500 | Osaka Steel Co., Ltd. | 9,531 | ||||||
5,268 | Osisko Gold Royalties, Ltd. | 49,895 | ||||||
18,826 | Outokumpu OYJ | 116,725 | ||||||
2,177 | Outotec OYJ* | 17,267 | ||||||
17,375 | OZ Minerals, Ltd. | 121,031 | ||||||
1,857 | Pan American Silver Corp. | 33,241 | ||||||
73,744 | Perseus Mining, Ltd.* | 23,663 | ||||||
57,911 | Petra Diamonds, Ltd.* | 42,732 | ||||||
176,214 | Petropavlovsk plc* | 18,513 | ||||||
15,628 | Regis Resources, Ltd. | 59,501 | ||||||
21,763 | Resolute Mining, Ltd. | 20,784 | ||||||
550 | Rio Tinto plc | 30,328 | ||||||
12,983 | Rio Tinto plc, Registered Shares, ADR | 720,297 | ||||||
1,547 | Rio Tinto, Ltd. | 96,021 | ||||||
6,000 | Sabina Gold & Silver Corp.* | 6,938 | ||||||
2,148 | Salzgitter AG | 93,581 | ||||||
7,017 | Sandfire Resources Nl | 47,775 | ||||||
9,442 | Sandstorm Gold, Ltd.* | 42,451 | ||||||
1,600 | Sanyo Special Steel Co., Ltd. | 38,154 | ||||||
29,450 | Saracen Mineral Holdings, Ltd.* | 47,854 | ||||||
21,718 | Schmolz + Bickenbach AG* | 16,983 | ||||||
16,210 | Semafo, Inc.* | 46,984 | ||||||
4,833 | Sims Metal Management, Ltd. | 57,939 | ||||||
26,001 | South32, Ltd. | 70,011 | ||||||
4,092 | SSAB AB, Class A | 19,299 | ||||||
5,741 | SSAB AB, Class B | 21,619 | ||||||
4,935 | SSR Mining, Inc.* | 48,693 | ||||||
17,694 | St Barbara, Ltd. | 63,504 | ||||||
26,500 | Stornoway Diamond Corp.* | 8,870 | ||||||
5,574 | Tahoe Resources, Inc. | 27,435 | ||||||
9,084 | Tahoe Resources, Inc. | 44,693 | ||||||
7,087 | Teck Cominco, Ltd., Class B | 180,558 | ||||||
5,620 | Teck Resources, Ltd., Class B | 143,029 | ||||||
2,875 | Teranga Gold Corp.* | 10,258 | ||||||
3,912 | ThyssenKrupp AG | 95,171 | ||||||
700 | Toho Zinc Co., Ltd. | 25,865 | ||||||
1,500 | Tokyo Steel Manufacturing Co., Ltd. | 13,308 | ||||||
1,300 | Topy Industries, Ltd. | 36,059 |
Continued
20
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
1,885 | Torex Gold Resources, Inc.* | $ | 16,792 | |||||
9,694 | Trevali Mining Corp.* | 6,637 | ||||||
10,601 | Turquoise Hill Resources, Ltd.* | 30,001 | ||||||
1,500 | UACJ Corp. | 32,288 | ||||||
2,041 | Vedanta Resources plc | 17,324 | ||||||
6,764 | Voestalpine AG | 311,169 | ||||||
14,139 | Western Areas, Ltd. | 37,438 | ||||||
2,702 | Wheaton Precious Metals Corp. | 59,606 | ||||||
30,268 | Yamana Gold, Inc. | 88,191 | ||||||
1,600 | Yamato Kogyo Co., Ltd. | 48,324 | ||||||
800 | Yodogawa Steel Works, Ltd. | 20,412 | ||||||
|
| |||||||
12,877,006 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
24,445 | B&m European Value Retail SA | 130,314 | ||||||
947 | Canadian Tire Corp., Class A | 123,625 | ||||||
53,885 | Debenhams plc | 10,584 | ||||||
4,509 | Dollarama, Inc. | 174,803 | ||||||
1,400 | Don Quijote Co., Ltd. | 67,180 | ||||||
500 | Fuji Co., Ltd./Ehime | 10,451 | ||||||
2,400 | H2O Retailing Corp. | 38,289 | ||||||
20,441 | Harvey Norman Holdings, Ltd. | 50,173 | ||||||
3,882 | Hudson’s Bay Co. | 34,612 | ||||||
4,700 | Isetan Mitsukoshi Holdings, Ltd. | 58,664 | ||||||
900 | Izumi Co., Ltd. | 55,628 | ||||||
5,800 | J. Front Retailing Co., Ltd. | 88,066 | ||||||
24,500 | Lifestyle International Holdings, Ltd. | 51,748 | ||||||
29,029 | Marks & Spencer Group plc | 112,939 | ||||||
1,300 | MARUI GROUP Co., Ltd. | 27,363 | ||||||
11,200 | Metro Holdings, Ltd. | 9,358 | ||||||
47,139 | Myer Holdings, Ltd. | 12,899 | ||||||
1,643 | Next plc | 131,137 | ||||||
2,535 | Reject Shop, Ltd. (The) | 10,652 | ||||||
300 | Ryohin Keikaku Co., Ltd. | 105,532 | ||||||
600 | Sanyo Electric Railway Co., Ltd. | 14,529 | ||||||
800 | Seria Co., Ltd. | �� | 38,447 | |||||
5,000 | Takashimaya Co., Ltd. | 42,759 | ||||||
4,000 | Wing On Company International, Ltd. | 14,582 | ||||||
|
| |||||||
1,414,334 | ||||||||
|
| |||||||
Multi-Utilities (0.7%): | ||||||||
2,276 | Acea SpA | 33,798 | ||||||
1,705 | Atco, Ltd. | 52,636 | ||||||
1,466 | Canadian Utilities, Ltd., Class A | 37,026 | ||||||
93,709 | Centrica plc | 194,888 | ||||||
21,702 | E.ON AG | 231,828 | ||||||
10,860 | Engie Group | 166,187 | ||||||
30,113 | Hera SpA | 93,822 | ||||||
23,167 | Iren SpA | 59,102 | ||||||
65,748 | ITL AEM SpA | 113,974 | ||||||
98,500 | Keppel Infrastructure Trust | 37,625 | ||||||
430 | National Grid plc, ADR | 24,016 | ||||||
4,897 | Ren — Redes Energeticas Nacion | 13,717 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multi-Utilities, continued | ||||||||
26,786 | RWE AG | $ | 610,462 | |||||
6,003 | Suez Environnement Co. | 77,829 | ||||||
3,746 | Telecom Plus plc | 55,647 | ||||||
3,162 | Veolia Environnement SA | 67,641 | ||||||
|
| |||||||
1,870,198 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.3%): | ||||||||
9,181 | Advantage Oil & Gas, Ltd.* | 28,706 | ||||||
24,155 | Africa Oil Corp.* | 21,683 | ||||||
145,000 | Agritrade Resources, Ltd. | 27,324 | ||||||
2,191 | AKER BP ASA | 80,727 | ||||||
1,900 | AltaGas, Ltd. | 39,243 | ||||||
12,805 | ARC Resources, Ltd. | 132,287 | ||||||
18,809 | Athabasca Oil Corp.* | 25,756 | ||||||
11,743 | Baytex Energy Corp.* | 39,039 | ||||||
2,064 | Baytex Energy Corp.*^ | 6,873 | ||||||
108,970 | Beach Energy, Ltd. | 142,500 | ||||||
1,167 | Bellatrix Exploration, Ltd.* | 1,172 | ||||||
9,541 | Birchcliff Energy, Ltd. | 34,985 | ||||||
10,200 | BlackPearl Resources, Inc.* | 11,329 | ||||||
15,440 | Bonavista Energy Corp. | 17,501 | ||||||
1,208 | Bonterra Energy Corp. | 15,696 | ||||||
28,133 | BP plc, ADR | 1,284,553 | ||||||
31,893 | BP plc | 242,795 | ||||||
173,000 | Brightoil Petroleum Holdings, Ltd.*(b)(c) | 12,404 | ||||||
2,656 | BW LPG, Ltd.*^(a) | 10,604 | ||||||
24,066 | Cairn Energy plc* | 79,350 | ||||||
2,676 | Caltex Australia, Ltd. | 64,617 | ||||||
5,227 | Cameco Corp. | 58,804 | ||||||
4,158 | Cameco Corp. | 46,783 | ||||||
900 | Canadian Natural Resources, Ltd. | 32,488 | ||||||
1,623 | Canadian Natural Resources, Ltd. | 58,542 | ||||||
3,012 | Cardinal Energy, Ltd. | 12,671 | ||||||
3,800 | Cenovus Energy, Inc. | 39,460 | ||||||
11,375 | Cenovus Energy, Inc. | 118,073 | ||||||
13,100 | China Aviation Oil Singapore Corp., Ltd. | 14,204 | ||||||
40,015 | Cooper Energy, Ltd.* | 11,377 | ||||||
1,600 | Cosmo Energy Holdings Co., Ltd. | 56,087 | ||||||
8,781 | Crescent Point Energy | 64,540 | ||||||
7,561 | Crescent Point Energy Corp. | 55,564 | ||||||
8,223 | Crew Energy, Inc.* | 12,574 | ||||||
854 | CropEnergies AG | 5,031 | ||||||
54 | Delek Group, Ltd. | 7,366 | ||||||
40,500 | Denison Mines Corp.* | 19,719 | ||||||
26,109 | Dno ASA* | 48,064 | ||||||
9,137 | Enagas SA | 266,933 | ||||||
3,926 | Enbridge Income Fund Holding | 96,291 | ||||||
2,055 | Enbridge, Inc. | 73,477 | ||||||
1,055 | EnCana Corp. | 13,768 | ||||||
7,437 | EnCana Corp. | 97,142 | ||||||
6,400 | Enerplus Corp. | 80,724 | ||||||
21,419 | ENI SpA | 397,656 | ||||||
33,078 | EnQuest plc* | 15,347 | ||||||
5,510 | Euronav NV | 50,553 |
Continued
21
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
1,579 | Exmar NV* | $ | 11,189 | |||||
900 | Freehold Royalties, Ltd. | 8,490 | ||||||
1,400 | Frontera Energy Corp.* | 20,374 | ||||||
3,784 | Frontline, Ltd.* | 22,060 | ||||||
3,100 | Fuji Oil Co., Ltd. | 11,629 | ||||||
1,464 | Galp Energia SGPS SA | 27,836 | ||||||
591 | Gaztransport et Technigaz SA | 36,209 | ||||||
19,607 | Gran Tierra Energy, Inc.* | 67,868 | ||||||
78 | Granite Oil Corp. | 180 | ||||||
6,367 | Husky Energy, Inc. | 99,247 | ||||||
4,500 | Idemitsu Kosan Co., Ltd. | 160,205 | ||||||
2,500 | Imperial Oil, Ltd. | 83,111 | ||||||
7,900 | INPEX Corp. | 81,658 | ||||||
4,194 | Inter Pipeline, Ltd. | 78,616 | ||||||
3,600 | ITOCHU Enex Co., Ltd. | 35,110 | ||||||
4,263 | James Fisher & Sons plc | 98,279 | ||||||
547 | Jerusalem Oil Exploration* | 27,832 | ||||||
46,100 | JX Holdings, Inc. | 320,146 | ||||||
7,300 | Kelt Exploration, Ltd.* | 49,592 | ||||||
1,100 | Keyera Corp. | 30,611 | ||||||
3,106 | Koninklijke Vopak NV | 143,362 | ||||||
10,707 | MEG Energy Corp.* | 89,273 | ||||||
5,186 | Neste Oil OYJ | 405,448 | ||||||
14,065 | New Hope Corp., Ltd. | 31,108 | ||||||
7,392 | New Zealand Refining Co., Ltd. (The) | 12,222 | ||||||
64,000 | NewOcean Energy Holdings, Ltd.* | 13,024 | ||||||
21,200 | Nippon Coke & Engineering Co., Ltd. | 22,573 | ||||||
1,300 | Nippon Gas Co., Ltd. | 75,766 | ||||||
7,654 | Nuvista Energy, Ltd.* | 53,103 | ||||||
32,810 | Obsidian Energy, Ltd.* | 37,190 | ||||||
54,541 | Oil Refineries, Ltd. | 23,000 | ||||||
31,128 | Ophir Energy plc* | 20,746 | ||||||
15,123 | Origin Energy, Ltd.* | 112,778 | ||||||
7,550 | Painted Pony Energy, Ltd.* | 13,095 | ||||||
1,307 | Paramount Resouces, Ltd., Class A* | 14,805 | ||||||
5,000 | Parex Resources, Inc.* | 94,409 | ||||||
2,400 | Parkland Fuel Corp. | 58,973 | ||||||
260 | Paz Oil Co., Ltd. | 34,201 | ||||||
1,584 | Pembina Pipeline Corp. | 54,806 | ||||||
40,966 | Pengrowth Energy Corp.* | 29,295 | ||||||
3,828 | Peyto Exploration & Development Corp. | 29,471 | ||||||
43,203 | Premier Oil plc* | 73,233 | ||||||
10,169 | Raging River Exploration, Inc.* | 44,095 | ||||||
13,800 | Repsol SA | 269,459 | ||||||
8,812 | Royal Dutch Shell plc, Class A, ADR | 610,055 | ||||||
7,285 | Royal Dutch Shell plc, Class B, ADR | 529,255 | ||||||
1,600 | Sala Corp. | 10,064 | ||||||
4,000 | San-Ai Oil Co., Ltd. | 49,288 | ||||||
21,323 | Santos, Ltd.* | 99,371 | ||||||
27,521 | Saras SpA | 66,663 | ||||||
59,700 | Senex Energy, Ltd.* | 19,296 | ||||||
8,562 | Seven Generations Energy* | 94,381 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
400 | Sinanen Holdings Co., Ltd. | $ | 10,096 | |||||
12,876 | Snam SpA | 53,635 | ||||||
12,892 | Soco International plc | 16,398 | ||||||
21,115 | Statoil ASA | 559,062 | ||||||
5,784 | Suncor Energy, Inc. | 235,408 | ||||||
8,674 | Suncor Energy, Inc. | 352,859 | ||||||
11,456 | Surge Energy, Inc. | 20,742 | ||||||
8,990 | Torc Oil & Gas, Ltd. | 50,199 | ||||||
14,201 | Total SA | 863,512 | ||||||
7,700 | Tourmaline Oil Corp. | 137,598 | ||||||
5,452 | Transcanada Corp. | 235,527 | ||||||
6,518 | TransGlobe Energy Corp.* | 18,049 | ||||||
35,959 | Tullow Oil plc* | 115,715 | ||||||
1,097 | Vermilion Energy, Inc. | 39,565 | ||||||
19,728 | Whitecap Resources, Inc. | 133,721 | ||||||
24,229 | Whitehaven Coal, Ltd. | 104,089 | ||||||
9,290 | Woodside Petroleum, Ltd. | 244,427 | ||||||
8,000 | Yangarra Resources, Ltd.* | 33,716 | ||||||
5,501 | Z Energy, Ltd. | 28,188 | ||||||
|
| |||||||
11,828,938 | ||||||||
|
| |||||||
Paper & Forest Products (0.9%): | ||||||||
1,344 | Ahlstrom-Munksjo OYJ | 24,258 | ||||||
5,029 | Canfor Corp.* | 121,048 | ||||||
1,251 | Canfor Pulp Products, Inc. | 24,002 | ||||||
6,000 | Daio Paper Corp. | 83,491 | ||||||
6,700 | Hokuetsu Kishu Paper Co., Ltd. | 34,451 | ||||||
1,236 | Holmen AB, Class B | 28,068 | ||||||
4,627 | Interfor Corp.* | 88,879 | ||||||
8,945 | Metsa Board OYJ | 101,106 | ||||||
6,301 | Mondi plc | 169,700 | ||||||
5,800 | Nippon Paper Industries Co., Ltd. | 92,373 | ||||||
1,614 | Norbord, Inc. | 66,377 | ||||||
22,000 | OYI Paper Co., Ltd. | 136,318 | ||||||
23,088 | Quintis, Ltd.*(b)(c) | 2,251 | ||||||
8,204 | Stora Enso OYJ, Registered Shares | 160,266 | ||||||
600 | Tokushu Tokai Paper Co., Ltd. | 23,580 | ||||||
22,294 | UPM-Kymmene OYJ | 796,008 | ||||||
1,669 | West Fraser Timber Co., Ltd. | 114,894 | ||||||
24,618 | Western Forest Products, Inc. | 50,191 | ||||||
|
| |||||||
2,117,261 | ||||||||
|
| |||||||
Personal Products (0.6%): | ||||||||
18,108 | Asaleo Care, Ltd. | 18,747 | ||||||
1,100 | Ci:z Holdings Co., Ltd. | 52,311 | ||||||
2,300 | Kao Corp. | 175,323 | ||||||
400 | KOSE Corp. | 86,045 | ||||||
536 | L’Oreal SA | 132,234 | ||||||
3,305 | Ontex Group NV | 72,418 | ||||||
1,486 | Oriflame Holding AG | 47,918 | ||||||
1,400 | Shiseido Co., Ltd. | 111,089 | ||||||
8,564 | Unilever NV, NYS | 477,186 | ||||||
4,976 | Unilever plc, ADR | 275,073 | ||||||
|
| |||||||
1,448,344 | ||||||||
|
|
Continued
22
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals (2.8%): | ||||||||
91 | Alk-Abello A/S* | $ | 15,195 | |||||
1,900 | Aska Pharmaceutical Co., Ltd. | 24,701 | ||||||
6,600 | Astellas Pharma, Inc. | 100,562 | ||||||
16,897 | AstraZeneca plc, ADR | 593,254 | ||||||
3,325 | Bayer AG, Registered Shares | 366,307 | ||||||
314 | Boiron SA | 26,633 | ||||||
1,600 | Dainippon Sumitomo Pharma Co., Ltd. | 33,845 | ||||||
7,741 | Faes Farma SA | 32,783 | ||||||
9,143 | GlaxoSmithKline plc, ADR | 368,554 | ||||||
1,067 | GlaxoSmithKline plc | 21,524 | ||||||
1,253 | H. Lundbeck A/S | 87,992 | ||||||
3,300 | Haw Par Corp., Ltd. | 32,493 | ||||||
4,811 | Hikma Pharmaceuticals plc | 95,186 | ||||||
26,202 | Indivior plc* | 131,356 | ||||||
701 | Ipsen SA | 109,861 | ||||||
1,000 | Kaken Pharmaceutical Co., Ltd. | 51,344 | ||||||
1,000 | Kissei Pharmaceutical Co., Ltd. | 27,101 | ||||||
1,700 | Kyorin Holdings, Inc. | 35,287 | ||||||
30,175 | Mayne Pharma Group, Ltd.* | 19,404 | ||||||
501 | Merck KGaA | 48,911 | ||||||
1,300 | Mitsubishi Tanabe Pharma Corp. | 22,451 | ||||||
3,200 | Nichi-Iko Pharmaceutical Co., Ltd. | 47,190 | ||||||
22,726 | Novartis AG, Registered Shares | 1,722,065 | ||||||
8,066 | Novo Nordisk A/S, Class B | 372,613 | ||||||
1,037 | Orion OYJ | 30,533 | ||||||
3,799 | Orion OYJ, Class B | 102,186 | ||||||
1,695 | Recipharm AB* | 25,353 | ||||||
3,141 | Recordati SpA | 124,625 | ||||||
127 | Roche Holding AG | 28,715 | ||||||
3,082 | Roche Holding AG | 686,069 | ||||||
600 | Rohto Pharmaceutical Co., Ltd. | 19,251 | ||||||
1,600 | Santen Pharmaceutical Co., Ltd. | 27,855 | ||||||
1,200 | Sawai Pharmaceutical Co., Ltd. | 54,575 | ||||||
600 | Shionogi & Co., Ltd. | 30,795 | ||||||
3,900 | Takeda Pharmacuetical Co., Ltd. | 164,722 | ||||||
1,540 | Teva Pharmaceutical Industries, Ltd. | 37,266 | ||||||
800 | Torii Pharmaceutical Co., Ltd. | 19,440 | ||||||
600 | Towa Pharmaceutical Co., Ltd. | 32,136 | ||||||
700 | Tsumura & Co. | 22,608 | ||||||
1,020 | UCB SA | 79,952 | ||||||
46,000 | United Laboratories International Holdings, Ltd. | 47,515 | ||||||
8,600 | Valeant Pharmaceuticals International, Inc.* | 200,198 | ||||||
1,145 | Valeant Pharmaceuticals International, Inc.* | 26,610 | ||||||
16,134 | Vectura Group plc* | 16,613 | ||||||
1,002 | Vifor Pharma AG | 159,942 | ||||||
178 | Virbac SA* | 24,279 | ||||||
|
| |||||||
6,347,850 | ||||||||
|
| |||||||
Professional Services (1.8%): | ||||||||
4,530 | Adecco SA, Registered Shares | 267,733 | ||||||
2,780 | AF AB | 63,523 | ||||||
568 | Akka Technologies SA | 40,634 | ||||||
3,728 | ALS, Ltd. | 20,899 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
9,096 | Applus Services SA | $ | 121,284 | |||||
1,800 | Benefit One, Inc. | 50,817 | ||||||
372 | Bertrandt AG | 35,322 | ||||||
5,622 | Bureau Veritas SA | 149,902 | ||||||
5,277 | Capita Group plc | 11,121 | ||||||
1,100 | DKSH Holding, Ltd. | 77,523 | ||||||
900 | EN-Japan, Inc. | 45,342 | ||||||
11,350 | Experian plc | 280,642 | ||||||
175 | Groupe Crit | 16,405 | ||||||
89,376 | Hays plc | 219,997 | ||||||
2,964 | Intertek Group plc | 223,492 | ||||||
2,947 | McMillan Shakespeare, Ltd. | 35,070 | ||||||
1,100 | Meitec Corp. | 52,776 | ||||||
10,129 | Michael Page International plc | 75,201 | ||||||
3,497 | Morneau Shepell, Inc. | 72,307 | ||||||
2,500 | Nihon M&A Center, Inc. | 72,398 | ||||||
1,800 | Nomura Co., Ltd. | 39,712 | ||||||
3,000 | Outsourcing, Inc. | 55,547 | ||||||
1,700 | Persol Holdings Co., Ltd. | 37,885 | ||||||
3,772 | Randstad Holding NV | 221,357 | ||||||
7,938 | RELX NV | 168,963 | ||||||
5,236 | RELX plc, ADR | 113,831 | ||||||
3,973 | Ricardo plc | 50,227 | ||||||
6,390 | Robert Walters plc | 59,011 | ||||||
7,390 | Seek, Ltd. | 119,793 | ||||||
58 | SGS SA, Registered Shares | 154,580 | ||||||
2,421 | Stantec, Inc. | 62,099 | ||||||
1,200 | Technopro Holdings, Inc. | 73,630 | ||||||
2,255 | Teleperformance | 398,263 | ||||||
10,595 | Wolters Kluwer NV | 596,329 | ||||||
|
| |||||||
4,083,615 | ||||||||
|
| |||||||
Real Estate Management & Development (2.4%): | ||||||||
585 | ADO Group, Ltd.* | 11,741 | ||||||
442 | ADO Properties SA(a) | 24,057 | ||||||
2,400 | AEON Mall Co., Ltd. | 43,070 | ||||||
1,364 | Airport City, Ltd.* | 15,154 | ||||||
477 | Allreal Holding AG* | 77,798 | ||||||
143 | Alrov Properties And Lodgings, Ltd. | 4,488 | ||||||
2,393 | Amot Investments, Ltd. | 12,021 | ||||||
46,000 | Asia Standard International Group, Ltd. | 10,492 | ||||||
5,538 | Aveo Group | 9,968 | ||||||
1,910 | CA Immobilien Anlagen AG | 63,664 | ||||||
17,796 | Capital & Counties Properties plc | 67,456 | ||||||
38,900 | CapitaLand, Ltd. | 90,077 | ||||||
2,740 | Cedar Woods Properties, Ltd. | 11,689 | ||||||
7,500 | Chinese Estates Holdings, Ltd. | 9,747 | ||||||
52,000 | Chuang’s Consortium International, Ltd. | 11,165 | ||||||
5,400 | City Developments, Ltd. | 43,431 | ||||||
8,424 | Citycon OYJ | 18,229 | ||||||
9,930 | CK Asset Holdings, Ltd. | 78,461 | ||||||
1,625 | Colliers International Group | 123,013 | ||||||
5,265 | Countrywide plc* | 2,618 |
Continued
23
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
340,000 | CSI Properties, Ltd. | $ | 20,103 | |||||
1,700 | Daibiru Corp. | 17,279 | ||||||
500 | Daito Trust Construction Co., Ltd. | 81,268 | ||||||
9,500 | Daiwa House Industry Co., Ltd. | 323,506 | ||||||
963 | Deutsche Euroshop AG | 34,017 | ||||||
6,254 | Deutsche Wohnen AG | 302,027 | ||||||
34,000 | Emperor International Holdings | 9,877 | ||||||
68,000 | Far East Consortium Internatio | 40,381 | ||||||
1,175 | Fastighets AB Balder* | 30,653 | ||||||
1,300 | First Capital Realty, Inc. | 20,432 | ||||||
1,529 | FirstService Corp. | 116,265 | ||||||
6,100 | Frasers Centrepoint, Ltd. | 7,397 | ||||||
15,974 | Gateway Lifestyle | 27,542 | ||||||
1,100 | Goldcrest Co., Ltd. | 17,865 | ||||||
7,000 | Great Eagle Holdings, Ltd. | 34,140 | ||||||
17,100 | GuocoLand, Ltd. | 25,485 | ||||||
46,000 | Hang Lung Group, Ltd. | 128,753 | ||||||
26,984 | Hang Lung Properties, Ltd. | 55,421 | ||||||
1,200 | Heiwa Real Estate Co., Ltd. | 21,373 | ||||||
3,426 | Helical Bar plc | 15,332 | ||||||
3,116 | Hemfosa Fastigheter AB | 36,450 | ||||||
7,551 | Henderson Land Development Co., Ltd. | 39,744 | ||||||
110 | Hiag Immobilien AG | 13,275 | ||||||
34,400 | HKR International, Ltd. | 21,068 | ||||||
9,400 | Ho Bee Land, Ltd. | 16,335 | ||||||
18,500 | Hong Fok Corp., Ltd. | 9,097 | ||||||
1,500 | Hongkong Land Holdings, Ltd. | 10,731 | ||||||
3,000 | Hulic Co., Ltd. | 31,944 | ||||||
6,000 | Hysan Development Co., Ltd. | 33,392 | ||||||
6,500 | Ichigo, Inc. | 30,487 | ||||||
1,650 | IMMOFINANZ AG | 39,291 | ||||||
1,400 | Keihanshin Building Co., Ltd. | 11,546 | ||||||
24,725 | Kerry Properties, Ltd. | 118,128 | ||||||
26,000 | Kowloon Development Co., Ltd. | 29,248 | ||||||
3,296 | Kungsleden AB | 22,733 | ||||||
11,400 | Lai Sun Development Co., Ltd. | 18,974 | ||||||
1,358 | LEG Immobilien AG | 147,532 | ||||||
7,092 | Lend Lease Group | 104,297 | ||||||
14,300 | Leopalace21 Corp. | 78,295 | ||||||
8,000 | Liu Chong Hing Investment, Ltd. | 12,628 | ||||||
4,644 | LSL Property Services plc | 16,323 | ||||||
578 | Melisron, Ltd. | 24,005 | ||||||
6,000 | Mitsubishi Estate Co., Ltd. | 104,823 | ||||||
247 | Mobimo Holding AG, Registered Shares | 61,108 | ||||||
62,351 | New World Development Co., Ltd. | 87,137 | ||||||
1,323 | Nexity SA | 83,539 | ||||||
1,700 | Nisshin Fudosan Co. | 10,595 | ||||||
5,200 | Nomura Real Estate Holdings, Inc. | 115,284 | ||||||
3,300 | NTT Urban Development Corp. | 35,426 | ||||||
1,600 | Open House Co., Ltd. | 94,451 | ||||||
795 | Patrizia Immobilien AG | 15,334 | ||||||
31,000 | Prospect Co., Ltd. | 13,975 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
1,094 | PSP Swiss Property AG | $ | 101,600 | |||||
4,000 | Relo Holdings, Inc. | 105,428 | ||||||
2,615 | S Immo AG | 51,046 | ||||||
1,200 | SAMTY Co., Ltd. | 21,968 | ||||||
9,229 | Savills plc | 105,845 | ||||||
2,600 | Shinoken Group Co., Ltd. | 39,503 | ||||||
100,800 | Sinarmas Land, Ltd. | 22,541 | ||||||
37,356 | Sino Land Co., Ltd. | 60,590 | ||||||
5,000 | Soundwill Holdings, Ltd. | 8,238 | ||||||
8,529 | St. Modwen Properties plc | 47,302 | ||||||
1,000 | Sumitomo Realty & Development Co., Ltd. | 36,815 | ||||||
1,800 | Sun Frontier Fudousan Co., Ltd. | 21,279 | ||||||
6,921 | Sun Hung Kai Properties, Ltd. | 103,842 | ||||||
8,646 | Swire Pacific, Ltd., Class A | 91,355 | ||||||
17,500 | Swire Pacific, Ltd., Class B | 31,022 | ||||||
5,800 | Swire Properties, Ltd. | 21,437 | ||||||
1,281 | Swiss Prime Site AG | 117,888 | ||||||
2,604 | Tag Immobilien AG | 57,282 | ||||||
4,200 | Takara Leben Co., Ltd. | 15,697 | ||||||
7,842 | Technopolis OYJ | 35,272 | ||||||
1,637 | Tlg Immobilien AG | 43,649 | ||||||
1,200 | Tokyo Tatemono Co., Ltd. | 16,463 | ||||||
26,300 | Tokyu Fudosan Holdings Corp. | 185,161 | ||||||
700 | Tosei Corp. | 7,399 | ||||||
6,860 | U & I Group plc | 20,876 | ||||||
213 | UBM Development AG | 10,145 | ||||||
1,200 | Unizo Holdings Co., Ltd. | 22,346 | ||||||
8,200 | UOL Group, Ltd. | 45,745 | ||||||
6,654 | Villa World, Ltd. | 10,939 | ||||||
2,129 | Vonovia SE | 101,291 | ||||||
13,324 | Wharf Holdings, Ltd. (The) | 42,679 | ||||||
2,000 | Wharf Real Estate Investment Co., Ltd. | 14,203 | ||||||
12,829 | Wheelock & Co., Ltd. | 89,175 | ||||||
8,400 | Wheelock Properties Singapore | 10,062 | ||||||
2,672 | Wihlborgs Fastigheter AB | 30,903 | ||||||
20,700 | Wing Tai Holdings, Ltd. | 30,197 | ||||||
17 | Zug Estates Holding AG | 29,538 | ||||||
|
| |||||||
5,351,371 | ||||||||
|
| |||||||
Road & Rail (1.8%): | ||||||||
13,493 | Aurizon Holdings, Ltd. | 43,373 | ||||||
5,353 | Canadian National Railway Co. | 437,607 | ||||||
883 | Canadian Pacific Railway, Ltd. | 161,607 | ||||||
800 | Central Japan Railway Co. | 165,891 | ||||||
44,100 | ComfortDelGro Corp., Ltd. | 75,969 | ||||||
1,888 | DSV A/S | 152,411 | ||||||
1,400 | East Japan Railway Co. | 134,100 | ||||||
1,034 | Europcar Groupe SA(a) | 10,757 | ||||||
79,447 | FirstGroup plc* | 87,459 | ||||||
300 | Fukuyama Transporting Co., Ltd. | 15,318 | ||||||
2,158 | Go-Ahead Group plc | 45,208 | ||||||
5,000 | Hankyu Hanshin Holdings, Inc. | 200,981 | ||||||
2,200 | Hitachi Transport System, Ltd. | 56,329 |
Continued
24
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
102 | Jungfraubahn Holding AG, Registered Shares | $ | 15,140 | |||||
2,500 | Keihin Electric Express Railway Co., Ltd. | 40,974 | ||||||
1,200 | Keio Corp. | 58,029 | ||||||
900 | Keisei Electric Railway Co., Ltd. | 30,884 | ||||||
1,500 | Kintetsu Corp. | 61,204 | ||||||
15,830 | MTR Corp., Ltd. | 87,221 | ||||||
3,600 | Nagoya Railroad Co., Ltd. | 92,940 | ||||||
2,400 | Nankai Electric Railway Co., Ltd. | 66,611 | ||||||
29,502 | National Express Group plc | 156,243 | ||||||
2,000 | Nippon Express Co., Ltd. | 145,008 | ||||||
3,800 | Nippon Konpo Unyu Soko Co., Ltd. | 99,687 | ||||||
2,600 | Nishi-Nippon Railroad Co., Ltd. | 70,736 | ||||||
8,429 | Northgate plc | 45,228 | ||||||
2,800 | Odakyu Electric Railway Co., Ltd. | 60,081 | ||||||
4,000 | Sankyu, Inc. | 209,740 | ||||||
2,500 | Seino Holdings Co., Ltd. | 44,265 | ||||||
11,100 | Senko Co., Ltd. | 87,689 | ||||||
823 | Sixt Leasing Se | 16,650 | ||||||
1,209 | Sixt SE | 135,140 | ||||||
1,659 | Sixt SE | 130,136 | ||||||
2,000 | Sotetsu Holdings, Inc. | 61,184 | ||||||
19,306 | Stagecoach Group plc | 36,058 | ||||||
80 | Stef S.A. | 9,636 | ||||||
6,961 | Tfi International, Inc. | 214,735 | ||||||
2,000 | Tobu Railway Co., Ltd. | 61,172 | ||||||
5,000 | Tokyu Corp. | 86,104 | ||||||
300 | Tonami Holdings Co., Ltd. | 17,804 | ||||||
400 | Trancom Co., Ltd. | 27,447 | ||||||
20,000 | Transport International Holdings, Ltd. | 57,354 | ||||||
824 | VTG AG | 46,587 | ||||||
1,400 | West Japan Railway Co. | 103,135 | ||||||
|
| |||||||
3,961,832 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.7%): | ||||||||
1,000 | Aixtron SE* | 12,883 | ||||||
1,136 | ASM International NV | 62,615 | ||||||
5,119 | ASM Pacific Technology, Ltd. | 64,284 | ||||||
1,629 | ASML Holding NV, NYS | 322,493 | ||||||
4,404 | BE Semiconductor Industries NV | 118,643 | ||||||
200 | Disco Corp. | 34,060 | ||||||
439 | Elmos Semiconductor AG | 11,578 | ||||||
2,300 | Ferrotec Corp. | 35,429 | ||||||
6,856 | Infineon Technologies AG | 174,699 | ||||||
800 | Lasertec Corp. | 22,470 | ||||||
1,090 | Melexis NV | 101,061 | ||||||
167,251 | Rec Silicon ASA*^ | 18,749 | ||||||
400 | ROHM Co., Ltd. | 33,503 | ||||||
8,000 | Sanken Electric Co., Ltd. | 42,395 | ||||||
800 | Screen Holdings Co., Ltd. | 56,209 | ||||||
4,800 | Shinko Electric Industries Co., Ltd. | 42,875 | ||||||
992 | Siltronic AG | 141,823 | ||||||
285 | SMA Solar Technology AG | 11,796 | ||||||
8,416 | STMicroelectronics NV | 186,988 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
2,000 | SUMCO Corp. | $ | 40,280 | |||||
700 | Tokyo Electron, Ltd. | 119,863 | ||||||
1,400 | Tokyo Seimitsu Co., Ltd. | 46,241 | ||||||
2,312 | Tower Semiconductor, Ltd.* | 50,887 | ||||||
372 | U-Blox AG | 73,882 | ||||||
2,400 | ULVAC, Inc. | 91,406 | ||||||
|
| |||||||
1,917,112 | ||||||||
|
| |||||||
Software (1.1%): | ||||||||
1,917 | Aveva Group plc | 67,893 | ||||||
3,461 | Bittium OYJ | 20,083 | ||||||
2,600 | Capcom Co., Ltd. | 64,069 | ||||||
2,000 | Colopl, Inc. | 13,536 | ||||||
2,326 | Computer Modelling Group, Ltd. | 17,872 | ||||||
301 | Constellation Software, Inc. | 233,461 | ||||||
1,258 | Dassault Systemes SA | 176,024 | ||||||
1,064 | Descartes Systems Group, Inc.* | 34,580 | ||||||
2,942 | Fidessa Group plc | 150,042 | ||||||
1,403 | Gemalto NV* | 81,603 | ||||||
15,900 | Gungho Online Enetertainment, Inc. | 40,439 | ||||||
8,390 | Hansen Technology, Ltd. | 19,626 | ||||||
38,000 | Igg, Inc. | 48,407 | ||||||
1,600 | Konami Corp. | 81,343 | ||||||
51 | Linedata Services | 2,094 | ||||||
6,981 | Myob Group, Ltd. | 14,949 | ||||||
518 | Nemetschek Se | 62,334 | ||||||
339 | NICE Systems, Ltd.* | 35,209 | ||||||
2,818 | Open Text Corp. | 99,165 | ||||||
700 | Oracle Corp. | 57,076 | ||||||
10,182 | PlayTech plc | 101,135 | ||||||
17,117 | Sage Group plc | 141,334 | ||||||
1,437 | SAP AG | 165,998 | ||||||
2,151 | SimCorp A/S | 174,178 | ||||||
998 | Software AG | 46,482 | ||||||
8,525 | Technology One, Ltd. | 26,893 | ||||||
1,257 | Temenos Group AG | 190,162 | ||||||
1,300 | Trend Micro, Inc. | 74,046 | ||||||
3,702 | UbiSoft Entertainment SA* | 405,013 | ||||||
|
| |||||||
2,645,046 | ||||||||
|
| |||||||
Specialty Retail (1.3%): | ||||||||
16,866 | Accent Group, Ltd. | 20,569 | ||||||
2,400 | Adastria Co., Ltd. | 30,390 | ||||||
900 | Alpen Co., Ltd. | 19,362 | ||||||
2,600 | Aoki Holdings, Inc. | 37,878 | ||||||
1,300 | Aoyama Trading Co., Ltd. | 43,410 | ||||||
1,900 | Arcland Sakamoto Co., Ltd. | 28,532 | ||||||
700 | Autobacs Seven Co., Ltd. | 12,405 | ||||||
1,813 | Autocanada, Inc. | 23,461 | ||||||
11,649 | Automotive Holdings Group, Ltd. | 24,535 | ||||||
7,300 | BIC Camera, Inc. | 112,556 | ||||||
4,928 | Bilia AB, Class A | 38,474 | ||||||
3,245 | Byggmax Group AB | 14,122 | ||||||
18,000 | Chow Sang Sang Holdings International, Ltd. | 34,681 |
Continued
25
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
18,800 | Chow Tai Fook Jewellery Group, Ltd. | $ | 21,172 | |||||
2,205 | Clas Ohlson AB | 17,530 | ||||||
4,700 | DCM Holdings Co., Ltd. | 43,920 | ||||||
32,869 | Dixons Carphone plc | 80,903 | ||||||
2,047 | Dufry AG, Registered Shares | 261,025 | ||||||
5,850 | Dunelm Group plc | 38,954 | ||||||
4,900 | Edion Corp. | 49,261 | ||||||
230,000 | Emperor Watch & Jewellery, Ltd. | 14,014 | ||||||
77,300 | Esprit Holdings, Ltd.* | 23,960 | ||||||
400 | Fast Retailing Co., Ltd. | 183,478 | ||||||
665 | Fielmann AG* | 46,004 | ||||||
2,300 | Geo Holdings Corp. | 30,814 | ||||||
130,000 | Giordano International, Ltd. | 81,573 | ||||||
1,436 | Grandvision BV(a) | 32,230 | ||||||
3,192 | Greencross, Ltd. | 10,562 | ||||||
681 | Groupe FNAC SA* | 64,703 | ||||||
13,359 | Halfords Group plc | 61,103 | ||||||
4,280 | Hennes & Mauritz AB, Class B^ | 63,730 | ||||||
300 | Hikari Tsushin, Inc. | 52,687 | ||||||
483 | Hornbach Baumarkt AG | 14,916 | ||||||
148 | Hornbach Holding AG & Co. KGaA | 10,674 | ||||||
5,100 | Idom, Inc. | 28,195 | ||||||
4,686 | Industria de Diseno Textil SA | 159,884 | ||||||
6,528 | JB Hi-Fi, Ltd. | 108,932 | ||||||
20,850 | JD Sports Fashion plc | 121,174 | ||||||
700 | Jin Co., Ltd. | 39,994 | ||||||
1,500 | Joshin Denki Co., Ltd. | 46,819 | ||||||
3,370 | KappAhl AB | 12,108 | ||||||
8,824 | Kathmandu Holdings, Ltd. | 17,373 | ||||||
1,700 | Keiyo Co., Ltd. | 8,438 | ||||||
21,974 | Kingfisher plc | 86,088 | ||||||
1,600 | Komeri Co., Ltd. | 40,614 | ||||||
8,400 | K’s Holding Corp. | 87,246 | ||||||
2,366 | Leon’s Furniture, Ltd. | 32,506 | ||||||
25,750 | L’occitane International SA | 42,417 | ||||||
19,046 | Lookers plc | 27,242 | ||||||
20,000 | Luk Fook Holdings International, Ltd. | 82,590 | ||||||
2,347 | Matas A/S | 19,047 | ||||||
600 | Mekonomen AB | 8,293 | ||||||
600 | Nitori Co., Ltd. | 93,603 | ||||||
2,300 | Nojima Corp. | 51,120 | ||||||
76,677 | Pendragon plc | 24,746 | ||||||
19,618 | Pets At Home Group plc | 33,502 | ||||||
917 | Premier Investments, Ltd. | 11,500 | ||||||
1,300 | Shimachu Co., Ltd. | 41,306 | ||||||
300 | Shimamura Co., Ltd. | 26,408 | ||||||
9,000 | Sports Direct International* | 47,352 | ||||||
4,622 | Super Retail Group, Ltd. | 27,834 | ||||||
3,968 | Supergroup plc | 58,745 | ||||||
1,300 | United Arrows, Ltd. | 48,489 | ||||||
2,400 | USS Co., Ltd. | 45,629 | ||||||
144 | Valora Holding AG | 47,104 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
8,200 | VT Holdings Co., Ltd. | $ | 43,128 | |||||
4,080 | WHSmith plc | 107,593 | ||||||
700 | Xebio Holdings Co., Ltd. | 11,149 | ||||||
1,990 | XXL ASA^(a) | 16,127 | ||||||
|
| |||||||
3,347,883 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
6,400 | Brother Industries, Ltd. | 126,220 | ||||||
5,600 | Canon, Inc. | 183,442 | ||||||
1,300 | Fujitsu Frontech, Ltd. | 17,664 | ||||||
1,900 | Hitachi Maxell, Ltd. | 31,972 | ||||||
13,700 | Konica Minolta Holdings, Inc. | 126,871 | ||||||
6,508 | Logitech International SA | 285,701 | ||||||
6,200 | Mcj Co., Ltd. | 47,329 | ||||||
4,300 | NEC Corp. | 117,941 | ||||||
2,343 | Neopost | 62,991 | ||||||
1,300 | Noritsu Koki Co., Ltd. | 22,307 | ||||||
8,500 | Ricoh Co., Ltd. | 77,820 | ||||||
100 | Roland Dg Corp. | 2,199 | ||||||
8,300 | Seiko Epson Corp. | 143,804 | ||||||
9,000 | Toshiba Tec Corp. | 54,787 | ||||||
154 | Wincor Nixdorf AG | 10,285 | ||||||
|
| |||||||
1,311,333 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.6%): | ||||||||
689 | Adidas AG | 150,449 | ||||||
1,500 | ASICS Corp. | 25,327 | ||||||
1,383 | Brunello Cucinelli SpA | 61,705 | ||||||
6,313 | Burberry Group plc | 179,666 | ||||||
434 | Compagnie Financiere Richemont SA | 36,782 | ||||||
485 | Delta-Galil Industries, Ltd. | 14,068 | ||||||
1,500 | Descente, Ltd. | 26,553 | ||||||
900 | Fujibo Holdings, Inc. | 29,241 | ||||||
1,250 | Gerry Weber International AG* | 8,008 | ||||||
1,311 | Gildan Activewear, Inc. | 36,918 | ||||||
280,000 | Global Brands Group Holdings, Ltd.* | 16,755 | ||||||
300 | Gunze, Ltd. | 19,205 | ||||||
189 | Hermes International SA | 115,508 | ||||||
2,445 | Hugo Boss AG | 221,722 | ||||||
7,000 | Kurabo Industries, Ltd. | 22,098 | ||||||
399,238 | Li & Fung, Ltd. | 145,762 | ||||||
1,682 | Luxottica Group SpA | 108,445 | ||||||
2,251 | LVMH Moet Hennessy Louis Vuitton SA | 748,214 | ||||||
5,170 | Moncler SpA | 235,155 | ||||||
1,495 | New Wave Group AB | 8,766 | ||||||
5,000 | Onward Holdings Co., Ltd. | 38,292 | ||||||
9,893 | Ovs SpA*(a) | 32,233 | ||||||
44,000 | Pacific Textiles Holdings, Ltd. | 37,352 | ||||||
2,465 | Pandora A/S | 172,301 | ||||||
6,400 | Prada SpA | 29,446 | ||||||
2,218 | Salvatore Ferragamo Italia SpA | 54,065 | ||||||
36,000 | Samsonite International SA | 126,884 | ||||||
500 | Sanyo Shokai, Ltd. | 10,018 |
Continued
26
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
1,800 | Seiko Holdings Corp. | $ | 38,692 | |||||
2,500 | Seiren Co., Ltd. | 38,831 | ||||||
28,000 | Stella International Holdings, Ltd. | 34,611 | ||||||
167 | Swatch Group AG (The), Class B | 79,357 | ||||||
262 | Swatch Group AG (The), Registered Shares | 22,695 | ||||||
1,909 | Ted Baker plc | 54,238 | ||||||
404 | Tod’s SpA | 25,140 | ||||||
3,200 | Tsi Holdings Co., Ltd. | 22,606 | ||||||
2,700 | Unitika, Ltd.* | 15,362 | ||||||
2,000 | Wacoal Holdings Corp. | 58,274 | ||||||
45,514 | Yue Yuen Industrial Holdings, Ltd. | 127,735 | ||||||
|
| |||||||
3,228,479 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
2,324 | Aareal Bank AG | 102,161 | ||||||
2,507 | Deutsche Pfandbriefbank AG(a) | 35,135 | ||||||
615 | Equitable Group, Inc. | 27,866 | ||||||
1,100 | Firm Capital Mortgage Investment Corp. | 11,029 | ||||||
2,026 | Genworth MI Canada, Inc. | 65,935 | ||||||
16,190 | Genworth Mortgage Insurance AU | 30,765 | ||||||
1,812 | Home Capital Group, Inc.* | 20,691 | ||||||
7,866 | Onesavings Bank plc | 42,606 | ||||||
10,905 | Paragon Group of Cos. plc (The) | 68,921 | ||||||
|
| |||||||
405,109 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
4,936 | Imperial Tobacco Group plc, Class A | 183,759 | ||||||
4,800 | Japan Tobacco, Inc. | 134,104 | ||||||
652 | Scandinavian Tobacco Group A/S(a) | 9,841 | ||||||
2,105 | Swedish Match AB, Class B | 104,233 | ||||||
|
| |||||||
431,937 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.8%): | ||||||||
2,637 | AddTech AB, Class B | 58,225 | ||||||
15,970 | Ashtead Group plc | 475,599 | ||||||
1,271 | B&b Tools AB | 13,419 | ||||||
284 | BayWa AG | 9,606 | ||||||
1,611 | Beijer Ref AB | 29,180 | ||||||
7,200 | BOC Aviation, Ltd.(a) | 44,686 | ||||||
537 | Bossard Holding AG | 99,813 | ||||||
3,112 | Brenntag AG | 173,317 | ||||||
4,067 | Bunzl plc | 123,137 | ||||||
4,000 | CanWel Building Materials Group, Ltd. | 20,936 | ||||||
70,000 | China Strategic Holdings, Ltd.* | 748 | ||||||
3,143 | Cramo OYJ | 73,016 | ||||||
400 | Daiichi Jitsugyo Co., Ltd. | 11,730 | ||||||
8,787 | Diploma plc | 151,577 | ||||||
3,513 | Ferguson plc | 285,006 | ||||||
3,579 | Grafton Group plc | 37,559 | ||||||
900 | Hanwa Co., Ltd. | 34,279 | ||||||
36,721 | Howden Joinery Group plc | 259,664 | ||||||
1,598 | Imcd Group NV | 107,099 | ||||||
300 | Inaba Denki Sangyo Co., Ltd. | 12,261 | ||||||
700 | Inabata & Co., Ltd. | 9,712 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
3,231 | Indutrade AB | $ | 77,132 | |||||
2,600 | Iwatani Corp. | 90,564 | ||||||
616 | Jacquet Metal Service | 19,565 | ||||||
200 | Japan Pulp & Paper Co., Ltd. | 9,097 | ||||||
700 | Kamei Corp. | 9,640 | ||||||
900 | Kanaden Corp. | 11,187 | ||||||
1,700 | Kanamoto Co., Ltd. | 53,719 | ||||||
4,800 | Kanematsu Corp. | 69,279 | ||||||
2,241 | Kloeckner & Co. SE | 23,616 | ||||||
8,200 | Marubeni Corp. | 62,496 | ||||||
4,300 | Misumi Group, Inc. | 125,181 | ||||||
1,100 | Mitani Corp. | 49,066 | ||||||
7,300 | Mitsubishi Corp. | 202,616 | ||||||
7,700 | Mitsui & Co., Ltd. | 128,301 | ||||||
1,271 | Momentum Group AB, Class B* | 15,678 | ||||||
1,400 | Monotaro Co., Ltd. | 61,884 | ||||||
2,600 | Nagase & Co., Ltd. | 40,533 | ||||||
900 | NEC Capital Solutions, Ltd. | 15,670 | ||||||
600 | Nichiden Corp. | 11,569 | ||||||
1,100 | Nippon Steel & Sumikin Bussan | 54,565 | ||||||
1,200 | Nishio Rent All Co., Ltd. | 38,443 | ||||||
700 | Onoken Co., Ltd. | 11,808 | ||||||
7,777 | Ramirent OYJ | 82,528 | ||||||
4,501 | Reece, Ltd. | 42,099 | ||||||
10,785 | Rexel SA | 154,958 | ||||||
2,192 | Richelieu Hardware, Ltd. | 45,708 | ||||||
2,804 | Russel Metals, Inc. | 57,317 | ||||||
12,209 | SIG plc | 22,474 | ||||||
21,100 | Sojitz Corp. | 76,467 | ||||||
164 | Solar A/S | 10,232 | ||||||
3,600 | Sumitomo Corp. | 59,091 | ||||||
3,072 | Toromont Industries, Ltd. | 132,882 | ||||||
2,100 | Toyota Tsushu Corp. | 70,214 | ||||||
9,972 | Travis Perkins plc | 187,125 | ||||||
1,000 | Trusco Nakayama Corp. | 24,966 | ||||||
800 | Wajax Corp. | 15,154 | ||||||
2,700 | Wakita & Co., Ltd. | 28,319 | ||||||
3,800 | Yamazen Corp. | 36,295 | ||||||
800 | Yuasa Trading Co., Ltd. | 25,506 | ||||||
|
| |||||||
4,283,513 | ||||||||
|
| |||||||
Transportation Infrastructure (0.4%): | ||||||||
493 | Aena SA(a) | 89,422 | ||||||
384 | Aeroports de Paris | 86,755 | ||||||
1,197 | Ansaldo Sts SpA | 17,132 | ||||||
7,311 | Atlantia SpA | 215,847 | ||||||
12,050 | Atlas Arteria, Ltd. | 57,325 | ||||||
3,215 | Auckland International Airport, Ltd. | 14,754 | ||||||
17,433 | BBA Aviation plc | 78,510 | ||||||
960 | Flughafen Zuerich AG | 196,005 | ||||||
3,270 | Groupe Eurotunnel SA | 44,829 | ||||||
1,679 | Hamburger Hafen und Logistik AG | 36,435 | ||||||
2,800 | Hong Kong Aircraft Engineering Co., Ltd. | 24,375 |
Continued
27
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Transportation Infrastructure, continued | ||||||||
182,200 | Hutchison Port Holdings Trust | $ | 50,900 | |||||
400 | Japan Airport Terminal Co., Ltd. | 18,718 | ||||||
1,500 | Kamigumi Co., Ltd. | 31,100 | ||||||
1,000 | Mitsubishi Logistics Corp. | 21,574 | ||||||
400 | Nissin Corp. | 9,278 | ||||||
37,623 | Qube Holdings, Ltd. | 67,033 | ||||||
15,500 | SATS, Ltd. | 56,762 | ||||||
4,700 | SIAS SpA | 70,656 | ||||||
4,000 | Sumitomo Warehouse Co., Ltd. (The) | 24,253 | ||||||
14,036 | Sydney Airport | 74,329 | ||||||
2,729 | Westshore Terminals Investment Corp. | 49,473 | ||||||
|
| |||||||
1,335,465 | ||||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
15,034 | Pennon Group plc | 157,543 | ||||||
5,341 | Severn Trent plc | 139,379 | ||||||
45,000 | Siic Environment Holdings, Ltd.* | 13,903 | ||||||
7,737 | United Utilities Group plc | 77,894 | ||||||
|
| |||||||
388,719 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.1%): | ||||||||
2,035 | Cellcom Israel, Ltd.* | 11,624 | ||||||
4,802 | Freenet AG | 127,403 | ||||||
13,800 | KDDI Corp. | 377,351 | ||||||
13,000 | M1, Ltd. | 15,285 | ||||||
3,522 | Millicom International Cellular SA, SDR | 207,235 | ||||||
2,104 | Mobistar SA | 35,486 | ||||||
18,600 | NTT DoCoMo, Inc. | 473,782 | ||||||
1,000 | Okinawa Cellular Telephone Co. | 40,132 | ||||||
1,708 | Rogers Communications, Inc., Class B | 81,062 | ||||||
17,000 | Smartone Telecommunications Ho | 17,531 | ||||||
4,700 | SoftBank Group Corp. | 337,293 | ||||||
21,800 | StarHub, Ltd. | 26,525 | ||||||
3,836 | Tele2 AB | 45,069 | ||||||
349,145 | Vodafone Group plc | 845,883 | ||||||
|
| |||||||
2,641,661 | ||||||||
|
| |||||||
Total Common Stocks (Cost $208,319,490) | 230,879,993 | |||||||
|
| |||||||
Preferred Stocks (0.4%): | ||||||||
Automobiles (0.4%): | ||||||||
1,600 | Bayerische Motoren Werke AG (BMW), 5.89% | 127,548 | ||||||
1,544 | Porsche Automobil Holding SE, 3.23% | 98,336 | ||||||
4,515 | Volkswagen AG, 2.78% | 749,678 | ||||||
|
| |||||||
975,562 | ||||||||
|
| |||||||
Total Preferred Stocks (Cost $1,186,092) | 975,562 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Warrant (0.0%): | ||||||||
Banks (0.0%): | ||||||||
64,038 | Ezion Holdings, Ltd.(c) | $ | — | |||||
|
| |||||||
Total Warrant (Cost $—) | — | |||||||
|
| |||||||
Rights (0.0%): | ||||||||
Banks (0.0%): | ||||||||
72,820 | Intesa Sanpaolo SpA, Expires on 12/31/49*(c) | — | ||||||
|
| |||||||
Construction & Engineering (0.0%): | ||||||||
4,849 | ACS Actividades de Construccion y Servicios SA, Expires on 7/09/18* | 4,994 | ||||||
19,598 | Sacyr SA, Expires on 7/10/18 | 1,119 | ||||||
|
| |||||||
6,113 | ||||||||
|
| |||||||
Consumer Finance (0.0%): | ||||||||
106,800 | Enerchina Holding, Ltd., Expires on 7/16/18 | 68 | ||||||
|
| |||||||
Energy Equipment & Services (0.0%): | ||||||||
299 | Odfjell Drilling, Ltd., Expires on 7/05/18(b)(c) | — | ||||||
|
| |||||||
Insurance (0.0%): | ||||||||
6,217 | Phoenix Group Holdings, Expires on 7/10/18 | 13,542 | ||||||
|
| |||||||
Media (0.0%): | ||||||||
40,092 | ITE Group plc, Expires on 7/11/18 | 12,643 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
13,800 | Repsol SA, Expires on 7/09/18* | 7,834 | ||||||
|
| |||||||
Total Rights (Cost $18,729) | 40,200 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (0.7%): | ||||||||
$ | 1,684,845 | AZL DFA International Core Equity Fund Securities Lending Collateral Account(d) | 1,684,845 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,684,845 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.3%): | ||||||||
708,144 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(e) | 708,144 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $708,144) | 708,144 | |||||||
|
| |||||||
Total Investment Securities (Cost $211,917,300) — 100.1%(f) | 234,288,744 | |||||||
Net other assets (liabilities) — (0.1)% | (304,945 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 233,983,799 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
NYS—New York Shares
SDR—Swedish Depository Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $1,405,918. |
Continued
28
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.02% of the net assets of the fund. |
(c) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.02% of the net assets of the Fund. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(e) | The rate represents the effective yield at June 30, 2018. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Australia | 6.0 | % | ||
Austria | 0.5 | % | ||
Belgium | 1.3 | % | ||
Bermuda | — | %^ | ||
Cambodia | — | %^ | ||
Canada | 8.9 | % | ||
Cayman Islands | — | %^ | ||
China | 0.1 | % | ||
Colombia | — | %^ | ||
Denmark | 1.7 | % | ||
Egypt | — | %^ | ||
European Community | 0.1 | % | ||
Faroe Islands | — | %^ | ||
Finland | 2.0 | % | ||
France | 7.2 | % | ||
Germany | 7.4 | % | ||
Hong Kong | 2.5 | % | ||
Ireland (Republic of) | 1.3 | % | ||
Isle of Man | 0.1 | % | ||
Israel | 0.5 | % |
Country | Percentage | |||
Italy | 2.8 | % | ||
Japan | 24.1 | % | ||
Jersey | — | %^ | ||
Liechtenstein | — | %^ | ||
Luxembourg | 0.5 | % | ||
Malta | — | %^ | ||
Monaco | — | %^ | ||
Netherlands | 3.0 | % | ||
New Zealand | 0.4 | % | ||
Norway | 1.0 | % | ||
Peru | — | %^ | ||
Portugal | 0.1 | % | ||
Singapore | 0.9 | % | ||
South Africa | 0.1 | % | ||
Spain | 2.4 | % | ||
Sweden | 2.5 | % | ||
Switzerland | 6.3 | % | ||
United Arab Emirates | — | %^ | ||
United Kingdom | 15.1 | % | ||
United States | 1.2 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
See accompanying notes to the financial statements.
29
AZL DFA International Core Equity Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 211,917,300 | |||
|
| ||||
Investment securities, at value* | $ | 234,288,744 | |||
Cash | 4,715 | ||||
Interest and dividends receivable | 468,565 | ||||
Foreign currency, at value (cost $675,863) | 644,933 | ||||
Receivable for investments sold | 2,643 | ||||
Reclaims receivable | 851,050 | ||||
Prepaid expenses | 1,491 | ||||
|
| ||||
Total Assets | 236,262,141 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 359,256 | ||||
Payable for collateral received on loaned securities | 1,684,845 | ||||
Manager fees payable | 147,125 | ||||
Administration fees payable | 5,135 | ||||
Distribution fees payable | 49,042 | ||||
Custodian fees payable | 13,776 | ||||
Administrative and compliance services fees payable | 686 | ||||
Transfer agent fees payable | 1,082 | ||||
Trustee fees payable | 3,201 | ||||
Other accrued liabilities | 14,194 | ||||
|
| ||||
Total Liabilities | 2,278,342 | ||||
|
| ||||
Net Assets | $ | 233,983,799 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 197,776,545 | |||
Accumulated net investment income/(loss) | 6,585,590 | ||||
Accumulated net realized gains/(losses) from investment transactions | 7,252,426 | ||||
Net unrealized appreciation/(depreciation) on investments | 22,369,238 | ||||
|
| ||||
Net Assets | $ | 233,983,799 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 21,045,141 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.12 | |||
|
|
* | Includes securities on loan of $1,405,918. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 5,026,105 | |||
Interest | 1,139 | ||||
Income from securities lending | 18,748 | ||||
Foreign withholding tax | (609,614 | ) | |||
|
| ||||
Total Investment Income | 4,436,378 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,175,714 | ||||
Administration fees | 176,932 | ||||
Distribution fees | 309,398 | ||||
Custodian fees | 36,393 | ||||
Administrative and compliance services fees | 1,959 | ||||
Transfer agent fees | 2,805 | ||||
Trustee fees | 6,390 | ||||
Professional fees | 6,443 | ||||
Shareholder reports | 1,353 | ||||
Other expenses | 2,444 | ||||
|
| ||||
Total expenses before reductions | 1,719,831 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (247,521 | ) | |||
|
| ||||
Net expenses | 1,472,310 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,964,068 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 6,133,290 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (16,224,224 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (10,090,934 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (7,126,866 | ) | ||
|
|
See accompanying notes to the financial statements.
30
AZL DFA International Core Equity Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,964,068 | $ | 3,805,179 | ||||||
Net realized gains/(losses) on investment transactions | 6,133,290 | 2,741,170 | ||||||||
Change in unrealized appreciation/depreciation on investments | (16,224,224 | ) | 53,201,724 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (7,126,866 | ) | 59,748,073 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (3,321,065 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (3,321,065 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 941,372 | 1,518,775 | ||||||||
Proceeds from dividends reinvested | — | 3,321,065 | ||||||||
Value of shares redeemed | (18,789,558 | ) | (55,005,008 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (17,848,186 | ) | (50,165,168 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (24,975,052 | ) | 6,261,840 | |||||||
Net Assets: | ||||||||||
Beginning of period | 258,958,851 | 252,697,011 | ||||||||
|
|
|
| |||||||
End of period | $ | 233,983,799 | $ | 258,958,851 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 6,585,590 | $ | 3,621,522 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 82,833 | 145,766 | ||||||||
Dividends reinvested | — | 304,685 | ||||||||
Shares redeemed | (1,626,802 | ) | (5,286,375 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,543,969 | ) | (4,835,924 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
31
AZL DFA International Core Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 27, 2015 to December 31, 2015(a) | |||||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.46 | $ | 9.21 | $ | 9.03 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Investment Activities: | ||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | 0.19 | 0.11 | 0.08 | ||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.49 | ) | 2.21 | 0.17 | (1.05 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Activities | (0.34 | ) | 2.40 | 0.28 | (0.97 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.10 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Dividends | — | (0.15 | ) | (0.10 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 11.12 | $ | 11.46 | $ | 9.21 | $ | 9.03 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | (2.97 | )%(c) | 26.09 | % | 3.17 | % | (9.70 | )%(c) | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 233,984 | $ | 258,959 | $ | 252,697 | $ | 170,273 | ||||||||||||
Net Investment Income/(Loss)(d) | 2.40 | % | 1.48 | % | 1.62 | % | 1.19 | % | ||||||||||||
Expenses Before Reductions(d)(e) | 1.39 | % | 1.41 | % | 1.39 | % | 1.39 | % | ||||||||||||
Expenses Net of Reductions(d) | 1.19 | % | 1.21 | % | 1.19 | % | 1.19 | % | ||||||||||||
Portfolio Turnover Rate | 6 | %(c) | 4 | % | 11 | % | 4 | %(c) |
(a) | For the period April 27, 2015 (commencement of operations) to December 31, 2015. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
32
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA International Core Equity Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
33
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $1 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,867 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less than 30 Days | Between 30 & 90 Days | Greater than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 1,130,068 | $ | 554,777 | $ | — | $ | — | $ | 1,684,845 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA International Core Equity Fund | 0.95 | % | 1.39 | % |
* | The Manager voluntarily reduced the management fee to 0.75% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
34
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $1,144 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||
Aerospace & Defense | $ | 237,285 | $ | 3,246,552 | $ | — | $ | — | $ | 3,483,837 | |||||||||||||||
Airlines | 89,485 | 788,302 | — | — | 877,787 | ||||||||||||||||||||
Auto Components | 683,704 | 6,484,496 | — | — | 7,168,200 | ||||||||||||||||||||
Automobiles | 129,340 | 7,891,196 | — | — | 8,020,536 | ||||||||||||||||||||
Banks | 6,603,121 | 12,835,633 | — | — | 19,438,754 | ||||||||||||||||||||
Beverages | 668,636 | 1,973,500 | — | — | 2,642,136 | ||||||||||||||||||||
Biotechnology | 35,195 | 549,139 | — | — | 584,334 |
35
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Capital Markets | $ | 697,765 | $ | 5,576,752 | $ | — | $ | — | $ | 6,274,517 | |||||||||||||||
Chemicals | 385,840 | 12,496,402 | — | — | 12,882,242 | ||||||||||||||||||||
Commercial Services & Supplies | 108,341 | 3,532,982 | — | — | 3,641,323 | ||||||||||||||||||||
Communications Equipment | 94,932 | 571,616 | — | — | 666,548 | ||||||||||||||||||||
Construction & Engineering | 90,271 | 4,914,431 | 3,960 | — | 5,008,662 | ||||||||||||||||||||
Construction Materials | 258,196 | 1,159,199 | — | — | 1,417,395 | ||||||||||||||||||||
Containers & Packaging | 160,748 | 2,267,541 | — | — | 2,428,289 | ||||||||||||||||||||
Distributors | 48,119 | 551,591 | — | — | 599,710 | ||||||||||||||||||||
Diversified Consumer Services | 69,007 | 222,174 | — | — | 291,181 | ||||||||||||||||||||
Diversified Financial Services | 123,865 | 1,477,107 | — | — | 1,600,972 | ||||||||||||||||||||
Diversified Telecommunication Services | 65,521 | 4,955,324 | — | — | 5,020,845 | ||||||||||||||||||||
Electric Utilities | 22,316 | 2,774,008 | — | — | 2,796,324 | ||||||||||||||||||||
Electronic Equipment, Instruments & Components | 47,621 | 4,539,148 | — | — | 4,586,769 | ||||||||||||||||||||
Energy Equipment & Services | 377,006 | 1,386,343 | — | — | 1,763,349 | ||||||||||||||||||||
Food & Staples Retailing | 424,224 | 4,844,978 | — | — | 5,269,202 | ||||||||||||||||||||
Food Products | 268,032 | 6,270,771 | — | — | 6,538,803 | ||||||||||||||||||||
Gas Utilities | 98,741 | 989,520 | — | — | 1,088,261 | ||||||||||||||||||||
Health Care Providers & Services | 66,955 | 1,555,986 | — | — | 1,622,941 | ||||||||||||||||||||
Hotels, Restaurants & Leisure | 391,986 | 4,683,244 | — | — | 5,075,230 | ||||||||||||||||||||
Household Durables | 16,965 | 4,268,062 | — | — | 4,285,027 | ||||||||||||||||||||
Independent Power & Renewable Electricity Producers | 340,031 | 394,532 | — | — | 734,563 | ||||||||||||||||||||
Industrial Conglomerates | 172,251 | 1,704,949 | — | — | 1,877,200 | ||||||||||||||||||||
Insurance | 1,215,278 | 6,884,776 | — | — | 8,100,054 | ||||||||||||||||||||
IT Services | 66,169 | 2,931,410 | — | — | 2,997,579 | ||||||||||||||||||||
Leisure Products | 72,613 | 660,470 | — | — | 733,083 | ||||||||||||||||||||
Machinery | 168,461 | 9,617,467 | — | — | 9,785,928 | ||||||||||||||||||||
Media | 624,414 | 3,729,842 | — | — | 4,354,256 | ||||||||||||||||||||
Metals & Mining | 4,818,410 | 8,039,991 | 18,605 | — | 12,877,006 | ||||||||||||||||||||
Multiline Retail | 347,622 | 1,066,712 | — | — | 1,414,334 | ||||||||||||||||||||
Multi-Utilities | 113,678 | 1,756,520 | — | — | 1,870,198 | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | 5,987,122 | 5,829,412 | 12,404 | — | 11,828,938 | ||||||||||||||||||||
Paper & Forest Products | 465,391 | 1,649,619 | 2,251 | — | 2,117,261 | ||||||||||||||||||||
Personal Products | 752,259 | 696,085 | — | — | 1,448,344 | ||||||||||||||||||||
Pharmaceuticals | 1,188,616 | 5,159,234 | — | — | 6,347,850 | ||||||||||||||||||||
Professional Services | 248,237 | 3,835,378 | — | — | 4,083,615 | ||||||||||||||||||||
Real Estate Management & Development | 259,710 | 5,091,661 | — | — | 5,351,371 | ||||||||||||||||||||
Road & Rail | 813,949 | 3,147,883 | — | — | 3,961,832 | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment | 373,380 | 1,543,732 | — | — | 1,917,112 | ||||||||||||||||||||
Software | 385,078 | 2,259,968 | — | — | 2,645,046 | ||||||||||||||||||||
Specialty Retail | 55,967 | 3,291,916 | — | — | 3,347,883 | ||||||||||||||||||||
Technology Hardware, Storage & Peripherals | 285,701 | 1,025,632 | — | — | 1,311,333 | ||||||||||||||||||||
Textiles, Apparel & Luxury Goods | 36,918 | 3,191,561 | — | — | 3,228,479 | ||||||||||||||||||||
Thrifts & Mortgage Finance | 125,521 | 279,588 | — | — | 405,109 | ||||||||||||||||||||
Trading Companies & Distributors | 271,997 | 4,011,516 | — | — | 4,283,513 | ||||||||||||||||||||
Transportation Infrastructure | 49,473 | 1,285,992 | — | — | 1,335,465 | ||||||||||||||||||||
Wireless Telecommunication Services | 81,062 | 2,560,599 | — | — | 2,641,661 | ||||||||||||||||||||
All Other Common Stocks+ | — | 14,807,806 | — | — | 14,807,806 | ||||||||||||||||||||
Preferred Stocks | |||||||||||||||||||||||||
Automobiles | — | 975,562 | — | — | 975,562 | ||||||||||||||||||||
Warrant | — | — | # | — | — | — | |||||||||||||||||||
Rights | 40,132 | 68 | — | # | — | 40,200 | |||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 1,684,845 | 1,684,845 | ||||||||||||||||||||
Unaffiliated Investment Company | 708,144 | — | — | — | 708,144 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Investments | $ | 32,330,801 | $ | 200,235,878 | $ | 37,220 | $ | 1,684,845 | $ | 234,288,744 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2018. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
36
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA International Core Equity Fund | $ | 14,292,456 | $ | 31,302,373 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $212,737,605. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 40,265,920 | ||
Unrealized (depreciation) | (18,714,781 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 21,551,139 | ||
|
|
As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
During the latest tax year end, December 31, 2017, the Fund utilized $1,178,101 in CLCFs to offset capital gains.
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA International Core Equity Fund | $ | 3,321,065 | $ | — | $ | 3,321,065 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA International Core Equity Fund | $ | 5,579,796 | $ | — | $ | — | $ | 37,754,324 | $ | 43,334,120 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 30% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
37
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
38
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
39
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® DFA U.S. Core Equity Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 25 |
Page 25 |
Statements of Changes in Net Assets Page 26 |
Page 27 |
Notes to the Financial Statements Page 28 |
Page 33 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA U.S. Core Equity Fund
(Unaudited)
As a shareholder of the AZL DFA U.S. Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 1,000.00 | $ | 1,028.20 | $ | 4.22 | 0.84 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 1,000.00 | $ | 1,020.64 | $ | 4.21 | 0.84 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 22.6 | % | |||
Consumer Discretionary | 17.0 | ||||
Financials | 14.2 | ||||
Industrials | 13.5 | ||||
Health Care | 10.9 | ||||
Consumer Staples | 6.9 | ||||
Energy | 5.0 | ||||
Materials | 4.2 | ||||
Utilities | 2.8 | ||||
Telecommunication Services | 2.3 | ||||
Real Estate | 0.3 | ||||
|
| ||||
Total Common Stocks | 99.7 | ||||
Rights | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 10.1 | ||||
Money Market | 0.3 | ||||
|
| ||||
Total Investment Securities | 110.1 | ||||
Net other assets (liabilities) | (10.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.7%): | ||||||||
Aerospace & Defense (2.8%): | ||||||||
1,674 | AAR Corp. | $ | 77,824 | |||||
3,216 | Aerojet Rocketdyne Holdings, Inc.*^ | 94,840 | ||||||
572 | AeroVironment, Inc.* | 40,858 | ||||||
7,585 | Arconic, Inc. | 129,021 | ||||||
1,124 | Astronics Corp.*^ | 40,430 | ||||||
361 | Astronics Corp., Class B*^ | 12,909 | ||||||
1,481 | Axon Enterprise, Inc.* | 93,570 | ||||||
13,534 | Boeing Co. (The) | 4,540,792 | ||||||
3,571 | BWX Technologies, Inc. | 222,545 | ||||||
685 | CPI Aerostructures, Inc.* | 7,193 | ||||||
1,202 | Cubic Corp.^ | 77,168 | ||||||
3,138 | Curtiss-Wright Corp. | 373,485 | ||||||
625 | Ducommun, Inc.* | 20,681 | ||||||
2,101 | Engility Holdings, Inc.* | 64,375 | ||||||
1,504 | Esterline Technologies Corp.* | 110,995 | ||||||
4,820 | General Dynamics Corp. | 898,496 | ||||||
1,288 | HEICO Corp.^ | 93,897 | ||||||
2,108 | HEICO Corp., Class A | 128,452 | ||||||
4,315 | Hexcel Corp.^ | 286,430 | ||||||
1,576 | Huntington Ingalls Industries, Inc. | 341,661 | ||||||
2,230 | KLX, Inc.* | 160,337 | ||||||
4,471 | Kratos Defense & Security Solutions, Inc.* | 51,461 | ||||||
1,421 | L3 Technologies, Inc. | 273,287 | ||||||
4,043 | Lockheed Martin Corp. | 1,194,423 | ||||||
2,078 | Mercury Computer Systems, Inc.*^ | 79,089 | ||||||
1,808 | Moog, Inc., Class A | 140,952 | ||||||
343 | National Presto Industries, Inc.^ | 42,532 | ||||||
3,251 | Northrop Grumman Corp. | 1,000,333 | ||||||
4,443 | Raytheon Co. | 858,299 | ||||||
5,807 | Rockwell Collins, Inc. | 782,087 | ||||||
3,310 | Spirit AeroSystems Holdings, Inc., Class A^ | 284,362 | ||||||
790 | Teledyne Technologies, Inc.* | 157,257 | ||||||
7,877 | Textron, Inc. | 519,173 | ||||||
2,316 | The KEYW Holding Corp.*^ | 20,242 | ||||||
1,212 | TransDigm Group, Inc.^ | 418,310 | ||||||
2,979 | Triumph Group, Inc.^ | 58,388 | ||||||
12,439 | United Technologies Corp. | 1,555,248 | ||||||
741 | Vectrus, Inc.* | 22,838 | ||||||
6,897 | WESCO Aircraft Holdings, Inc.*^ | 77,591 | ||||||
|
| |||||||
15,351,831 | ||||||||
|
| |||||||
Air Freight & Logistics (0.8%): | ||||||||
4,941 | Air Transport Services Group, Inc.* | 111,617 | ||||||
1,400 | Atlas Air Worldwide Holdings, Inc.*^ | 100,380 | ||||||
4,457 | C.H. Robinson Worldwide, Inc. | 372,873 | ||||||
1,026 | Echo Global Logistics, Inc.* | 30,011 | ||||||
4,728 | Expeditors International of Washington, Inc. | 345,617 | ||||||
5,100 | FedEx Corp. | 1,158,006 | ||||||
1,779 | Forward Air Corp. | 105,103 | ||||||
1,993 | Hub Group, Inc.* | 99,251 | ||||||
1,058 | Park-Ohio Holdings Corp. | 39,463 | ||||||
3,266 | Radiant Logistics, Inc.* | 12,770 | ||||||
14,264 | United Parcel Service, Inc., Class B | 1,515,265 | ||||||
5,560 | XPO Logistics, Inc.*^ | 557,001 | ||||||
|
| |||||||
4,447,357 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Airlines (0.7%): | ||||||||
5,917 | Alaska Air Group, Inc. | $ | 357,328 | |||||
998 | Allegiant Travel Co. | 138,672 | ||||||
6,467 | American Airlines Group, Inc.^ | 245,487 | ||||||
1,537 | Copa Holdings SA, Class A | 145,431 | ||||||
19,429 | Delta Air Lines, Inc. | 962,512 | ||||||
5,008 | Hawaiian Holdings, Inc.^ | 180,038 | ||||||
16,454 | JetBlue Airways Corp.* | 312,297 | ||||||
2,917 | SkyWest, Inc. | 151,392 | ||||||
14,136 | Southwest Airlines Co. | 719,240 | ||||||
4,475 | Spirit Airlines, Inc.* | 162,666 | ||||||
11,261 | United Continental Holdings, Inc.* | 785,230 | ||||||
|
| |||||||
4,160,293 | ||||||||
|
| |||||||
Auto Components (0.9%): | ||||||||
1,838 | Adient plc^ | 90,411 | ||||||
5,496 | American Axle & Manufacturing Holdings, Inc.*^ | 85,518 | ||||||
5,936 | Aptiv plc | 543,915 | ||||||
3,249 | Autoliv, Inc.^ | 465,322 | ||||||
6,472 | BorgWarner, Inc. | 279,332 | ||||||
4,411 | Cooper Tire & Rubber Co.^ | 116,009 | ||||||
1,615 | Cooper-Standard Holding, Inc.* | 211,032 | ||||||
11,930 | Dana Holding Corp. | 240,867 | ||||||
2,123 | Delphi Technologies plc | 96,512 | ||||||
1,595 | Dorman Products, Inc.*^ | 108,954 | ||||||
2,274 | Fox Factory Holding Corp.*^ | 105,855 | ||||||
15,474 | Gentex Corp. | 356,211 | ||||||
2,720 | Gentherm, Inc.*^ | 106,896 | ||||||
12,827 | Goodyear Tire & Rubber Co. | 298,741 | ||||||
1,365 | Horizon Global Corp.*^ | 8,135 | ||||||
1,483 | LCI Industries^ | 133,692 | ||||||
3,870 | Lear Corp. | 719,086 | ||||||
3,637 | Modine Manufacturing Co.* | 66,375 | ||||||
1,190 | Motorcar Parts of America, Inc.*^ | 22,265 | ||||||
612 | Spartan Motors, Inc. | 9,241 | ||||||
1,436 | Standard Motor Products, Inc.^ | 69,416 | ||||||
1,582 | Stoneridge, Inc.* | 55,591 | ||||||
275 | Strattec Security Corp. | 8,401 | ||||||
3,917 | Tenneco, Inc. | 172,191 | ||||||
1,187 | Tower International, Inc. | 37,747 | ||||||
2,073 | Visteon Corp.* | 267,915 | ||||||
1,621 | VOXX International Corp.*^ | 8,753 | ||||||
|
| |||||||
4,684,383 | ||||||||
|
| |||||||
Automobiles (0.6%): | ||||||||
89,280 | Ford Motor Co. | 988,330 | ||||||
36,273 | General Motors Co. | 1,429,155 | ||||||
7,220 | Harley-Davidson, Inc. | 303,818 | ||||||
429 | Tesla Motors, Inc.*^ | 147,126 | ||||||
3,270 | Thor Industries, Inc. | 318,465 | ||||||
1,652 | Winnebago Industries, Inc.^ | 67,071 | ||||||
|
| |||||||
3,253,965 | ||||||||
|
| |||||||
Banks (6.6%): | ||||||||
1,760 | 1st Source Corp. | 94,037 | ||||||
1,429 | Access National Corp. | 40,869 | ||||||
504 | ACNB Corp. | 17,161 | ||||||
661 | American National Bankshares, Inc. | 26,440 |
Continued
2
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
587 | American River Bankshares | $ | 9,304 | |||||
1,663 | Ameris Bancorp | 88,721 | ||||||
704 | Ames National Corp. | 21,718 | ||||||
905 | Arrow Financial Corp.^ | 32,942 | ||||||
5,524 | Associated Banc-Corp. | 150,805 | ||||||
2,876 | Banc of California, Inc.^ | 56,226 | ||||||
1,939 | BancFirst Corp. | 114,789 | ||||||
2,831 | Bancorp, Inc. (The)* | 29,612 | ||||||
2,523 | BancorpSouth Bank^ | 83,133 | ||||||
130,996 | Bank of America Corp. | 3,692,776 | ||||||
899 | Bank of Commerce Holdings | 11,462 | ||||||
1,889 | Bank of Hawaii Corp.^ | 157,580 | ||||||
451 | Bank of Marin Bancorp | 36,463 | ||||||
2,324 | Bank of Nt Butterfield & Son, Ltd. (The) | 106,253 | ||||||
4,810 | Bank of the Ozarks, Inc.^ | 216,642 | ||||||
2,950 | BankUnited, Inc. | 120,508 | ||||||
1,941 | Banner Corp. | 116,712 | ||||||
1,189 | Bar Harbor Bankshares | 36,015 | ||||||
8,291 | BB&T Corp. | 418,198 | ||||||
842 | BCB Bancorp, Inc. | 12,630 | ||||||
2,053 | Berkshire Hills Bancorp, Inc.^ | 83,352 | ||||||
1,112 | Blue Hills BanCorp, Inc. | 24,686 | ||||||
1,324 | BOK Financial Corp. | 124,469 | ||||||
5,245 | Boston Private Financial Holdings, Inc.^ | 83,396 | ||||||
668 | Bridge Bancorp, Inc. | 24,015 | ||||||
5,107 | Brookline Bancorp, Inc. | 94,990 | ||||||
1,162 | Bryn Mawr Bank Corp. | 53,801 | ||||||
74 | C&F Financial Corp. | 4,629 | ||||||
1,056 | Cadence Bancorp^ | 30,487 | ||||||
843 | Camden National Corp. | 38,534 | ||||||
1,309 | Capital City Bank Group, Inc. | 30,932 | ||||||
649 | Carolina Financial Corp. | 27,855 | ||||||
2,683 | Cathay General Bancorp | 108,635 | ||||||
3,426 | Centerstate Banks, Inc. | 102,163 | ||||||
2,402 | Central Pacific Financial Corp. | 68,817 | ||||||
933 | Central Valley Community Bancorp | 19,742 | ||||||
273 | Century Bancorp, Inc. | 20,857 | ||||||
2,593 | Chemical Financial Corp.^ | 144,352 | ||||||
377 | Chemung Financial Corp. | 18,891 | ||||||
2,299 | CIT Group, Inc. | 115,893 | ||||||
28,420 | Citigroup, Inc. | 1,901,866 | ||||||
943 | Citizens & Northern Corp.^ | 24,386 | ||||||
5,861 | Citizens Financial Group, Inc. | 227,993 | ||||||
552 | Citizens Holding Co. | 13,110 | ||||||
1,304 | City Holding Co.^ | 98,100 | ||||||
938 | Civista Bancshares, Inc. | 22,737 | ||||||
1,096 | CNB Financial Corp. | 32,946 | ||||||
2,688 | CoBiz Financial, Inc. | 57,738 | ||||||
78 | Codorus Valley Bancorp, Inc. | 2,393 | ||||||
56 | Colony Bankcorp, Inc. | 946 | ||||||
2,169 | Columbia Banking System, Inc.^ | 88,712 | ||||||
2,543 | Comerica, Inc. | 231,210 | ||||||
2,938 | Commerce Bancshares, Inc.^ | 190,118 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
1,393 | Community Bank System, Inc.^ | $ | 82,285 | |||||
1,325 | Community Trust Bancorp, Inc. | 66,184 | ||||||
2,266 | ConnectOne Bancorp, Inc.^ | 56,423 | ||||||
1,285 | Cullen/Frost Bankers, Inc. | 139,088 | ||||||
2,643 | Customers Bancorp, Inc.* | 75,008 | ||||||
5,350 | CVB Financial Corp.^ | 119,947 | ||||||
408 | DNB Financial Corp. | 14,300 | ||||||
1,882 | Eagle Bancorp, Inc.* | 115,367 | ||||||
4,316 | East West Bancorp, Inc. | 281,403 | ||||||
1,229 | Enterprise Financial Services Corp. | 66,305 | ||||||
312 | Evans Bancorp, Inc. | 14,383 | ||||||
11,692 | F.N.B. Corp.^ | 156,907 | ||||||
569 | Farmers Capital Bank Corp. | 29,645 | ||||||
1,329 | Farmers National Banc Corp. | 21,198 | ||||||
523 | FB Financial Corp.^ | 21,297 | ||||||
1,935 | FCB Financial Holdings, Inc.* | 113,778 | ||||||
1,636 | Fidelity Southern Corp. | 41,571 | ||||||
10,629 | Fifth Third Bancorp | 305,052 | ||||||
1,053 | Financial Institutions, Inc. | 34,644 | ||||||
16,004 | First Bancorp* | 122,431 | ||||||
2,206 | First Bancorp | 90,247 | ||||||
814 | First Bancorp, Inc. | 22,971 | ||||||
611 | First Bancshares, Inc. (The) | 21,965 | ||||||
2,931 | First Busey Corp. | 92,971 | ||||||
664 | First Business Financial Services, Inc. | 17,264 | ||||||
592 | First Citizens BancShares, Inc., Class A | 238,754 | ||||||
4,012 | First Commonwealth Financial Corp. | 62,226 | ||||||
1,419 | First Community Bankshares | 45,209 | ||||||
1,217 | First Connecticut Bancorp, Inc. | 37,240 | ||||||
2,957 | First Financial Bancorp | 90,632 | ||||||
2,266 | First Financial Bankshares, Inc.^ | 115,339 | ||||||
967 | First Financial Corp. | 43,853 | ||||||
733 | First Financial Northwest, Inc. | 14,308 | ||||||
1,996 | First Foundation, Inc.* | 37,006 | ||||||
11,600 | First Horizon National Corp.^ | 206,944 | ||||||
1,244 | First Interstate BancSystem, Class A^ | 52,497 | ||||||
2,451 | First Merchants Corp. | 113,726 | ||||||
660 | First Mid-Illinois Bancshares, Inc. | 25,938 | ||||||
4,022 | First Midwest Bancorp, Inc. | 102,440 | ||||||
1,573 | First of Long Island Corp. (The) | 39,089 | ||||||
2,517 | First Republic Bank^ | 243,620 | ||||||
2,253 | Flushing Financial Corp. | 58,803 | ||||||
322 | Franklin Financial Network, Inc.* | 12,107 | ||||||
7,244 | Fulton Financial Corp. | 119,526 | ||||||
1,315 | German American Bancorp, Inc.^ | 47,143 | ||||||
3,017 | Glacier Bancorp, Inc.^ | 116,698 | ||||||
1,035 | Great Southern Bancorp, Inc. | 59,202 | ||||||
3,353 | Great Western Bancorp, Inc. | 140,792 | ||||||
3,020 | Green BanCorp, Inc. | 65,232 | ||||||
1,174 | Guaranty Bancorp | 34,985 | ||||||
3,064 | Hancock Holding Co. | 142,936 | ||||||
2,408 | Hanmi Financial Corp. | 68,267 | ||||||
41 | Hawthorn Bancshares, Inc. | 888 |
Continued
3
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
1,375 | Heartland Financial USA, Inc.^ | $ | 75,419 | |||||
1,692 | Heritage Financial Corp. | 58,966 | ||||||
2,010 | Hertiage Commerce Corp. | 34,150 | ||||||
5,680 | Hilltop Holdings, Inc. | 125,358 | ||||||
4,922 | Home Bancshares, Inc.^ | 111,040 | ||||||
1,540 | Hometrust Bancshares, Inc.* | 43,351 | ||||||
6,189 | Hope BanCorp, Inc.^ | 110,350 | ||||||
2,112 | Horizon Bancorp | 43,697 | ||||||
17,399 | Huntington Bancshares, Inc. | 256,809 | ||||||
1,730 | IBERIABANK Corp. | 131,134 | ||||||
855 | Independent Bank Corp. | 21,803 | ||||||
673 | Independent Bank Corp. | 52,763 | ||||||
1,288 | Independent Bank Group, Inc. | 86,038 | ||||||
3,359 | International Bancshares Corp. | 143,765 | ||||||
10,187 | Investors Bancorp, Inc. | 130,292 | ||||||
56,629 | JPMorgan Chase & Co. | 5,900,741 | ||||||
11,909 | KeyCorp | 232,702 | ||||||
2,859 | Lakeland Bancorp, Inc. | 56,751 | ||||||
1,656 | Lakeland Financial Corp.^ | 79,803 | ||||||
456 | Landmark Bancorp, Inc. | 12,996 | ||||||
712 | LCNB Corp. | 14,026 | ||||||
2,364 | LegacyTexas Financial Group, Inc. | 92,243 | ||||||
977 | Live Oak Bancshares, Inc. | 29,945 | ||||||
1,145 | M&T Bank Corp. | 194,822 | ||||||
2,571 | Macatawa Bank Corp. | 31,212 | ||||||
2,620 | MB Financial, Inc. | 122,354 | ||||||
1,869 | MBT Financial Corp. | 19,905 | ||||||
1,293 | Mercantile Bank Corp. | 47,789 | ||||||
638 | MidWestone Financial Group, Inc. | 21,552 | ||||||
570 | MutualFirst Financial, Inc. | 21,518 | ||||||
1,805 | National Bank Holdings Corp. | 69,655 | ||||||
514 | National Bankshares, Inc. | 23,850 | ||||||
1,453 | NBT Bancorp, Inc. | 55,432 | ||||||
373 | Nicolet Bankshares, Inc.* | 20,556 | ||||||
510 | Northrim Bancorp, Inc. | 20,171 | ||||||
511 | Norwood Financial Corp. | 18,406 | ||||||
3,309 | OFG Bancorp | 46,491 | ||||||
440 | Ohio Valley Banc Corp. | 23,078 | ||||||
819 | Old Line Bancshares, Inc. | 28,591 | ||||||
7,959 | Old National Bancorp | 148,037 | ||||||
2,225 | Old Second Bancorp, Inc. | 32,040 | ||||||
1,951 | Opus Bank | 55,994 | ||||||
�� | 638 | Orrstown Financial Services, Inc. | 16,588 | |||||
1,205 | Pacific Mercantile Bancorp* | 11,749 | ||||||
2,125 | Pacific Premier Bancorp, Inc.* | 81,069 | ||||||
2,447 | PacWest Bancorp | 120,931 | ||||||
584 | Park National Corp.^ | 65,069 | ||||||
1,165 | Peapack-Gladstone Financial Corp. | 40,297 | ||||||
364 | Penns Woods Bancorp, Inc. | 16,300 | ||||||
608 | Peoples Bancorp of NC | 19,474 | ||||||
1,361 | Peoples Bancorp, Inc. | 51,419 | ||||||
5,297 | People’s United Financial, Inc.^ | 95,823 | ||||||
749 | People’s Utah BanCorp | 26,739 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
2,933 | Pinnacle Financial Partners, Inc. | $ | 179,940 | |||||
5,378 | PNC Financial Services Group, Inc. | 726,568 | ||||||
3,717 | Popular, Inc. | 168,046 | ||||||
878 | Preferred Bank Los Angeles^ | 53,962 | ||||||
945 | Premier Financial Bancorp, Inc.^ | 17,643 | ||||||
2,332 | Prosperity Bancshares, Inc.^ | 159,416 | ||||||
606 | QCR Holdings, Inc. | 28,755 | ||||||
17,681 | Regions Financial Corp. | 314,368 | ||||||
2,630 | Renasant Co. | 119,718 | ||||||
1,417 | Republic Bancorp, Inc., Class A | 64,190 | ||||||
1,437 | S & T Bancorp, Inc.^ | 62,136 | ||||||
148 | Salisbury Bancorp, Inc. | 6,616 | ||||||
1,514 | Sandy Spring Bancorp, Inc. | 62,089 | ||||||
1,879 | Seacoast Banking Corp.* | 59,339 | ||||||
1,252 | Select Bancorp, Inc.* | 16,864 | ||||||
1,236 | ServisFirst Bancshares, Inc.^ | 51,578 | ||||||
1,113 | Shore Bancshares, Inc. | 21,169 | ||||||
1,028 | Sierra Bancorp | 29,031 | ||||||
933 | Signature Bank* | 119,312 | ||||||
4,534 | Simmons First National Corp., Class A | 135,567 | ||||||
1,131 | South State Corp. | 97,549 | ||||||
2,003 | Southern National Bancorp^ | 35,734 | ||||||
1,127 | Southside Bancshares, Inc.^ | 37,957 | ||||||
2,309 | State Bank Financial Corp. | 77,121 | ||||||
9,153 | Sterling Bancorp^ | 215,096 | ||||||
1,432 | Stock Yards Bancorp, Inc.^ | 54,631 | ||||||
557 | Summit Financial Group, Inc. | 14,950 | ||||||
4,384 | SunTrust Banks, Inc. | 289,432 | ||||||
1,716 | SVB Financial Group* | 495,512 | ||||||
5,664 | Synovus Financial Corp. | 299,229 | ||||||
8,535 | TCF Financial Corp. | 210,132 | ||||||
1,633 | Texas Capital Bancshares, Inc.*^ | 149,420 | ||||||
1,121 | Tompkins Financial Corp. | 96,271 | ||||||
3,776 | TowneBank^ | 121,210 | ||||||
1,726 | TriCo Bancshares | 64,639 | ||||||
2,154 | Tristate Capital Holdings, Inc.*^ | 56,219 | ||||||
1,220 | Triumph BanCorp, Inc.* | 49,715 | ||||||
3,028 | Trustmark Corp.^ | 98,804 | ||||||
98 | Two River Bancorp | 1,875 | ||||||
20,825 | U.S. Bancorp | 1,041,667 | ||||||
1,755 | UMB Financial Corp. | 133,784 | ||||||
6,312 | Umpqua Holdings Corp. | 142,588 | ||||||
2,948 | Union Bankshares Corp.^ | 114,618 | ||||||
3,516 | United Bankshares, Inc.^ | 127,982 | ||||||
3,077 | United Community Banks, Inc. | 94,372 | ||||||
1,190 | United Security Bancshares | 13,328 | ||||||
42 | Unity Bancorp, Inc. | 956 | ||||||
1,914 | Univest Corp. | 52,635 | ||||||
8,196 | Valley National Bancorp^ | 99,663 | ||||||
1,496 | Veritex Holdings, Inc.*^ | 46,481 | ||||||
1,113 | Washington Trust Bancorp | 64,665 | ||||||
3,174 | Webster Financial Corp.^ | 202,184 | ||||||
73,791 | Wells Fargo & Co. | 4,090,972 |
Continued
4
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
2,557 | WesBanco, Inc.^ | $ | 115,167 | |||||
1,062 | West Bancorp | 26,709 | ||||||
1,687 | Westamerica Bancorp^ | 95,332 | ||||||
4,770 | Western Alliance Bancorp* | 270,030 | ||||||
2,102 | Wintrust Financial Corp. | 182,979 | ||||||
2,669 | Zions Bancorp^ | 140,630 | ||||||
|
| |||||||
35,571,379 | ||||||||
|
| |||||||
Beverages (1.7%): | ||||||||
466 | Boston Beer Co., Inc. (The), Class A*^ | 139,660 | ||||||
1,935 | Brown-Forman Corp., Class A | 94,544 | ||||||
6,693 | Brown-Forman Corp., Class B^ | 328,024 | ||||||
545 | Coca-Cola Bottling Co. Consolidated | 73,646 | ||||||
74,453 | Coca-Cola Co. (The) | 3,265,508 | ||||||
2,550 | Constellation Brands, Inc., Class C | 558,119 | ||||||
787 | Craft Brewers Alliance, Inc.* | 16,252 | ||||||
5,609 | Dr Pepper Snapple Group, Inc. | 684,298 | ||||||
1,171 | MGP Ingredients, Inc.^ | 103,997 | ||||||
2,011 | Molson Coors Brewing Co., Class B | 136,828 | ||||||
5,703 | Monster Beverage Corp.* | 326,782 | ||||||
1,132 | National Beverage Corp.*^ | 121,011 | ||||||
29,666 | PepsiCo, Inc. | 3,229,737 | ||||||
876 | Primo Water Corp.* | 15,321 | ||||||
|
| |||||||
9,093,727 | ||||||||
|
| |||||||
Biotechnology (2.3%): | ||||||||
36,709 | AbbVie, Inc. | 3,401,089 | ||||||
890 | Acadia Pharmaceuticals, Inc.*^ | 13,590 | ||||||
1,921 | Acorda Therapeutics, Inc.*^ | 55,133 | ||||||
1,278 | Alexion Pharmaceuticals, Inc.* | 158,664 | ||||||
1,012 | Alkermes plc*^ | 41,654 | ||||||
838 | Alnylam Pharmaceuticals, Inc.*^ | 82,535 | ||||||
11,115 | Amgen, Inc. | 2,051,718 | ||||||
1,084 | Aptevo Therapeutics, Inc.* | 5,409 | ||||||
3,928 | Biogen Idec, Inc.* | 1,140,063 | ||||||
1,108 | BioMarin Pharmaceutical, Inc.* | 104,374 | ||||||
506 | Bluebird Bio, Inc.*^ | 79,417 | ||||||
14,276 | Celgene Corp.* | 1,133,800 | ||||||
356 | Clovis Oncology, Inc.* | 16,187 | ||||||
718 | Concert Pharmaceuticals, Inc.* | 12,084 | ||||||
2,168 | Emergent Biosolutions, Inc.* | 109,462 | ||||||
1,013 | Enanta Pharmaceuticals, Inc.* | 117,407 | ||||||
785 | Exact Sciences Corp.*^ | 46,935 | ||||||
4,865 | Exelixis, Inc.* | 104,695 | ||||||
544 | Fibrogen, Inc.*^ | 34,054 | ||||||
30,383 | Gilead Sciences, Inc. | 2,152,332 | ||||||
966 | Incyte Corp.* | 64,722 | ||||||
83 | Insys Therapeutics, Inc.* | 601 | ||||||
945 | Ionis Pharmaceuticals, Inc.*^ | 39,378 | ||||||
1,605 | Karyopharm Therapeutics, Inc.* | 27,269 | ||||||
526 | Ligand Pharmaceuticals, Inc., Class B*^ | 108,971 | ||||||
2,391 | Mimedx Group, Inc.*^ | 15,278 | ||||||
1,607 | Momenta Pharmaceuticals, Inc.*^ | 32,863 | ||||||
3,689 | Myriad Genetics, Inc.* | 137,858 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
1,067 | Neurocrine Biosciences, Inc.* | $ | 104,822 | |||||
10,235 | OPKO Health, Inc.*^ | 48,105 | ||||||
1,317 | Otonomy, Inc.* | 5,070 | ||||||
9,565 | PDL BioPharma, Inc.*^ | 22,382 | ||||||
1,098 | Regeneron Pharmaceuticals, Inc.* | 378,799 | ||||||
1,271 | Repligen Corp.*^ | 59,788 | ||||||
1,105 | Retrophin, Inc.* | 30,122 | ||||||
1,210 | Seattle Genetics, Inc.* | 80,332 | ||||||
600 | Tesaro, Inc.*^ | 26,682 | ||||||
2,797 | United Therapeutics Corp.* | 316,481 | ||||||
1,115 | Vertex Pharmaceuticals, Inc.* | 189,505 | ||||||
1,496 | Xencor, Inc.*^ | 55,367 | ||||||
|
| |||||||
12,604,997 | ||||||||
|
| |||||||
Building Products (0.6%): | ||||||||
3,264 | A.O. Smith Corp. | 193,066 | ||||||
3,058 | AAON, Inc.^ | 101,679 | ||||||
2,557 | Advanced Drainage Systems, Inc.^ | 73,002 | ||||||
2,889 | Allegion plc^ | 223,493 | ||||||
1,083 | American Woodmark Corp.* | 99,149 | ||||||
1,885 | Apogee Enterprises, Inc.^ | 90,800 | ||||||
1,778 | Armstrong Flooring, Inc.* | 24,963 | ||||||
2,857 | Armstrong World Industries, Inc.* | 180,562 | ||||||
7,785 | Builders FirstSource, Inc.* | 142,388 | ||||||
2,571 | Continental Building Products, Inc.* | 81,115 | ||||||
889 | Csw Industrials, Inc.* | 46,984 | ||||||
4,434 | Fortune Brands Home & Security, Inc. | 238,061 | ||||||
1,576 | Gibraltar Industries, Inc.* | 59,100 | ||||||
2,893 | Griffon Corp.^ | 51,495 | ||||||
1,209 | Insteel Industries, Inc. | 40,381 | ||||||
6,099 | Johnson Controls International plc^ | 204,012 | ||||||
870 | Lennox International, Inc.^ | 174,131 | ||||||
6,980 | Masco Corp. | 261,192 | ||||||
1,451 | Masonite International Corp.* | 104,254 | ||||||
3,362 | NCI Building Systems, Inc.* | 70,602 | ||||||
5,886 | Owens Corning, Inc. | 372,995 | ||||||
1,648 | Patrick Industries, Inc.*^ | 93,689 | ||||||
3,615 | PGT, Inc.* | 75,373 | ||||||
1,925 | Quanex Building Products Corp.^ | 34,554 | ||||||
2,112 | Simpson Manufacturing Co., Inc. | 131,345 | ||||||
2,846 | Trex Co., Inc.* | 178,131 | ||||||
3,399 | Universal Forest Products, Inc. | 124,471 | ||||||
7,225 | USG Corp.* | 311,541 | ||||||
|
| |||||||
3,782,528 | ||||||||
|
| |||||||
Capital Markets (2.6%): | ||||||||
1,453 | Affiliated Managers Group, Inc. | 216,018 | ||||||
2,626 | Ameriprise Financial, Inc. | 367,325 | ||||||
2,502 | Artisan Partners Asset Management, Inc., Class A^ | 75,435 | ||||||
11,608 | Bank of New York Mellon Corp. (The) | 626,019 | ||||||
14,937 | BGC Partners, Inc., Class A | 169,087 | ||||||
1,644 | BlackRock, Inc., Class A | 820,421 | ||||||
3,965 | BrightSphere Investment Group plc | 56,541 | ||||||
2,259 | CBOE Holdings, Inc. | 235,094 |
Continued
5
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
11,820 | Charles Schwab Corp. (The) | $ | 604,002 | |||||
2,686 | CME Group, Inc. | 440,289 | ||||||
2,934 | Cohen & Steers, Inc.^ | 122,377 | ||||||
190 | Diamond Hill Investment Group | 36,942 | ||||||
1,417 | Donnelley Financial Solutions, Inc.* | 24,613 | ||||||
5,873 | E*TRADE Financial Corp.* | 359,193 | ||||||
3,982 | Eaton Vance Corp. | 207,821 | ||||||
1,120 | FactSet Research Systems, Inc.^ | 221,872 | ||||||
6,954 | Federated Investors, Inc., Class B | 162,167 | ||||||
2,662 | Financial Engines, Inc. | 119,524 | ||||||
5,134 | Franklin Resources, Inc.^ | 164,545 | ||||||
3,237 | Gain Capital Holdings, Inc. | 24,439 | ||||||
388 | GAMCO Investors, Inc., Class A | 10,383 | ||||||
4,352 | Goldman Sachs Group, Inc. (The) | 959,920 | ||||||
1,743 | Greenhill & Co., Inc. | 49,501 | ||||||
211 | Hennessy Advisors, Inc. | 3,661 | ||||||
1,166 | Houlihan Lokey, Inc. | 59,723 | ||||||
5,199 | Interactive Brokers Group, Inc., Class A | 334,868 | ||||||
4,963 | Intercontinental Exchange, Inc. | 365,029 | ||||||
597 | INTL FCStone, Inc.* | 30,871 | ||||||
13,284 | Invesco, Ltd. | 352,823 | ||||||
2,572 | Investment Technology Group, Inc. | 53,806 | ||||||
4,134 | Janus Henderson Group plc^ | 127,038 | ||||||
6,246 | Jefferies Financial Group, Inc. | 142,034 | ||||||
10,552 | Ladenburg Thalmann Financial Services, Inc. | 35,877 | ||||||
3,497 | Lazard, Ltd., Class A | 171,038 | ||||||
2,912 | Legg Mason, Inc. | 101,134 | ||||||
7,804 | LPL Financial Holdings, Inc. | 511,474 | ||||||
937 | MarketAxess Holdings, Inc.^ | 185,395 | ||||||
1,429 | Moelis & Co., Class A^ | 83,811 | ||||||
2,716 | Moody’s Corp. | 463,241 | ||||||
18,789 | Morgan Stanley | 890,598 | ||||||
2,489 | Morningstar, Inc. | 319,214 | ||||||
2,951 | MSCI, Inc., Class A | 488,184 | ||||||
5,365 | NASDAQ OMX Group, Inc. (The) | 489,664 | ||||||
2,967 | Northern Trust Corp. | 305,275 | ||||||
1,024 | Oppenheimer Holdings, Class A | 28,672 | ||||||
940 | PJT Partners, Inc.^ | 50,187 | ||||||
1,113 | Pzena Investment Management, Inc. | 10,251 | ||||||
4,478 | Raymond James Financial, Inc. | 400,109 | ||||||
5,555 | S&P Global, Inc. | 1,132,608 | ||||||
3,335 | SEI Investments Co. | 208,504 | ||||||
660 | Silvercrest Asset Management Group, Inc., Class A | 10,758 | ||||||
2,672 | State Street Corp. | 248,736 | ||||||
2,242 | Stifel Financial Corp. | 117,145 | ||||||
5,223 | T. Rowe Price Group, Inc. | 606,338 | ||||||
2,299 | TD Ameritrade Holding Corp. | 125,916 | ||||||
1,429 | Virtu Financial, Inc. | 37,940 | ||||||
438 | Virtus Investment Partners, Inc. | 56,042 | ||||||
5,362 | Waddell & Reed Financial, Inc., Class A^ | 96,355 | ||||||
425 | Westwood Holdings, Inc. | 25,305 | ||||||
7,874 | WisdomTree Investments, Inc.^ | 71,496 | ||||||
|
| |||||||
14,814,648 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals (2.4%): | ||||||||
2,215 | A. Schulman, Inc. | $ | 98,568 | |||||
1,306 | Advansix, Inc.* | 47,839 | ||||||
1,955 | Air Products & Chemicals, Inc. | 304,452 | ||||||
905 | Albemarle Corp.^ | 85,369 | ||||||
1,157 | American Vanguard Corp. | 26,553 | ||||||
2,194 | Ashland Global Holdings, Inc. | 171,527 | ||||||
3,752 | Axalta Coating Systems, Ltd.* | 113,723 | ||||||
1,138 | Balchem Corp. | 111,683 | ||||||
3,293 | Cabot Corp. | 203,409 | ||||||
3,943 | Celanese Corp., Series A | 437,910 | ||||||
4,613 | CF Industries Holdings, Inc. | 204,817 | ||||||
691 | Chase Corp. | 81,020 | ||||||
4,033 | Chemours Co. (The) | 178,904 | ||||||
578 | Core Molding Technologies, Inc.^ | 8,254 | ||||||
25,941 | DowDuPont, Inc. | 1,710,030 | ||||||
7,238 | Eastman Chemical Co. | 723,509 | ||||||
3,888 | Ecolab, Inc. | 545,603 | ||||||
5,990 | Ferro Corp.* | 124,892 | ||||||
1,510 | FMC Corp.^ | 134,707 | ||||||
3,222 | Futurefuel Corp. | 45,140 | ||||||
1,756 | GCP Applied Technologies, Inc.* | 50,836 | ||||||
1,438 | H.B. Fuller Co. | 77,192 | ||||||
702 | Hawkins, Inc. | 24,816 | ||||||
9,602 | Huntsman Corp. | 280,378 | ||||||
2,062 | Ingevity Corp.* | 166,733 | ||||||
1,620 | Innophos Holdings, Inc. | 77,112 | ||||||
1,433 | Innospec, Inc. | 109,696 | ||||||
1,701 | International Flavor & Fragrances, Inc. | 210,856 | ||||||
14,982 | Intrepid Potash, Inc.* | 61,426 | ||||||
743 | KMG Chemicals, Inc. | 54,819 | ||||||
783 | Koppers Holdings, Inc.* | 30,028 | ||||||
2,348 | Kraton Performance Polymers, Inc.* | 108,337 | ||||||
4,741 | Kronos Worldwide, Inc. | 106,815 | ||||||
1,233 | LSB Industries, Inc.*^ | 6,535 | ||||||
7,777 | Lyondellbasell Industries NV | 854,303 | ||||||
1,816 | Minerals Technologies, Inc. | 136,836 | ||||||
5,492 | Mosaic Co. (The) | 154,051 | ||||||
703 | NewMarket Corp.^ | 284,364 | ||||||
8,796 | Olin Corp. | 252,621 | ||||||
2,346 | Omnova Solutions, Inc.* | 24,398 | ||||||
14,316 | Platform Speciality Products Corp.* | 166,066 | ||||||
6,475 | PolyOne Corp. | 279,850 | ||||||
5,194 | PPG Industries, Inc. | 538,774 | ||||||
7,814 | Praxair, Inc. | 1,235,783 | ||||||
606 | Quaker Chemical Corp. | 93,851 | ||||||
1,835 | Rayonier Advanced Materials, Inc. | 31,360 | ||||||
3,781 | RPM International, Inc.^ | 220,508 | ||||||
2,600 | Scotts Miracle-Gro Co. (The)^ | 216,216 | ||||||
1,975 | Sensient Technologies Corp.^ | 141,311 | ||||||
1,907 | Sherwin Williams Co. | 777,235 | ||||||
1,689 | Stepan Co. | 131,759 | ||||||
1,627 | Trecora Resources*^ | 24,161 | ||||||
1,070 | Tredegar Corp. | 25,145 |
Continued
6
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
3,102 | Trinseo SA | $ | 220,087 | |||||
4,906 | Tronox, Ltd., Class A | 96,550 | ||||||
6,023 | Valvoline, Inc.^ | 129,916 | ||||||
3,026 | W.R. Grace & Co. | 221,836 | ||||||
1,636 | Westlake Chemical Corp.^ | 176,083 | ||||||
|
| |||||||
13,156,552 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.1%): | ||||||||
3,793 | ABM Industries, Inc.^ | 110,680 | ||||||
9,093 | ACCO Brands Corp. | 125,938 | ||||||
3,173 | Advanced Disposal Services, Inc.* | 78,627 | ||||||
4,271 | ARC Document Solutions, Inc.* | 7,560 | ||||||
2,684 | Brady Corp., Class A | 103,468 | ||||||
2,641 | Brink’s Co. (The) | 210,620 | ||||||
1,886 | Casella Waste Systems, Inc.* | 48,300 | ||||||
2,003 | CECO Environmental Corp. | 12,298 | ||||||
2,280 | Cintas Corp. | 421,959 | ||||||
3,774 | Clean Harbors, Inc.* | 209,646 | ||||||
6,839 | Copart, Inc.* | 386,813 | ||||||
7,746 | Covanta Holding Corp.^ | 127,809 | ||||||
3,160 | Deluxe Corp.^ | 209,224 | ||||||
1,613 | Ennis, Inc. | 32,825 | ||||||
2,517 | Essendant, Inc. | 33,275 | ||||||
2,148 | Healthcare Services Group, Inc.^ | 92,772 | ||||||
1,042 | Heritage-Crystal Clean, Inc.* | 20,944 | ||||||
4,520 | Herman Miller, Inc. | 153,228 | ||||||
2,671 | HNI Corp. | 99,361 | ||||||
3,095 | InnerWorkings, Inc.*^ | 26,896 | ||||||
4,002 | Interface, Inc. | 91,846 | ||||||
5,972 | KAR Auction Services, Inc. | 327,266 | ||||||
2,829 | Kimball International, Inc., Class B | 45,717 | ||||||
3,654 | Knoll, Inc. | 76,040 | ||||||
1,417 | LSC Communications, Inc. | 22,190 | ||||||
1,875 | Matthews International Corp., Class A^ | 110,250 | ||||||
2,011 | McGrath Rentcorp | 127,236 | ||||||
2,641 | Mobile Mini, Inc. | 123,863 | ||||||
1,035 | MSA Safety, Inc. | 99,712 | ||||||
1,003 | Multi-Color Corp.^ | 64,844 | ||||||
1,552 | NL Industries, Inc.* | 13,502 | ||||||
8,238 | Pitney Bowes, Inc. | 70,600 | ||||||
2,606 | Quad Graphics, Inc.^ | 54,283 | ||||||
5,273 | Republic Services, Inc., Class A | 360,462 | ||||||
4,405 | Rollins, Inc. | 231,615 | ||||||
2,114 | RR Donnelley & Sons Co.^ | 12,177 | ||||||
1,467 | SP Plus Corp.* | 54,572 | ||||||
5,403 | Steelcase, Inc., Class A | 72,941 | ||||||
1,563 | Stericycle, Inc.*^ | 102,048 | ||||||
1,534 | Team, Inc.*^ | 35,435 | ||||||
2,396 | Tetra Tech, Inc. | 140,166 | ||||||
542 | UniFirst Corp. | 95,880 | ||||||
709 | US Ecology, Inc. | 45,163 | ||||||
1,003 | Viad Corp. | 54,413 | ||||||
824 | Vse Corp. | 39,371 | ||||||
9,861 | Waste Management, Inc. | 802,093 | ||||||
|
| |||||||
5,785,928 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment (1.3%): | ||||||||
2,109 | ADTRAN, Inc.^ | $ | 31,319 | |||||
752 | Applied Optoelectronics, Inc.* | 33,765 | ||||||
976 | Arista Networks, Inc.* | 251,310 | ||||||
8,194 | ARRIS International plc* | 200,302 | ||||||
550 | Bel Fuse, Inc., Class B | 11,495 | ||||||
1,000 | Black Box Corp.* | 2,025 | ||||||
2,202 | Calix, Inc.* | 17,176 | ||||||
4,939 | Ciena Corp.*^ | 130,933 | ||||||
69,484 | Cisco Systems, Inc. | 2,989,896 | ||||||
6,102 | CommScope Holding Co., Inc.* | 178,209 | ||||||
316 | Communications Systems, Inc. | 1,204 | ||||||
1,822 | Comtech Telecommunications Corp. | 58,085 | ||||||
1,262 | Digi International, Inc.* | 16,658 | ||||||
1,548 | EchoStar Corp., Class A* | 68,731 | ||||||
1,189 | EMCORE Corp.*^ | 6,004 | ||||||
2,598 | Extreme Networks, Inc.* | 20,680 | ||||||
1,778 | F5 Networks, Inc.* | 306,616 | ||||||
5,961 | Finisar Corp.* | 107,298 | ||||||
7,060 | Harmonic, Inc.*^ | 30,005 | ||||||
3,291 | Harris Corp. | 475,680 | ||||||
7,816 | Infinera Corp.* | 77,613 | ||||||
2,791 | InterDigital, Inc.^ | 225,792 | ||||||
10,987 | Juniper Networks, Inc. | 301,264 | ||||||
909 | KVH Industries, Inc.* | 12,181 | ||||||
1,310 | Lumentum Holdings, Inc.*^ | 75,849 | ||||||
3,350 | Motorola Solutions, Inc.^ | 389,840 | ||||||
1,304 | NETGEAR, Inc.*^ | 81,500 | ||||||
3,156 | NetScout Systems, Inc.*^ | 93,733 | ||||||
3,507 | Oclaro, Inc.* | 31,318 | ||||||
360 | Palo Alto Networks, Inc.* | 73,969 | ||||||
1,949 | Plantronics, Inc. | 148,611 | ||||||
1,714 | Ribbon Communications, Inc.* | 12,204 | ||||||
2,348 | Ubiquiti Networks, Inc.* | 198,923 | ||||||
2,004 | ViaSat, Inc.* | 131,703 | ||||||
8,628 | Viavi Solutions, Inc.* | 88,351 | ||||||
|
| |||||||
6,880,242 | ||||||||
|
| |||||||
Construction & Engineering (0.4%): | ||||||||
5,468 | Aecom Technology Corp.* | 180,608 | ||||||
800 | Aegion Corp.*^ | 20,600 | ||||||
2,172 | Ameresco, Inc., Class A* | 26,064 | ||||||
1,245 | Argan, Inc. | 50,983 | ||||||
1,626 | Comfort Systems USA, Inc. | 74,471 | ||||||
2,025 | Dycom Industries, Inc.*^ | 191,382 | ||||||
2,804 | EMCOR Group, Inc. | 213,608 | ||||||
2,610 | Fluor Corp. | 127,316 | ||||||
1,914 | Granite Construction, Inc.^ | 106,533 | ||||||
1,221 | IES Holdings, Inc.*^ | 20,452 | ||||||
2,447 | Jacobs Engineering Group, Inc. | 155,360 | ||||||
8,226 | KBR, Inc. | 147,410 | ||||||
3,504 | MasTec, Inc.*^ | 177,828 | ||||||
1,578 | MYR Group, Inc.* | 55,956 | ||||||
574 | NV5 Holdings, Inc.*^ | 39,778 | ||||||
2,101 | Orion Marine Group, Inc.* | 17,354 | ||||||
4,194 | Primoris Services Corp. | 114,203 |
Continued
7
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
5,039 | Quanta Services, Inc.* | $ | 168,303 | |||||
2,791 | Tutor Perini Corp.*^ | 51,494 | ||||||
928 | Valmont Industries, Inc. | 139,896 | ||||||
|
| |||||||
2,079,599 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
1,483 | Eagle Materials, Inc., Class A | 155,671 | ||||||
1,291 | Martin Marietta Materials, Inc. | 288,319 | ||||||
5,185 | Summit Materials, Inc., Class A*^ | 136,106 | ||||||
1,308 | U.S. Concrete, Inc.*^ | 68,670 | ||||||
353 | U.S. Lime & Minerals, Inc. | 29,617 | ||||||
2,021 | Vulcan Materials Co. | 260,830 | ||||||
|
| |||||||
939,213 | ||||||||
|
| |||||||
Consumer Finance (1.0%): | ||||||||
20,883 | Ally Financial, Inc. | 548,596 | ||||||
14,646 | American Express Co. | 1,435,307 | ||||||
144 | Asta Funding, Inc. | 497 | ||||||
6,037 | Capital One Financial Corp. | 554,800 | ||||||
1,912 | Consumer Portfolio Services, Inc.* | 7,782 | ||||||
600 | Credit Acceptance Corp.* | 212,040 | ||||||
10,034 | Discover Financial Services | 706,494 | ||||||
868 | Encore Capital Group, Inc.*^ | 31,769 | ||||||
1,910 | Enova International, Inc.* | 69,811 | ||||||
3,948 | EZCORP, Inc., Class A*^ | 47,573 | ||||||
1,945 | Firstcash, Inc. | 174,758 | ||||||
1,425 | Green Dot Corp., Class A* | 104,581 | ||||||
17,319 | LendingClub Corp.*^ | 65,639 | ||||||
14,392 | Navient Corp. | 187,528 | ||||||
2,128 | Nelnet, Inc., Class A | 124,296 | ||||||
750 | Nicholas Financial, Inc.* | 6,900 | ||||||
5,999 | Onemain Holdings, Inc.* | 199,707 | ||||||
1,661 | PRA Group, Inc.*^ | 64,032 | ||||||
960 | Regional Mgmt Corp.* | 33,619 | ||||||
11,964 | Santander Consumer USA Holdings, Inc. | 228,393 | ||||||
22,527 | SLM Corp.* | 257,934 | ||||||
16,752 | Synchrony Financial | 559,182 | ||||||
505 | World Acceptance Corp.* | 56,060 | ||||||
|
| |||||||
5,677,298 | ||||||||
|
| |||||||
Containers & Packaging (0.7%): | ||||||||
2,903 | AptarGroup, Inc. | 271,082 | ||||||
2,636 | Avery Dennison Corp. | 269,136 | ||||||
8,374 | Ball Corp. | 297,696 | ||||||
4,255 | Bemis Co., Inc. | 179,604 | ||||||
4,116 | Berry Global Group, Inc.* | 189,089 | ||||||
4,226 | Crown Holdings, Inc.* | 189,156 | ||||||
25,959 | Graphic Packaging Holding Co. | 376,664 | ||||||
1,930 | Greif, Inc., Class A | 102,078 | ||||||
1,110 | Greif, Inc., Class B | 63,936 | ||||||
6,229 | International Paper Co. | 324,406 | ||||||
2,608 | Myers Industries, Inc. | 50,074 | ||||||
9,463 | Owens-Illinois, Inc.* | 159,073 | ||||||
3,330 | Packaging Corp. of America | 372,260 | ||||||
3,591 | Sealed Air Corp.^ | 152,438 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
9,148 | Silgan Holdings, Inc. | $ | 245,441 | |||||
5,379 | Sonoco Products Co. | 282,398 | ||||||
538 | UFP Technologies, Inc.* | 16,597 | ||||||
4,190 | WestRock Co. | 238,914 | ||||||
|
| |||||||
3,780,042 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
3,074 | Core Markt Holdngs Co., Inc. | 69,780 | ||||||
4,641 | Genuine Parts Co.^ | 425,997 | ||||||
9,671 | LKQ Corp.* | 308,505 | ||||||
2,023 | Pool Corp. | 306,485 | ||||||
811 | Weyco Group, Inc. | 29,520 | ||||||
|
| |||||||
1,140,287 | ||||||||
|
| |||||||
Diversified Consumer Services (0.4%): | ||||||||
1,744 | Adtalem Global Education, Inc.* | 83,886 | ||||||
1,304 | American Public Education, Inc.* | 54,898 | ||||||
273 | Ascent Capital Group, Inc.* | 767 | ||||||
3,117 | Bright Horizons Family Solutions, Inc.* | 319,555 | ||||||
3,401 | Cambium Learning Group, Inc.* | 37,921 | ||||||
918 | Capella Education Co. | 90,607 | ||||||
5,222 | Career Education Corp.* | 84,440 | ||||||
1,464 | Carriage Services, Inc. | 35,941 | ||||||
506 | Collectors Universe, Inc.^ | 7,458 | ||||||
185 | Graham Holdings Co., Class B | 108,429 | ||||||
2,721 | Grand Canyon Education, Inc.* | 303,691 | ||||||
8,744 | H&R Block, Inc. | 199,188 | ||||||
5,384 | Houghton Mifflin Harcourt Co.* | 41,188 | ||||||
2,988 | K12, Inc.* | 48,914 | ||||||
482 | Liberty Tax, Inc. | 3,892 | ||||||
1,309 | Regis Corp.* | 21,651 | ||||||
6,510 | Service Corp. International | 232,993 | ||||||
4,100 | ServiceMaster Global Holdings, Inc.* | 243,827 | ||||||
2,193 | Sotheby’s*^ | 119,168 | ||||||
622 | Strayer Education, Inc. | 70,292 | ||||||
1,696 | Universal Technical Institute, Inc.* | 5,342 | ||||||
1,419 | Weight Watchers International, Inc.* | 143,461 | ||||||
|
| |||||||
2,257,509 | ||||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
23,446 | Berkshire Hathaway, Inc., Class B* | 4,376,196 | ||||||
3,604 | Cannae Holdings, Inc.* | 66,854 | ||||||
827 | Marlin Business Services, Inc. | 24,686 | ||||||
1,763 | PICO Holdings, Inc.^ | 20,539 | ||||||
1,767 | Tiptree Financial, Inc., Class A^ | 12,016 | ||||||
2,777 | Voya Financial, Inc. | 130,519 | ||||||
|
| |||||||
4,630,810 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.1%): | ||||||||
166,997 | AT&T, Inc. | 5,362,273 | ||||||
1,019 | ATN International, Inc.^ | 53,773 | ||||||
34,597 | CenturyLink, Inc. | 644,888 | ||||||
2,524 | Cincinnati Bell, Inc.* | 39,627 | ||||||
2,223 | Cogent Communications Group, Inc. | 118,708 | ||||||
4,558 | Consolidated Communications Holdings, Inc.^ | 56,337 |
Continued
8
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
1,573 | Frontier Communications Corp.^ | $ | 8,431 | |||||
815 | Hawaiian Telcom Holdco, Inc.* | 23,570 | ||||||
1,994 | IDT Corp. | 11,206 | ||||||
5,557 | Iridium Communications, Inc.* | 89,468 | ||||||
4,045 | Orbcomm, Inc.*^ | 40,855 | ||||||
92,919 | Verizon Communications, Inc. | 4,674,754 | ||||||
9,821 | Vonage Holdings Corp.* | 126,593 | ||||||
2,743 | Windstream Holdings, Inc.*^ | 14,456 | ||||||
4,273 | Zayo Group Holdings, Inc.* | 155,879 | ||||||
|
| |||||||
11,420,818 | ||||||||
|
| |||||||
Electric Utilities (1.3%): | ||||||||
1,864 | ALLETE, Inc. | 144,292 | ||||||
4,490 | Alliant Energy Corp. | 190,017 | ||||||
6,289 | American Electric Power Co., Inc. | 435,513 | ||||||
1,163 | Avangrid, Inc.^ | 61,558 | ||||||
8,111 | Duke Energy Corp. | 641,418 | ||||||
5,622 | Edison International | 355,704 | ||||||
1,593 | El Paso Electric Co. | 94,146 | ||||||
2,217 | Entergy Corp. | 179,111 | ||||||
7,913 | Evergy, Inc. | 444,315 | ||||||
4,208 | Eversource Energy | 246,631 | ||||||
15,212 | Exelon Corp. | 648,031 | ||||||
9,633 | FirstEnergy Corp. | 345,921 | ||||||
1,272 | Genie Energy, Ltd., Class B | 6,309 | ||||||
4,681 | Hawaiian Electric Industries, Inc. | 160,558 | ||||||
2,156 | IDA Corp., Inc. | 198,869 | ||||||
1,626 | MGE Energy, Inc. | 102,519 | ||||||
5,861 | NextEra Energy, Inc. | 978,964 | ||||||
4,016 | OGE Energy Corp. | 141,403 | ||||||
1,372 | Otter Tail Power Co. | 65,307 | ||||||
7,305 | PG&E Corp. | 310,901 | ||||||
2,368 | Pinnacle West Capital Corp. | 190,766 | ||||||
3,355 | PNM Resources, Inc. | 130,510 | ||||||
3,421 | Portland General Electric Co. | 146,282 | ||||||
11,330 | PPL Corp.^ | 323,472 | ||||||
10,893 | Southern Co. (The) | 504,455 | ||||||
7,949 | Xcel Energy, Inc. | 363,110 | ||||||
|
| |||||||
7,410,082 | ||||||||
|
| |||||||
Electrical Equipment (0.7%): | ||||||||
908 | Acuity Brands, Inc.^ | 105,210 | ||||||
926 | Allied Motion Technologies, Inc. | 44,337 | ||||||
4,662 | AMETEK, Inc. | 336,410 | ||||||
2,063 | Atkore International Group, Inc.* | 42,849 | ||||||
1,175 | AZZ, Inc. | 51,054 | ||||||
6,296 | Babcock & Wilcox Enterprises, Inc.*^ | 14,984 | ||||||
6,086 | Eaton Corp. plc | 454,868 | ||||||
10,332 | Emerson Electric Co. | 714,354 | ||||||
1,159 | Encore Wire Corp. | 54,995 | ||||||
2,195 | EnerSys | 163,835 | ||||||
4,065 | Generac Holdings, Inc.* | 210,282 | ||||||
2,129 | Hubbell, Inc. | 225,120 | ||||||
1,831 | LSI Industries, Inc. | 9,778 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
5,836 | nVent Electric plc* | $ | 146,484 | |||||
606 | Powell Industries, Inc. | 21,107 | ||||||
415 | Power Solutions International, Inc.* | 3,984 | ||||||
400 | Preformed Line Products Co. | 35,512 | ||||||
2,269 | Regal-Beloit Corp. | 185,604 | ||||||
2,440 | Rockwell Automation, Inc. | 405,601 | ||||||
5,452 | Sensata Technologies Holding plc*^ | 259,406 | ||||||
1,298 | Thermon Group Holdings, Inc.* | 29,685 | ||||||
1,311 | Williams Industrial Services Group, Inc.* | 4,025 | ||||||
|
| |||||||
3,519,484 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.4%): | ||||||||
5,875 | Amphenol Corp., Class A | 512,005 | ||||||
1,693 | Anixter International, Inc.* | 107,167 | ||||||
2,934 | Arrow Electronics, Inc.* | 220,872 | ||||||
3,685 | Avnet, Inc. | 158,050 | ||||||
4,886 | AVX Corp. | 76,564 | ||||||
1,734 | Badger Meter, Inc.^ | 77,510 | ||||||
2,425 | Belden, Inc.^ | 148,216 | ||||||
3,078 | Benchmark Electronics, Inc. | 89,724 | ||||||
4,776 | CDW Corp. | 385,852 | ||||||
4,036 | Cognex Corp.^ | 180,046 | ||||||
687 | Coherent, Inc.* | 107,461 | ||||||
11,758 | Corning, Inc. | 323,463 | ||||||
1,576 | CTS Corp. | 56,736 | ||||||
1,747 | CUI Global, Inc.*^ | 5,189 | ||||||
2,838 | Daktronics, Inc. | 24,151 | ||||||
1,977 | Dolby Laboratories, Inc., Class A | 121,961 | ||||||
2,339 | Electro Scientific Industries, Inc.*^ | 36,886 | ||||||
876 | ePlus, Inc.* | 82,432 | ||||||
2,177 | Fabrinet*^ | 80,310 | ||||||
1,007 | FARO Technologies, Inc.* | 54,730 | ||||||
4,271 | Fitbit, Inc., Class A* | 27,890 | ||||||
25,202 | Flextronics International, Ltd.* | 355,600 | ||||||
2,876 | FLIR Systems, Inc. | 149,466 | ||||||
640 | Frequency Electronics, Inc.* | 5,158 | ||||||
3,548 | II-VI, Inc.*^ | 154,161 | ||||||
1,676 | Insight Enterprises, Inc.* | 82,007 | ||||||
1,107 | IPG Photonics Corp.* | 244,237 | ||||||
1,595 | Itron, Inc.* | 95,780 | ||||||
12,717 | Jabil, Inc. | 351,751 | ||||||
3,410 | KEMET Corp.*^ | 82,352 | ||||||
2,507 | Keysight Technologies, Inc.* | 147,988 | ||||||
1,603 | Kimball Electronics, Inc.* | 29,335 | ||||||
5,037 | Knowles Corp.*^ | 77,066 | ||||||
898 | Littlelfuse, Inc. | 204,906 | ||||||
2,290 | Methode Electronics, Inc., Class A | 92,287 | ||||||
915 | MTS Systems Corp.^ | 48,175 | ||||||
1,715 | National Instruments Corp. | 71,996 | ||||||
1,955 | Novanta, Inc.* | 121,797 | ||||||
894 | OSI Systems, Inc.* | 69,133 | ||||||
953 | Park Electrochemical Corp. | 22,100 | ||||||
1,445 | PC Connection, Inc.^ | 47,974 |
Continued
9
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
1,087 | PCM, Inc.*^ | $ | 16,468 | |||||
1,291 | Plexus Corp.* | 76,866 | ||||||
993 | Rogers Corp.* | 110,680 | ||||||
4,140 | Sanmina Corp.* | 121,302 | ||||||
1,757 | ScanSource, Inc.* | 70,807 | ||||||
2,949 | SYNNEX Corp. | 284,608 | ||||||
5,693 | TE Connectivity, Ltd. | 512,712 | ||||||
1,453 | Tech Data Corp.* | 119,320 | ||||||
2,596 | Trimble Navigation, Ltd.* | 85,253 | ||||||
6,321 | TTM Technologies, Inc.* | 111,439 | ||||||
782 | Universal Display Corp.^ | 67,252 | ||||||
5,185 | VeriFone Systems, Inc.* | 118,322 | ||||||
7,620 | Vishay Intertechnology, Inc. | 176,784 | ||||||
3,268 | Zebra Technologies Corp., Class A* | 468,140 | ||||||
|
| |||||||
7,670,437 | ||||||||
|
| |||||||
Energy Equipment & Services (0.9%): | ||||||||
2,515 | Apergy Corp.* | 105,001 | ||||||
4,151 | Archrock, Inc. | 49,812 | ||||||
3,651 | Baker Hughes^ | 120,593 | ||||||
1,913 | Core Laboratories NV | 241,440 | ||||||
5,986 | Diamond Offshore Drilling, Inc.*^ | 124,868 | ||||||
2,169 | Dril-Quip, Inc.*^ | 111,487 | ||||||
18,665 | Ensco plc, Class A, ADR^ | 135,508 | ||||||
1,558 | Era Group, Inc.* | 20,176 | ||||||
2,010 | Exterran Corp.* | 50,330 | ||||||
6,125 | Forum Energy Technologies, Inc.*^ | 75,644 | ||||||
4,200 | Frank’s International NV^ | 32,760 | ||||||
760 | Geospace Technologies Corp.*^ | 10,686 | ||||||
1,086 | Gulf Island Fabrication, Inc.^ | 9,774 | ||||||
5,991 | Halliburton Co. | 269,953 | ||||||
7,826 | Helix Energy Solutions Group, Inc.*^ | 65,191 | ||||||
2,127 | Helmerich & Payne, Inc.^ | 135,617 | ||||||
1,411 | Keane Group, Inc.* | 19,288 | ||||||
1,750 | Matrix Service Co.* | 32,113 | ||||||
8,384 | McDermott International, Inc.*^ | 164,745 | ||||||
17,995 | Nabors Industries, Ltd.^ | 115,348 | ||||||
5,324 | National-Oilwell Varco, Inc.^ | 231,061 | ||||||
935 | Natural Gas Services Group* | 22,066 | ||||||
4,799 | Newpark Resources, Inc.*^ | 52,069 | ||||||
12,057 | Noble Corp. plc* | 76,321 | ||||||
4,818 | Oceaneering International, Inc.^ | 122,666 | ||||||
3,066 | Oil States International, Inc.* | 98,419 | ||||||
9,357 | Parker Drilling Co.* | 3,556 | ||||||
6,531 | Patterson-UTI Energy, Inc. | 117,558 | ||||||
974 | PHI, Inc.* | 9,906 | ||||||
3,744 | Pioneer Energy Services Corp.* | 21,902 | ||||||
2,667 | Propetro Holding Corp.*^ | 41,819 | ||||||
5,837 | Rowan Cos. plc, Class A*^ | 94,676 | ||||||
4,475 | RPC, Inc. | 65,201 | ||||||
10,807 | Schlumberger, Ltd. | 724,393 | ||||||
491 | SEACOR Holdings, Inc. | 28,120 | ||||||
493 | SEACOR Marine Holdings, Inc.* | 11,383 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Energy Equipment & Services, continued | ||||||||
1,583 | Select Energy Services, Inc.*^ | $ | 23,001 | |||||
6,258 | Superior Energy Services, Inc.* | 60,953 | ||||||
6,132 | Technipfmc plc | 194,629 | ||||||
4,086 | TETRA Technologies, Inc.* | 18,183 | ||||||
14,584 | Transocean, Ltd.*^ | 196,009 | ||||||
4,546 | U.S. Silica Holdings, Inc.^ | 116,787 | ||||||
2,800 | Unit Corp.* | 71,568 | ||||||
31,453 | Weatherford International plc* | 103,480 | ||||||
|
| |||||||
4,396,060 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.0%): | ||||||||
2,828 | CorePoint Lodging, Inc.* | 73,245 | ||||||
|
| |||||||
Food & Staples Retailing (1.7%): | ||||||||
2,460 | Casey’s General Stores, Inc. | 258,497 | ||||||
1,143 | Chefs’ Warehouse, Inc.*^ | 32,576 | ||||||
8,454 | Costco Wholesale Corp. | 1,766,717 | ||||||
22,272 | CVS Health Corp. | 1,433,203 | ||||||
1,267 | Ingles Markets, Inc., Class A | 40,291 | ||||||
21,624 | Kroger Co. (The) | 615,203 | ||||||
1,720 | Natural Grocers by Vitamin Cottage, Inc.*^ | 21,913 | ||||||
1,409 | Performance Food Group Co.* | 51,710 | ||||||
692 | PriceSmart, Inc.^ | 62,626 | ||||||
37,281 | Rite Aid Corp.* | 64,496 | ||||||
71 | Smart & Final Stores, Inc.*^ | 394 | ||||||
1,100 | SpartanNash Co. | 28,072 | ||||||
5,794 | Sprouts Farmers Market, Inc.*^ | 127,874 | ||||||
2,287 | SUPERVALU, Inc.* | 46,929 | ||||||
10,507 | Sysco Corp. | 717,523 | ||||||
1,610 | The Andersons, Inc.^ | 55,062 | ||||||
3,347 | United Natural Foods, Inc.*^ | 142,783 | ||||||
3,790 | US Foods Holding Corp.* | 143,338 | ||||||
738 | Village Super Market, Inc., Class A^ | 21,741 | ||||||
11,756 | Walgreens Boots Alliance, Inc. | 705,536 | ||||||
32,066 | Wal-Mart Stores, Inc. | 2,746,453 | ||||||
2,107 | Weis Markets, Inc.^ | 112,387 | ||||||
|
| |||||||
9,195,324 | ||||||||
|
| |||||||
Food Products (1.2%): | ||||||||
5,425 | Archer-Daniels-Midland Co. | 248,628 | ||||||
3,898 | B&G Foods, Inc.^ | 116,550 | ||||||
2,204 | Bunge, Ltd.^ | 153,641 | ||||||
808 | Calavo Growers, Inc. | 77,689 | ||||||
1,799 | Cal-Maine Foods, Inc.*^ | 82,484 | ||||||
5,711 | Campbell Soup Co.^ | 231,524 | ||||||
5,964 | ConAgra Foods, Inc. | 213,094 | ||||||
4,717 | Darling International, Inc.* | 93,774 | ||||||
5,447 | Dean Foods Co.^ | 57,248 | ||||||
1,004 | Farmer Brothers Co.*^ | 30,672 | ||||||
7,961 | Flowers Foods, Inc.^ | 165,828 | ||||||
2,396 | Fresh Del Monte Produce, Inc. | 106,742 | ||||||
12,311 | General Mills, Inc. | 544,884 | ||||||
3,802 | Hain Celestial Group, Inc.* | 113,300 | ||||||
3,160 | Hershey Co. (The) | 294,070 | ||||||
5,718 | Hormel Foods Corp.^ | 212,767 |
Continued
10
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
3,555 | Hostess Brands, Inc.*^ | $ | 48,348 | |||||
3,197 | Ingredion, Inc. | 353,908 | ||||||
576 | J & J Snack Foods Corp. | 87,823 | ||||||
3,414 | JM Smucker Co. (The)^ | 366,937 | ||||||
300 | John B Sanfilippo And Son, Inc. | 22,335 | ||||||
5,585 | Kellogg Co.^ | 390,224 | ||||||
5,414 | Kraft Heinz Co. (The) | 340,107 | ||||||
3,086 | Lamb Weston Holding, Inc. | 211,422 | ||||||
1,462 | Lancaster Colony Corp.^ | 202,370 | ||||||
1,028 | Landec Corp.*^ | 15,317 | ||||||
2,458 | McCormick & Co.^ | 285,349 | ||||||
389 | McCormick & Co., Inc. | 45,046 | ||||||
11,410 | Mondelez International, Inc., Class A | 467,809 | ||||||
4,222 | Pilgrim’s Pride Corp.* | 84,989 | ||||||
2,125 | Pinnacle Foods, Inc. | 138,253 | ||||||
3,793 | Post Holdings, Inc.*^ | 326,274 | ||||||
1,626 | Sanderson Farms, Inc.^ | 170,974 | ||||||
29 | Seaboard Corp.^ | 114,919 | ||||||
677 | Seneca Foods Corp., Class A* | 18,279 | ||||||
1,789 | Tootsie Roll Industries, Inc.^ | 55,191 | ||||||
3,024 | TreeHouse Foods, Inc.*^ | 158,790 | ||||||
6,728 | Tyson Foods, Inc., Class A | 463,223 | ||||||
|
| |||||||
7,110,782 | ||||||||
|
| |||||||
Gas Utilities (0.3%): | ||||||||
1,751 | Atmos Energy Corp. | 157,835 | ||||||
900 | Chesapeake Utilities Corp. | 71,955 | ||||||
3,236 | National Fuel Gas Co.^ | 171,379 | ||||||
2,643 | New Jersey Resources Corp. | 118,274 | ||||||
1,071 | Northwest Natural Gas Co.^ | 68,330 | ||||||
2,227 | ONE Gas, Inc. | 166,446 | ||||||
232 | RGC Resources, Inc. | 6,770 | ||||||
2,958 | South Jersey Industries, Inc.^ | 99,004 | ||||||
2,550 | Southwest Gas Corp. | 194,489 | ||||||
2,233 | Spire, Inc. | 157,761 | ||||||
3,695 | UGI Corp. | 192,399 | ||||||
2,516 | WGL Holdings, Inc. | 223,294 | ||||||
|
| |||||||
1,627,936 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (1.9%): | ||||||||
1,143 | Abaxis, Inc. | 94,880 | ||||||
11,299 | Abbott Laboratories | 689,126 | ||||||
886 | ABIOMED, Inc.* | 362,418 | ||||||
2,269 | Accuray, Inc.*^ | 9,303 | ||||||
1,170 | Align Technology, Inc.* | 400,304 | ||||||
2,726 | AngioDynamics, Inc.* | 60,626 | ||||||
115 | Atrion Corp. | 68,931 | ||||||
4,834 | Baxter International, Inc. | 356,943 | ||||||
1,987 | Becton, Dickinson & Co. | 476,006 | ||||||
7,099 | Boston Scientific Corp.* | 232,137 | ||||||
2,008 | Cantel Medical Corp. | 197,507 | ||||||
1,289 | CONMED Corp. | 94,355 | ||||||
841 | Cooper Cos., Inc. (The) | 198,013 | ||||||
1,619 | CryoLife, Inc.* | 45,089 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
4,911 | Danaher Corp. | $ | 484,617 | |||||
2,748 | Dentsply Sirona, Inc. | 120,280 | ||||||
693 | Dexcom, Inc.*^ | 65,821 | ||||||
2,985 | Edwards Lifesciences Corp.* | 434,526 | ||||||
1,966 | Globus Medical, Inc., Class A* | 99,204 | ||||||
2,246 | Haemonetics Corp.* | 201,421 | ||||||
1,897 | Halyard Health, Inc.* | 108,603 | ||||||
1,867 | Hill-Rom Holdings, Inc. | 163,064 | ||||||
9,284 | Hologic, Inc.*^ | 369,039 | ||||||
508 | ICU Medical, Inc.* | 149,174 | ||||||
1,958 | IDEXX Laboratories, Inc.* | 426,727 | ||||||
433 | Inogen, Inc.* | 80,681 | ||||||
1,457 | Integer Holdings Corp.* | 94,195 | ||||||
1,042 | Integra LifeSciences Holdings Corp.*^ | 67,115 | ||||||
962 | Intuitive Surgical, Inc.* | 460,298 | ||||||
2,327 | Invacare Corp.^ | 43,282 | ||||||
1,705 | Lantheus Holdings, Inc.* | 24,808 | ||||||
809 | LeMaitre Vascular, Inc.^ | 27,085 | ||||||
1,168 | LivaNova plc* | 116,590 | ||||||
2,823 | Masimo Corp.* | 275,666 | ||||||
10,693 | Medtronic plc | 915,429 | ||||||
3,164 | Meridian Bioscience, Inc. | 50,308 | ||||||
1,466 | Merit Medical Systems, Inc.* | 75,059 | ||||||
952 | Natus Medical, Inc.* | 32,844 | ||||||
804 | Neogen Corp.* | 64,473 | ||||||
1,986 | NuVasive, Inc.*^ | 103,510 | ||||||
481 | Nuvectra Corp.* | 9,875 | ||||||
1,074 | Orthofix International NV* | 61,025 | ||||||
700 | Quidel Corp.*^ | 46,550 | ||||||
3,126 | ResMed, Inc. | 323,791 | ||||||
3,310 | RTI Surgical, Inc.* | 15,226 | ||||||
624 | SeaSpine Holdings Corp.* | 7,875 | ||||||
1,207 | STERIS plc | 126,747 | ||||||
4,858 | Stryker Corp. | 820,322 | ||||||
950 | Teleflex, Inc. | 254,800 | ||||||
227 | Utah Medical Products, Inc. | 25,004 | ||||||
1,484 | Varex Imaging Corp.*^ | 55,042 | ||||||
2,117 | Varian Medical Systems, Inc.* | 240,745 | ||||||
1,157 | West Pharmaceutical Services, Inc. | 114,879 | ||||||
1,714 | Zimmer Holdings, Inc. | 191,008 | ||||||
|
| |||||||
10,632,346 | ||||||||
|
| |||||||
Health Care Providers & Services (2.9%): | ||||||||
4,796 | Acadia Healthcare Co., Inc.* | 196,204 | ||||||
1,958 | Aceto Corp. | 6,559 | ||||||
634 | Addus HomeCare Corp.* | 36,297 | ||||||
3,648 | Aetna, Inc. | 669,408 | ||||||
801 | Amedisys, Inc.* | 68,453 | ||||||
1,839 | AmerisourceBergen Corp. | 156,812 | ||||||
3,501 | AMN Healthcare Services, Inc.*^ | 205,159 | ||||||
3,391 | Anthem, Inc. | 807,160 | ||||||
9,264 | Brookdale Senior Living, Inc.*^ | 84,210 | ||||||
7,103 | Cardinal Health, Inc. | 346,839 |
Continued
11
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
2,823 | Centene Corp.* | $ | 347,822 | |||||
785 | Chemed Corp. | 252,621 | ||||||
4,091 | Cigna Corp. | 695,265 | ||||||
1,442 | Civitas Solutions, Inc.* | 23,649 | ||||||
7,171 | Community Health Systems, Inc.*^ | 23,808 | ||||||
1,253 | CorVel Corp.* | 67,662 | ||||||
1,177 | Cross Country Healthcare, Inc.* | 13,241 | ||||||
5,446 | DaVita, Inc.* | 378,170 | ||||||
2,090 | Diplomat Pharmacy, Inc.*^ | 53,420 | ||||||
6,210 | Encompass Health Corp. | 420,541 | ||||||
3,058 | Ensign Group, Inc. (The) | 109,538 | ||||||
3,015 | Envision Healthcare Corp.*^ | 132,690 | ||||||
15,898 | Express Scripts Holding Co.* | 1,227,485 | ||||||
784 | Five Star Quality Care, Inc.* | 1,176 | ||||||
2,639 | Hanger Orthopedic Group, Inc.*^ | 44,757 | ||||||
4,541 | HCA Holdings, Inc. | 465,907 | ||||||
1,272 | HealthEquity, Inc.*^ | 95,527 | ||||||
3,972 | Henry Schein, Inc.*^ | 288,526 | ||||||
2,247 | Humana, Inc. | 668,775 | ||||||
2,629 | InfuSystems Holdings, Inc.* | 9,333 | ||||||
4,876 | Kindred Healthcare, Inc.* | 43,884 | ||||||
3,221 | Laboratory Corp. of America Holdings* | 578,266 | ||||||
925 | LHC Group, Inc.* | 79,171 | ||||||
3,038 | LifePoint Hospitals, Inc.*^ | 148,254 | ||||||
1,471 | Magellan Health Services, Inc.* | 141,142 | ||||||
4,579 | McKesson Corp. | 610,839 | ||||||
3,346 | MEDNAX, Inc.* | 144,815 | ||||||
1,107 | Molina Healthcare, Inc.*^ | 108,420 | ||||||
1,075 | National Healthcare Corp. | 75,659 | ||||||
1,219 | National Research Corp. | 45,591 | ||||||
4,172 | Owens & Minor, Inc.^ | 69,714 | ||||||
4,695 | Patterson Cos., Inc.^ | 106,436 | ||||||
2,269 | Premier, Inc., Class A*^ | 82,546 | ||||||
835 | Providence Service Corp.* | 65,589 | ||||||
6,979 | Quest Diagnostics, Inc. | 767,271 | ||||||
2,317 | Quorum Health Corp.*^ | 11,585 | ||||||
5,133 | Qurate Retail, Inc.* | 108,922 | ||||||
2,518 | RadNet, Inc.* | 37,770 | ||||||
9,791 | Select Medical Holdings Corp.* | 177,707 | ||||||
2,133 | Surgery Partners, Inc.* | 31,782 | ||||||
3,992 | Tenet Healthcare Corp.*^ | 134,011 | ||||||
2,040 | Tivity Health, Inc.*^ | 71,808 | ||||||
1,240 | Triple-S Management Corp., Class B* | 48,434 | ||||||
937 | U.S. Physical Therapy, Inc.^ | 89,952 | ||||||
14,742 | UnitedHealth Group, Inc. | 3,616,801 | ||||||
4,518 | Universal Health Services, Inc., Class B | 503,486 | ||||||
969 | WellCare Health Plans, Inc.* | 238,607 | ||||||
|
| |||||||
16,035,476 | ||||||||
|
| |||||||
Health Care Technology (0.2%): | ||||||||
4,495 | Allscripts Healthcare Solutions, Inc.* | 53,940 | ||||||
1,052 | athenahealth, Inc.* | 167,415 | ||||||
4,643 | Cerner Corp.* | 277,605 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Technology, continued | ||||||||
339 | Computer Programs & Systems, Inc. | $ | 11,153 | |||||
4,037 | Evolent Health, Inc., Class A*^ | 84,979 | ||||||
1,357 | HealthStream, Inc. | 37,060 | ||||||
4,954 | HMS Holdings Corp.* | 107,105 | ||||||
644 | Medidata Solutions, Inc.*^ | 51,881 | ||||||
1,095 | Omnicell, Inc.*^ | 57,433 | ||||||
2,464 | Quality Systems, Inc.* | 48,048 | ||||||
1,047 | Simulations Plus, Inc.^ | 23,296 | ||||||
1,142 | Veeva Systems, Inc., Class A* | 87,774 | ||||||
|
| |||||||
1,007,689 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (2.4%): | ||||||||
10,056 | Aramark Holdings Corp. | 373,078 | ||||||
2,451 | Bbx Capital Corp. | 22,133 | ||||||
4,464 | Belmond, Ltd., Class A*^ | 49,774 | ||||||
6 | Biglari Holdings, Inc., Class A* | 5,700 | ||||||
67 | Biglari Holdings, Inc., Class B* | 12,294 | ||||||
1,927 | BJ’s Restaurants, Inc.^ | 115,620 | ||||||
3,939 | Bloomin’ Brands, Inc. | 79,174 | ||||||
541 | Bojangles’, Inc.*^ | 7,790 | ||||||
2,887 | Brinker International, Inc.^ | 137,421 | ||||||
4,600 | Caesars Entertainment Corp.*^ | 49,220 | ||||||
4,851 | Carnival Corp., Class A | 278,011 | ||||||
2,943 | Carrols Restaurant Group, Inc.* | 43,704 | ||||||
1,723 | Century Casinos, Inc.* | 15,076 | ||||||
2,997 | Cheesecake Factory, Inc. (The)^ | 165,015 | ||||||
140 | Chipotle Mexican Grill, Inc.* | 60,392 | ||||||
3,153 | Choice Hotels International, Inc.^ | 238,367 | ||||||
1,178 | Chuy’s Holdings, Inc.*^ | 36,165 | ||||||
1,626 | Cracker Barrel Old Country Store, Inc. | 253,997 | ||||||
3,527 | Darden Restaurants, Inc. | 377,601 | ||||||
2,412 | Dave & Buster’s Entertainment, Inc.* | 114,811 | ||||||
1,574 | Del Frisco’s Restaurant Group, Inc.* | 19,832 | ||||||
2,144 | del Taco Restaurants, Inc.* | 30,402 | ||||||
4,156 | Denny’s Corp.* | 66,205 | ||||||
1,558 | DineEquity, Inc. | 116,538 | ||||||
864 | Domino’s Pizza, Inc. | 243,795 | ||||||
3,886 | Dunkin’ Brands Group, Inc.^ | 268,406 | ||||||
1,112 | Eldorado Resorts, Inc.* | 43,479 | ||||||
1,277 | Fiesta Restaurant Group, Inc.* | 36,650 | ||||||
624 | Habit Restaurants, Inc. (The), Class A* | 6,240 | ||||||
2,724 | Hilton Grand Vacations* | 94,523 | ||||||
3,243 | Hilton Worldwide Holdings, Inc. | 256,716 | ||||||
1,051 | Hyatt Hotels Corp., Class A | 81,085 | ||||||
5,503 | Ilg, Inc. | 181,764 | ||||||
6,233 | International Game Technology plc^ | 144,855 | ||||||
1,202 | Jack in the Box, Inc. | 102,314 | ||||||
671 | Jamba, Inc.* | 7,146 | ||||||
8,964 | Las Vegas Sands Corp. | 684,491 | ||||||
2,136 | Luby’s, Inc.* | 5,532 | ||||||
977 | Marcus Corp. | 31,753 | ||||||
3,634 | Marriott International, Inc., Class A | 460,064 | ||||||
1,376 | Marriott Vacations Worldwide Corp. | 155,433 |
Continued
12
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
12,088 | McDonald’s Corp. | $ | 1,894,068 | |||||
24,340 | MGM Resorts International | 706,590 | ||||||
341 | Nathans Famous, Inc. | 32,088 | ||||||
5,162 | Norwegian Cruise Line Holdings, Ltd.* | 243,905 | ||||||
1,596 | Papa John’s International, Inc. | 80,949 | ||||||
1,378 | Pinnacle Entertainment, Inc.* | 46,480 | ||||||
4,017 | Planet Fitness, Inc.* | 176,507 | ||||||
1,907 | Playa Hotels & Resorts NV* | 20,596 | ||||||
763 | Potbelly Corp.*^ | 9,881 | ||||||
1,501 | Red Lion Hotels Corp.*^ | 17,487 | ||||||
878 | Red Robin Gourmet Burgers*^ | 40,915 | ||||||
2,194 | Royal Caribbean Cruises, Ltd. | 227,298 | ||||||
2,527 | Ruth’s Hospitality Group, Inc.^ | 70,882 | ||||||
3,394 | Scientific Games Corp., Class A* | 166,815 | ||||||
4,011 | Six Flags Entertainment Corp.^ | 280,971 | ||||||
1,933 | Sonic Corp. | 66,534 | ||||||
2,826 | Speedway Motorsports, Inc. | 49,059 | ||||||
29,551 | Starbucks Corp. | 1,443,565 | ||||||
3,432 | Texas Roadhouse, Inc. | 224,830 | ||||||
1,604 | Town Sports International Holdings, Inc.* | 23,338 | ||||||
866 | Vail Resorts, Inc. | 237,449 | ||||||
16,156 | Wendy’s Co. (The)^ | 277,560 | ||||||
1,298 | Wingstop, Inc.^ | 67,652 | ||||||
3,177 | Wyndham Hotels & Resorts, Inc. | 186,903 | ||||||
3,177 | Wyndham Worldwide Corp. | 140,646 | ||||||
2,056 | Wynn Resorts, Ltd. | 344,051 | ||||||
5,169 | Yum! Brands, Inc. | 404,319 | ||||||
|
| |||||||
12,953,904 | ||||||||
|
| |||||||
Household Durables (0.8%): | ||||||||
875 | Av Homes, Inc.* | 18,725 | ||||||
1,886 | Beazer Homes USA, Inc.* | 27,819 | ||||||
1,150 | Century Communities, Inc.* | 36,283 | ||||||
10,883 | D.R. Horton, Inc. | 446,202 | ||||||
1,137 | Dixie Group, Inc. (The)* | 2,615 | ||||||
1,910 | Ethan Allen Interiors, Inc.^ | 46,795 | ||||||
431 | Flexsteel Industries, Inc. | 17,197 | ||||||
5,743 | Garmin, Ltd. | 350,323 | ||||||
2,761 | GoPro, Inc., Class A*^ | 17,781 | ||||||
2,219 | Green Brick Partners, Inc.* | 21,746 | ||||||
911 | Helen of Troy, Ltd.* | 89,688 | ||||||
500 | Hooker Furniture Corp. | 23,450 | ||||||
1,333 | Installed Building Products, Inc.*^ | 75,381 | ||||||
931 | iRobot Corp.*^ | 70,542 | ||||||
4,827 | KB Home | 131,487 | ||||||
3,931 | La-Z-Boy, Inc. | 120,289 | ||||||
4,024 | Leggett & Platt, Inc.^ | 179,631 | ||||||
4,945 | Lennar Corp., Class A | 259,613 | ||||||
119 | Lennar Corp., Class B | 5,080 | ||||||
1,206 | LGI Homes, Inc.*^ | 69,622 | ||||||
1,627 | Libbey, Inc.^ | 13,228 | ||||||
1,017 | Lifetime Brands, Inc. | 12,865 | ||||||
3,335 | M.D.C. Holdings, Inc. | 102,618 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
1,880 | M/I Homes, Inc.* | $ | 49,782 | |||||
3,168 | Meritage Corp.* | 139,234 | ||||||
1,006 | Mohawk Industries, Inc.* | 215,556 | ||||||
2,791 | Newell Rubbermaid, Inc. | 71,980 | ||||||
150 | NVR, Inc.* | 445,553 | ||||||
9,250 | PulteGroup, Inc. | 265,938 | ||||||
5,496 | Taylor Morrison Home Corp., Class A* | 114,207 | ||||||
2,586 | Tempur Sealy International, Inc.*^ | 124,257 | ||||||
2,183 | Toll Brothers, Inc. | 80,749 | ||||||
2,205 | TopBuild Corp.* | 172,740 | ||||||
7,853 | TRI Pointe Homes, Inc.*^ | 128,475 | ||||||
2,153 | Tupperware Brands Corp.^ | 88,790 | ||||||
718 | Universal Electronics, Inc.*^ | 23,730 | ||||||
3,485 | Whirlpool Corp. | 509,611 | ||||||
2,147 | William Lyon Homes, Class A* | 49,810 | ||||||
1,918 | Zagg, Inc.*^ | 33,181 | ||||||
|
| |||||||
4,652,573 | ||||||||
|
| |||||||
Household Products (1.1%): | ||||||||
1,684 | Central Garden & Pet Co., Class A* | 68,151 | ||||||
6,367 | Church & Dwight Co., Inc.^ | 338,470 | ||||||
3,732 | Clorox Co. (The)^ | 504,753 | ||||||
13,089 | Colgate-Palmolive Co. | 848,298 | ||||||
3,074 | Energizer Holdings, Inc.^ | 193,539 | ||||||
5,608 | HRG Group, Inc.* | 73,409 | ||||||
6,541 | Kimberly-Clark Corp.^ | 689,029 | ||||||
333 | Oil-Dri Corp. | 14,033 | ||||||
582 | Orchids Paper Products Co.*^ | 2,316 | ||||||
39,497 | Procter & Gamble Co. (The) | 3,083,135 | ||||||
1,069 | Spectrum Brands Holdings, Inc. | 87,252 | ||||||
698 | WD-40 Co.^ | 102,083 | ||||||
|
| |||||||
6,004,468 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.2%): | ||||||||
15,393 | AES Corp. (The) | 206,420 | ||||||
5,810 | Atlantic Power Corp.* | 12,782 | ||||||
3,123 | Atlantica Yield plc | 63,022 | ||||||
6,120 | NRG Energy, Inc. | 187,884 | ||||||
1,323 | NRG Yield, Inc., Class A | 22,557 | ||||||
2,753 | NRG Yield, Inc., Class C | 47,352 | ||||||
2,758 | Ormat Technologies, Inc.^ | 146,698 | ||||||
3,788 | Pattern Energy Group, Inc.^ | 71,025 | ||||||
7,499 | Vistra Energy Corp.* | 177,426 | ||||||
|
| |||||||
935,166 | ||||||||
|
| |||||||
Industrial Conglomerates (1.0%): | ||||||||
12,332 | 3M Co., Class C | 2,425,951 | ||||||
2,046 | Carlisle Cos., Inc. | 221,602 | ||||||
53,601 | General Electric Co. | 729,510 | ||||||
14,254 | Honeywell International, Inc. | 2,053,289 | ||||||
1,736 | Raven Industries, Inc. | 66,749 | ||||||
876 | Roper Industries, Inc. | 241,697 | ||||||
|
| |||||||
5,738,798 | ||||||||
|
|
Continued
13
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance (2.7%): | ||||||||
12,674 | Aflac, Inc. | $ | 545,235 | |||||
333 | Alleghany Corp. | 191,465 | ||||||
4,705 | Allstate Corp. (The) | 429,425 | ||||||
4,095 | AMBAC Financial Group, Inc.*(a) | 81,286 | ||||||
3,511 | American Equity Investment Life Holding Co. | 126,396 | ||||||
1,197 | American Financial Group, Inc. | 128,474 | ||||||
9,941 | American International Group, Inc. | 527,072 | ||||||
808 | American National Insurance Co. | 96,629 | ||||||
1,307 | Amerisafe, Inc.^ | 75,479 | ||||||
12,054 | AmTrust Financial Services | 175,627 | ||||||
3,717 | Aon plc | 509,861 | ||||||
5,730 | Arch Capital Group, Ltd.* | 151,616 | ||||||
1,501 | Argo Group International Holdings, Ltd. | 87,283 | ||||||
5,779 | Arthur J. Gallagher & Co. | 377,253 | ||||||
3,098 | ASGN, Inc.* | 242,233 | ||||||
2,735 | Aspen Insurance Holdings, Ltd. | 111,315 | ||||||
1,955 | Assurant, Inc. | 202,323 | ||||||
4,165 | Assured Guaranty, Ltd.^ | 148,815 | ||||||
535 | Athene Holding, Ltd.* | 23,454 | ||||||
2,351 | Axis Capital Holdings, Ltd. | 130,763 | ||||||
1,029 | Brighthouse Financial, Inc.* | 41,232 | ||||||
8,628 | Brown & Brown, Inc. | 239,254 | ||||||
4,915 | Chubb, Ltd. | 624,303 | ||||||
2,852 | Cincinnati Financial Corp. | 190,685 | ||||||
2,176 | Citizens, Inc.* | 16,951 | ||||||
1,199 | CNA Financial Corp. | 54,770 | ||||||
2,354 | Crawford & Co. | 20,362 | ||||||
2,915 | Crawford & Co., Class A | 25,098 | ||||||
1,631 | Donegal Group, Inc., Class A | 22,198 | ||||||
1,546 | EMC Insurance Group, Inc. | 42,948 | ||||||
1,993 | Employers Holdings, Inc. | 80,119 | ||||||
447 | Enstar Group, Ltd.* | 92,663 | ||||||
1,364 | Erie Indemnity Co., Class A | 159,943 | ||||||
748 | Everest Re Group, Ltd. | 172,399 | ||||||
1,025 | FBL Financial Group, Inc., Class A | 80,719 | ||||||
1,054 | FedNat Holding Co. | 24,316 | ||||||
4,594 | First American Financial Corp. | 237,602 | ||||||
8,665 | FNF Group | 325,977 | ||||||
21,335 | Genworth Financial, Inc., Class A* | 96,008 | ||||||
695 | Global Indemnity, Ltd. | 27,091 | ||||||
2,383 | Greenlight Capital Re, Ltd.* | 33,839 | ||||||
1,469 | Hallmark Financial Services, Inc.* | 14,661 | ||||||
1,690 | Hanover Insurance Group, Inc. (The) | 202,056 | ||||||
6,118 | Hartford Financial Services Group, Inc. (The) | 312,813 | ||||||
397 | HCI Group, Inc.^ | 16,503 | ||||||
387 | Heritage Insurance Holdings, Inc. | 6,451 | ||||||
2,388 | Horace Mann Educators Corp. | 106,505 | ||||||
1,317 | Independence Holding Co.^ | 43,790 | ||||||
566 | Infinity Property & Casualty Corp. | 80,570 | ||||||
153 | Investors Title Co.^ | 28,253 | ||||||
1,436 | James River Group Holdings | 56,420 | ||||||
2,179 | Kemper Corp.^ | 164,841 | ||||||
3,599 | Lincoln National Corp. | 224,038 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
5,372 | Loews Corp. | $ | 259,360 | |||||
5,556 | Maiden Holdings, Ltd.^ | 43,059 | ||||||
301 | Markel Corp.* | 326,389 | ||||||
9,423 | Marsh & McLennan Cos., Inc. | 772,404 | ||||||
2,503 | Mercury General Corp.^ | 114,037 | ||||||
8,570 | MetLife, Inc. | 373,652 | ||||||
4,959 | National General Holdings Corp. | 130,570 | ||||||
262 | National Western Life Group, Inc., Class A | 80,502 | ||||||
1,307 | Navigators Group, Inc. | 74,499 | ||||||
9,717 | Old Republic International Corp. | 193,465 | ||||||
3,086 | Primerica, Inc. | 307,366 | ||||||
9,299 | Principal Financial Group, Inc. | 492,382 | ||||||
3,011 | ProAssurance Corp. | 106,740 | ||||||
5,652 | Progressive Corp. (The) | 334,316 | ||||||
4,383 | Prudential Financial, Inc. | 409,854 | ||||||
1,023 | Reinsurance Group of America, Inc. | 136,550 | ||||||
1,433 | RenaissanceRe Holdings, Ltd. | 172,420 | ||||||
1,252 | RLI Corp.^ | 82,870 | ||||||
854 | Safety Insurance Group, Inc. | 72,932 | ||||||
2,698 | Selective Insurance Group, Inc. | 148,390 | ||||||
2,664 | State Auto Financial Corp. | 79,680 | ||||||
1,761 | Stewart Information Services Corp. | 75,846 | ||||||
3,912 | Third Point Reinsurance, Ltd.* | 48,900 | ||||||
1,775 | Torchmark Corp. | 144,503 | ||||||
6,365 | Travelers Cos., Inc. (The) | 778,695 | ||||||
1,438 | United Fire Group, Inc. | 78,385 | ||||||
1,616 | United Insurance Holdings Co.^ | 31,641 | ||||||
3,169 | Universal Insurance Holdings, Inc. | 111,232 | ||||||
4,150 | UnumProvident Corp. | 153,509 | ||||||
2,825 | Validus Holdings, Ltd. | 190,970 | ||||||
2,257 | W.R. Berkley Corp. | 163,429 | ||||||
140 | White Mountains Insurance Group, Ltd. | 126,925 | ||||||
911 | Willis Towers Watson plc | 138,108 | ||||||
4,400 | Wmih Corp.* | 5,896 | ||||||
4,083 | XL Group, Ltd. | 228,444 | ||||||
|
| |||||||
15,215,302 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (3.5%): | ||||||||
2,093 | 1-800 Flowers.com, Inc., Class A* | 26,267 | ||||||
9,398 | Amazon.com, Inc.* | 15,974,721 | ||||||
824 | Booking Holdings, Inc.* | 1,670,322 | ||||||
1,658 | Expedia, Inc.^ | 199,275 | ||||||
185 | FTD Cos., Inc.* | 858 | ||||||
2,098 | Liberty Expedia Holdings, Class A* | 92,186 | ||||||
5,384 | Liberty TripAdvisor Holdings, Inc., Class A* | 86,682 | ||||||
2,282 | Netflix, Inc.* | 893,243 | ||||||
1,637 | Nutri/System, Inc.^ | 63,025 | ||||||
820 | Overstock.com, Inc.* | 27,593 | ||||||
1,164 | PetMed Express, Inc.^ | 51,274 | ||||||
1,959 | Shutterfly, Inc.*^ | 176,369 | ||||||
2,514 | TripAdvisor, Inc.*^ | 140,055 | ||||||
|
| |||||||
19,401,870 | ||||||||
|
|
Continued
14
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet Software & Services (2.9%): | ||||||||
5,646 | Akamai Technologies, Inc.* | $ | 413,457 | |||||
2,621 | Alphabet, Inc., Class A* | 2,959,607 | ||||||
2,779 | Alphabet, Inc., Class C* | 3,100,391 | ||||||
2,377 | Blucora, Inc.* | 87,949 | ||||||
3,783 | Cars.com, Inc.*^ | 107,399 | ||||||
1,744 | Cimpress NV*^ | 252,810 | ||||||
2,881 | DHI Group, Inc.* | 6,770 | ||||||
14,947 | eBay, Inc.* | 541,978 | ||||||
990 | Envestnet, Inc.* | 54,401 | ||||||
32,810 | Facebook, Inc., Class A* | 6,375,640 | ||||||
1,451 | GoDaddy, Inc., Class A* | 102,441 | ||||||
1,546 | GrubHub, Inc.*^ | 162,191 | ||||||
2,548 | GTT Communications, Inc.*^ | 114,660 | ||||||
911 | IAC/InterActiveCorp.* | 138,918 | ||||||
821 | Internap Corp.*^ | 8,555 | ||||||
2,946 | j2 Global, Inc.^ | 255,153 | ||||||
1,546 | Leaf Group, Ltd.*^ | 16,774 | ||||||
2,160 | Limelight Networks, Inc.*^ | 9,655 | ||||||
1,736 | Liquidity Services, Inc.* | 11,371 | ||||||
1,431 | LogMeIn, Inc.^ | 147,751 | ||||||
2,502 | Marchex, Inc., Class B | 7,656 | ||||||
1,146 | Match Group, Inc.* | 44,396 | ||||||
3,759 | NIC, Inc. | 58,452 | ||||||
2,520 | QuinStreet, Inc.* | 32,004 | ||||||
752 | Qumu Corp.* | 1,654 | ||||||
2,745 | RealNetworks, Inc.* | 10,157 | ||||||
401 | Reis, Inc. | 8,742 | ||||||
981 | Shutterstock, Inc.*^ | 46,558 | ||||||
585 | Stamps.com, Inc.* | 148,034 | ||||||
1,895 | TechTarget* | 53,818 | ||||||
3,390 | Telaria, Inc.* | 13,696 | ||||||
2,297 | The Meet Group, Inc. (The)*^ | 10,291 | ||||||
1,344 | Travelzoo, Inc.* | 22,982 | ||||||
4,951 | Twitter, Inc.* | 216,210 | ||||||
2,288 | VeriSign, Inc.* | 314,417 | ||||||
4,619 | Web.com Group, Inc.* | 119,401 | ||||||
1,311 | XO Group, Inc.* | 41,952 | ||||||
1,534 | Yelp, Inc.* | 60,102 | ||||||
1,125 | Zillow Group, Inc., Class A* | 67,219 | ||||||
1,598 | Zillow Group, Inc., Class C*^ | 94,378 | ||||||
|
| |||||||
16,239,990 | ||||||||
|
| |||||||
IT Services (4.8%): | ||||||||
13,899 | Accenture plc, Class C | 2,273,737 | ||||||
3,417 | Acxiom Corp.* | 102,339 | ||||||
1,762 | Alliance Data Systems Corp. | 410,898 | ||||||
4,258 | Amdocs, Ltd. | 281,837 | ||||||
9,258 | Automatic Data Processing, Inc. | 1,241,868 | ||||||
3,092 | Black Knight, Inc.* | 165,577 | ||||||
6,581 | Booz Allen Hamilton Holding Corp. | 287,787 | ||||||
4,071 | Broadridge Financial Solutions, Inc. | 468,572 | ||||||
1,304 | CACI International, Inc., Class A* | 219,789 | ||||||
2,129 | Cardtronics plc*^ | 51,479 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
573 | Cass Information Systems, Inc.^ | $ | 39,434 | |||||
5,920 | Cognizant Technology Solutions Corp., Class A | 467,621 | ||||||
6,347 | Conduent, Inc.* | 115,325 | ||||||
5,424 | Convergys Corp. | 132,563 | ||||||
4,694 | CoreLogic, Inc.* | 243,619 | ||||||
2,608 | CSG Systems International, Inc. | 106,589 | ||||||
2,159 | DXC Technology Co. | 174,037 | ||||||
1,570 | Epam Systems, Inc.* | 195,198 | ||||||
2,653 | Euronet Worldwide, Inc.*^ | 222,242 | ||||||
1,620 | Exlservice Holdings, Inc.* | 91,708 | ||||||
4,243 | Fidelity National Information Services, Inc. | 449,885 | ||||||
523 | First Data Corp., Class A* | 10,946 | ||||||
9,114 | Fiserv, Inc.* | 675,256 | ||||||
1,827 | FleetCor Technologies, Inc.* | 384,858 | ||||||
825 | Forrester Research, Inc. | 34,609 | ||||||
409 | Gartner, Inc.* | 54,356 | ||||||
6,266 | Genpact, Ltd. | 181,275 | ||||||
2,488 | Global Payments, Inc. | 277,387 | ||||||
1,357 | Hackett Group, Inc. (The) | 21,807 | ||||||
19,064 | International Business Machines Corp. | 2,663,240 | ||||||
2,242 | Jack Henry & Associates, Inc. | 292,267 | ||||||
3,495 | Leidos Holdings, Inc. | 206,205 | ||||||
649 | Luxoft Holding, Inc.*^ | 23,916 | ||||||
1,640 | ManTech International Corp., Class A | 87,970 | ||||||
22,502 | MasterCard, Inc., Class A | 4,422,092 | ||||||
3,278 | Maximus, Inc. | 203,597 | ||||||
2,787 | MoneyGram International, Inc.* | 18,645 | ||||||
6,919 | Paychex, Inc. | 472,914 | ||||||
9,832 | PayPal Holdings, Inc.* | 818,711 | ||||||
2,322 | Perficient, Inc.* | 61,231 | ||||||
1,079 | Perspecta, Inc. | 22,173 | ||||||
840 | PFSweb, Inc.* | 8,165 | ||||||
4,398 | Sabre Corp. | 108,367 | ||||||
1,901 | Science Applications International Corp. | 153,848 | ||||||
3,035 | Servicesource International, Inc.* | 11,958 | ||||||
1,241 | StarTek, Inc.* | 7,806 | ||||||
3,966 | Steel Connect, Inc.* | 8,567 | ||||||
3,283 | Sykes Enterprises, Inc.* | 94,485 | ||||||
4,553 | Syntel, Inc.* | 146,106 | ||||||
6,420 | Teradata Corp.* | 257,763 | ||||||
4,990 | Total System Services, Inc. | 421,755 | ||||||
5,685 | Travelport Worldwide, Ltd. | 105,400 | ||||||
2,975 | TTEC Holdings, Inc. | 102,786 | ||||||
3,021 | Unisys Corp.*^ | 38,971 | ||||||
1,226 | Virtusa Corp.* | 59,682 | ||||||
32,457 | Visa, Inc., Class A | 4,298,929 | ||||||
9,515 | Western Union Co.^ | 193,440 | ||||||
1,662 | WEX, Inc.* | 316,578 | ||||||
2,321 | Worldpay, Inc., Class A* | 189,811 | ||||||
|
| |||||||
25,199,976 | ||||||||
|
| |||||||
Leisure Products (0.2%): | ||||||||
2,332 | Acushnet Holdings Corp.^ | 57,041 | ||||||
3,582 | American Outdoor Brands Corp.* | 43,091 |
Continued
15
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
4,134 | Brunswick Corp. | $ | 266,560 | |||||
3,789 | Callaway Golf Co. | 71,877 | ||||||
658 | Escalade, Inc. | 9,278 | ||||||
3,448 | Hasbro, Inc.^ | 318,286 | ||||||
503 | Johnson Outdoors, Inc., Class A^ | 42,519 | ||||||
531 | Malibu Boats, Inc.*^ | 22,270 | ||||||
662 | Marine Products Corp. | 11,770 | ||||||
6,035 | Mattel, Inc.^ | 99,095 | ||||||
1,932 | Nautilus Group, Inc.*^ | 30,332 | ||||||
2,101 | Polaris Industries, Inc.^ | 256,700 | ||||||
1,015 | Sturm, Ruger & Co., Inc.^ | 56,840 | ||||||
2,859 | Vista Outdoor, Inc.* | 44,286 | ||||||
|
| |||||||
1,329,945 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.7%): | ||||||||
2,828 | Agilent Technologies, Inc. | 174,884 | ||||||
325 | Bio-Rad Laboratories, Inc., Class A* | 93,776 | ||||||
1,154 | Bio-Techne Corp. | 170,734 | ||||||
7,817 | Bruker Corp. | 227,006 | ||||||
2,131 | Cambrex Corp.*^ | 111,451 | ||||||
3,344 | Charles River Laboratories International, Inc.* | 375,397 | ||||||
1,979 | Harvard Bioscience, Inc.* | 10,588 | ||||||
1,139 | Illumina, Inc.* | 318,111 | ||||||
1,097 | IQVIA Holdings, Inc.* | 109,503 | ||||||
2,457 | Luminex Corp. | 72,555 | ||||||
568 | Medpace Holdings, Inc.* | 24,424 | ||||||
828 | Mettler-Toledo International, Inc.* | 479,105 | ||||||
1,400 | Neogenomics, Inc.*^ | 18,354 | ||||||
1,490 | PerkinElmer, Inc. | 109,113 | ||||||
2,855 | PRA Health Sciences, Inc.*^ | 266,543 | ||||||
2,622 | Syneos Health, Inc.*^ | 122,972 | ||||||
3,969 | Thermo Fisher Scientific, Inc. | 822,138 | ||||||
1,749 | Waters Corp.* | 338,589 | ||||||
|
| |||||||
3,845,243 | ||||||||
|
| |||||||
Machinery (2.6%): | ||||||||
2,898 | Actuant Corp., Class A^ | 85,056 | ||||||
3,733 | AGCO Corp. | 226,668 | ||||||
652 | Alamo Group, Inc. | 58,915 | ||||||
1,377 | Albany International Corp., Class A | 82,827 | ||||||
6,349 | Allison Transmission Holdings, Inc. | 257,071 | ||||||
1,577 | Altra Industrial Motion Corp. | 67,969 | ||||||
1,107 | American Railcar Industries | 43,704 | ||||||
1,445 | ARC Group Worldwide, Inc.*^ | 3,540 | ||||||
981 | Astec Industries, Inc.^ | 58,664 | ||||||
2,702 | Barnes Group, Inc. | 159,148 | ||||||
911 | Blue Bird Corp.*^ | 20,361 | ||||||
2,517 | Briggs & Stratton Corp. | 44,324 | ||||||
10,638 | Caterpillar, Inc. | 1,443,256 | ||||||
2,289 | Chart Industries, Inc.*^ | 141,186 | ||||||
1,284 | CIRCOR International, Inc. | 47,457 | ||||||
3,431 | Colfax Corp.*^ | 105,160 | ||||||
1,526 | Columbus McKinnon Corp. | 66,167 | ||||||
2,706 | Commercial Vehicle Group, Inc.* | 19,862 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
1,945 | Crane Co. | $ | 155,853 | |||||
2,432 | Cummins, Inc. | 323,456 | ||||||
6,563 | Deere & Co. | 917,507 | ||||||
3,424 | Donaldson Co., Inc.^ | 154,491 | ||||||
1,324 | Douglas Dynamics, Inc. | 63,552 | ||||||
5,031 | Dover Corp. | 368,269 | ||||||
1,120 | EnPro Industries, Inc. | 78,344 | ||||||
1,435 | ESCO Technologies, Inc. | 82,800 | ||||||
2,459 | Federal Signal Corp. | 57,270 | ||||||
3,108 | Flowserve Corp.^ | 125,563 | ||||||
4,043 | Fortive Corp. | 311,756 | ||||||
2,760 | Franklin Electric Co., Inc. | 124,476 | ||||||
694 | FreightCar America, Inc.^ | 11,652 | ||||||
889 | Gencor Industries, Inc.* | 14,357 | ||||||
1,203 | Global Brass & Copper Holdings, Inc. | 37,714 | ||||||
1,617 | Gorman-Rupp Co. (The) | 56,595 | ||||||
5,481 | Graco, Inc. | 247,851 | ||||||
1,612 | Greenbrier Cos, Inc. | 85,033 | ||||||
4,803 | Harsco Corp.* | 106,146 | ||||||
3,620 | Hillenbrand, Inc. | 170,683 | ||||||
490 | Hurco Cos, Inc. | 21,928 | ||||||
896 | Hyster-Yale Materials Handling, Inc., Class A | 57,568 | ||||||
1,615 | IDEX Corp. | 220,415 | ||||||
6,472 | Illinois Tool Works, Inc. | 896,631 | ||||||
4,692 | Ingersoll-Rand plc | 421,013 | ||||||
4,926 | ITT, Inc. | 257,482 | ||||||
1,662 | John Bean Technologies Corp.^ | 147,752 | ||||||
598 | Kadant, Inc. | 57,498 | ||||||
4,352 | Kennametal, Inc.^ | 156,237 | ||||||
787 | L.B. Foster Co., Class A* | 18,062 | ||||||
1,806 | Lincoln Electric Holdings, Inc. | 158,495 | ||||||
539 | Lindsay Corp.^ | 52,278 | ||||||
774 | Lydall, Inc.* | 33,785 | ||||||
1,213 | Manitex International, Inc.* | 15,138 | ||||||
2,529 | Manitowoc Co., Inc. (The)*^ | 65,400 | ||||||
5,860 | Meritor, Inc.* | 120,540 | ||||||
1,601 | Middleby Corp. (The)*^ | 167,176 | ||||||
2,134 | Milacron Holdings Corp.* | 40,397 | ||||||
3,785 | Mueller Industries, Inc. | 111,695 | ||||||
7,183 | Mueller Water Products, Inc., Class A | 84,185 | ||||||
4,067 | Navistar International Corp.*^ | 165,608 | ||||||
1,258 | NN, Inc. | 23,776 | ||||||
1,555 | Nordson Corp. | 199,678 | ||||||
158 | Omega Flex, Inc.^ | 12,499 | ||||||
3,290 | OshKosh Corp. | 231,353 | ||||||
6,612 | PACCAR, Inc. | 409,680 | ||||||
2,022 | Parker Hannifin Corp. | 315,129 | ||||||
5,836 | Pentair plc | 245,579 | ||||||
976 | Proto Labs, Inc.*^ | 116,095 | ||||||
660 | RBC Bearings, Inc.* | 85,015 | ||||||
1,886 | REV Group, Inc.^ | 32,081 | ||||||
7,156 | Rexnord Corp.* | 207,953 | ||||||
2,202 | Snap-On, Inc.^ | 353,905 |
Continued
16
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
1,542 | SPX Corp.* | $ | 54,047 | |||||
1,744 | SPX FLOW, Inc.* | 76,335 | ||||||
775 | Standex International Corp. | 79,205 | ||||||
1,547 | Stanley Black & Decker, Inc. | 205,457 | ||||||
1,370 | Sun Hydraulics Corp.^ | 66,020 | ||||||
321 | Tennant Co.^ | 25,359 | ||||||
3,523 | Terex Corp.^ | 148,635 | ||||||
3,355 | Timken Co. | 146,110 | ||||||
3,046 | Titan International, Inc. | 32,684 | ||||||
3,651 | Toro Co. | 219,973 | ||||||
2,913 | TriMas Corp.* | 85,642 | ||||||
5,158 | Trinity Industries, Inc. | 176,713 | ||||||
4,006 | Wabash National Corp.^ | 74,752 | ||||||
1,380 | WABCO Holdings, Inc.* | 161,488 | ||||||
1,503 | Wabtec Corp.^ | 148,166 | ||||||
1,415 | Watts Water Technologies, Inc., Class A | 110,936 | ||||||
6,694 | Welbilt, Inc.*^ | 149,343 | ||||||
2,272 | Woodward, Inc. | 174,626 | ||||||
935 | Xerium Technologies, Inc.* | 12,379 | ||||||
4,252 | Xylem, Inc. | 286,500 | ||||||
|
| |||||||
14,361,099 | ||||||||
|
| |||||||
Marine (0.1%): | ||||||||
1,680 | Eagle Bulk Shipping, Inc.* | 9,139 | ||||||
2,348 | Kirby Corp.*^ | 196,293 | ||||||
3,233 | Matson, Inc. | 124,083 | ||||||
|
| |||||||
329,515 | ||||||||
|
| |||||||
Media (2.7%): | ||||||||
1,468 | A.H. Belo Corp., Class A | 6,900 | ||||||
3,433 | AMC Entertainment Holdings, Inc., Class A^ | 54,585 | ||||||
2,029 | AMC Networks, Inc., Class A*^ | 126,204 | ||||||
270 | Cable One, Inc.^ | 197,988 | ||||||
182 | CBS Corp., Class A | 10,308 | ||||||
7,322 | CBS Corp., Class B | 411,643 | ||||||
2,930 | Charter Communications, Inc., Class A* | 859,105 | ||||||
7,978 | Cinemark Holdings, Inc.^ | 279,868 | ||||||
1,661 | Clear Channel Outdoor Holdings, Inc., Class A | 7,142 | ||||||
101,332 | Comcast Corp., Class A | 3,324,704 | ||||||
6,371 | Discovery Communications, Inc., Class A* | 175,203 | ||||||
9,189 | Discovery Communications, Inc., Class C* | 234,320 | ||||||
4,242 | DISH Network Corp., Class A* | 142,574 | ||||||
4,131 | E.W. Scripps Co. (The), Class A^ | 55,314 | ||||||
1,364 | Emerald Expositions Events, Inc. | 28,098 | ||||||
2,819 | Entercom Communications Corp. | 21,283 | ||||||
4,792 | Entravision Communications Corp., Class A | 23,960 | ||||||
1,834 | Eros International plc* | 23,842 | ||||||
6,638 | Gannett Co., Inc.^ | 71,027 | ||||||
4,760 | GCI Liberty, Inc., Class A* | 214,581 | ||||||
4,886 | Gray Television, Inc.*^ | 77,199 | ||||||
472 | Harte-Hanks, Inc.* | 5,239 | ||||||
1,658 | Imax Corp.* | 36,725 | ||||||
13,729 | Interpublic Group of Cos., Inc. (The) | 321,808 | ||||||
3,028 | John Wiley & Sons, Inc., Class A | 188,947 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
192 | John Wiley & Sons, Inc., Class B | $ | 12,031 | |||||
247 | Liberty Braves Group, Class A* | 6,350 | ||||||
527 | Liberty Braves Group, Class C* | 13,628 | ||||||
563 | Liberty Broadband Corp., Class A* | 42,585 | ||||||
2,655 | Liberty Broadband Corp., Class C* | 201,037 | ||||||
619 | Liberty Media Group, Class A* | 21,857 | ||||||
1,318 | Liberty Media Group, Class C*^ | 48,937 | ||||||
2,477 | Liberty SiriusXM Group, Class A* | 111,589 | ||||||
5,273 | Liberty SiriusXM Group, Class C* | 239,183 | ||||||
1,773 | Lions Gate Entertainment Corp., Class A^ | 44,006 | ||||||
2,411 | Lions Gate Entertainment Corp., Class B^ | 56,562 | ||||||
5,662 | Live Nation, Inc.*^ | 275,003 | ||||||
540 | Madison Square Garden Co. (The), Class A* | 167,503 | ||||||
1,649 | Meredith Corp.^ | 84,099 | ||||||
3,759 | MSG Networks, Inc., Class A*^ | 90,028 | ||||||
3,726 | National CineMedia, Inc. | 31,298 | ||||||
2,511 | New Media Investment Group, Inc. | 46,403 | ||||||
5,495 | New York Times Co. (The), Class A^ | 142,321 | ||||||
7,481 | News Corp., Class A | 115,956 | ||||||
2,563 | News Corp., Class B | 40,624 | ||||||
2,981 | Nexstar Broadcasting Group, Inc., Class A^ | 218,805 | ||||||
6,406 | Omnicom Group, Inc.^ | 488,586 | ||||||
1,419 | Reading International, Inc., Class A* | 22,633 | ||||||
1,853 | Scholastic Corp. | 82,106 | ||||||
5,191 | Sinclair Broadcast Group, Inc., Class A | 166,891 | ||||||
24,685 | Sirius XM Holdings, Inc. | 167,117 | ||||||
11,352 | Tegna, Inc. | 123,169 | ||||||
933 | Tronc, Inc.* | 16,122 | ||||||
23,830 | Twenty-First Century Fox, Inc. | 1,184,113 | ||||||
8,290 | Twenty-First Century Fox, Inc., Class B | 408,448 | ||||||
442 | Viacom, Inc., Class A | 15,669 | ||||||
12,859 | Viacom, Inc., Class B | 387,827 | ||||||
29,471 | Walt Disney Co. (The) | 3,088,856 | ||||||
1,692 | World Wrestling Entertainment, Inc., Class A^ | 123,211 | ||||||
|
| |||||||
15,183,120 | ||||||||
|
| |||||||
Metals & Mining (0.7%): | ||||||||
16,272 | AK Steel Holding Corp.*^ | 70,620 | ||||||
5,563 | Alcoa Corp.* | 260,793 | ||||||
4,528 | Allegheny Technologies, Inc.*^ | 113,743 | ||||||
799 | Ampco-Pittsburgh Corp.* | 8,190 | ||||||
2,796 | Carpenter Technology Corp. | 146,986 | ||||||
4,968 | Century Aluminum Co.*^ | 78,246 | ||||||
10,120 | Cleveland-Cliffs, Inc.*^ | 85,312 | ||||||
7,302 | Coeur d’Alene Mines Corp.*^ | 55,495 | ||||||
6,147 | Commercial Metals Co. | 129,763 | ||||||
1,902 | Compass Minerals International, Inc.^ | 125,057 | ||||||
7,323 | Ferroglobe plc | 62,758 | ||||||
33,112 | Freeport-McMoRan Copper & Gold, Inc. | 571,512 | ||||||
2,945 | Gold Resource Corp. | 19,408 | ||||||
943 | Haynes International, Inc. | 34,646 | ||||||
23,972 | Hecla Mining Co. | 83,423 | ||||||
151 | Kaiser Aluminum Corp.^ | 15,721 |
Continued
17
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
1,359 | Materion Corp. | $ | 73,590 | |||||
12,309 | McEwen Mining, Inc. | 25,480 | ||||||
7,907 | Newmont Mining Corp. | 298,173 | ||||||
5,554 | Nucor Corp. | 347,125 | ||||||
700 | Olympic Steel, Inc. | 14,287 | ||||||
2,353 | Reliance Steel & Aluminum Co. | 205,982 | ||||||
2,119 | Royal Gold, Inc. | 196,728 | ||||||
1,500 | Ryerson Holding Corp.*^ | 16,725 | ||||||
1,365 | Schnitzer Steel Industries, Inc., Class A^ | 46,001 | ||||||
1,772 | Southern Copper Corp.^ | 83,054 | ||||||
11,919 | Steel Dynamics, Inc. | 547,677 | ||||||
3,673 | SunCoke Energy, Inc.* | 49,218 | ||||||
701 | Synalloy Corp.^ | 13,985 | ||||||
2,052 | TimkenSteel Corp.*^ | 33,550 | ||||||
7,131 | United States Steel Corp. | 247,802 | ||||||
548 | Universal Stainless & Alloy Products, Inc.* | 12,971 | ||||||
2,898 | Worthington Industries, Inc. | 121,629 | ||||||
|
| |||||||
4,195,650 | ||||||||
|
| |||||||
Multiline Retail (0.8%): | ||||||||
3,725 | Big Lots, Inc.^ | 155,631 | ||||||
1,948 | Dillard’s, Inc., Class A^ | 184,086 | ||||||
5,093 | Dollar General Corp. | 502,170 | ||||||
4,239 | Dollar Tree, Inc.* | 360,315 | ||||||
18,758 | J.C. Penney Co., Inc.*^ | 43,894 | ||||||
12,074 | Kohl’s Corp.^ | 880,194 | ||||||
15,105 | Macy’s, Inc. | 565,380 | ||||||
4,797 | Nordstrom, Inc.^ | 248,389 | ||||||
2,557 | Ollie’s Bargain Outlet Holdings, Inc.*^ | 185,383 | ||||||
14,447 | Target Corp. | 1,099,705 | ||||||
|
| |||||||
4,225,147 | ||||||||
|
| |||||||
Multi-Utilities (0.8%): | ||||||||
5,044 | Ameren Corp. | 306,927 | ||||||
2,841 | Avista Corp. | 149,607 | ||||||
1,784 | Black Hills Corp.^ | 109,199 | ||||||
9,831 | CenterPoint Energy, Inc. | 272,417 | ||||||
6,283 | CMS Energy Corp. | 297,060 | ||||||
3,650 | Consolidated Edison, Inc. | 284,627 | ||||||
10,028 | Dominion Energy, Inc. | 683,709 | ||||||
3,156 | DTE Energy Co. | 327,056 | ||||||
7,317 | MDU Resources Group, Inc. | 209,852 | ||||||
6,403 | NiSource, Inc. | 168,271 | ||||||
2,365 | NorthWestern Corp. | 135,396 | ||||||
6,391 | Public Service Enterprise Group, Inc. | 346,009 | ||||||
3,103 | SCANA Corp. | 119,528 | ||||||
2,131 | Sempra Energy | 247,430 | ||||||
844 | Unitil Corp. | 43,078 | ||||||
4,645 | Vectren Corp. | 331,885 | ||||||
4,178 | WEC Energy Group, Inc. | 270,108 | ||||||
|
| |||||||
4,302,159 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.1%): | ||||||||
332 | Adams Resources & Energy, Inc. | 14,276 | ||||||
3,984 | Anadarko Petroleum Corp. | 291,828 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
4,819 | Andeavor | $ | 632,156 | |||||
8,707 | Antero Resources Corp.* | 185,894 | ||||||
3,113 | Apache Corp.^ | 145,533 | ||||||
1,256 | Arch Coal, Inc.^ | 98,508 | ||||||
2,352 | Cabot Oil & Gas Corp. | 55,978 | ||||||
10,066 | Callon Petroleum Co.*^ | 108,109 | ||||||
4,654 | Carrizo Oil & Gas, Inc.*^ | 129,614 | ||||||
4,043 | Centennial Resources Development*^ | 73,017 | ||||||
5,773 | Cheniere Energy, Inc.* | 376,342 | ||||||
22,057 | Chevron Corp. | 2,788,668 | ||||||
671 | Cimarex Energy Co.^ | 68,268 | ||||||
7,534 | Clean Energy Fuel Corp.* | 27,800 | ||||||
3,508 | Cloud Peak Energy, Inc.*^ | 12,243 | ||||||
6,619 | CNX Resources Corp.* | 117,686 | ||||||
1,185 | Concho Resources, Inc.* | 163,945 | ||||||
12,395 | ConocoPhillips Co. | 862,940 | ||||||
1,244 | CONSOL Energy, Inc.* | 47,707 | ||||||
1,423 | Contango Oil & Gas Co.*^ | 8,083 | ||||||
1,170 | Continental Resources, Inc.*^ | 75,769 | ||||||
3,623 | CVR Energy, Inc.^ | 134,015 | ||||||
5,134 | Delek US Holdings, Inc. | 257,573 | ||||||
23,516 | Denbury Resources, Inc.*^ | 113,112 | ||||||
5,102 | Devon Energy Corp. | 224,284 | ||||||
8,860 | DHT Holdings, Inc.^ | 41,553 | ||||||
706 | Diamondback Energy, Inc. | 92,888 | ||||||
107 | Dorian LPG, Ltd.* | 817 | ||||||
15,555 | Eclipse Resources Corp.* | 24,888 | ||||||
3,486 | Energen Corp.* | 253,851 | ||||||
5,391 | Enlink Midstream LLC^ | 88,682 | ||||||
4,981 | EOG Resources, Inc. | 619,786 | ||||||
8,400 | EP Energy Corp., Class A* | 25,200 | ||||||
3,515 | EQT Corp. | 193,958 | ||||||
3,686 | Extraction Oil & Gas, Inc.* | 54,147 | ||||||
51,822 | Exxon Mobil Corp. | 4,287,235 | ||||||
4,505 | Gaslog, Ltd.^ | 86,046 | ||||||
2,514 | Green Plains Renewable Energy, Inc. | 46,006 | ||||||
8,600 | Gulfport Energy Corp.* | 108,102 | ||||||
5,897 | Halcon Resources Corp.*^ | 25,888 | ||||||
2,222 | Hallador Energy Co. | 15,865 | ||||||
4,124 | Hess Corp. | 275,854 | ||||||
5,738 | HighPoint Resources Corp.* | 34,887 | ||||||
8,952 | HollyFrontier Corp. | 612,585 | ||||||
26,381 | Kinder Morgan, Inc. | 466,152 | ||||||
14,608 | Kosmos Energy LLC* | 120,808 | ||||||
12,195 | Laredo Petroleum Holdings, Inc.*^ | 117,316 | ||||||
14,759 | Marathon Oil Corp. | 307,873 | ||||||
12,591 | Marathon Petroleum Corp. | 883,385 | ||||||
6,316 | Matador Resources Co.*^ | 189,796 | ||||||
6,993 | Murphy Oil Corp.^ | 236,154 | ||||||
6,701 | Newfield Exploration Co.* | 202,705 | ||||||
7,953 | Noble Energy, Inc. | 280,582 | ||||||
11,184 | Oasis Petroleum, Inc.* | 145,056 | ||||||
9,961 | Occidental Petroleum Corp. | 833,536 |
Continued
18
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
3,504 | ONEOK, Inc. | $ | 244,684 | |||||
2,263 | Pacific Ethanol, Inc.* | 5,884 | ||||||
1,401 | Panhandle Oil & Gas, Inc., Class A | 26,759 | ||||||
1,717 | Par Pacific Holdings, Inc.* | 29,841 | ||||||
2,701 | Parsley Energy, Inc., Class A* | 81,786 | ||||||
6,440 | PBF Energy, Inc., Class A | 270,029 | ||||||
2,430 | PDC Energy, Inc.*^ | 146,894 | ||||||
4,173 | Peabody Energy Corp.^ | 189,788 | ||||||
2,898 | Phillips 66 | 325,474 | ||||||
1,015 | Pioneer Natural Resources Co. | 192,079 | ||||||
6 | PrimeEnergy Corp.* | 438 | ||||||
11,578 | QEP Resources, Inc.* | 141,946 | ||||||
4,715 | Range Resources Corp.^ | 78,882 | ||||||
3,344 | Renewable Energy Group, Inc.*^ | 59,690 | ||||||
374 | REX American Resources Corp.* | 30,283 | ||||||
1,820 | Ring Energy, Inc.*^ | 22,968 | ||||||
3,890 | RSP Permian, Inc.* | 171,238 | ||||||
11,997 | Scorpio Tankers, Inc. | 33,712 | ||||||
3,967 | SemGroup Corp., Class A | 100,762 | ||||||
5,342 | Ship Finance International^ | 79,863 | ||||||
4,897 | SM Energy Co. | 125,804 | ||||||
3,907 | Southwestern Energy Co.*^ | 20,707 | ||||||
10,321 | SRC Energy, Inc.*^ | 113,737 | ||||||
2,765 | Targa Resources Corp. | 136,840 | ||||||
6,407 | Teekay Shipping Corp. | 49,654 | ||||||
3,637 | Ultra Petroleum Corp.* | 8,401 | ||||||
7,754 | Valero Energy Corp. | 859,376 | ||||||
6,207 | Whiting Petroleum Corp.* | 327,233 | ||||||
2,629 | Wildhorse Resource Development Corp.* | 66,671 | ||||||
3,976 | Williams Cos., Inc. (The) | 107,789 | ||||||
2,914 | World Fuel Services Corp. | 59,475 | ||||||
13,673 | WPX Energy, Inc.* | 246,524 | ||||||
|
| |||||||
22,040,160 | ||||||||
|
| |||||||
Paper & Forest Products (0.2%): | ||||||||
2,511 | Boise Cascade Co.^ | 112,241 | ||||||
1,659 | Clearwater Paper Corp.* | 38,323 | ||||||
2,243 | Domtar Corp. | 107,081 | ||||||
9,067 | KapStone Paper & Packaging Corp. | 312,811 | ||||||
6,141 | Louisiana-Pacific Corp. | 167,157 | ||||||
5,575 | Mercer International, Inc. | 97,563 | ||||||
782 | Neenah Paper, Inc. | 66,353 | ||||||
700 | P.H. Glatfelter Co. | 13,713 | ||||||
5,870 | Resolute Forest Products* | 60,755 | ||||||
1,197 | Schweitzer-Mauduit International, Inc. | 52,333 | ||||||
|
| |||||||
1,028,330 | ||||||||
|
| |||||||
Personal Products (0.4%): | ||||||||
22,998 | Avon Products, Inc.* | 37,257 | ||||||
9,981 | Coty, Inc., Class A^ | 140,732 | ||||||
2,453 | Edgewell Personal Care Co.*^ | 123,778 | ||||||
4,081 | Estee Lauder Co., Inc. (The), Class A | 582,317 | ||||||
5,910 | Herbalife, Ltd.* | 317,484 | ||||||
1,355 | Inter Parfums, Inc. | 72,493 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Personal Products, continued | ||||||||
923 | Medifast, Inc. | $ | 147,828 | |||||
1,236 | Natures Sunshine Products, Inc.* | 11,557 | ||||||
3,792 | Nu Skin Enterprises, Inc., Class A | 296,496 | ||||||
2,385 | Revlon, Inc.*^ | 41,857 | ||||||
340 | United-Guardian, Inc. | 6,511 | ||||||
1,364 | Usana Health Sciences, Inc.*^ | 157,269 | ||||||
|
| |||||||
1,935,579 | ||||||||
|
| |||||||
Pharmaceuticals (2.9%): | ||||||||
4,368 | Akorn, Inc.* | 72,465 | ||||||
3,715 | Allergan plc | 619,365 | ||||||
2,984 | Amneal Pharmaceuticals, Inc.*^ | 48,967 | ||||||
2,003 | Amphastar Pharmaceuticals, Inc.*^ | 30,566 | ||||||
400 | ANI Pharmaceuticals, Inc.*^ | 26,720 | ||||||
12,668 | Bristol-Myers Squibb Co. | 701,047 | ||||||
6,427 | Catalent, Inc.* | 269,227 | ||||||
4,376 | Corcept Therapeutics, Inc.*^ | 68,791 | ||||||
1,468 | Cumberland Pharmaceuticals, Inc.* | 8,999 | ||||||
1,045 | Dermira, Inc.* | 9,614 | ||||||
14,666 | Eli Lilly & Co. | 1,251,450 | ||||||
8,827 | Endo International plc*^ | 83,239 | ||||||
392 | Heska Corp.*^ | 40,686 | ||||||
5,527 | Horizon Pharma plc* | 91,527 | ||||||
849 | Innoviva, Inc.*^ | 11,716 | ||||||
2,219 | Intra-Cellular Therapies, Inc.* | 39,210 | ||||||
1,011 | Jazz Pharmaceuticals plc* | 174,195 | ||||||
40,821 | Johnson & Johnson Co. | 4,953,219 | ||||||
2,281 | Lannett Co., Inc.* | 31,022 | ||||||
42 | Lipocine, Inc.* | 55 | ||||||
3,682 | Mallinckrodt plc*^ | 68,706 | ||||||
42,415 | Merck & Co., Inc. | 2,574,591 | ||||||
3,426 | Mylan NV* | 123,816 | ||||||
728 | Perrigo Co. plc^ | 53,078 | ||||||
101,121 | Pfizer, Inc. | 3,668,669 | ||||||
793 | Phibro Animal Health Corp., Class A | 36,518 | ||||||
1,949 | Prestige Brands Holdings, Inc.*^ | 74,803 | ||||||
1,789 | Supernus Pharmaceuticals, Inc.*^ | 107,072 | ||||||
923 | Taro Pharmaceutical Industries, Ltd.* | 106,782 | ||||||
10,890 | Zoetis, Inc. | 927,719 | ||||||
817 | Zogenix, Inc.* | 36,111 | ||||||
|
| |||||||
16,309,945 | ||||||||
|
| |||||||
Professional Services (0.7%): | ||||||||
494 | Barrett Business Services, Inc. | 47,706 | ||||||
3,154 | CBIZ, Inc.* | 72,542 | ||||||
304 | CoStar Group, Inc.* | 125,440 | ||||||
456 | CRA International, Inc. | 23,206 | ||||||
1,775 | Dun & Bradstreet Corp. | 217,704 | ||||||
3,281 | Equifax, Inc. | 410,486 | ||||||
2,728 | Exponent, Inc. | 131,762 | ||||||
949 | Franklin Covey Co.*^ | 23,298 | ||||||
2,551 | FTI Consulting, Inc.* | 154,284 | ||||||
1,205 | Heidrick & Struggles International, Inc. | 42,175 | ||||||
466 | Hill International, Inc.*^ | 2,749 |
Continued
19
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
1,763 | Huron Consulting Group, Inc.* | $ | 72,107 | |||||
1,472 | ICF International, Inc. | 104,586 | ||||||
1,948 | Insperity, Inc. | 185,547 | ||||||
2,223 | Kelly Services, Inc., Class A | 49,906 | ||||||
2,263 | Kforce, Inc. | 77,621 | ||||||
2,258 | Korn/Ferry International | 139,838 | ||||||
3,573 | Manpower, Inc. | 307,492 | ||||||
1,887 | Mistras Group, Inc.* | 35,627 | ||||||
3,651 | Navigant Consulting, Inc.* | 80,833 | ||||||
7,090 | Nielsen Holdings plc^ | 219,294 | ||||||
2,125 | Resources Connection, Inc. | 35,913 | ||||||
3,340 | Robert Half International, Inc. | 217,434 | ||||||
2,853 | TransUnion | 204,389 | ||||||
2,994 | TriNet Group, Inc.* | 167,484 | ||||||
2,213 | Trueblue, Inc.* | 59,640 | ||||||
4,661 | Verisk Analytics, Inc.* | 501,709 | ||||||
840 | Volt Information Sciences, Inc.* | 2,856 | ||||||
1,028 | Wageworks, Inc.*^ | 51,400 | ||||||
633 | Willdan Group, Inc.*^ | 19,604 | ||||||
|
| |||||||
3,784,632 | ||||||||
|
| |||||||
Real Estate Management & Development (0.3%): | ||||||||
4,047 | Alexander & Baldwin, Inc. | 95,105 | ||||||
400 | Altisource Portfolio Solutions* | 11,668 | ||||||
10,433 | CBRE Group, Inc., Class A* | 498,071 | ||||||
339 | Consolidated-Tomoka Land Co.^ | 20,852 | ||||||
279 | Forestar Group, Inc.*^ | 5,789 | ||||||
232 | FRP Holdings, Inc.*^ | 15,022 | ||||||
318 | Griffin Industrial Realty, Inc. | 13,989 | ||||||
2,632 | HFF, Inc., Class A | 90,409 | ||||||
1,280 | Howard Hughes Corp. (The)* | 169,600 | ||||||
1,535 | Jones Lang LaSalle, Inc. | �� | 254,795 | |||||
5,360 | Kennedy-Wilson Holdings, Inc.^ | 113,364 | ||||||
2,112 | Marcus & Millichap, Inc.*^ | 82,389 | ||||||
997 | Rafael Holdings, Inc., Class B*^ | 9,162 | ||||||
988 | RE/MAX Holdings, Inc., Class A | 51,821 | ||||||
7,526 | Realogy Holdings Corp.^ | 171,593 | ||||||
1,447 | Tejon Ranch Co.* | 35,162 | ||||||
1,038 | The RMR Group, Inc., Class A | 81,431 | ||||||
3,157 | The St. Joe Co.*^ | 56,668 | ||||||
|
| |||||||
1,776,890 | ||||||||
|
| |||||||
Road & Rail (1.3%): | ||||||||
566 | AMERCO, Inc.^ | 201,581 | ||||||
1,475 | ArcBest Corp.^ | 67,408 | ||||||
3,967 | Avis Budget Group, Inc.*^ | 128,928 | ||||||
1,699 | Covenant Transportation Group, Inc., Class A* | 53,519 | ||||||
13,194 | CSX Corp. | 841,513 | ||||||
1,672 | Genesee & Wyoming, Inc., Class A* | 135,967 | ||||||
4,879 | Heartland Express, Inc.^ | 90,505 | ||||||
4,231 | Hertz Global Holdings, Inc.* | 64,904 | ||||||
3,515 | J.B. Hunt Transport Services, Inc. | 427,248 | ||||||
4,667 | Kansas City Southern | 494,515 | ||||||
3,490 | Knight-Swift Transportation Holdings, Inc.^ | 133,353 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
2,480 | Landstar System, Inc. | $ | 270,816 | |||||
2,223 | Marten Transport, Ltd. | 52,129 | ||||||
6,406 | Norfolk Southern Corp. | 966,473 | ||||||
3,020 | Old Dominion Freight Line, Inc. | 449,859 | ||||||
2,916 | Roadrunner Transportation System, Inc.* | 6,094 | ||||||
4,868 | Ryder System, Inc. | 349,814 | ||||||
1,912 | Saia, Inc.* | 154,585 | ||||||
15,304 | Union Pacific Corp. | 2,168,271 | ||||||
2,010 | Universal Truckload Services, Inc. | 52,763 | ||||||
1,023 | USA Truck, Inc.*^ | 24,010 | ||||||
4,896 | Werner Enterprises, Inc.^ | 183,845 | ||||||
1,829 | YRC Worldwide, Inc.* | 18,381 | ||||||
|
| |||||||
7,336,481 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.6%): | ||||||||
2,441 | Advanced Energy Industries, Inc.* | 141,798 | ||||||
7,478 | Advanced Micro Devices, Inc.*^ | 112,095 | ||||||
2,031 | Alpha & Omega Semiconductor, Ltd.* | 28,921 | ||||||
866 | Ambarella, Inc.* | 33,436 | ||||||
17,158 | Amkor Technology, Inc.* | 147,387 | ||||||
1,922 | Analog Devices, Inc. | 184,358 | ||||||
16,074 | Applied Materials, Inc. | 742,458 | ||||||
1,615 | Axcelis Technologies, Inc.*^ | 31,977 | ||||||
1,701 | AXT, Inc.*^ | 11,992 | ||||||
1,948 | Broadcom, Inc. | 472,663 | ||||||
3,367 | Brooks Automation, Inc. | 109,832 | ||||||
849 | Cabot Microelectronics Corp. | 91,318 | ||||||
1,398 | Cavium, Inc.* | 120,927 | ||||||
437 | CEVA, Inc.* | 13,197 | ||||||
3,276 | Cirrus Logic, Inc.* | 125,569 | ||||||
1,955 | Cohu, Inc.^ | 47,917 | ||||||
3,350 | Cree, Inc.*^ | 139,260 | ||||||
9,588 | Cypress Semiconductor Corp. | 149,381 | ||||||
3,151 | Diodes, Inc.* | 108,615 | ||||||
7,419 | Entegris, Inc. | 251,504 | ||||||
3,383 | First Solar, Inc.*^ | 178,149 | ||||||
3,971 | FormFactor, Inc.* | 52,814 | ||||||
1,314 | GSI Technology, Inc.* | 9,881 | ||||||
3,317 | Integrated Device Technology, Inc.*^ | 105,746 | ||||||
94,998 | Intel Corp. | 4,722,352 | ||||||
4,948 | KLA-Tencor Corp. | 507,318 | ||||||
2,537 | Kulicke & Soffa Industries, Inc. | 60,431 | ||||||
2,529 | Lam Research Corp. | 437,138 | ||||||
4,922 | Lattice Semiconductor Corp.* | 32,288 | ||||||
740 | MA-COM Technology Solutions Holdings, Inc.*^ | 17,050 | ||||||
8,186 | Marvell Technology Group, Ltd.^ | 175,508 | ||||||
5,668 | Maxim Integrated Products, Inc. | 332,485 | ||||||
1,345 | MaxLinear, Inc., Class A*^ | 20,969 | ||||||
3,257 | Microchip Technology, Inc.^ | 296,224 | ||||||
35,937 | Micron Technology, Inc.* | 1,884,536 | ||||||
2,866 | MKS Instruments, Inc. | 274,276 | ||||||
793 | Monolithic Power Systems, Inc.^ | 106,000 | ||||||
1,348 | Nanometrics, Inc.* | 47,733 |
Continued
20
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
1,500 | Neophotonics Corp.*^ | $ | 9,345 | |||||
150 | NVE Corp.^ | 18,267 | ||||||
11,461 | NVIDIA Corp. | 2,715,111 | ||||||
14,154 | ON Semiconductor Corp.* | 314,714 | ||||||
1,438 | PDF Solutions, Inc.*^ | 17,227 | ||||||
5,010 | Photronics, Inc.* | 39,955 | ||||||
645 | Power Integrations, Inc.^ | 47,117 | ||||||
1,918 | Qorvo, Inc.* | 153,766 | ||||||
7,022 | QUALCOMM, Inc. | 394,075 | ||||||
4,000 | Rambus, Inc.* | 50,160 | ||||||
1,554 | Rudolph Technologies, Inc.* | 45,998 | ||||||
2,464 | Semtech Corp.* | 115,931 | ||||||
1,920 | Sigma Designs, Inc.* | 11,712 | ||||||
867 | Silicon Laboratories, Inc.* | 86,353 | ||||||
5,510 | Skyworks Solutions, Inc. | 532,542 | ||||||
5,527 | Sunpower Corp.*^ | 42,392 | ||||||
1,589 | Synaptics, Inc.*^ | 80,038 | ||||||
4,497 | Teradyne, Inc.^ | 171,201 | ||||||
20,686 | Texas Instruments, Inc. | 2,280,632 | ||||||
1,678 | Ultra Clean Holdings, Inc.*^ | 27,855 | ||||||
3,598 | Veeco Instruments, Inc.*^ | 51,272 | ||||||
4,855 | Versum Materials, Inc. | 180,363 | ||||||
3,038 | Xcerra Corp.* | 42,441 | ||||||
5,209 | Xilinx, Inc. | 339,939 | ||||||
1,673 | Xperi Corp. | 26,935 | ||||||
|
| |||||||
20,120,844 | ||||||||
|
| |||||||
Software (4.6%): | ||||||||
3,116 | ACI Worldwide, Inc.*^ | 76,872 | ||||||
5,134 | Activision Blizzard, Inc. | 391,827 | ||||||
5,352 | Adobe Systems, Inc.* | 1,304,870 | ||||||
1,009 | American Software, Inc., Class A | 14,701 | ||||||
988 | ANSYS, Inc.* | 172,090 | ||||||
3,599 | Aspen Technology, Inc.* | 333,771 | ||||||
628 | Autodesk, Inc.* | 82,325 | ||||||
2,272 | Aware, Inc.* | 9,202 | ||||||
1,769 | Blackbaud, Inc.^ | 181,234 | ||||||
13,271 | CA, Inc. | 473,111 | ||||||
7,702 | Cadence Design Systems, Inc.* | 333,574 | ||||||
2,961 | CDK Global, Inc. | 192,613 | ||||||
4,211 | Citrix Systems, Inc.* | 441,481 | ||||||
5,712 | Dell Technologies, Inc., Class V* | 483,121 | ||||||
946 | Ebix, Inc. | 72,133 | ||||||
4,365 | Electronic Arts, Inc.* | 615,552 | ||||||
699 | Ellie Mae, Inc.*^ | 72,584 | ||||||
1,083 | Evolving Systems, Inc.* | 3,087 | ||||||
1,055 | Fair Isaac Corp.* | 203,953 | ||||||
1,784 | FireEye, Inc.* | 27,456 | ||||||
1,444 | Fortinet, Inc.* | 90,149 | ||||||
977 | Globant SA* | 55,484 | ||||||
628 | Guidewire Software, Inc.*^ | 55,754 | ||||||
5,148 | Intuit, Inc. | 1,051,762 | ||||||
2,898 | Manhattan Associates, Inc.*^ | 136,235 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
135,490 | Microsoft Corp. | $ | 13,360,668 | |||||
430 | MicroStrategy, Inc., Class A* | 54,933 | ||||||
1,803 | Monotype Imaging Holdings, Inc. | 36,601 | ||||||
11,007 | Nuance Communications, Inc.* | 152,832 | ||||||
1,722 | OneSpan, Inc.* | 33,837 | ||||||
27,377 | Oracle Corp. | 1,206,230 | ||||||
2,127 | Paycom Software, Inc.*^ | 210,211 | ||||||
963 | Pegasystems, Inc. | 52,772 | ||||||
2,433 | Progress Software Corp. | 94,449 | ||||||
393 | PTC, Inc.* | 36,867 | ||||||
581 | QAD, Inc. | 29,137 | ||||||
1,224 | Qualys, Inc.*^ | 103,183 | ||||||
1,867 | RealPage, Inc.*^ | 102,872 | ||||||
4,474 | Red Hat, Inc.* | 601,171 | ||||||
294 | Rosetta Stone, Inc.* | 4,713 | ||||||
737 | Rubicon Project, Inc.* | 2,100 | ||||||
2,640 | Salesforce.com, Inc.* | 360,096 | ||||||
2,393 | SeaChange International, Inc.* | 8,184 | ||||||
574 | ServiceNow, Inc.* | 98,998 | ||||||
967 | Splunk, Inc.* | 95,839 | ||||||
4,018 | SS&C Technologies Holdings, Inc. | 208,534 | ||||||
2,577 | Symantec Corp. | 53,215 | ||||||
2,279 | Synchronoss Technologies, Inc.*^ | 14,061 | ||||||
1,545 | Synopsys, Inc.* | 132,206 | ||||||
766 | Tableau Software, Inc., Class A* | 74,877 | ||||||
1,231 | Take-Two Interactive Software, Inc.* | 145,701 | ||||||
7,428 | TiVo Corp. | 99,907 | ||||||
547 | Tyler Technologies, Inc.* | 121,489 | ||||||
2,730 | Verint Systems, Inc.* | 121,076 | ||||||
742 | VMware, Inc., Class A* | 109,052 | ||||||
494 | Workday, Inc., Class A* | 59,833 | ||||||
664 | Zedge, Inc., Class B* | 2,497 | ||||||
31,714 | Zynga, Inc.* | 129,076 | ||||||
|
| |||||||
24,792,158 | ||||||||
|
| |||||||
Specialty Retail (3.4%): | ||||||||
3,417 | Aaron’s, Inc. | 148,469 | ||||||
4,015 | Abercrombie & Fitch Co., Class A^ | 98,287 | ||||||
2,444 | Advance Auto Parts, Inc.^ | 331,651 | ||||||
13,744 | American Eagle Outfitters, Inc.^ | 319,548 | ||||||
492 | America’s Car Mart, Inc.* | 30,455 | ||||||
1,809 | Asbury Automotive Group, Inc.*^ | 124,007 | ||||||
9,258 | Ascena Retail Group, Inc.*^ | 36,893 | ||||||
2,292 | At Home Group, Inc.* | 89,732 | ||||||
5,934 | AutoNation, Inc.*^ | 288,274 | ||||||
600 | AutoZone, Inc.* | 402,558 | ||||||
3,164 | Barnes & Noble Education, Inc.* | 17,845 | ||||||
5,007 | Barnes & Noble, Inc. | 31,794 | ||||||
9,785 | Bed Bath & Beyond, Inc.^ | 194,966 | ||||||
11,322 | Best Buy Co., Inc. | 844,395 | ||||||
1,657 | Big 5 Sporting Goods Corp.^ | 12,593 | ||||||
1,519 | Boot Barn Holdings, Inc.* | 31,519 | ||||||
583 | Build-A-Bear Workshop, Inc.*^ | 4,431 |
Continued
21
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
1,808 | Burlington Stores, Inc.* | $ | 272,158 | |||||
1,772 | Caleres, Inc. | 60,939 | ||||||
6,888 | CarMax, Inc.*^ | 501,929 | ||||||
1,987 | Cato Corp., Class A^ | 48,920 | ||||||
7,822 | Chico’s FAS, Inc. | 63,671 | ||||||
988 | Children’s Place Retail Stores, Inc. (The)^ | 119,350 | ||||||
881 | Citi Trends, Inc. | 24,175 | ||||||
1,097 | Destination Maternity Corp.* | 6,385 | ||||||
2,864 | Destination XL Group, Inc.* | 6,444 | ||||||
4,900 | Dick’s Sporting Goods, Inc.^ | 172,725 | ||||||
3,425 | DSW, Inc., Class A^ | 88,434 | ||||||
6,313 | Express, Inc.*^ | 57,764 | ||||||
2,499 | Five Below, Inc.* | 244,177 | ||||||
6,511 | Foot Locker, Inc. | 342,804 | ||||||
2,397 | Francesca’s Holdings Corp.*^ | 18,097 | ||||||
6,567 | GameStop Corp., Class A^ | 95,681 | ||||||
16,270 | Gap, Inc. (The)^ | 526,985 | ||||||
1,571 | Genesco, Inc.*^ | 62,369 | ||||||
1,600 | Group 1 Automotive, Inc.^ | 100,800 | ||||||
4,368 | Guess?, Inc. | 93,475 | ||||||
1,166 | Haverty Furniture Cos., Inc.^ | 25,186 | ||||||
1,874 | Hibbett Sports, Inc.*^ | 42,915 | ||||||
24,682 | Home Depot, Inc. (The) | 4,815,457 | ||||||
1,036 | Kirkland’s, Inc.*^ | 12,059 | ||||||
4,361 | L Brands, Inc.^ | 160,834 | ||||||
1,938 | Lithia Motors, Inc., Class A^ | 183,277 | ||||||
18,072 | Lowe’s Cos., Inc. | 1,727,141 | ||||||
1,427 | MarineMax, Inc.*^ | 27,042 | ||||||
7,372 | Michaels Cos., Inc. (The)*^ | 141,321 | ||||||
1,920 | Monro Muffler Brake, Inc.^ | 111,552 | ||||||
2,552 | Murphy U.S.A., Inc.*^ | 189,588 | ||||||
4,842 | New York & Co.* | 24,791 | ||||||
25,092 | Office Depot, Inc. | 63,985 | ||||||
1,873 | O’Reilly Automotive, Inc.* | 512,397 | ||||||
5,666 | Party City Holdco, Inc.* | 86,407 | ||||||
4,639 | Penske Automotive Group, Inc.^ | 217,337 | ||||||
170 | Pier 1 Imports, Inc. | 405 | ||||||
900 | Rent-A-Center, Inc.* | 13,248 | ||||||
1,042 | Restoration Hardware, Inc.* | 145,567 | ||||||
8,519 | Ross Stores, Inc. | 721,985 | ||||||
7,908 | Sally Beauty Holdings, Inc.*^ | 126,765 | ||||||
600 | Shoe Carnival, Inc.^ | 19,470 | ||||||
3,863 | Signet Jewelers, Ltd. | 215,362 | ||||||
2,056 | Sleep Number Corp.*^ | 59,665 | ||||||
3,293 | Sonic Automotive, Inc., Class A^ | 67,836 | ||||||
1,606 | Sportsman’s Warehouse Holdings, Inc.*^ | 8,223 | ||||||
289 | Tandy Leather Factory, Inc.* | 2,254 | ||||||
2,860 | The Tile Shop Holdings, Inc.^ | 22,022 | ||||||
3,992 | Tiffany & Co. | 525,347 | ||||||
854 | Tilly’s, Inc. | 12,938 | ||||||
13,871 | TJX Cos., Inc. (The) | 1,320,242 | ||||||
4,139 | Tractor Supply Co. | 316,592 | ||||||
737 | Trans World Entertainment Corp.* | 641 | ||||||
1,946 | Ulta Salon, Cosmetics & Fragrance, Inc.* | 454,313 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
8,221 | Urban Outfitters, Inc.* | $ | 366,246 | |||||
1,993 | Vitamin Shoppe, Inc.* | 13,851 | ||||||
5,095 | Williams-Sonoma, Inc.^ | 312,731 | ||||||
285 | Winmark Corp. | 42,308 | ||||||
2,204 | Zumiez, Inc.* | 55,210 | ||||||
|
| |||||||
19,079,209 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.0%): | ||||||||
102,514 | Apple, Inc. | 18,976,367 | ||||||
728 | Astro-Med, Inc. | 13,723 | ||||||
2,354 | Avid Technology, Inc.*^ | 12,241 | ||||||
2,472 | Cray, Inc.*^ | 60,811 | ||||||
2,278 | Diebold, Inc. | 27,222 | ||||||
1,956 | Eastman Kodak Co.* | 7,433 | ||||||
2,044 | Electronics for Imaging, Inc.*^ | 66,553 | ||||||
16,417 | Hewlett Packard Enterprise Co. | 239,852 | ||||||
25,915 | HP, Inc. | 588,011 | ||||||
7,166 | NCR Corp.*^ | 214,837 | ||||||
9,540 | NetApp, Inc. | 749,176 | ||||||
9,753 | Seagate Technology plc | 550,752 | ||||||
2,522 | Stratasys, Ltd.* | 48,271 | ||||||
2,313 | Super Micro Computer, Inc.*^ | 54,702 | ||||||
6,156 | Western Digital Corp. | 476,536 | ||||||
7,974 | Xerox Corp. | 191,376 | ||||||
|
| |||||||
22,277,863 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.1%): | ||||||||
2,618 | Carter’s, Inc. | 283,765 | ||||||
3,392 | Columbia Sportswear Co. | 310,266 | ||||||
4,393 | Crocs, Inc.*^ | 77,361 | ||||||
810 | Culp, Inc. | 19,886 | ||||||
1,758 | Deckers Outdoor Corp.* | 198,461 | ||||||
3,440 | Fossil Group, Inc.* | 92,433 | ||||||
2,480 | G-III Apparel Group, Ltd.* | 110,112 | ||||||
11,489 | Hanesbrands, Inc.^ | 252,988 | ||||||
3,598 | Lululemon Athletica, Inc.* | 449,210 | ||||||
5,725 | Michael Kors Holdings, Ltd.* | 381,285 | ||||||
23,236 | Nike, Inc., Class C | 1,851,443 | ||||||
1,259 | Oxford Industries, Inc.^ | 104,472 | ||||||
600 | Perry Ellis International, Inc.* | 16,302 | ||||||
1,151 | PVH Corp. | 172,328 | ||||||
1,477 | Ralph Lauren Corp. | 185,688 | ||||||
570 | Rocky Brands, Inc. | 17,100 | ||||||
3,577 | Sequential Brands Group, Inc.* | 7,047 | ||||||
7,159 | Skechers U.S.A., Inc., Class A* | 214,842 | ||||||
1,791 | Steven Madden, Ltd. | 95,102 | ||||||
700 | Superior Uniform Group, Inc. | 14,497 | ||||||
8,939 | Tapestry, Inc. | 417,541 | ||||||
3,746 | Under Armour, Inc., Class C* | 78,966 | ||||||
1,027 | Unifi, Inc.* | 32,556 | ||||||
802 | Vera Bradley, Inc.* | 11,260 | ||||||
5,997 | VF Corp. | 488,875 | ||||||
3,237 | Wolverine World Wide, Inc. | 112,550 | ||||||
|
| |||||||
5,996,336 | ||||||||
|
|
Continued
22
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance (0.5%): | ||||||||
1,591 | BankFinancial Corp. | $ | 28,081 | |||||
4,285 | Beneficial Bancorp, Inc. | 69,417 | ||||||
4,484 | BofI Holding, Inc.*^ | 183,440 | ||||||
311 | BSB Bancorp, Inc.*^ | 10,698 | ||||||
7,721 | Capitol Federal Financial, Inc. | 101,608 | ||||||
1,278 | Charter Financial Corp. | 30,864 | ||||||
2,791 | Dime Community Bancshares | 54,425 | ||||||
855 | ESSA Bancorp, Inc. | 13,535 | ||||||
4,321 | Essent Group, Ltd.* | 154,778 | ||||||
403 | Federal Agricultural Mortgage Corp. | 36,060 | ||||||
408 | First Capital, Inc. | 16,952 | ||||||
772 | First Defiance Financial Corp. | 51,770 | ||||||
2,646 | Flagstar Bancorp, Inc.* | 90,652 | ||||||
8 | Greene County Bancorp, Inc. | 271 | ||||||
155 | Hingham Institution for Savings | 34,054 | ||||||
1,670 | HomeStreet, Inc.*^ | 45,007 | ||||||
687 | HopFed Bancorp, Inc. | 11,390 | ||||||
413 | IF Bancorp, Inc.^ | 10,069 | ||||||
966 | Impac Mortgage Holdings, Inc.* | 9,206 | ||||||
4,404 | Kearny Financial Corp.^ | 59,234 | ||||||
1,249 | Kentucky First Federal Bancorp | 10,554 | ||||||
750 | Lake Shore Bancorp, Inc. | 13,088 | ||||||
194 | LendingTree, Inc.*^ | 41,477 | ||||||
3,570 | Meridian Bancorp, Inc. | 68,366 | ||||||
484 | Meta Financial Group, Inc. | 47,142 | ||||||
19,071 | MGIC Investment Corp.* | 204,441 | ||||||
5,566 | Nationstar Mortgage Holdings, Inc.* | 97,572 | ||||||
7,598 | New York Community Bancorp, Inc.^ | 83,882 | ||||||
3,378 | NMI Holdings, Inc., Class A* | 55,061 | ||||||
1,311 | Northeast Community Bancorp, Inc. | 14,434 | ||||||
2,984 | Northfield Bancorp, Inc. | 49,594 | ||||||
5,417 | Northwest Bancshares, Inc.^ | 94,202 | ||||||
3,167 | Oceanfirst Financial Corp.^ | 94,883 | ||||||
503 | Oconee Federal Financial Corp. | 14,557 | ||||||
6,975 | Ocwen Financial Corp.* | 27,621 | ||||||
3,358 | Oritani Financial Corp.^ | 54,400 | ||||||
1,218 | PennyMac Financial Services, Inc., Class A* | 23,934 | ||||||
3,040 | PHH Corp.* | 33,014 | ||||||
679 | Provident Financial Holdings, Inc. | 12,955 | ||||||
4,039 | Provident Financial Services, Inc. | 111,194 | ||||||
6,456 | Radian Group, Inc. | 104,716 | ||||||
420 | Riverview Bancorp, Inc. | 3,545 | ||||||
967 | SI Financial Group, Inc. | 14,263 | ||||||
561 | Southern Missouri Bancorp, Inc. | 21,890 | ||||||
733 | Territorial Bancorp, Inc. | 22,723 | ||||||
5,881 | TFS Financial Corp.^ | 92,743 | ||||||
7,273 | TrustCo Bank Corp. | 64,730 | ||||||
3,739 | United Community Financial Corp. | 41,092 | ||||||
3,669 | United Financial Bancorp, Inc. | 64,281 | ||||||
3,136 | Washington Federal, Inc. | 102,547 | ||||||
2,036 | Waterstone Financial, Inc. | 34,714 | ||||||
2,381 | Wawlker & Dunlop, Inc. | 132,503 | ||||||
1,498 | Western New England BanCorp, Inc.^ | 16,478 | ||||||
1,534 | WSFS Financial Corp. | 81,762 | ||||||
|
| |||||||
2,961,869 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Tobacco (0.8%): | ||||||||
41,431 | Altria Group, Inc. | $ | 2,352,866 | |||||
24,028 | Philip Morris International, Inc. | 1,940,021 | ||||||
1,284 | Universal Corp. | 84,808 | ||||||
7,688 | Vector Group, Ltd.^ | 146,687 | ||||||
|
| |||||||
4,524,382 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.7%): | ||||||||
7,861 | Air Lease Corp. | 329,926 | ||||||
4,508 | Aircastle, Ltd. | 92,414 | ||||||
2,594 | Applied Industrial Technologies, Inc. | 181,969 | ||||||
2,840 | Beacon Roofing Supply, Inc.* | 121,041 | ||||||
3,157 | BMC Stock Holdings, Inc.* | 65,823 | ||||||
1,592 | CAI International, Inc.* | 36,998 | ||||||
644 | DXP Enterprises, Inc.* | 24,601 | ||||||
8,097 | Fastenal Co.^ | 389,709 | ||||||
2,334 | Gms, Inc.* | 63,228 | ||||||
2,000 | H&E Equipment Services, Inc. | 75,220 | ||||||
6,084 | HD Supply Holdings, Inc.* | 260,943 | ||||||
1,299 | Herc Holdings, Inc.* | 73,186 | ||||||
1,307 | Huttig Building Products, Inc.* | 6,208 | ||||||
1,554 | Kaman Corp., Class A^ | 108,298 | ||||||
3,474 | MRC Global, Inc.* | 75,282 | ||||||
2,233 | MSC Industrial Direct Co., Inc., Class A | 189,470 | ||||||
4,627 | NOW, Inc.*^ | 61,678 | ||||||
1,902 | Rush Enterprises, Inc., Class A* | 82,509 | ||||||
651 | Titan Machinery, Inc.*^ | 10,123 | ||||||
1,007 | TransAct Technologies, Inc.* | 19,032 | ||||||
3,334 | Triton International, Ltd. | 102,220 | ||||||
2,958 | United Rentals, Inc.* | 436,660 | ||||||
5,034 | Univar, Inc.* | 132,092 | ||||||
1,184 | Veritiv Corp.*^ | 47,182 | ||||||
2,033 | W.W. Grainger, Inc.^ | 626,976 | ||||||
902 | Watsco, Inc.^ | 160,809 | ||||||
84 | Watsco, Inc., Class B | 14,448 | ||||||
2,455 | WESCO International, Inc.* | 140,181 | ||||||
|
| |||||||
3,928,226 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%): | ||||||||
2,859 | Macquarie Infrastructure Corp. | 120,650 | ||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
2,327 | American States Water Co.^ | 133,011 | ||||||
2,774 | American Water Works Co., Inc. | 236,845 | ||||||
5,012 | Aqua America, Inc. | 176,322 | ||||||
491 | Artesian Resources Corp. | 19,036 | ||||||
2,491 | California Water Service Group^ | 97,024 | ||||||
665 | Connecticut Water Service, Inc. | 43,438 | ||||||
979 | Middlesex Water Co. | 41,284 | ||||||
669 | Pure Cycle Corp.* | 6,389 | ||||||
1,234 | SJW Corp.^ | 81,715 | ||||||
772 | York Water Co. (The) | 24,550 | ||||||
|
| |||||||
859,614 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
2,055 | Boingo Wireless, Inc.*^ | 46,422 | ||||||
2,603 | Shenandoah Telecommunications Co. | 85,118 | ||||||
1,649 | Spok Holdings, Inc. | 24,817 | ||||||
15,850 | Sprint Corp.* | 86,224 |
Continued
23
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
4,354 | Telephone & Data Systems, Inc. | $ | 119,387 | |||||
7,271 | T-Mobile US, Inc.* | 434,443 | ||||||
782 | United States Cellular Corp.* | 28,965 | ||||||
|
| |||||||
825,376 | ||||||||
|
| |||||||
Total Common Stocks (Cost $429,990,488) | 548,004,736 | |||||||
|
| |||||||
Rights (0.0%): | ||||||||
Biotechnology (0.0%): | ||||||||
2,582 | Dyax Corp. CVR, Expires on 12/31/19*(a) | 8,262 | ||||||
|
| |||||||
Diversified Financial Services (0.0%): | ||||||||
2,411 | NewStar Financial, Inc., Expires on 12/31/49*(a) | 1,187 | ||||||
|
| |||||||
Media (0.0%): | ||||||||
9,820 | Media General, Inc. CVR, Expires on 12/31/49*(a) | 982 | ||||||
|
| |||||||
Total Rights (Cost $4,345) | 10,431 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (10.1%): | ||||||||
$ | 55,681,555 | AZL DFA U.S. Core Equity Fund Securities Lending Collateral Account(b) | $ | 55,681,555 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 55,681,555 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.3%): | ||||||||
1,668,534 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(c) | 1,668,534 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $1,668,534) | 1,668,534 | |||||||
|
| |||||||
Total Investment Securities (Cost $487,344,922) — | 605,365,256 | |||||||
Net other assets (liabilities) — (10.1)% | (55,734,601 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 549,630,655 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
CVR—Contingency Valued Rights
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018 was $54,234,358. |
(a) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.02% of the net assets of the Fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(c) | The rate represents the effective yield at June 30, 2018. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
24
AZL DFA U.S. Core Equity Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 487,344,922 | |||
|
| ||||
Investment securities, at value* | $ | 605,365,256 | |||
Cash | 2,718 | ||||
Interest and dividends receivable | 403,474 | ||||
Reclaims receivable | 826 | ||||
Prepaid expenses | 3,426 | ||||
|
| ||||
Total Assets | 605,775,700 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 65,534 | ||||
Payable for collateral received on loaned securities | 55,681,555 | ||||
Manager fees payable | 249,365 | ||||
Administration fees payable | 12,668 | ||||
Distribution fees payable | 115,446 | ||||
Custodian fees payable | 1,675 | ||||
Administrative and compliance services fees payable | 744 | ||||
Transfer agent fees payable | 488 | ||||
Trustee fees payable | 3,343 | ||||
Other accrued liabilities | 14,227 | ||||
|
| ||||
Total Liabilities | 56,145,045 | ||||
|
| ||||
Net Assets | $ | 549,630,655 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 392,844,197 | |||
Accumulated net investment income/(loss) | 8,497,483 | ||||
Accumulated net realized gains/(losses) from investment transactions | 30,268,641 | ||||
Net unrealized appreciation/(depreciation) on investments | 118,020,334 | ||||
|
| ||||
Net Assets | $ | 549,630,655 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 41,905,728 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.12 | |||
|
|
* | Includes securities on loan of $54,234,358. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 4,887,015 | |||
Income from securities lending | 112,953 | ||||
Foreign withholding tax | (741 | ) | |||
|
| ||||
Total Investment Income | 4,999,227 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,262,623 | ||||
Administration fees | 86,989 | ||||
Distribution fees | 707,068 | ||||
Custodian fees | 8,576 | ||||
Administrative and compliance services fees | 3,692 | ||||
Transfer agent fees | 2,445 | ||||
Trustee fees | 12,077 | ||||
Professional fees | 12,256 | ||||
Shareholder reports | 2,578 | ||||
Other expenses | 4,866 | ||||
|
| ||||
Total expenses before reductions | 3,103,170 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (735,354 | ) | |||
|
| ||||
Net expenses | 2,367,816 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,631,411 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 14,846,711 | ||||
Change in net unrealized appreciation/depreciation on investments | (710,512 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 14,136,199 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 16,767,610 | |||
|
|
See accompanying notes to the financial statements.
25
AZL DFA U.S. Core Equity Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,631,411 | $ | 5,964,403 | ||||||
Net realized gains/(losses) on investment transactions | 14,846,711 | 15,378,569 | ||||||||
Change in unrealized appreciation/depreciation on investments | (710,512 | ) | 87,380,355 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 16,767,610 | 108,723,327 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (6,644,057 | ) | |||||||
From net realized gains | — | (1,224,266 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (7,868,323 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 4,921,978 | 7,612,367 | ||||||||
Proceeds from dividends reinvested | — | 7,868,323 | ||||||||
Value of shares redeemed | (56,279,916 | ) | (114,202,622 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (51,357,938 | ) | (98,721,932 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (34,590,328 | ) | 2,133,072 | |||||||
Net Assets: | ||||||||||
Beginning of period | 584,220,983 | 582,087,911 | ||||||||
|
|
|
| |||||||
End of period | $ | 549,630,655 | $ | 584,220,983 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 8,497,483 | $ | 5,866,072 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 383,491 | 661,904 | ||||||||
Dividends reinvested | — | 666,807 | ||||||||
Shares redeemed | (4,277,408 | ) | (9,741,917 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,893,917 | ) | (8,413,206 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
26
AZL DFA U.S. Core Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 27, 2015 to December 31, 2015(a) | |||||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.76 | $ | 10.74 | $ | 9.49 | $ | 10.00 | ||||||||||||
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Investment Activities: | ||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.15 | 0.13 | 0.08 | ||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.29 | 2.04 | 1.21 | (0.59 | ) | |||||||||||||||
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Total from Investment Activities | 0.36 | 2.19 | 1.34 | (0.51 | ) | |||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||
Net Investment Income | — | (0.14 | ) | (0.09 | ) | — | ||||||||||||||
Net Realized Gains | — | (0.03 | ) | — | — | |||||||||||||||
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Total Dividends | — | (0.17 | ) | (0.09 | ) | — | ||||||||||||||
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Net Asset Value, End of Period | $ | 13.12 | $ | 12.76 | $ | 10.74 | $ | 9.49 | ||||||||||||
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Total Return(b) | 2.82 | %(c) | 20.45 | % | 14.25 | % | (5.10 | )%(c) | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 549,631 | $ | 584,221 | $ | 582,088 | $ | 557,576 | ||||||||||||
Net Investment Income/(Loss)(d) | 0.93 | % | 1.02 | % | 1.24 | % | 1.12 | % | ||||||||||||
Expenses Before Reductions(d)(e) | 1.10 | % | 1.10 | % | 1.10 | % | 1.12 | % | ||||||||||||
Expenses Net of Reductions(d) | 0.84 | % | 0.84 | % | 0.84 | % | 0.86 | % | ||||||||||||
Portfolio Turnover Rate | 1 | %(c) | 2 | % | 10 | % | 12 | %(c) |
(a) | For the period April 27, 2015 (commencement of operations) to December 31, 2015. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
27
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA U.S. Core Equity Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
28
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $46 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $11,072 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and | Less than 30 Days | Between 30 & 90 Days | Greater 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 55,579,983 | $ | 101,572 | $ | — | $ | — | $ | 55,681,555 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA U.S. Core Equity Fund | 0.80 | % | 1.20 | % |
* | The Manager voluntarily reduced the management fee to 0.54% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
29
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $2,603 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Common Stocks+ | $ | 548,004,736 | $ | — | $ | — | $ | 548,004,736 | ||||||||||||
Rights | — | 10,431 | — | 10,431 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 55,681,555 | 55,681,555 | ||||||||||||||||
Unaffiliated Investment Company | 1,668,534 | — | — | 1,668,534 | ||||||||||||||||
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Total Investments | $ | 549,673,270 | $ | 10,431 | $ | 55,681,555 | $ | 605,365,256 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
30
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA U.S. Core Equity Fund | $ | 8,114,702 | $ | 56,456,236 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $487,212,381. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 148,750,709 | ||
Unrealized (depreciation) | (30,597,834 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 118,152,875 | ||
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As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 6,644,057 | $ | 1,224,266 | $ | 7,868,323 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 6,440,607 | $ | 14,776,651 | $ | — | $ | 118,801,590 | $ | 140,018,848 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 75% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
31
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
32
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
33
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® DFA U.S. Small Cap Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 20 |
Page 20 |
Statements of Changes in Net Assets Page 21 |
Page 22 |
Notes to the Financial Statements Page 23 |
Page 27 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA U.S. Small Cap Fund
(Unaudited)
As a shareholder of the AZL DFA U.S. Small Cap Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,000.00 | $ | 1,051.60 | $ | 5.14 | 1.01 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,000.00 | $ | 1,019.81 | $ | 5.06 | 1.01 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 21.3 | % | |||
Industrials | 20.4 | ||||
Consumer Discretionary | 16.7 | ||||
Information Technology | 12.6 | ||||
Health Care | 7.9 | ||||
Materials | 5.7 | ||||
Energy | 5.3 | ||||
Utilities | 4.2 | ||||
Consumer Staples | 3.9 | ||||
Telecommunication Services | 1.1 | ||||
Real Estate | 0.7 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.8 | ||||
Rights | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 28.6 | ||||
Money Market | 0.3 | ||||
|
| ||||
Total Investment Securities | 128.7 | ||||
Net other assets (liabilities) | (28.7 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.8%): | ||||||||
Aerospace & Defense (1.7%): | ||||||||
1,397 | AAR Corp. | $ | 64,947 | |||||
10,367 | Aerojet Rocketdyne Holdings, Inc.*^ | 305,723 | ||||||
2,568 | AeroVironment, Inc.*^ | 183,432 | ||||||
1,402 | Air Industries Group, Inc.* | 2,524 | ||||||
5,128 | Arotech Corp.* | 19,230 | ||||||
2,915 | Astronics Corp.*^ | 104,853 | ||||||
5,148 | Axon Enterprise, Inc.*^ | 325,251 | ||||||
685 | CPI Aerostructures, Inc.* | 7,193 | ||||||
3,061 | Cubic Corp.^ | 196,516 | ||||||
305 | Curtiss-Wright Corp. | 36,301 | ||||||
766 | Ducommun, Inc.* | 25,347 | ||||||
3,343 | Engility Holdings, Inc.*^ | 102,430 | ||||||
1,175 | Esterline Technologies Corp.* | 86,715 | ||||||
3,376 | Innovative Solutions & Support, Inc.* | 9,824 | ||||||
6,646 | KLX, Inc.* | 477,846 | ||||||
11,071 | Kratos Defense & Security Solutions, Inc.* | 127,427 | ||||||
4,348 | Mercury Computer Systems, Inc.*^ | 165,485 | ||||||
4,347 | Moog, Inc., Class A | 338,892 | ||||||
947 | National Presto Industries, Inc.^ | 117,428 | ||||||
590 | Sparton Corp.* | 11,204 | ||||||
7,022 | The KEYW Holding Corp.*^ | 61,372 | ||||||
6,548 | Triumph Group, Inc.^ | 128,341 | ||||||
459 | Vectrus, Inc.* | 14,146 | ||||||
13,520 | WESCO Aircraft Holdings, Inc.*^ | 152,100 | ||||||
|
| |||||||
3,064,527 | ||||||||
|
| |||||||
Air Freight & Logistics (0.6%): | ||||||||
492 | Air T, Inc.* | 16,482 | ||||||
7,991 | Air Transport Services Group, Inc.* | 180,517 | ||||||
1,862 | Atlas Air Worldwide Holdings, Inc.*^ | 133,505 | ||||||
4,235 | Echo Global Logistics, Inc.* | 123,874 | ||||||
4,353 | Forward Air Corp. | 257,175 | ||||||
5,582 | Hub Group, Inc.* | 277,984 | ||||||
2,028 | Park-Ohio Holdings Corp. | 75,644 | ||||||
5,212 | Radiant Logistics, Inc.* | 20,379 | ||||||
|
| |||||||
1,085,560 | ||||||||
|
| |||||||
Airlines (0.4%): | ||||||||
2,342 | Allegiant Travel Co. | 325,420 | ||||||
7,320 | Hawaiian Holdings, Inc.^ | 263,154 | ||||||
1,113 | SkyWest, Inc. | 57,765 | ||||||
4,325 | Spirit Airlines, Inc.* | 157,214 | ||||||
|
| |||||||
803,553 | ||||||||
|
| |||||||
Auto Components (1.8%): | ||||||||
12,952 | American Axle & Manufacturing Holdings, Inc.*^ | 201,533 | ||||||
7,311 | Cooper Tire & Rubber Co.^ | 192,279 | ||||||
2,216 | Cooper-Standard Holding, Inc.* | 289,565 | ||||||
11,599 | Dana Holding Corp. | 234,184 | ||||||
4,979 | Dorman Products, Inc.*^ | 340,115 | ||||||
4,852 | Fox Factory Holding Corp.*^ | 225,861 | ||||||
5,653 | Gentherm, Inc.*^ | 222,163 | ||||||
3,680 | Horizon Global Corp.* | 21,933 | ||||||
3,713 | LCI Industries^ | 334,727 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
7,745 | Modine Manufacturing Co.* | $ | 141,346 | |||||
2,866 | Motorcar Parts of America, Inc.*^ | 53,623 | ||||||
1,992 | Shiloh Industries, Inc.* | 17,330 | ||||||
5,735 | Spartan Motors, Inc. | 86,599 | ||||||
3,444 | Standard Motor Products, Inc.^ | 166,483 | ||||||
3,162 | Stoneridge, Inc.* | 111,113 | ||||||
733 | Strattec Security Corp. | 22,393 | ||||||
4,822 | Tenneco, Inc. | 211,975 | ||||||
3,420 | Tower International, Inc. | 108,756 | ||||||
3,073 | Visteon Corp.* | 397,154 | ||||||
4,313 | VOXX International Corp.*^ | 23,290 | ||||||
|
| |||||||
3,402,422 | ||||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
4,607 | Winnebago Industries, Inc.^ | 187,044 | ||||||
|
| |||||||
Banks (12.8%): | ||||||||
1,584 | 1st Constitution Bancorp | 36,274 | ||||||
3,659 | 1st Source Corp. | 195,500 | ||||||
2,359 | Access National Corp. | 67,467 | ||||||
410 | ACNB Corp. | 13,961 | ||||||
551 | Allegiance Bancshares, Inc.*^ | 23,886 | ||||||
1,339 | American National Bankshares, Inc. | 53,560 | ||||||
346 | American River Bankshares | 5,484 | ||||||
4,578 | Ameris Bancorp | 244,236 | ||||||
1,649 | Ames National Corp. | 50,872 | ||||||
294 | Anchor Bancorp, Inc.*^ | 7,718 | ||||||
1,706 | Arrow Financial Corp.^ | 62,098 | ||||||
4,125 | Associated Banc-Corp. | 112,613 | ||||||
794 | Atlantic Capital Bancshares, Inc.* | 15,602 | ||||||
13 | Auburn National Bancorp, Inc. | 645 | ||||||
6,594 | Banc of California, Inc.^ | 128,913 | ||||||
4,614 | BancFirst Corp. | 273,149 | ||||||
772 | Bancorp of New Jersey, Inc. | 13,664 | ||||||
8,252 | Bancorp, Inc. (The)* | 86,316 | ||||||
11,527 | BancorpSouth Bank^ | 379,815 | ||||||
2,653 | Bank of Commerce Holdings | 33,826 | ||||||
3,143 | Bank of Hawaii Corp.^ | 262,189 | ||||||
1,095 | Bank of Marin Bancorp | 88,531 | ||||||
485 | Bank of South Carolina Corp. | 10,040 | ||||||
3,835 | Banner Corp. | 230,599 | ||||||
2,449 | Bar Harbor Bankshares | 74,180 | ||||||
595 | BCB Bancorp, Inc. | 8,925 | ||||||
4,723 | Berkshire Hills Bancorp, Inc.^ | 191,754 | ||||||
1,025 | Blue Hills BanCorp, Inc. | 22,755 | ||||||
10,650 | Boston Private Financial Holdings, Inc.^ | 169,335 | ||||||
2,206 | Bridge Bancorp, Inc. | 79,306 | ||||||
10,018 | Brookline Bancorp, Inc. | 186,335 | ||||||
2,266 | Bryn Mawr Bank Corp. | 104,916 | ||||||
74 | C&F Financial Corp. | 4,629 | ||||||
1,274 | California First National Bancorp | 20,129 | ||||||
2,359 | Camden National Corp. | 107,830 | ||||||
2,242 | Capital City Bank Group, Inc. | 52,978 | ||||||
1,218 | Carolina Financial Corp. | 52,277 |
Continued
2
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
9,831 | Cathay General Bancorp | $ | 398,057 | |||||
8,484 | Centerstate Banks, Inc. | 252,993 | ||||||
5,261 | Central Pacific Financial Corp. | 150,728 | ||||||
1,141 | Central Valley Community Bancorp | 24,144 | ||||||
511 | Century Bancorp, Inc. | 39,040 | ||||||
1,518 | Chemical Financial Corp.^ | 84,507 | ||||||
668 | Chemung Financial Corp. | 33,473 | ||||||
2,009 | Citizens & Northern Corp.^ | 51,953 | ||||||
261 | Citizens First Corp. | 6,930 | ||||||
718 | Citizens Holding Co. | 17,053 | ||||||
2,264 | City Holding Co.^ | 170,321 | ||||||
797 | Civista Bancshares, Inc. | 19,319 | ||||||
2,720 | CNB Financial Corp. | 81,763 | ||||||
5,330 | CoBiz Financial, Inc. | 114,488 | ||||||
78 | Codorus Valley Bancorp, Inc. | 2,393 | ||||||
56 | Colony Bankcorp, Inc. | 946 | ||||||
8,792 | Columbia Banking System, Inc.^ | 359,593 | ||||||
5,723 | Community Bank System, Inc.^ | 338,058 | ||||||
3,296 | Community Bankers Trust Corp.* | 29,499 | ||||||
2,232 | Community Trust Bancorp, Inc. | 111,488 | ||||||
525 | Community West Bancshares | 6,195 | ||||||
4,062 | ConnectOne Bancorp, Inc.^ | 101,144 | ||||||
4,048 | Customers Bancorp, Inc.* | 114,882 | ||||||
15,555 | CVB Financial Corp.^ | 348,743 | ||||||
130 | DNB Financial Corp. | 4,557 | ||||||
609 | Eagle Bancorp Montana, Inc. | 11,754 | ||||||
4,678 | Eagle Bancorp, Inc.* | 286,761 | ||||||
2,893 | Enterprise Financial Services Corp. | 156,077 | ||||||
300 | Equity Bancshares, Inc.* | 12,444 | ||||||
534 | Evans Bancorp, Inc. | 24,617 | ||||||
2,394 | F.N.B. Corp.^ | 32,127 | ||||||
1,103 | Farmers Capital Bank Corp. | 57,466 | ||||||
2,582 | Farmers National Banc Corp. | 41,183 | ||||||
242 | Fauquier Bankshares, Inc. | 5,130 | ||||||
819 | FCB Financial Holdings, Inc.* | 48,157 | ||||||
3,915 | Fidelity Southern Corp. | 99,480 | ||||||
2,609 | Financial Institutions, Inc. | 85,836 | ||||||
3,866 | First Bancorp | 158,158 | ||||||
28,440 | First Bancorp* | 217,566 | ||||||
2,165 | First Bancorp, Inc. | 61,096 | ||||||
965 | First Bancshares, Inc. (The) | 34,692 | ||||||
5,871 | First Busey Corp. | 186,228 | ||||||
940 | First Business Financial Services, Inc. | 24,440 | ||||||
3,144 | First Commonwealth Financial Corp. | 48,763 | ||||||
2,514 | First Community Bankshares | 80,096 | ||||||
2,274 | First Connecticut Bancorp, Inc. | 69,584 | ||||||
11,645 | First Financial Bancorp | 356,919 | ||||||
9,006 | First Financial Bankshares, Inc.^ | 458,404 | ||||||
1,800 | First Financial Corp. | 81,630 | ||||||
1,717 | First Financial Northwest, Inc. | 33,516 | ||||||
2,578 | First Foundation, Inc.* | 47,796 | ||||||
1,564 | First Hawaiian, Inc. | 45,387 | ||||||
4,458 | First Interstate BancSystem, Class A^ | 188,128 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
6,064 | First Merchants Corp. | $ | 281,370 | |||||
320 | First Mid-Illinois Bancshares, Inc. | 12,576 | ||||||
12,142 | First Midwest Bancorp, Inc. | 309,257 | ||||||
3,897 | First of Long Island Corp. (The) | 96,840 | ||||||
28 | First Savings Financial Group | 2,058 | ||||||
234 | First United Corp. | 4,785 | ||||||
908 | First US Bancshares, Inc.^ | 10,578 | ||||||
3,766 | Flushing Financial Corp. | 98,293 | ||||||
601 | Franklin Financial Network, Inc.* | 22,598 | ||||||
20,584 | Fulton Financial Corp. | 339,636 | ||||||
3,270 | German American Bancorp, Inc.^ | 117,230 | ||||||
9,924 | Glacier Bancorp, Inc.^ | 383,860 | ||||||
2,005 | Great Southern Bancorp, Inc. | 114,686 | ||||||
2,384 | Great Western Bancorp, Inc. | 100,104 | ||||||
1,393 | Green BanCorp, Inc. | 30,089 | ||||||
3,376 | Guaranty Bancorp | 100,605 | ||||||
782 | Hancock Holding Co. | 36,480 | ||||||
4,853 | Hanmi Financial Corp. | 137,583 | ||||||
846 | Harborone BanCorp, Inc.* | 16,023 | ||||||
41 | Hawthorn Bancshares, Inc. | 888 | ||||||
3,898 | Heartland Financial USA, Inc.^ | 213,805 | ||||||
4,457 | Heritage Financial Corp. | 155,326 | ||||||
5,806 | Hertiage Commerce Corp. | 98,644 | ||||||
15,083 | Hilltop Holdings, Inc. | 332,882 | ||||||
3,048 | Home Bancshares, Inc.^ | 68,763 | ||||||
2,818 | Hometrust Bancshares, Inc.* | 79,327 | ||||||
16,788 | Hope BanCorp, Inc.^ | 299,330 | ||||||
4,456 | Horizon Bancorp | 92,195 | ||||||
508 | IBERIABANK Corp. | 38,506 | ||||||
3,081 | Independent Bank Corp.^ | 241,550 | ||||||
3,196 | Independent Bank Group, Inc. | 213,493 | ||||||
7,972 | International Bancshares Corp. | 341,202 | ||||||
6,091 | Lakeland Bancorp, Inc. | 120,906 | ||||||
3,599 | Lakeland Financial Corp.^ | 173,436 | ||||||
782 | Landmark Bancorp, Inc. | 22,287 | ||||||
1,512 | LCNB Corp. | 29,786 | ||||||
6,617 | LegacyTexas Financial Group, Inc. | 258,195 | ||||||
1,000 | Limestone Bancorp, Inc.* | 15,250 | ||||||
5,225 | Macatawa Bank Corp. | 63,432 | ||||||
1,048 | Mackinac Financial Corp.^ | 17,376 | ||||||
5,099 | MB Financial, Inc. | 238,123 | ||||||
1,565 | MBT Financial Corp. | 16,667 | ||||||
2,659 | Mercantile Bank Corp. | 98,277 | ||||||
442 | Midland States BanCorp, Inc.^ | 15,143 | ||||||
1,441 | MidWestone Financial Group, Inc. | 48,677 | ||||||
892 | MutualFirst Financial, Inc. | 33,673 | ||||||
4,074 | National Bank Holdings Corp. | 157,216 | ||||||
1,069 | National Bankshares, Inc. | 49,602 | ||||||
410 | National Commerce Corp.* | 18,983 | ||||||
5,239 | NBT Bancorp, Inc.^ | 199,868 | ||||||
378 | Nicolet Bankshares, Inc.* | 20,832 | ||||||
1,136 | Northeast Bancorp^ | 24,765 |
Continued
3
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
657 | Northrim Bancorp, Inc. | $ | 25,984 | |||||
609 | Norwood Financial Corp. | 21,936 | ||||||
7,468 | OFG Bancorp | 104,925 | ||||||
183 | Ohio Valley Banc Corp. | 9,598 | ||||||
2,587 | Old Line Bancshares, Inc. | 90,312 | ||||||
18,186 | Old National Bancorp | 338,260 | ||||||
1,004 | Old Point Financial Corp. | 28,975 | ||||||
3,314 | Old Second Bancorp, Inc. | 47,722 | ||||||
1,178 | Opus Bank | 33,809 | ||||||
1,398 | Orrstown Financial Services, Inc. | 36,348 | ||||||
1,718 | Pacific Mercantile Bancorp* | 16,751 | ||||||
4,430 | Pacific Premier Bancorp, Inc.* | 169,005 | ||||||
2,017 | Park National Corp. | 224,734 | ||||||
1,488 | Parke Bancorp, Inc. | 35,191 | ||||||
2,884 | Peapack-Gladstone Financial Corp. | 99,758 | ||||||
968 | Penns Woods Bancorp, Inc. | 43,347 | ||||||
434 | Peoples Bancorp of NC | 13,901 | ||||||
3,066 | Peoples Bancorp, Inc. | 115,833 | ||||||
452 | People’s Utah BanCorp | 16,136 | ||||||
3,073 | Popular, Inc. | 138,930 | ||||||
2,285 | Preferred Bank Los Angeles^ | 140,436 | ||||||
1,193 | Premier Financial Bancorp, Inc. | 22,273 | ||||||
1,118 | QCR Holdings, Inc. | 53,049 | ||||||
5,547 | Renasant Co. | 252,499 | ||||||
2,499 | Republic Bancorp, Inc., Class A | 113,205 | ||||||
6,466 | Republic First Bancorp, Inc.* | 50,758 | ||||||
3,965 | S & T Bancorp, Inc.^ | 171,447 | ||||||
320 | Salisbury Bancorp, Inc. | 14,304 | ||||||
4,027 | Sandy Spring Bancorp, Inc. | 165,147 | ||||||
552 | SB Financial Group, Inc. | 11,217 | ||||||
625 | SB One BanCorp | 18,563 | ||||||
5,405 | Seacoast Banking Corp.* | 170,690 | ||||||
1,252 | Select Bancorp, Inc.* | 16,864 | ||||||
3,209 | ServisFirst Bancshares, Inc.^ | 133,912 | ||||||
2,325 | Shore Bancshares, Inc. | 44,222 | ||||||
2,333 | Sierra Bancorp | 65,884 | ||||||
11,360 | Simmons First National Corp., Class A | 339,664 | ||||||
4,213 | South State Corp. | 363,371 | ||||||
562 | Southern First Bancshares, Inc.* | 24,840 | ||||||
2,309 | Southern National Bancorp^ | 41,193 | ||||||
4,453 | Southside Bancshares, Inc.^ | 149,977 | ||||||
88 | Southwest Georgia Financial Corp. | 1,998 | ||||||
4,994 | State Bank Financial Corp. | 166,800 | ||||||
22,814 | Sterling Bancorp^ | 536,128 | ||||||
690 | Stewardship Financial Corp. | 8,039 | ||||||
3,509 | Stock Yards Bancorp, Inc.^ | 133,868 | ||||||
682 | Summit Financial Group, Inc. | 18,305 | ||||||
1,203 | Summit State Bank | 18,586 | ||||||
18,213 | TCF Financial Corp. | 448,403 | ||||||
535 | Texas Capital Bancshares, Inc.*^ | 48,953 | ||||||
2,166 | Tompkins Financial Corp. | 186,016 | ||||||
8,934 | TowneBank^ | 286,781 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
3,566 | TriCo Bancshares | $ | 133,547 | |||||
4,406 | Tristate Capital Holdings, Inc.*^ | 114,997 | ||||||
598 | Triumph BanCorp, Inc.* | 24,369 | ||||||
8,369 | Trustmark Corp.^ | 273,080 | ||||||
98 | Two River Bancorp | 1,875 | ||||||
3,397 | UMB Financial Corp. | 258,953 | ||||||
6,555 | Union Bankshares Corp. | 254,858 | ||||||
249 | Union Bankshares, Inc. | 12,923 | ||||||
450 | United Bancshares, Inc. | 10,238 | ||||||
4,192 | United Bankshares, Inc.^ | 152,589 | ||||||
3,612 | United Community Banks, Inc. | 110,780 | ||||||
916 | United Security Bancshares | 10,259 | ||||||
42 | Unity Bancorp, Inc. | 956 | ||||||
3,568 | Univest Corp. | 98,120 | ||||||
10,150 | Valley National Bancorp^ | 123,424 | ||||||
1,164 | Veritex Holdings, Inc.*^ | 36,165 | ||||||
2,567 | Washington Trust Bancorp | 149,143 | ||||||
127 | Wellesley Bank | 4,293 | ||||||
5,611 | WesBanco, Inc.^ | 252,719 | ||||||
2,380 | West Bancorp | 59,857 | ||||||
3,781 | Westamerica Bancorp^ | 213,664 | ||||||
460 | Wintrust Financial Corp. | 40,043 | ||||||
|
| |||||||
23,466,764 | ||||||||
|
| |||||||
Beverages (0.3%): | ||||||||
547 | Boston Beer Co., Inc. (The), Class A* | 163,936 | ||||||
1,011 | Coca-Cola Bottling Co. Consolidated | 136,616 | ||||||
1,920 | Craft Brewers Alliance, Inc.* | 39,648 | ||||||
2,640 | MGP Ingredients, Inc.^ | 234,458 | ||||||
1,846 | Primo Water Corp.* | 32,287 | ||||||
985 | Willamette Valley Vineyards, Inc.* | 8,422 | ||||||
|
| |||||||
615,367 | ||||||||
|
| |||||||
Biotechnology (1.2%): | ||||||||
8,857 | Achillion Pharmaceuticals, Inc.* | 25,065 | ||||||
4,449 | Acorda Therapeutics, Inc.*^ | 127,686 | ||||||
3,308 | Adverum Biotechnologies, Inc.* | 17,532 | ||||||
1,905 | Alder Biopharmaceuticals, Inc.* | 30,099 | ||||||
1,397 | AMAG Pharmaceuticals, Inc.*^ | 27,242 | ||||||
3,846 | Aptevo Therapeutics, Inc.* | 19,192 | ||||||
409 | Atara Biotherapeutics, Inc.* | 15,031 | ||||||
1,280 | Biospecifics Technologies Corp.* | 57,421 | ||||||
6,042 | Celldex Theraputics, Inc.* | 3,043 | ||||||
1,958 | ChemoCentryx, Inc.* | 25,787 | ||||||
4,691 | Chimerix, Inc.* | 22,329 | ||||||
1,046 | Concert Pharmaceuticals, Inc.* | 17,604 | ||||||
5,621 | Emergent Biosolutions, Inc.* | 283,804 | ||||||
2,302 | Enanta Pharmaceuticals, Inc.* | 266,802 | ||||||
2,224 | Five Prime Therapeutics, Inc.*^ | 35,161 | ||||||
3,181 | Halozyme Therapeutics, Inc.*^ | 53,663 | ||||||
592 | ImmuCell Corp.* | 4,037 | ||||||
2,838 | Karyopharm Therapeutics, Inc.* | 48,218 | ||||||
2,769 | Kindred Biosciences, Inc.* | 29,490 |
Continued
4
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
742 | Ligand Pharmaceuticals, Inc., Class B*^ | $ | 153,720 | |||||
1,612 | Macrogenics, Inc.*^ | 33,288 | ||||||
3,803 | Mimedx Group, Inc.* | 24,301 | ||||||
2,100 | Mirati Therapeutics, Inc.* | 103,530 | ||||||
9,783 | Myriad Genetics, Inc.* | 365,591 | ||||||
19,735 | OPKO Health, Inc.*^ | 92,755 | ||||||
2,308 | Otonomy, Inc.* | 8,886 | ||||||
19,091 | PDL BioPharma, Inc.*^ | 44,673 | ||||||
1,429 | Pfenex, Inc.* | 7,731 | ||||||
721 | Prothena Corp. plc*^ | 10,512 | ||||||
1,357 | Recro Pharma, Inc.*^ | 6,812 | ||||||
858 | Repligen Corp.*^ | 40,360 | ||||||
3,247 | Retrophin, Inc.* | 88,513 | ||||||
2,100 | Spectrum Pharmaceuticals, Inc.*^ | 44,016 | ||||||
1,000 | Syndax Pharmaceuticals, Inc.*^ | 7,020 | ||||||
7,380 | Trevena, Inc.* | 10,627 | ||||||
6,962 | Verastem, Inc.*^ | 47,899 | ||||||
3,399 | Zafgen, Inc.* | 34,772 | ||||||
|
| |||||||
2,234,212 | ||||||||
|
| |||||||
Building Products (1.9%): | ||||||||
7,376 | AAON, Inc.^ | 245,252 | ||||||
5,005 | Advanced Drainage Systems, Inc.^ | 142,893 | ||||||
2,533 | American Woodmark Corp.* | 231,896 | ||||||
4,114 | Apogee Enterprises, Inc.^ | 198,171 | ||||||
3,226 | Armstrong Flooring, Inc.* | 45,293 | ||||||
6,018 | Armstrong World Industries, Inc.* | 380,338 | ||||||
14,981 | Builders FirstSource, Inc.* | 274,002 | ||||||
1,725 | Continental Building Products, Inc.* | 54,424 | ||||||
308 | Continental Materials Corp.* | 4,959 | ||||||
815 | Csw Industrials, Inc.* | 43,073 | ||||||
1,117 | Gibraltar Industries, Inc.* | 41,888 | ||||||
2,794 | Insteel Industries, Inc.^ | 93,320 | ||||||
10,561 | NCI Building Systems, Inc.* | 221,781 | ||||||
3,771 | Patrick Industries, Inc.*^ | 214,381 | ||||||
7,162 | PGT, Inc.* | 149,328 | ||||||
4,793 | Quanex Building Products Corp.^ | 86,034 | ||||||
7,059 | Simpson Manufacturing Co., Inc. | 438,999 | ||||||
8,576 | Trex Co., Inc.* | 536,771 | ||||||
1,413 | Universal Forest Products, Inc. | 51,744 | ||||||
|
| |||||||
3,454,547 | ||||||||
|
| |||||||
Capital Markets (1.3%): | ||||||||
3,202 | Artisan Partners Asset Management, Inc., Class A | 96,540 | ||||||
6,577 | BGC Partners, Inc., Class A | 74,452 | ||||||
5,851 | BrightSphere Investment Group plc | 83,435 | ||||||
6,803 | Cohen & Steers, Inc.^ | 283,752 | ||||||
473 | Diamond Hill Investment Group | 91,965 | ||||||
2,638 | Donnelley Financial Solutions, Inc.* | 45,822 | ||||||
7,007 | Federated Investors, Inc., Class B | 163,403 | ||||||
3,639 | Financial Engines, Inc. | 163,391 | ||||||
8,015 | Gain Capital Holdings, Inc. | 60,513 | ||||||
1,201 | GAMCO Investors, Inc., Class A | 32,139 | ||||||
3,795 | Greenhill & Co., Inc. | 107,778 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
260 | Hamilton Lane, Inc. | $ | 12,472 | |||||
211 | Hennessy Advisors, Inc. | 3,661 | ||||||
1,116 | Houlihan Lokey, Inc. | 57,162 | ||||||
2,999 | Interactive Brokers Group, Inc., Class A | 193,166 | ||||||
2,101 | INTL FCStone, Inc.* | 108,643 | ||||||
1,911 | Investment Technology Group, Inc. | 39,978 | ||||||
31,437 | Ladenburg Thalmann Financial Services, Inc. | 106,886 | ||||||
222 | LPL Financial Holdings, Inc. | 14,550 | ||||||
2,775 | Manning & Napier, Inc.^ | 8,603 | ||||||
1,649 | Moelis & Co., Class A^ | 96,714 | ||||||
795 | Morningstar, Inc. | 101,959 | ||||||
1,741 | Oppenheimer Holdings, Class A | 48,748 | ||||||
1,221 | PJT Partners, Inc.^ | 65,189 | ||||||
2,624 | Pzena Investment Management, Inc. | 24,167 | ||||||
3,824 | Safeguard Scientifics, Inc.* | 48,947 | ||||||
1,619 | Silvercrest Asset Management Group, Inc., Class A | 26,390 | ||||||
679 | Stifel Financial Corp. | 35,478 | ||||||
207 | Value Line, Inc.^ | 4,906 | ||||||
345 | Virtus Investment Partners, Inc. | 44,143 | ||||||
1,478 | Westwood Holdings, Inc. | 88,000 | ||||||
18,068 | WisdomTree Investments, Inc.^ | 164,057 | ||||||
|
| |||||||
2,497,009 | ||||||||
|
| |||||||
Chemicals (2.7%): | ||||||||
4,314 | A. Schulman, Inc. | 191,973 | ||||||
3,852 | Advansix, Inc.* | 141,099 | ||||||
1,429 | Agrofresh Solutions, Inc.* | 10,017 | ||||||
4,305 | American Vanguard Corp. | 98,800 | ||||||
4,463 | Balchem Corp. | 438,000 | ||||||
3,659 | Cabot Corp. | 226,016 | ||||||
1,192 | Chase Corp. | 139,762 | ||||||
1,403 | Core Molding Technologies, Inc. | 20,035 | ||||||
2,886 | Ferro Corp.* | 60,173 | ||||||
2,318 | Flotek Industries, Inc.*^ | 7,487 | ||||||
7,277 | Futurefuel Corp. | 101,951 | ||||||
3,321 | GCP Applied Technologies, Inc.* | 96,143 | ||||||
5,688 | H.B. Fuller Co. | 305,332 | ||||||
1,335 | Hawkins, Inc. | 47,192 | ||||||
796 | Ingevity Corp.* | 64,365 | ||||||
2,429 | Innophos Holdings, Inc. | 115,620 | ||||||
3,359 | Innospec, Inc. | 257,131 | ||||||
14,475 | Intrepid Potash, Inc.*^ | 59,348 | ||||||
2,103 | KMG Chemicals, Inc. | 155,159 | ||||||
638 | Koppers Holdings, Inc.* | 24,467 | ||||||
4,651 | Kraton Performance Polymers, Inc.* | 214,597 | ||||||
6,883 | Kronos Worldwide, Inc. | 155,074 | ||||||
4,373 | LSB Industries, Inc.* | 23,177 | ||||||
5,078 | Minerals Technologies, Inc. | 382,628 | ||||||
893 | Northern Technologies International Corp. | 31,969 | ||||||
6,607 | Omnova Solutions, Inc.* | 68,713 | ||||||
18,384 | Platform Speciality Products Corp.* | 213,254 | ||||||
3,797 | PolyOne Corp. | 164,106 | ||||||
1,959 | Quaker Chemical Corp. | 303,390 |
Continued
5
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
5,893 | Rayonier Advanced Materials, Inc. | $ | 100,711 | |||||
1,833 | Sensient Technologies Corp.^ | 131,151 | ||||||
2,991 | Stepan Co. | 233,328 | ||||||
3,421 | Trecora Resources*^ | 50,802 | ||||||
1,788 | Tredegar Corp. | 42,018 | ||||||
2,135 | Trinseo SA | 151,478 | ||||||
10,917 | Tronox, Ltd., Class A | 214,847 | ||||||
|
| |||||||
5,041,313 | ||||||||
|
| |||||||
Commercial Services & Supplies (3.4%): | ||||||||
7,546 | ABM Industries, Inc.^ | 220,192 | ||||||
16,494 | ACCO Brands Corp. | 228,442 | ||||||
675 | Acme United Corp. | 14,006 | ||||||
462 | Advanced Disposal Services, Inc.* | 11,448 | ||||||
1,580 | AMREP Corp.*^ | 11,171 | ||||||
8,754 | ARC Document Solutions, Inc.* | 15,495 | ||||||
6,658 | Brady Corp., Class A | 256,666 | ||||||
4,155 | Brink’s Co. (The) | 331,360 | ||||||
6,301 | Casella Waste Systems, Inc.* | 161,369 | ||||||
5,965 | CECO Environmental Corp. | 36,625 | ||||||
5,239 | Civeo Corp.*^ | 22,842 | ||||||
2,332 | Clean Harbors, Inc.* | 129,543 | ||||||
325 | CompX International, Inc. | 4,290 | ||||||
19,019 | Covanta Holding Corp.^ | 313,813 | ||||||
1,356 | Deluxe Corp.^ | 89,781 | ||||||
535 | Ecology and Environment, Inc., Class A | 6,661 | ||||||
1,100 | Ennis, Inc.^ | 22,385 | ||||||
6,386 | Essendant, Inc. | 84,423 | ||||||
3,351 | Healthcare Services Group, Inc.^ | 144,730 | ||||||
8,377 | Herman Miller, Inc. | 283,980 | ||||||
6,253 | HNI Corp.^ | 232,612 | ||||||
3,277 | Hudson Technologies, Inc.*^ | 6,587 | ||||||
5,892 | InnerWorkings, Inc.* | 51,201 | ||||||
9,267 | Interface, Inc. | 212,678 | ||||||
5,879 | Kimball International, Inc., Class B | 95,005 | ||||||
7,373 | Knoll, Inc. | 153,432 | ||||||
1,430 | LSC Communications, Inc. | 22,394 | ||||||
4,706 | Matthews International Corp., Class A^ | 276,713 | ||||||
3,955 | McGrath Rentcorp | 250,233 | ||||||
5,923 | Mobile Mini, Inc. | 277,789 | ||||||
4,018 | MSA Safety, Inc. | 387,093 | ||||||
2,406 | Multi-Color Corp.^ | 155,548 | ||||||
2,566 | NL Industries, Inc.* | 22,324 | ||||||
2,198 | Perma-Fix Environmental Services, Inc.* | 9,891 | ||||||
4,293 | Pitney Bowes, Inc. | 36,791 | ||||||
5,379 | Quad Graphics, Inc.^ | 112,045 | ||||||
1,787 | RR Donnelley & Sons Co.^ | 10,293 | ||||||
3,757 | SP Plus Corp.* | 139,760 | ||||||
11,600 | Steelcase, Inc., Class A | 156,600 | ||||||
5,115 | Team, Inc.*^ | 118,157 | ||||||
7,581 | Tetra Tech, Inc. | 443,488 | ||||||
1,723 | UniFirst Corp. | 304,799 | ||||||
3,362 | US Ecology, Inc. | 214,159 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
3,364 | Virco Manufacturing Co. | $ | 14,970 | |||||
1,477 | Vse Corp. | 70,571 | ||||||
|
| |||||||
6,164,355 | ||||||||
|
| |||||||
Communications Equipment (1.5%): | ||||||||
7,162 | ADTRAN, Inc.^ | 106,356 | ||||||
1,444 | Applied Optoelectronics, Inc.* | 64,836 | ||||||
254 | Bel Fuse, Inc., Class A | 5,436 | ||||||
1,595 | Bel Fuse, Inc., Class B | 33,336 | ||||||
900 | BK Technologies, Inc. | 3,330 | ||||||
2,711 | Black Box Corp.* | 5,490 | ||||||
5,439 | CalAmp Corp.*^ | 127,436 | ||||||
7,919 | Calix, Inc.* | 61,768 | ||||||
12,737 | Ciena Corp.*^ | 337,657 | ||||||
980 | Clearfield, Inc.* | 10,829 | ||||||
1,808 | ClearOne, Inc. | 6,961 | ||||||
316 | Communications Systems, Inc. | 1,204 | ||||||
2,902 | Comtech Telecommunications Corp. | 92,516 | ||||||
2,559 | Digi International, Inc.* | 33,779 | ||||||
6,028 | EMCORE Corp.*^ | 30,441 | ||||||
1,369 | Extreme Networks, Inc.* | 10,897 | ||||||
13,656 | Finisar Corp.* | 245,808 | ||||||
12,360 | Harmonic, Inc.*^ | 52,530 | ||||||
6,890 | Infinera Corp.* | 68,418 | ||||||
4,172 | InterDigital, Inc. | 337,514 | ||||||
3,225 | KVH Industries, Inc.* | 43,215 | ||||||
2,668 | Lumentum Holdings, Inc.*^ | 154,477 | ||||||
3,608 | NETGEAR, Inc.*^ | 225,500 | ||||||
7,359 | NetScout Systems, Inc.*^ | 218,562 | ||||||
2,391 | Network-1 Technologies, Inc. | 7,412 | ||||||
4,083 | Oclaro, Inc.* | 36,461 | ||||||
131 | Optical Cable Corp.* | 517 | ||||||
4,065 | Plantronics, Inc. | 309,956 | ||||||
6,923 | Ribbon Communications, Inc.* | 49,292 | ||||||
1,207 | ViaSat, Inc.* | 79,324 | ||||||
8,844 | Viavi Solutions, Inc.* | 90,563 | ||||||
|
| |||||||
2,851,821 | ||||||||
|
| |||||||
Construction & Engineering (1.3%): | ||||||||
4,275 | Ameresco, Inc., Class A* | 51,300 | ||||||
1,970 | Argan, Inc. | 80,672 | ||||||
5,817 | Comfort Systems USA, Inc. | 266,419 | ||||||
4,203 | Dycom Industries, Inc.*^ | 397,227 | ||||||
1,913 | EMCOR Group, Inc. | 145,732 | ||||||
6,146 | Granite Construction, Inc.^ | 342,086 | ||||||
2,621 | Great Lakes Dredge & Dock Co.*^ | 13,760 | ||||||
1,979 | IES Holdings, Inc.*^ | 33,148 | ||||||
19,282 | KBR, Inc. | 345,533 | ||||||
1,539 | MasTec, Inc.*^ | 78,104 | ||||||
2,719 | MYR Group, Inc.* | 96,416 | ||||||
1,479 | Northwest Pipe Co.*^ | 28,648 | ||||||
1,180 | NV5 Holdings, Inc.*^ | 81,774 | ||||||
5,203 | Orion Marine Group, Inc.* | 42,977 | ||||||
1,563 | Primoris Services Corp. | 42,560 |
Continued
6
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
3,151 | Sterling Construction Co., Inc.* | $ | 41,058 | |||||
4,317 | The Goldfield Corp.* | 18,347 | ||||||
776 | Tutor Perini Corp.*^ | 14,317 | ||||||
2,416 | Valmont Industries, Inc. | 364,212 | ||||||
|
| |||||||
2,484,290 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
4,132 | Summit Materials, Inc., Class A*^ | 108,465 | ||||||
2,142 | U.S. Concrete, Inc.*^ | 112,455 | ||||||
720 | U.S. Lime & Minerals, Inc. | 60,408 | ||||||
|
| |||||||
281,328 | ||||||||
|
| |||||||
Consumer Finance (1.1%): | ||||||||
195 | Asta Funding, Inc. | 673 | ||||||
2,191 | Atlanticus Holdings Corp.* | 4,535 | ||||||
5,088 | Consumer Portfolio Services, Inc.* | 20,708 | ||||||
3,868 | Encore Capital Group, Inc.*^ | 141,569 | ||||||
5,261 | Enova International, Inc.* | 192,290 | ||||||
8,075 | EZCORP, Inc., Class A*^ | 97,304 | ||||||
5,768 | Firstcash, Inc. | 518,254 | ||||||
3,061 | Green Dot Corp., Class A* | 224,647 | ||||||
10,795 | LendingClub Corp.*^ | 40,913 | ||||||
14,462 | Navient Corp. | 188,440 | ||||||
4,135 | Nelnet, Inc., Class A | 241,525 | ||||||
1,556 | Nicholas Financial, Inc.* | 14,315 | ||||||
6,226 | PRA Group, Inc.*^ | 240,012 | ||||||
1,376 | Regional Mgmt Corp.* | 48,188 | ||||||
1,276 | World Acceptance Corp.* | 141,649 | ||||||
|
| |||||||
2,115,022 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
3,300 | Greif, Inc., Class A | 174,536 | ||||||
1,290 | Greif, Inc., Class B | 74,304 | ||||||
5,009 | Myers Industries, Inc. | 96,173 | ||||||
5,954 | Owens-Illinois, Inc.* | 100,087 | ||||||
4,520 | Silgan Holdings, Inc. | 121,272 | ||||||
1,332 | UFP Technologies, Inc.* | 41,092 | ||||||
|
| |||||||
607,464 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
12 | AMCON Distributing Co. | 1,056 | ||||||
5,693 | Core Markt Holdngs Co., Inc. | 129,231 | ||||||
813 | Educational Development Corp. | 15,244 | ||||||
1,655 | Weyco Group, Inc. | 60,242 | ||||||
|
| |||||||
205,773 | ||||||||
|
| |||||||
Diversified Consumer Services (1.2%): | ||||||||
6,497 | Adtalem Global Education, Inc.* | 312,505 | ||||||
2,153 | American Public Education, Inc.* | 90,641 | ||||||
1,526 | Ascent Capital Group, Inc.* | 4,288 | ||||||
3,362 | Bridgepoint Education, Inc.* | 21,954 | ||||||
6,775 | Cambium Learning Group, Inc.* | 75,541 | ||||||
1,825 | Capella Education Co. | 180,128 | ||||||
8,806 | Career Education Corp.* | 142,393 | ||||||
2,338 | Carriage Services, Inc. | 57,398 | ||||||
1,667 | Collectors Universe, Inc.^ | 24,572 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services, continued | ||||||||
271 | Graham Holdings Co., Class B | $ | 158,833 | |||||
926 | Grand Canyon Education, Inc.* | 103,351 | ||||||
4,931 | Houghton Mifflin Harcourt Co.* | 37,722 | ||||||
5,615 | K12, Inc.* | 91,918 | ||||||
1,977 | Laureate Education, Inc.* | 28,330 | ||||||
2,183 | Liberty Tax, Inc.^ | 17,628 | ||||||
2,561 | Regis Corp.* | 42,359 | ||||||
6,837 | Sotheby’s*^ | 371,522 | ||||||
1,599 | Strayer Education, Inc. | 180,703 | ||||||
5,156 | Universal Technical Institute, Inc.* | 16,241 | ||||||
2,086 | Weight Watchers International, Inc.*^ | 210,895 | ||||||
|
| |||||||
2,168,922 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
1,617 | Marlin Business Services, Inc. | 48,268 | ||||||
3,566 | PICO Holdings, Inc.^ | 41,544 | ||||||
2,849 | Tiptree Financial, Inc., Class A^ | 19,373 | ||||||
|
| |||||||
109,185 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.7%): | ||||||||
2,311 | ATN International, Inc.^ | 121,951 | ||||||
7,179 | Cincinnati Bell, Inc.* | 112,710 | ||||||
6,360 | Cogent Communications Group, Inc. | 339,625 | ||||||
5,491 | Consolidated Communications Holdings, Inc.^ | 67,869 | ||||||
2,168 | Hawaiian Telcom Holdco, Inc.* | 62,699 | ||||||
4,115 | IDT Corp. | 23,126 | ||||||
6,073 | Intelsat S.A.* | 101,176 | ||||||
13,452 | Iridium Communications, Inc.* | 216,577 | ||||||
8,713 | Orbcomm, Inc.*^ | 88,001 | ||||||
13,169 | Vonage Holdings Corp.* | 169,748 | ||||||
|
| |||||||
1,303,482 | ||||||||
|
| |||||||
Electric Utilities (1.1%): | ||||||||
3,762 | ALLETE, Inc. | 291,216 | ||||||
5,690 | El Paso Electric Co. | 336,279 | ||||||
3,043 | Genie Energy, Ltd., Class B | 15,093 | ||||||
5,661 | Hawaiian Electric Industries, Inc.^ | 194,172 | ||||||
649 | IDA Corp., Inc. | 59,864 | ||||||
5,326 | MGE Energy, Inc. | 335,804 | ||||||
5,364 | Otter Tail Power Co. | 255,326 | ||||||
11,312 | PNM Resources, Inc. | 440,038 | ||||||
4,234 | Portland General Electric Co. | 181,046 | ||||||
|
| |||||||
2,108,838 | ||||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
1,259 | Allied Motion Technologies, Inc. | 60,281 | ||||||
634 | Atkore International Group, Inc.* | 13,168 | ||||||
3,308 | AZZ, Inc. | 143,733 | ||||||
14,588 | Babcock & Wilcox Enterprises, Inc.*^ | 34,719 | ||||||
2,636 | Encore Wire Corp. | 125,078 | ||||||
5,838 | EnerSys | 435,749 | ||||||
411 | Espey Manufacturing & Electronics Corp.^ | 11,028 | ||||||
2,200 | Fuelcell Energy, Inc.*^ | 2,904 | ||||||
3,351 | Generac Holdings, Inc.* | 173,347 | ||||||
4,534 | LSI Industries, Inc. | 24,212 |
Continued
7
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
53 | Pioneer Power Solutions, Inc.*^ | $ | 273 | |||||
569 | Powell Industries, Inc. | 19,818 | ||||||
864 | Preformed Line Products Co. | 76,706 | ||||||
3,194 | Regal-Beloit Corp. | 261,269 | ||||||
75 | Servotronics, Inc. | 687 | ||||||
5,525 | Thermon Group Holdings, Inc.* | 126,357 | ||||||
3,104 | Ultralife Corp.* | 29,798 | ||||||
|
| |||||||
1,539,127 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.9%): | ||||||||
2,011 | ADDvantage Technologies Group, Inc.* | 2,634 | ||||||
994 | Agilysys, Inc.* | 15,407 | ||||||
3,997 | Anixter International, Inc.* | 253,010 | ||||||
13,908 | AVX Corp. | 217,938 | ||||||
3,861 | Badger Meter, Inc.^ | 172,587 | ||||||
1,972 | Belden, Inc.^ | 120,529 | ||||||
896 | Benchmark Electronics, Inc. | 26,118 | ||||||
3,741 | Control4 Corp.*^ | 90,944 | ||||||
4,147 | CUI Global, Inc.*^ | 12,317 | ||||||
8,032 | Daktronics, Inc. | 68,352 | ||||||
1,365 | Data I/O Corp.* | 8,668 | ||||||
5,745 | Electro Scientific Industries, Inc.*^ | 90,599 | ||||||
4,550 | Fabrinet*^ | 167,850 | ||||||
2,053 | FARO Technologies, Inc.* | 111,581 | ||||||
640 | Frequency Electronics, Inc.* | 5,158 | ||||||
646 | IEC Electronics Corp.* | 3,766 | ||||||
8,062 | II-VI, Inc.*^ | 350,293 | ||||||
1,303 | Insight Enterprises, Inc.* | 63,756 | ||||||
199 | IntriCon Corp.* | 8,020 | ||||||
3,899 | Itron, Inc.* | 234,135 | ||||||
8,386 | KEMET Corp.*^ | 202,522 | ||||||
2,556 | Kimball Electronics, Inc.* | 46,775 | ||||||
11,527 | Knowles Corp.*^ | 176,363 | ||||||
450 | Mesa Labs, Inc.^ | 94,986 | ||||||
4,775 | Methode Electronics, Inc., Class A | 192,433 | ||||||
2,201 | MTS Systems Corp.^ | 115,883 | ||||||
2,608 | Napco Security Technologies, Inc.* | 38,207 | ||||||
4,565 | Novanta, Inc.* | 284,400 | ||||||
2,432 | OSI Systems, Inc.* | 188,067 | ||||||
3,068 | PAR Technology Corp.* | 54,242 | ||||||
2,564 | Park Electrochemical Corp. | 59,459 | ||||||
400 | PC Connection, Inc.^ | 13,280 | ||||||
1,746 | PCM, Inc.*^ | 26,452 | ||||||
1,875 | Perceptron, Inc.* | 19,781 | ||||||
3,856 | Plexus Corp.* | 229,586 | ||||||
1,727 | RF Industries, Ltd. | 12,521 | ||||||
2,724 | Rogers Corp.* | 303,616 | ||||||
9,534 | Sanmina Corp.* | 279,346 | ||||||
3,045 | ScanSource, Inc.* | 122,714 | ||||||
146 | SYNNEX Corp. | 14,090 | ||||||
2,017 | Systemax, Inc. | 69,244 | ||||||
2,482 | Tech Data Corp.* | 203,822 | ||||||
12,240 | TTM Technologies, Inc.*^ | 215,791 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
3,719 | VeriFone Systems, Inc.* | $ | 84,868 | |||||
7,410 | Vishay Intertechnology, Inc. | 171,912 | ||||||
989 | Wayside Technology Group, Inc. | 13,895 | ||||||
3,952 | Wireless Telecom Group, Inc.* | 8,694 | ||||||
|
| |||||||
5,266,611 | ||||||||
|
| |||||||
Energy Equipment & Services (1.8%): | ||||||||
3,965 | Archrock, Inc. | 47,580 | ||||||
1,261 | Basic Energy Services, Inc.* | 14,010 | ||||||
2,794 | Bristow Group, Inc.* | 39,423 | ||||||
1,457 | Dawson Geophysical Co.* | 11,510 | ||||||
4,461 | Diamond Offshore Drilling, Inc.*^ | 93,056 | ||||||
4,550 | Dril-Quip, Inc.*^ | 233,870 | ||||||
26,896 | Ensco plc, Class A, ADR^ | 195,266 | ||||||
3,837 | Era Group, Inc.* | 49,689 | ||||||
4,307 | Exterran Corp.* | 107,847 | ||||||
13,851 | Forum Energy Technologies, Inc.*^ | 171,060 | ||||||
3,592 | Frank’s International NV^ | 28,018 | ||||||
1,260 | Geospace Technologies Corp.*^ | 17,716 | ||||||
2,641 | Gulf Island Fabrication, Inc.^ | 23,769 | ||||||
6,137 | Helix Energy Solutions Group, Inc.*^ | 51,121 | ||||||
1,321 | Hornbeck Offshore Services, Inc.* | 5,231 | ||||||
1,407 | Keane Group, Inc.* | 19,234 | ||||||
4,480 | Matrix Service Co.* | 82,208 | ||||||
15,261 | McDermott International, Inc.*^ | 299,878 | ||||||
24,731 | Nabors Industries, Ltd. | 158,526 | ||||||
2,316 | Natural Gas Services Group* | 54,658 | ||||||
11,883 | Newpark Resources, Inc.*^ | 128,931 | ||||||
18,346 | Noble Corp. plc* | 116,130 | ||||||
495 | Nordic American Offshore, Ltd.^ | 569 | ||||||
10,150 | Oceaneering International, Inc.^ | 258,419 | ||||||
3,039 | Oil States International, Inc.* | 97,552 | ||||||
23,169 | Parker Drilling Co.* | 8,804 | ||||||
606 | Patterson-UTI Energy, Inc. | 10,908 | ||||||
2,412 | PHI, Inc.* | 24,530 | ||||||
11,895 | Pioneer Energy Services Corp.* | 69,586 | ||||||
548 | Propetro Holding Corp.*^ | 8,593 | ||||||
1,757 | Rignet, Inc.* | 18,097 | ||||||
16,158 | Rowan Cos. plc, Class A*^ | 262,083 | ||||||
1,381 | RPC, Inc. | 20,121 | ||||||
565 | SEACOR Holdings, Inc. | 32,358 | ||||||
567 | SEACOR Marine Holdings, Inc.* | 13,092 | ||||||
14,153 | Superior Energy Services, Inc.* | 137,850 | ||||||
5,480 | TETRA Technologies, Inc.* | 24,386 | ||||||
5,730 | U.S. Silica Holdings, Inc.^ | 147,204 | ||||||
3,954 | Unit Corp.*^ | 101,064 | ||||||
|
| |||||||
3,183,947 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.0%): | ||||||||
3,487 | CorePoint Lodging, Inc.* | 90,313 | ||||||
|
| |||||||
Food & Staples Retailing (0.7%): | ||||||||
4,717 | Chefs’ Warehouse, Inc.*^ | 134,435 | ||||||
1,910 | Ingles Markets, Inc., Class A | 60,738 |
Continued
8
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
4,259 | Natural Grocers by Vitamin Cottage, Inc.*^ | $ | 54,260 | |||||
2,612 | Performance Food Group Co.* | 95,860 | ||||||
4,174 | PriceSmart, Inc.^ | 377,746 | ||||||
6,101 | Rite Aid Corp.* | 10,555 | ||||||
1,565 | Smart & Final Stores, Inc.*^ | 8,686 | ||||||
200 | SpartanNash Co. | 5,104 | ||||||
2,648 | Sprouts Farmers Market, Inc.*^ | 58,441 | ||||||
5,346 | SUPERVALU, Inc.* | 109,700 | ||||||
1,576 | The Andersons, Inc.^ | 53,899 | ||||||
3,444 | United Natural Foods, Inc.*^ | 146,921 | ||||||
1,832 | Village Super Market, Inc., Class A^ | 53,971 | ||||||
3,750 | Weis Markets, Inc.^ | 200,025 | ||||||
|
| |||||||
1,370,341 | ||||||||
|
| |||||||
Food Products (1.5%): | ||||||||
8,875 | B&G Foods, Inc.^ | 265,363 | ||||||
2,290 | Calavo Growers, Inc. | 220,184 | ||||||
3,684 | Cal-Maine Foods, Inc.*^ | 168,911 | ||||||
1,318 | Coffee Holding Co., Inc.* | 7,117 | ||||||
11,242 | Darling International, Inc.* | 223,491 | ||||||
13,942 | Dean Foods Co.^ | 146,530 | ||||||
2,411 | Farmer Brothers Co.*^ | 73,656 | ||||||
1,520 | Flowers Foods, Inc.^ | 31,662 | ||||||
1,800 | Fresh Del Monte Produce, Inc. | 80,190 | ||||||
4,577 | Hostess Brands, Inc.*^ | 62,247 | ||||||
2,736 | J & J Snack Foods Corp. | 417,157 | ||||||
470 | John B Sanfilippo And Son, Inc. | 34,992 | ||||||
2,662 | Lancaster Colony Corp.^ | 368,473 | ||||||
2,754 | Landec Corp.*^ | 41,035 | ||||||
2,175 | Limoneira Co.^ | 53,527 | ||||||
1,220 | Rocky Mountain Chocolate Factory, Inc. | 13,957 | ||||||
2,912 | Sanderson Farms, Inc.^ | 306,196 | ||||||
927 | Seneca Foods Corp., Class A* | 25,029 | ||||||
12 | Seneca Foods Corp., Class B*(a) | 322 | ||||||
4,288 | Tootsie Roll Industries, Inc.^ | 132,285 | ||||||
2,362 | TreeHouse Foods, Inc.*^ | 124,029 | ||||||
|
| |||||||
2,796,353 | ||||||||
|
| |||||||
Gas Utilities (1.4%): | ||||||||
2,387 | Chesapeake Utilities Corp. | 190,841 | ||||||
9,297 | New Jersey Resources Corp. | 416,041 | ||||||
2,904 | Northwest Natural Gas Co. | 185,275 | ||||||
4,274 | ONE Gas, Inc. | 319,439 | ||||||
118 | RGC Resources, Inc. | 3,443 | ||||||
7,843 | South Jersey Industries, Inc.^ | 262,505 | ||||||
4,131 | Southwest Gas Corp. | 315,071 | ||||||
6,439 | Spire, Inc. | 454,915 | ||||||
5,195 | WGL Holdings, Inc. | 461,057 | ||||||
|
| |||||||
2,608,587 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.3%): | ||||||||
2,921 | Abaxis, Inc. | 242,472 | ||||||
6,691 | Accuray, Inc.*^ | 27,433 | ||||||
6,050 | AngioDynamics, Inc.* | 134,552 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
2,261 | Anika Therapeutics, Inc.*^ | $ | 72,352 | |||||
263 | Atrion Corp. | 157,642 | ||||||
1,983 | Cantel Medical Corp. | 195,048 | ||||||
629 | CONMED Corp. | 46,043 | ||||||
5,343 | CryoLife, Inc.* | 148,803 | ||||||
875 | Cutera, Inc.*^ | 35,263 | ||||||
1,118 | Elctromed, Inc.* | 6,060 | ||||||
1,883 | Globus Medical, Inc., Class A* | 95,016 | ||||||
3,617 | Haemonetics Corp.* | 324,372 | ||||||
5,359 | Halyard Health, Inc.* | 306,802 | ||||||
1,629 | Inogen, Inc.* | 303,531 | ||||||
3,861 | Integer Holdings Corp.* | 249,614 | ||||||
4,509 | Invacare Corp.^ | 83,867 | ||||||
2,006 | IRIDEX Corp.* | 13,601 | ||||||
249 | Kewaunee Scientific CP | 8,952 | ||||||
3,514 | Lantheus Holdings, Inc.* | 51,129 | ||||||
2,690 | LeMaitre Vascular, Inc.^ | 90,061 | ||||||
1,855 | LivaNova plc* | 185,166 | ||||||
6,577 | Meridian Bioscience, Inc. | 104,574 | ||||||
5,338 | Merit Medical Systems, Inc.* | 273,306 | ||||||
3,498 | Natus Medical, Inc.* | 120,681 | ||||||
352 | Neogen Corp.* | 28,227 | ||||||
4,707 | NuVasive, Inc.*^ | 245,329 | ||||||
3,020 | Nuvectra Corp.* | 62,001 | ||||||
8,235 | OraSure Technologies, Inc.* | 135,630 | ||||||
2,682 | Orthofix International NV* | 152,391 | ||||||
920 | Quidel Corp.*^ | 61,180 | ||||||
10,930 | RTI Surgical, Inc.* | 50,278 | ||||||
2,363 | SeaSpine Holdings Corp.* | 29,821 | ||||||
2,431 | Surmodics, Inc.* | 134,191 | ||||||
3,600 | TransEnterix, Inc.*^ | 15,696 | ||||||
554 | Utah Medical Products, Inc. | 61,023 | ||||||
|
| |||||||
4,252,107 | ||||||||
|
| |||||||
Health Care Providers & Services (2.6%): | ||||||||
1,781 | Aac Holdings, Inc.* | 16,688 | ||||||
4,451 | Acadia Healthcare Co., Inc.* | 182,090 | ||||||
5,540 | Aceto Corp. | 18,559 | ||||||
1,870 | Addus HomeCare Corp.* | 107,058 | ||||||
3,654 | Amedisys, Inc.* | 312,270 | ||||||
1,150 | American Renal Associates Holdings, Inc.*^ | 18,136 | ||||||
7,081 | AMN Healthcare Services, Inc.*^ | 414,946 | ||||||
1,753 | BioScrip, Inc.* | 5,136 | ||||||
3,573 | BioTelemetry, Inc.*^ | 160,785 | ||||||
12,012 | Brookdale Senior Living, Inc.*^ | 109,189 | ||||||
3,946 | Capital Senior Living Corp.*^ | 42,104 | ||||||
302 | Chemed Corp. | 97,187 | ||||||
1,432 | Civitas Solutions, Inc.* | 23,485 | ||||||
7,874 | Community Health Systems, Inc.*^ | 26,142 | ||||||
2,726 | CorVel Corp.* | 147,204 | ||||||
2,958 | Cross Country Healthcare, Inc.* | 33,278 | ||||||
2,588 | Diplomat Pharmacy, Inc.*^ | 66,149 | ||||||
7,737 | Ensign Group, Inc. (The) | 277,139 |
Continued
9
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
873 | Envision Healthcare Corp.*^ | $ | 38,421 | |||||
1,905 | Five Star Quality Care, Inc.* | 2,858 | ||||||
2,852 | HealthEquity, Inc.*^ | 214,185 | ||||||
3,529 | InfuSystems Holdings, Inc.* | 12,528 | ||||||
6,484 | Kindred Healthcare, Inc.* | 58,356 | ||||||
3,429 | LHC Group, Inc.* | 293,488 | ||||||
1,982 | LifePoint Hospitals, Inc.*^ | 96,722 | ||||||
3,561 | Magellan Health Services, Inc.* | 341,677 | ||||||
2,158 | National Healthcare Corp. | 151,880 | ||||||
2,600 | National Research Corp. | 97,240 | ||||||
9,789 | Nobilis Health Corp.* | 11,747 | ||||||
7,794 | Owens & Minor, Inc.^ | 130,238 | ||||||
3,316 | Patterson Cos., Inc.^ | 75,174 | ||||||
2,021 | Providence Service Corp.* | 158,750 | ||||||
1,080 | Psychemedics Corp. | 20,779 | ||||||
5,264 | Quorum Health Corp.*^ | 26,320 | ||||||
5,301 | R1 RCM, Inc.*^ | 46,013 | ||||||
6,913 | RadNet, Inc.* | 103,695 | ||||||
18,186 | Select Medical Holdings Corp.* | 330,075 | ||||||
4,293 | Tenet Healthcare Corp.*^ | 144,116 | ||||||
5,590 | Tivity Health, Inc.*^ | 196,768 | ||||||
3,389 | Triple-S Management Corp., Class B* | 132,374 | ||||||
1,714 | U.S. Physical Therapy, Inc.^ | 164,544 | ||||||
|
| |||||||
4,905,493 | ||||||||
|
| |||||||
Health Care Technology (0.6%): | ||||||||
21,473 | Allscripts Healthcare Solutions, Inc.* | 257,677 | ||||||
2,108 | Computer Programs & Systems, Inc. | 69,353 | ||||||
3,225 | Cotiviti Holdings, Inc.* | 142,319 | ||||||
564 | Evolent Health, Inc., Class A*^ | 11,872 | ||||||
2,627 | HealthStream, Inc. | 71,743 | ||||||
3,326 | HMS Holdings Corp.* | 71,908 | ||||||
1,027 | Inovalon Holdings, Inc., Class A*^ | 10,193 | ||||||
558 | Micron Solutions, Inc.* | 1,913 | ||||||
4,179 | Omnicell, Inc.*^ | 219,189 | ||||||
8,396 | Quality Systems, Inc.* | 163,722 | ||||||
2,026 | Simulations Plus, Inc.^ | 45,079 | ||||||
|
| |||||||
1,064,968 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.4%): | ||||||||
12,956 | Belmond, Ltd., Class A*^ | 144,459 | ||||||
3 | Biglari Holdings, Inc., Class A* | 2,850 | ||||||
37 | Biglari Holdings, Inc., Class B* | 6,789 | ||||||
2,915 | BJ’s Restaurants, Inc.^ | 174,900 | ||||||
13,769 | Bloomin’ Brands, Inc. | 276,757 | ||||||
2,784 | Brinker International, Inc.^ | 132,518 | ||||||
4,497 | Carrols Restaurant Group, Inc.* | 66,780 | ||||||
4,585 | Century Casinos, Inc.* | 40,119 | ||||||
6,259 | Cheesecake Factory, Inc. (The)^ | 344,621 | ||||||
3,482 | Choice Hotels International, Inc.^ | 263,239 | ||||||
2,799 | Chuy’s Holdings, Inc.*^ | 85,929 | ||||||
845 | Cracker Barrel Old Country Store, Inc. | 131,997 | ||||||
3,275 | Dave & Buster’s Entertainment, Inc.* | 155,890 | ||||||
2,754 | Del Frisco’s Restaurant Group, Inc.* | 34,700 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
2,980 | del Taco Restaurants, Inc.* | $ | 42,256 | |||||
10,418 | Denny’s Corp.* | 165,959 | ||||||
1,476 | DineEquity, Inc.^ | 110,405 | ||||||
3,712 | Dover Motorsports, Inc. | 8,352 | ||||||
3,973 | Drive Shack, Inc.*^ | 30,672 | ||||||
2,394 | El Pollo Loco Holdings, Inc.* | 27,292 | ||||||
2,209 | Eldorado Resorts, Inc.* | 86,372 | ||||||
1,724 | Famous Dave’s of America, Inc.*^ | 11,637 | ||||||
4,357 | Fiesta Restaurant Group, Inc.*^ | 125,046 | ||||||
378 | Flanigan’s Enterprises, Inc. | 10,414 | ||||||
608 | Habit Restaurants, Inc. (The), Class A* | 6,080 | ||||||
11,024 | Ilg, Inc. | 364,123 | ||||||
3,548 | Jack in the Box, Inc. | 302,006 | ||||||
1,168 | Kona Grill, Inc.* | 2,745 | ||||||
2,108 | Lindblad Expeditions Holdings, Inc.* | 27,931 | ||||||
5,681 | Luby’s, Inc.* | 14,714 | ||||||
870 | Marcus Corp. | 28,275 | ||||||
4,068 | Marriott Vacations Worldwide Corp. | 459,520 | ||||||
597 | Nathans Famous, Inc. | 56,178 | ||||||
5,384 | Papa John’s International, Inc. | 273,076 | ||||||
4,486 | Penn National Gaming, Inc.* | 150,685 | ||||||
2,612 | Pinnacle Entertainment, Inc.* | 88,103 | ||||||
5,796 | Planet Fitness, Inc.* | 254,676 | ||||||
3,185 | Potbelly Corp.*^ | 41,246 | ||||||
1,669 | RCI Hospitality Holdings, Inc. | 52,824 | ||||||
3,634 | Red Lion Hotels Corp.*^ | 42,336 | ||||||
2,030 | Red Robin Gourmet Burgers*^ | 94,598 | ||||||
662 | Red Rock Resorts, Inc. | 22,177 | ||||||
4,652 | Ruth’s Hospitality Group, Inc. | 130,489 | ||||||
2,478 | Scientific Games Corp., Class A* | 121,794 | ||||||
1,179 | SeaWorld Entertainment, Inc.* | 25,726 | ||||||
788 | Shake Shack, Inc., Class A* | 52,150 | ||||||
4,819 | Sonic Corp. | 165,870 | ||||||
5,849 | Speedway Motorsports, Inc. | 101,539 | ||||||
7,274 | Texas Roadhouse, Inc. | 476,519 | ||||||
4,346 | Town Sports International Holdings, Inc.* | 63,234 | ||||||
13,989 | Wendy’s Co. (The)^ | 240,331 | ||||||
2,153 | Wingstop, Inc.^ | 112,214 | ||||||
|
| |||||||
6,251,112 | ||||||||
|
| |||||||
Household Durables (2.0%): | ||||||||
496 | Av Homes, Inc.* | 10,614 | ||||||
608 | Bassett Furniture Industries, Inc. | 16,750 | ||||||
899 | Cavco Industries, Inc.* | 186,677 | ||||||
786 | Century Communities, Inc.* | 24,798 | ||||||
3,024 | Dixie Group, Inc. (The)* | 6,955 | ||||||
4,218 | Ethan Allen Interiors, Inc.^ | 103,341 | ||||||
820 | Flexsteel Industries, Inc. | 32,718 | ||||||
3,162 | Helen of Troy, Ltd.* | 311,299 | ||||||
670 | Hooker Furniture Corp. | 31,423 | ||||||
7,411 | Hovnanian Enterprises, Inc., Class A* | 12,080 | ||||||
2,905 | Installed Building Products, Inc.*^ | 164,278 | ||||||
3,858 | iRobot Corp.*^ | 292,321 |
Continued
10
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
11,216 | KB Home | $ | 305,525 | |||||
1,138 | Koss Corp.* | 2,674 | ||||||
6,113 | La-Z-Boy, Inc. | 187,058 | ||||||
924 | LGI Homes, Inc.*^ | 53,343 | ||||||
4,396 | Libbey, Inc.^ | 35,739 | ||||||
2,522 | Lifetime Brands, Inc. | 31,903 | ||||||
7,202 | M.D.C. Holdings, Inc. | 221,606 | ||||||
4,157 | M/I Homes, Inc.* | 110,077 | ||||||
6,186 | Meritage Corp.* | 271,875 | ||||||
723 | P & F Industries, Inc., Class A | 6,297 | ||||||
1,301 | Skyline Corp. | 45,587 | ||||||
5,672 | Taylor Morrison Home Corp., Class A* | 117,864 | ||||||
2,725 | Tempur Sealy International, Inc.*^ | 130,936 | ||||||
2,041 | TopBuild Corp.* | 159,892 | ||||||
20,593 | TRI Pointe Homes, Inc.*^ | 336,902 | ||||||
4,563 | Tupperware Brands Corp.^ | 188,178 | ||||||
1,860 | Universal Electronics, Inc.*^ | 61,473 | ||||||
4,639 | William Lyon Homes, Class A* | 107,625 | ||||||
4,044 | Zagg, Inc.*^ | 69,961 | ||||||
|
| |||||||
3,637,769 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
1,115 | Central Garden & Pet Co.*^ | 48,480 | ||||||
3,036 | Central Garden & Pet Co., Class A* | 122,867 | ||||||
3,445 | Energizer Holdings, Inc.^ | 216,897 | ||||||
11,742 | HRG Group, Inc.* | 153,703 | ||||||
1,767 | Ocean Bio-Chem, Inc. | 6,344 | ||||||
940 | Oil-Dri Corp. | 39,612 | ||||||
1,648 | Orchids Paper Products Co.*^ | 6,559 | ||||||
2,171 | WD-40 Co.^ | 317,508 | ||||||
|
| |||||||
911,970 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.4%): | ||||||||
22,978 | Atlantic Power Corp.* | 50,552 | ||||||
506 | Atlantica Yield plc | 10,211 | ||||||
3,724 | NRG Yield, Inc., Class A | 63,494 | ||||||
5,480 | NRG Yield, Inc., Class C | 94,256 | ||||||
7,048 | Ormat Technologies, Inc.^ | 374,883 | ||||||
10,283 | Pattern Energy Group, Inc. | 192,806 | ||||||
2,274 | TerraForm Power, Inc., Class A | 26,606 | ||||||
5,942 | Vivint Solar, Inc.* | 29,413 | ||||||
|
| |||||||
842,221 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
6,077 | Raven Industries, Inc. | 233,661 | ||||||
|
| |||||||
Insurance (3.4%): | ||||||||
8,008 | AMBAC Financial Group, Inc.*(a) | 158,959 | ||||||
11,121 | American Equity Investment Life Holding Co. | 400,357 | ||||||
1,653 | American National Insurance Co. | 197,682 | ||||||
2,876 | Amerisafe, Inc.^ | 166,089 | ||||||
4,675 | AmTrust Financial Services | 68,115 | ||||||
3,798 | Argo Group International Holdings, Ltd. | 220,854 | ||||||
5,737 | ASGN, Inc.* | 448,577 | ||||||
7,207 | Aspen Insurance Holdings, Ltd. | 293,325 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
1,079 | Assured Guaranty, Ltd.^ | $ | 38,553 | |||||
180 | Baldwin & Lyons, Inc., Class A | 4,298 | ||||||
8,209 | Citizens, Inc.*^ | 63,948 | ||||||
3,445 | Crawford & Co. | 29,799 | ||||||
4,636 | Crawford & Co., Class A | 39,916 | ||||||
2,691 | Donegal Group, Inc., Class A | 36,625 | ||||||
2,004 | eHealth, Inc.* | 44,288 | ||||||
3,293 | EMC Insurance Group, Inc. | 91,480 | ||||||
4,666 | Employers Holdings, Inc. | 187,573 | ||||||
364 | Enstar Group, Ltd.* | 75,457 | ||||||
2,939 | FBL Financial Group, Inc., Class A | 231,446 | ||||||
2,111 | FedNat Holding Co. | 48,701 | ||||||
10,826 | Genworth Financial, Inc., Class A* | 48,717 | ||||||
1,050 | Global Indemnity, Ltd. | 40,929 | ||||||
4,955 | Greenlight Capital Re, Ltd.* | 70,361 | ||||||
1,752 | Hallmark Financial Services, Inc.* | 17,485 | ||||||
1,470 | HCI Group, Inc.^ | 61,108 | ||||||
414 | Health Insurance Innovations, Inc.* | 13,393 | ||||||
569 | Heritage Insurance Holdings, Inc. | 9,485 | ||||||
632 | Horace Mann Educators Corp. | 28,187 | ||||||
2,328 | Independence Holding Co.^ | 77,406 | ||||||
253 | Investors Title Co.^ | 46,719 | ||||||
941 | James River Group Holdings | 36,972 | ||||||
1,480 | Kemper Corp.^ | 111,962 | ||||||
1,473 | Kingstone Co., Inc. | 24,894 | ||||||
12,677 | Maiden Holdings, Ltd.^ | 98,247 | ||||||
15,934 | MBIA, Inc.*^ | 144,043 | ||||||
2,590 | Mercury General Corp.^ | 118,000 | ||||||
4,062 | National General Holdings Corp. | 106,952 | ||||||
455 | National Western Life Group, Inc., Class A | 139,803 | ||||||
3,304 | Primerica, Inc. | 329,078 | ||||||
6,774 | ProAssurance Corp. | 240,138 | ||||||
4,712 | RLI Corp.^ | 311,887 | ||||||
513 | Safety Insurance Group, Inc. | 43,810 | ||||||
3,236 | Selective Insurance Group, Inc. | 177,980 | ||||||
5,250 | State Auto Financial Corp. | 157,028 | ||||||
3,277 | Stewart Information Services Corp. | 141,140 | ||||||
204 | The National Security Group, Inc. | 3,397 | ||||||
2,083 | Third Point Reinsurance, Ltd.* | 26,038 | ||||||
400 | United Fire Group, Inc. | 21,804 | ||||||
4,002 | United Insurance Holdings Co.^ | 78,359 | ||||||
5,267 | Universal Insurance Holdings, Inc. | 184,872 | ||||||
3,624 | Validus Holdings, Ltd. | 244,982 | ||||||
161 | White Mountains Insurance Group, Ltd. | 145,964 | ||||||
|
| |||||||
6,147,182 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.6%): | ||||||||
4,886 | 1-800 Flowers.com, Inc., Class A* | 61,319 | ||||||
3,666 | CafePress, Inc.* | 4,289 | ||||||
1,840 | FTD Cos., Inc.* | 8,538 | ||||||
5,334 | Groupon, Inc.*^ | 22,936 | ||||||
1,300 | Lands’ End, Inc.* | 36,270 | ||||||
1,052 | Liberty Expedia Holdings, Class A* | 46,225 |
Continued
11
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
9,267 | Liberty TripAdvisor Holdings, Inc., Class A* | $ | 149,199 | |||||
4,721 | Nutri/System, Inc.^ | 181,759 | ||||||
1,945 | Overstock.com, Inc.* | 65,449 | ||||||
3,081 | PetMed Express, Inc.^ | 135,718 | ||||||
4,901 | Shutterfly, Inc.*^ | 441,237 | ||||||
1,880 | US Auto Parts Network, Inc.* | 2,820 | ||||||
|
| |||||||
1,155,759 | ||||||||
|
| |||||||
Internet Software & Services (1.4%): | ||||||||
1,300 | Blucora, Inc.* | 48,100 | ||||||
3,767 | Carbonite, Inc.*^ | 131,468 | ||||||
3,666 | Cars.com, Inc.*^ | 104,078 | ||||||
2,862 | Cimpress NV*^ | 414,875 | ||||||
6,181 | DHI Group, Inc.* | 14,525 | ||||||
1,258 | Endurance International Group Holdings, Inc.* | 12,517 | ||||||
691 | Envestnet, Inc.* | 37,970 | ||||||
4,964 | GTT Communications, Inc.*^ | 223,380 | ||||||
1,786 | Internap Corp.*^ | 18,610 | ||||||
2,147 | j2 Global, Inc.^ | 185,952 | ||||||
3,938 | Leaf Group, Ltd.* | 42,727 | ||||||
18,673 | Limelight Networks, Inc.*^ | 83,468 | ||||||
3,018 | Liquidity Services, Inc.* | 19,768 | ||||||
6,655 | Marchex, Inc., Class B | 20,364 | ||||||
8,730 | NIC, Inc. | 135,752 | ||||||
7,450 | QuinStreet, Inc.* | 94,615 | ||||||
1,839 | Qumu Corp.* | 4,046 | ||||||
7,302 | RealNetworks, Inc.* | 27,017 | ||||||
1,899 | Reis, Inc. | 41,398 | ||||||
4,549 | Shutterstock, Inc.*^ | 215,896 | ||||||
1,184 | Stamps.com, Inc.* | 299,612 | ||||||
5,449 | Synacor, Inc.* | 10,898 | ||||||
3,708 | TechTarget* | 105,307 | ||||||
8,928 | Telaria, Inc.* | 36,069 | ||||||
7,131 | The Meet Group, Inc. (The)*^ | 31,947 | ||||||
461 | The Trade Desk, Inc.* | 43,242 | ||||||
2,073 | Travelzoo, Inc.* | 35,448 | ||||||
7,161 | Web.com Group, Inc.* | 185,112 | ||||||
2,184 | XO Group, Inc.* | 69,888 | ||||||
|
| |||||||
2,694,049 | ||||||||
|
| |||||||
IT Services (2.1%): | ||||||||
8,660 | Acxiom Corp.* | 259,367 | ||||||
2,092 | CACI International, Inc., Class A* | 352,607 | ||||||
5,955 | Cardtronics plc*^ | 143,991 | ||||||
1,572 | Cass Information Systems, Inc.^ | 108,185 | ||||||
15,807 | Conduent, Inc.* | 287,213 | ||||||
3,848 | Convergys Corp. | 94,045 | ||||||
3,613 | CoreLogic, Inc.* | 187,515 | ||||||
4,402 | CSG Systems International, Inc. | 179,910 | ||||||
758 | CSP, Inc. | 7,466 | ||||||
1,349 | Evertec, Inc. | 29,476 | ||||||
4,219 | Exlservice Holdings, Inc.* | 238,838 | ||||||
2,512 | Forrester Research, Inc. | 105,378 | ||||||
4,599 | Hackett Group, Inc. (The) | 73,906 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
790 | Luxoft Holding, Inc.*^ | $ | 29,112 | |||||
3,081 | ManTech International Corp., Class A | 165,265 | ||||||
6,208 | MoneyGram International, Inc.* | 41,532 | ||||||
5,127 | Perficient, Inc.* | 135,199 | ||||||
3,168 | PFSweb, Inc.* | 30,793 | ||||||
5,456 | Science Applications International Corp. | 441,553 | ||||||
8,429 | Servicesource International, Inc.* | 33,210 | ||||||
1,555 | StarTek, Inc.* | 9,781 | ||||||
10,553 | Steel Connect, Inc.* | 22,794 | ||||||
5,434 | Sykes Enterprises, Inc.* | 156,391 | ||||||
3,890 | Syntel, Inc.* | 124,830 | ||||||
7,198 | Travelport Worldwide, Ltd. | 133,451 | ||||||
5,956 | TTEC Holdings, Inc. | 205,780 | ||||||
7,332 | Unisys Corp.*^ | 94,583 | ||||||
3,750 | Virtusa Corp.* | 182,550 | ||||||
|
| |||||||
3,874,721 | ||||||||
|
| |||||||
Leisure Products (0.4%): | ||||||||
8,017 | American Outdoor Brands Corp.* | 96,445 | ||||||
7,292 | Callaway Golf Co. | 138,329 | ||||||
2,916 | Escalade, Inc. | 41,116 | ||||||
2,447 | JAKKS Pacific, Inc.* | 8,014 | ||||||
230 | Johnson Outdoors, Inc., Class A^ | 19,442 | ||||||
1,830 | Malibu Boats, Inc.*^ | 76,750 | ||||||
2,419 | Marine Products Corp. | 43,010 | ||||||
850 | Mcbc Holdings, Inc.* | 24,608 | ||||||
4,982 | Nautilus Group, Inc.*^ | 78,217 | ||||||
2,637 | Sturm, Ruger & Co., Inc. | 147,671 | ||||||
7,141 | Vista Outdoor, Inc.* | 110,614 | ||||||
|
| |||||||
784,216 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.3%): | ||||||||
4,622 | Cambrex Corp.*^ | 241,731 | ||||||
7,407 | Enzo Biochem, Inc.* | 38,442 | ||||||
7,018 | Harvard Bioscience, Inc.* | 37,546 | ||||||
5,461 | Luminex Corp. | 161,263 | ||||||
3,971 | Neogenomics, Inc.*^ | 52,060 | ||||||
535 | Syneos Health, Inc.*^ | 25,092 | ||||||
|
| |||||||
556,134 | ||||||||
|
| |||||||
Machinery (5.8%): | ||||||||
7,098 | Actuant Corp., Class A^ | 208,326 | ||||||
1,154 | Alamo Group, Inc. | 104,275 | ||||||
4,190 | Albany International Corp., Class A | 252,029 | ||||||
4,536 | Altra Industrial Motion Corp. | 195,502 | ||||||
1,200 | American Railcar Industries | 47,376 | ||||||
1,974 | ARC Group Worldwide, Inc.* | 4,836 | ||||||
806 | Art’s-Way Manufacturing Co.* | 2,136 | ||||||
2,880 | Astec Industries, Inc.^ | 172,224 | ||||||
7,075 | Barnes Group, Inc. | 416,718 | ||||||
1,300 | Briggs & Stratton Corp. | 22,893 | ||||||
4,063 | Chart Industries, Inc.*^ | 250,606 | ||||||
2,359 | CIRCOR International, Inc. | 87,189 | ||||||
2,851 | Colfax Corp.* | 87,383 |
Continued
12
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
3,780 | Columbus McKinnon Corp. | $ | 163,901 | |||||
5,525 | Commercial Vehicle Group, Inc.* | 40,554 | ||||||
1,676 | Dmc Global, Inc. | 75,252 | ||||||
3,590 | Douglas Dynamics, Inc. | 172,320 | ||||||
500 | Eastern Co. (The) | 14,025 | ||||||
2,433 | EnPro Industries, Inc. | 170,188 | ||||||
3,629 | ESCO Technologies, Inc. | 209,393 | ||||||
8,469 | Federal Signal Corp. | 197,243 | ||||||
6,496 | Franklin Electric Co., Inc. | 292,970 | ||||||
2,281 | FreightCar America, Inc.^ | 38,298 | ||||||
1,765 | Gencor Industries, Inc.* | 28,505 | ||||||
2,940 | Global Brass & Copper Holdings, Inc. | 92,169 | ||||||
3,372 | Gorman-Rupp Co. (The) | 118,020 | ||||||
459 | Graham Corp. | 11,847 | ||||||
3,586 | Greenbrier Cos, Inc. | 189,162 | ||||||
11,887 | Harsco Corp.* | 262,703 | ||||||
8,780 | Hillenbrand, Inc. | 413,977 | ||||||
785 | Hurco Cos, Inc. | 35,129 | ||||||
1,711 | Hyster-Yale Materials Handling, Inc., Class A | 109,932 | ||||||
1,698 | ITT, Inc. | 88,754 | ||||||
4,544 | John Bean Technologies Corp.^ | 403,962 | ||||||
9,594 | Kennametal, Inc.^ | 344,425 | ||||||
1,529 | L.B. Foster Co., Class A* | 35,091 | ||||||
1,368 | Lindsay Corp.^ | 132,682 | ||||||
829 | Lydall, Inc.* | 36,186 | ||||||
3,228 | Manitex International, Inc.* | 40,285 | ||||||
4,498 | Manitowoc Co., Inc. (The)*^ | 116,318 | ||||||
14,363 | Meritor, Inc.* | 295,447 | ||||||
8,208 | Mueller Industries, Inc. | 242,218 | ||||||
22,037 | Mueller Water Products, Inc., Class A | 258,274 | ||||||
5,638 | Navistar International Corp.*^ | 229,579 | ||||||
3,562 | NN, Inc. | 67,322 | ||||||
738 | Omega Flex, Inc.^ | 58,383 | ||||||
3,573 | Proto Labs, Inc.* | 425,008 | ||||||
3,427 | RBC Bearings, Inc.* | 441,431 | ||||||
14,208 | Rexnord Corp.* | 412,884 | ||||||
1,692 | SPX Corp.* | 59,305 | ||||||
1,085 | SPX FLOW, Inc.* | 47,490 | ||||||
1,898 | Standex International Corp. | 193,976 | ||||||
3,915 | Sun Hydraulics Corp.^ | 188,664 | ||||||
466 | Taylor Devices, Inc.* | 4,781 | ||||||
1,866 | Tennant Co.^ | 147,414 | ||||||
9,270 | Terex Corp.^ | 391,101 | ||||||
800 | The Exone Co.*^ | 5,664 | ||||||
2,794 | Timken Co. | 121,679 | ||||||
7,930 | Titan International, Inc. | 85,089 | ||||||
5,970 | TriMas Corp.* | 175,518 | ||||||
1,747 | Twin Disc, Inc.* | 43,361 | ||||||
8,536 | Wabash National Corp.^ | 159,282 | ||||||
3,816 | Watts Water Technologies, Inc., Class A | 299,174 | ||||||
18,993 | Welbilt, Inc.*^ | 423,734 | ||||||
572 | WSI Industries, Inc. | 3,003 | ||||||
3,110 | Xerium Technologies, Inc.* | 41,176 | ||||||
|
| |||||||
10,505,741 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Marine (0.2%): | ||||||||
1,689 | Costamare, Inc. | $ | 13,478 | |||||
550 | Genco Shipping & Trading, Ltd.* | 8,525 | ||||||
582 | Kirby Corp.* | 48,655 | ||||||
5,648 | Matson, Inc. | 216,771 | ||||||
3,151 | Scorpio Bulkers, Inc. | 22,372 | ||||||
|
| |||||||
309,801 | ||||||||
|
| |||||||
Media (1.7%): | ||||||||
3,904 | A.H. Belo Corp., Class A | 18,349 | ||||||
3,922 | AMC Entertainment Holdings, Inc., Class A | 62,360 | ||||||
709 | AMC Networks, Inc., Class A*^ | 44,100 | ||||||
2,527 | Ballantyne Strong, Inc.* | 12,256 | ||||||
478 | Beasley Broadcast Group, Inc., Class A^ | 5,354 | ||||||
145 | Cable One, Inc.^ | 106,327 | ||||||
23,234 | Central Eurpoean Media Enterprises* | 96,421 | ||||||
229 | Daily Journal Corp.*^ | 52,716 | ||||||
9,089 | E.W. Scripps Co. (The), Class A^ | 121,702 | ||||||
6,123 | Entercom Communications Corp.^ | 46,229 | ||||||
11,865 | Entravision Communications Corp., Class A | 59,325 | ||||||
2,242 | Eros International plc*^ | 29,146 | ||||||
4,669 | Gannett Co., Inc.^ | 49,958 | ||||||
980 | GCI Liberty, Inc., Class A* | 44,178 | ||||||
338 | Global Eagle Entertainment, Inc.*^ | 852 | ||||||
8,641 | Gray Television, Inc.*^ | 136,528 | ||||||
2,892 | Hemisphere Media Group*^ | 37,885 | ||||||
1,045 | Imax Corp.* | 23,147 | ||||||
2,441 | Insignia Systems, Inc.* | 4,125 | ||||||
4,052 | John Wiley & Sons, Inc., Class A | 252,845 | ||||||
10,454 | Lee Enterprises, Inc.* | 29,794 | ||||||
1,028 | Liberty Latin America, Ltd.*^ | 19,655 | ||||||
372 | McClatchy Co., Class A* | 3,701 | ||||||
4,815 | Meredith Corp.^ | 245,565 | ||||||
3,571 | MSG Networks, Inc., Class A*^ | 85,525 | ||||||
10,941 | National CineMedia, Inc. | 91,904 | ||||||
1,677 | New Media Investment Group, Inc. | 30,991 | ||||||
7,487 | New York Times Co. (The), Class A^ | 193,913 | ||||||
7,050 | Nexstar Broadcasting Group, Inc., Class A^ | 517,470 | ||||||
2,715 | Reading International, Inc., Class A* | 43,304 | ||||||
1,017 | Scholastic Corp. | 45,063 | ||||||
8,414 | Sinclair Broadcast Group, Inc., Class A | 270,510 | ||||||
3,266 | Tegna, Inc. | 35,436 | ||||||
1,170 | Tribune Media Co., Class A | 44,776 | ||||||
2,169 | Tronc, Inc.* | 37,480 | ||||||
8,158 | Urban One, Inc.* | 17,132 | ||||||
1,858 | World Wrestling Entertainment, Inc., Class A^ | 135,300 | ||||||
|
| |||||||
3,051,322 | ||||||||
|
| |||||||
Metals & Mining (1.4%): | ||||||||
23,109 | AK Steel Holding Corp.*^ | 100,293 | ||||||
7,802 | Allegheny Technologies, Inc.*^ | 195,986 | ||||||
2,124 | Ampco-Pittsburgh Corp.* | 21,771 | ||||||
6,694 | Carpenter Technology Corp. | 351,904 | ||||||
3,100 | Century Aluminum Co.*^ | 48,825 | ||||||
21,148 | Cleveland-Cliffs, Inc.*^ | 178,278 |
Continued
13
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
7,283 | Coeur d’Alene Mines Corp.* | $ | 55,351 | |||||
13,911 | Commercial Metals Co. | 293,661 | ||||||
4,543 | Compass Minerals International, Inc.^ | 298,702 | ||||||
13,641 | Ferroglobe plc | 116,903 | ||||||
1,805 | Gold Resource Corp. | 11,895 | ||||||
1,557 | Haynes International, Inc. | 57,204 | ||||||
49,481 | Hecla Mining Co. | 172,194 | ||||||
931 | Kaiser Aluminum Corp.^ | 96,926 | ||||||
2,598 | Materion Corp. | 140,682 | ||||||
9,373 | McEwen Mining, Inc. | 19,402 | ||||||
2,868 | Ryerson Holding Corp.* | 31,978 | ||||||
1,487 | Schnitzer Steel Industries, Inc., Class A^ | 50,112 | ||||||
3,318 | SunCoke Energy, Inc.* | 44,461 | ||||||
1,789 | Synalloy Corp. | 35,691 | ||||||
4,467 | TimkenSteel Corp.*^ | 73,035 | ||||||
1,458 | Universal Stainless & Alloy Products, Inc.* | 34,511 | ||||||
2,441 | Worthington Industries, Inc. | 102,449 | ||||||
|
| |||||||
2,532,214 | ||||||||
|
| |||||||
Multiline Retail (0.3%): | ||||||||
5,705 | Big Lots, Inc.^ | 238,354 | ||||||
654 | Dillard’s, Inc., Class A^ | 61,803 | ||||||
800 | Fred’s, Inc.^ | 1,824 | ||||||
39,798 | J.C. Penney Co., Inc.*^ | 93,127 | ||||||
3,073 | Ollie’s Bargain Outlet Holdings, Inc.*^ | 222,793 | ||||||
5,314 | Tuesday Morning Corp.*^ | 16,208 | ||||||
|
| |||||||
634,109 | ||||||||
|
| |||||||
Multi-Utilities (0.7%): | ||||||||
8,048 | Avista Corp. | 423,807 | ||||||
5,171 | Black Hills Corp.^ | 316,517 | ||||||
6,986 | NorthWestern Corp. | 399,949 | ||||||
2,144 | Unitil Corp. | 109,430 | ||||||
|
| |||||||
1,249,703 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.5%): | ||||||||
4,107 | Abraxas Petroleum Corp.* | 11,869 | ||||||
816 | Adams Resources & Energy, Inc. | 35,088 | ||||||
6,000 | Approach Resources, Inc.* | 14,640 | ||||||
1,638 | Arch Coal, Inc.^ | 128,468 | ||||||
901 | Barnwell Industries, Inc.* | 1,892 | ||||||
1,332 | Bonanza Creek Energy, Inc.* | 50,443 | ||||||
1,697 | California Resources Corp.* | 77,112 | ||||||
15,796 | Callon Petroleum Co.*^ | 169,649 | ||||||
4,289 | Carrizo Oil & Gas, Inc.*^ | 119,449 | ||||||
33,287 | Chesapeake Energy Corp.*^ | 174,424 | ||||||
16,914 | Clean Energy Fuel Corp.* | 62,413 | ||||||
8,098 | Cloud Peak Energy, Inc.*^ | 28,262 | ||||||
19,397 | CNX Resources Corp.* | 344,878 | ||||||
2,015 | CONSOL Energy, Inc.* | 77,275 | ||||||
1,914 | Contango Oil & Gas Co.*^ | 10,872 | ||||||
2,037 | CVR Energy, Inc. | 75,349 | ||||||
7,363 | Delek US Holdings, Inc. | 369,401 | ||||||
39,156 | Denbury Resources, Inc.*^ | 188,340 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
16,266 | DHT Holdings, Inc.^ | $ | 76,288 | |||||
1,225 | Dorian LPG, Ltd.* | 9,359 | ||||||
416 | Earthstone Energy, Inc.* | 3,682 | ||||||
4,363 | Eclipse Resources Corp.* | 6,981 | ||||||
8,619 | Enlink Midstream LLC^ | 141,783 | ||||||
12,047 | EP Energy Corp., Class A* | 36,141 | ||||||
2,943 | Evolution Petroleum Corp. | 28,989 | ||||||
4,777 | Extraction Oil & Gas, Inc.* | 70,174 | ||||||
10,643 | Gaslog, Ltd.^ | 203,281 | ||||||
1,561 | Green Plains Renewable Energy, Inc. | 28,566 | ||||||
9,417 | Gulfport Energy Corp.* | 118,372 | ||||||
2,815 | Halcon Resources Corp.* | 12,358 | ||||||
5,504 | Hallador Energy Co. | 39,299 | ||||||
9,079 | HighPoint Resources Corp.*^ | 55,200 | ||||||
1,172 | International Seaways, Inc.* | 27,120 | ||||||
34,496 | Kosmos Energy LLC* | 285,283 | ||||||
14,513 | Laredo Petroleum Holdings, Inc.*^ | 139,615 | ||||||
9,030 | Matador Resources Co.*^ | 271,352 | ||||||
1,034 | Midstates Petroleum Co., Inc.* | 14,073 | ||||||
12,361 | Nordic American Tankers, Ltd. | 33,127 | ||||||
18,805 | Oasis Petroleum, Inc.* | 243,901 | ||||||
4,913 | Pacific Ethanol, Inc.* | 12,774 | ||||||
2,410 | Panhandle Oil & Gas, Inc., Class A | 46,031 | ||||||
1,648 | Par Pacific Holdings, Inc.* | 28,642 | ||||||
9,552 | PBF Energy, Inc., Class A | 400,514 | ||||||
4,553 | PDC Energy, Inc.*^ | 275,229 | ||||||
1,687 | Peabody Energy Corp.^ | 76,725 | ||||||
523 | Penn Virginia Corp.* | 44,397 | ||||||
6 | PrimeEnergy Corp.* | 438 | ||||||
11,830 | QEP Resources, Inc.* | 145,036 | ||||||
2,688 | Range Resources Corp.^ | 44,970 | ||||||
6,030 | Renewable Energy Group, Inc.*^ | 107,636 | ||||||
3,561 | Ring Energy, Inc.*^ | 44,940 | ||||||
600 | SandRidge Energy, Inc.* | 10,644 | ||||||
28,682 | Scorpio Tankers, Inc. | 80,596 | ||||||
5,243 | SemGroup Corp., Class A | 133,172 | ||||||
12,619 | Ship Finance International^ | 188,654 | ||||||
6,409 | SM Energy Co.^ | 164,647 | ||||||
25,958 | Southwestern Energy Co.*^ | 137,577 | ||||||
23,009 | SRC Energy, Inc.*^ | 253,559 | ||||||
1,352 | Talos Energy, Inc.*^ | 43,440 | ||||||
1,980 | Teekay Shipping Corp. | 15,345 | ||||||
18,909 | Teekay Tankers, Ltd. | 22,124 | ||||||
9,332 | Ultra Petroleum Corp.* | 21,557 | ||||||
8,709 | W&T Offshore, Inc.* | 62,269 | ||||||
7,542 | Whiting Petroleum Corp.* | 397,613 | ||||||
639 | Wildhorse Resource Development Corp.* | 16,205 | ||||||
2,377 | World Fuel Services Corp. | 48,515 | ||||||
|
| |||||||
6,608,017 | ||||||||
|
| |||||||
Paper & Forest Products (1.1%): | ||||||||
5,866 | Boise Cascade Co.^ | 262,210 | ||||||
2,174 | Clearwater Paper Corp.* | 50,219 |
Continued
14
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Paper & Forest Products, continued | ||||||||
8,287 | Domtar Corp. | $ | 395,621 | |||||
12,499 | KapStone Paper & Packaging Corp. | 431,215 | ||||||
3,550 | Louisiana-Pacific Corp. | 96,631 | ||||||
8,641 | Mercer International, Inc. | 151,218 | ||||||
2,510 | Neenah Paper, Inc. | 212,974 | ||||||
1,455 | P.H. Glatfelter Co. | 28,503 | ||||||
12,394 | Resolute Forest Products* | 128,278 | ||||||
4,054 | Schweitzer-Mauduit International, Inc. | 177,241 | ||||||
606 | Verso Corp.* | 13,187 | ||||||
|
| |||||||
1,947,297 | ||||||||
|
| |||||||
Personal Products (0.7%): | ||||||||
27,730 | Avon Products, Inc.* | 44,923 | ||||||
1,214 | CCA Industries, Inc.* | 3,521 | ||||||
2,807 | Edgewell Personal Care Co.*^ | 141,641 | ||||||
4,304 | Inter Parfums, Inc. | 230,264 | ||||||
900 | Lifevantage Corp.* | 5,733 | ||||||
537 | Mannatech, Inc. | 11,009 | ||||||
1,346 | Medifast, Inc. | 215,575 | ||||||
1,387 | Natural Alternatives International, Inc.* | 14,078 | ||||||
369 | Natural Health Trends Corp. | 9,232 | ||||||
2,857 | Natures Sunshine Products, Inc.* | 26,713 | ||||||
2,622 | Nu Skin Enterprises, Inc., Class A | 205,014 | ||||||
3,159 | Revlon, Inc.* | 55,440 | ||||||
340 | United-Guardian, Inc. | 6,511 | ||||||
3,463 | Usana Health Sciences, Inc.* | 399,284 | ||||||
|
| |||||||
1,368,938 | ||||||||
|
| |||||||
Pharmaceuticals (0.9%): | ||||||||
2,163 | Akorn, Inc.* | 35,884 | ||||||
1,722 | Amneal Pharmaceuticals, Inc.*^ | 28,258 | ||||||
3,129 | Amphastar Pharmaceuticals, Inc.*^ | 47,749 | ||||||
1,566 | ANI Pharmaceuticals, Inc.*^ | 104,609 | ||||||
1,496 | Aratana Therapeutics, Inc.* | 6,358 | ||||||
3,245 | Corcept Therapeutics, Inc.*^ | 51,011 | ||||||
3,415 | Cumberland Pharmaceuticals, Inc.* | 20,934 | ||||||
4,744 | DepoMed, Inc.*^ | 31,642 | ||||||
10,521 | Endo International plc*^ | 99,213 | ||||||
3,159 | Endocyte, Inc.* | 43,594 | ||||||
608 | Heska Corp.*^ | 63,104 | ||||||
10,506 | Horizon Pharma plc* | 173,979 | ||||||
5,141 | Innoviva, Inc.*^ | 70,946 | ||||||
1,879 | Intra-Cellular Therapies, Inc.* | 33,202 | ||||||
2,063 | Juniper Pharmaceuticals, Inc.* | 17,948 | ||||||
6,034 | Lannett Co., Inc.* | 82,062 | ||||||
2,617 | Lipocine, Inc.* | 3,402 | ||||||
2,153 | Mallinckrodt plc*^ | 40,175 | ||||||
845 | Melinta Therapeutics, Inc.* | 5,366 | ||||||
859 | Phibro Animal Health Corp., Class A | 39,557 | ||||||
6,876 | Prestige Brands Holdings, Inc.*^ | 263,901 | ||||||
5,788 | Supernus Pharmaceuticals, Inc.*^ | 346,413 | ||||||
341 | Taro Pharmaceutical Industries, Ltd.* | 39,450 | ||||||
1,949 | Tetraphase Pharmaceuticals, Inc.* | 6,958 | ||||||
1,034 | Zogenix, Inc.* | 45,703 | ||||||
|
| |||||||
1,701,418 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Professional Services (1.8%): | ||||||||
1,888 | Acacia Research Corp.* | $ | 7,835 | |||||
1,199 | Barrett Business Services, Inc. | 115,787 | ||||||
7,214 | CBIZ, Inc.* | 165,922 | ||||||
490 | CRA International, Inc. | 24,936 | ||||||
7,190 | Exponent, Inc. | 347,277 | ||||||
3,126 | Franklin Covey Co.*^ | 76,743 | ||||||
4,532 | FTI Consulting, Inc.* | 274,095 | ||||||
2,202 | GP Strategies Corp.* | 38,755 | ||||||
2,274 | Heidrick & Struggles International, Inc. | 79,590 | ||||||
7,594 | Hill International, Inc.*^ | 44,805 | ||||||
2,768 | Huron Consulting Group, Inc.* | 113,211 | ||||||
2,643 | ICF International, Inc. | 187,785 | ||||||
5,132 | Insperity, Inc. | 488,823 | ||||||
1,000 | Kelly Services, Inc., Class A | 22,450 | ||||||
4,482 | Kforce, Inc. | 153,733 | ||||||
8,105 | Korn/Ferry International | 501,942 | ||||||
666 | Mastech Holdings, Inc.* | 10,723 | ||||||
3,943 | Mistras Group, Inc.* | 74,444 | ||||||
6,221 | Navigant Consulting, Inc.* | 137,733 | ||||||
4,033 | Resources Connection, Inc. | 68,158 | ||||||
3,165 | TriNet Group, Inc.* | 177,050 | ||||||
6,167 | Trueblue, Inc.* | 166,201 | ||||||
4,212 | Volt Information Sciences, Inc.* | 14,321 | ||||||
831 | Wageworks, Inc.*^ | 41,550 | ||||||
1,576 | Willdan Group, Inc.*^ | 48,809 | ||||||
|
| |||||||
3,382,678 | ||||||||
|
| |||||||
Real Estate Management & Development (0.7%): | ||||||||
4,169 | Alexander & Baldwin, Inc. | 97,972 | ||||||
2,400 | Altisource Portfolio Solutions* | 70,008 | ||||||
395 | CKX Lands, Inc. | 4,128 | ||||||
920 | Consolidated-Tomoka Land Co.^ | 56,589 | ||||||
692 | Forestar Group, Inc.*^ | 14,359 | ||||||
504 | FRP Holdings, Inc.* | 32,634 | ||||||
376 | Griffin Industrial Realty, Inc. | 16,540 | ||||||
6,592 | HFF, Inc., Class A | 226,435 | ||||||
10 | J.W. Mays, Inc.* | 401 | ||||||
5,824 | Kennedy-Wilson Holdings, Inc. | 123,178 | ||||||
5,387 | Marcus & Millichap, Inc.*^ | 210,147 | ||||||
1,035 | Maui Land & Pineapple Co.* | 11,592 | ||||||
2,057 | Rafael Holdings, Inc., Class B* | 18,904 | ||||||
702 | RE/MAX Holdings, Inc., Class A | 36,820 | ||||||
8,369 | Realogy Holdings Corp.^ | 190,813 | ||||||
308 | Stratus Properties, Inc.* | 9,409 | ||||||
3,421 | Tejon Ranch Co.* | 83,130 | ||||||
1,076 | The RMR Group, Inc., Class A | 84,412 | ||||||
2,700 | The St. Joe Co.* | 48,465 | ||||||
|
| |||||||
1,335,936 | ||||||||
|
| |||||||
Road & Rail (1.0%): | ||||||||
1,803 | ArcBest Corp. | 82,397 | ||||||
9,143 | Avis Budget Group, Inc.*^ | 297,148 | ||||||
2,278 | Covenant Transportation Group, Inc., Class A* | 71,757 | ||||||
10,920 | Heartland Express, Inc.^ | 202,566 |
Continued
15
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
3,276 | Hertz Global Holdings, Inc.* | $ | 50,254 | |||||
875 | Landstar System, Inc. | 95,550 | ||||||
1,700 | Marten Transport, Ltd. | 39,865 | ||||||
7,221 | Roadrunner Transportation System, Inc.* | 15,092 | ||||||
598 | Ryder System, Inc. | 42,972 | ||||||
4,204 | Saia, Inc.* | 339,893 | ||||||
3,855 | Universal Truckload Services, Inc. | 101,194 | ||||||
988 | USA Truck, Inc.*^ | 23,188 | ||||||
10,586 | Werner Enterprises, Inc.^ | 397,505 | ||||||
4,526 | YRC Worldwide, Inc.* | 45,486 | ||||||
|
| |||||||
1,804,867 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.8%): | ||||||||
4,922 | Advanced Energy Industries, Inc.* | 285,919 | ||||||
3,814 | Alpha & Omega Semiconductor, Ltd.* | 54,311 | ||||||
1,056 | Ambarella, Inc.* | 40,772 | ||||||
30,273 | Amkor Technology, Inc.* | 260,045 | ||||||
1,301 | Amtech Systems, Inc.* | 7,871 | ||||||
4,245 | Axcelis Technologies, Inc.*^ | 84,051 | ||||||
2,777 | AXT, Inc.*^ | 19,578 | ||||||
2,314 | Brooks Automation, Inc. | 75,483 | ||||||
3,230 | Cabot Microelectronics Corp. | 347,419 | ||||||
1,462 | CEVA, Inc.* | 44,152 | ||||||
5,549 | Cirrus Logic, Inc.* | 212,693 | ||||||
4,840 | Cohu, Inc.^ | 118,628 | ||||||
6,676 | Cree, Inc.*^ | 277,521 | ||||||
522 | Cyberoptics Corp.*^ | 9,083 | ||||||
6,488 | Diodes, Inc.* | 223,641 | ||||||
3,285 | DSP Group, Inc.* | 40,898 | ||||||
3,627 | Entegris, Inc. | 122,955 | ||||||
9,457 | FormFactor, Inc.* | 125,778 | ||||||
4,679 | GSI Technology, Inc.* | 35,186 | ||||||
1,254 | Ichor Holdings, Ltd.*^ | 26,610 | ||||||
1,201 | Inphi Corp.* | 39,165 | ||||||
11,059 | Integrated Device Technology, Inc.*^ | 352,562 | ||||||
1,349 | inTest Corp.* | 9,848 | ||||||
12,127 | Kopin Corp.*^ | 34,683 | ||||||
8,156 | Kulicke & Soffa Industries, Inc. | 194,276 | ||||||
12,204 | Lattice Semiconductor Corp.* | 80,058 | ||||||
1,636 | MagnaChip Semiconductor Corp.*^ | 16,769 | ||||||
4,333 | MaxLinear, Inc., Class A*^ | 67,551 | ||||||
2,325 | MKS Instruments, Inc. | 222,503 | ||||||
3,511 | Nanometrics, Inc.* | 124,325 | ||||||
6,163 | Neophotonics Corp.*^ | 38,395 | ||||||
807 | NVE Corp.^ | 98,276 | ||||||
4,804 | PDF Solutions, Inc.*^ | 57,552 | ||||||
11,404 | Photronics, Inc.* | 90,947 | ||||||
2,109 | Pixelworks, Inc.* | 7,613 | ||||||
3,264 | Power Integrations, Inc. | 238,435 | ||||||
13,307 | Rambus, Inc.* | 166,870 | ||||||
5,028 | Rudolph Technologies, Inc.* | 148,829 | ||||||
2,943 | Semtech Corp.* | 138,468 | ||||||
6,339 | Sigma Designs, Inc.* | 38,668 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
2,469 | Synaptics, Inc.*^ | $ | 124,364 | |||||
5,213 | Ultra Clean Holdings, Inc.*^ | 86,536 | ||||||
6,109 | Veeco Instruments, Inc.*^ | 87,053 | ||||||
3,045 | Versum Materials, Inc. | 113,122 | ||||||
6,370 | Xcerra Corp.* | 88,989 | ||||||
5,605 | Xperi Corp. | 90,241 | ||||||
|
| |||||||
5,168,692 | ||||||||
|
| |||||||
Software (1.6%): | ||||||||
13,237 | ACI Worldwide, Inc.* | 326,556 | ||||||
4,794 | American Software, Inc., Class A | 69,849 | ||||||
935 | Asure Software, Inc.* | 14,913 | ||||||
2,785 | Aware, Inc.* | 11,279 | ||||||
1,505 | Blackbaud, Inc.^ | 154,187 | ||||||
2,350 | BSQUARE Corp.* | 6,345 | ||||||
1,750 | Datawatch Corp.* | 16,625 | ||||||
3,842 | Ebix, Inc. | 292,952 | ||||||
1,594 | Ellie Mae, Inc.*^ | 165,521 | ||||||
2,049 | Evolving Systems, Inc.* | 5,840 | ||||||
5,614 | Finjan Holdings, Inc.* | 19,088 | ||||||
4,113 | GlobalSCAPE, Inc. | 15,917 | ||||||
595 | Globant SA* | 33,790 | ||||||
4,000 | Glu Mobile, Inc.*^ | 25,640 | ||||||
2,560 | Manhattan Associates, Inc.*^ | 120,346 | ||||||
562 | MicroStrategy, Inc., Class A* | 71,796 | ||||||
4,090 | Monotype Imaging Holdings, Inc. | 83,027 | ||||||
5,507 | OneSpan, Inc.* | 108,213 | ||||||
319 | Paycom Software, Inc.*^ | 31,527 | ||||||
1,010 | Paylocity Holding Corp.* | 59,449 | ||||||
437 | Pegasystems, Inc. | 23,948 | ||||||
6,260 | Progress Software Corp. | 243,013 | ||||||
1,864 | QAD, Inc. | 93,480 | ||||||
1,490 | Qualys, Inc.*^ | 125,607 | ||||||
411 | RealPage, Inc.* | 22,646 | ||||||
2,886 | Rubicon Project, Inc.* | 8,225 | ||||||
6,367 | SeaChange International, Inc.* | 21,775 | ||||||
7,906 | Telenav, Inc.* | 44,274 | ||||||
16,342 | TiVo Corp. | 219,800 | ||||||
3,726 | Verint Systems, Inc.* | 165,248 | ||||||
1,473 | Zedge, Inc., Class B* | 5,538 | ||||||
1,895 | Zix Corp.* | 10,214 | ||||||
95,455 | Zynga, Inc.* | 388,501 | ||||||
|
| |||||||
3,005,129 | ||||||||
|
| |||||||
Specialty Retail (3.9%): | ||||||||
9,338 | Aaron’s, Inc. | 405,737 | ||||||
3,905 | Abercrombie & Fitch Co., Class A^ | 95,594 | ||||||
13,115 | American Eagle Outfitters, Inc.^ | 304,924 | ||||||
996 | America’s Car Mart, Inc.* | 61,652 | ||||||
2,646 | Asbury Automotive Group, Inc.*^ | 181,383 | ||||||
13,213 | Ascena Retail Group, Inc.*^ | 52,654 | ||||||
357 | At Home Group, Inc.* | 13,977 | ||||||
7,305 | Barnes & Noble Education, Inc.* | 41,200 | ||||||
11,581 | Barnes & Noble, Inc.^ | 73,539 |
Continued
16
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
7,174 | Bed Bath & Beyond, Inc.^ | $ | 142,942 | |||||
4,102 | Big 5 Sporting Goods Corp.^ | 31,175 | ||||||
3,574 | Boot Barn Holdings, Inc.* | 74,161 | ||||||
1,732 | Build-A-Bear Workshop, Inc.*^ | 13,163 | ||||||
5,586 | Caleres, Inc.^ | 192,103 | ||||||
3,499 | Cato Corp., Class A^ | 86,145 | ||||||
19,215 | Chico’s FAS, Inc. | 156,410 | ||||||
2,663 | Children’s Place Retail Stores, Inc. (The)^ | 321,690 | ||||||
7,062 | Christopher & Banks Corp.* | 6,638 | ||||||
2,175 | Citi Trends, Inc. | 59,682 | ||||||
4,063 | Conn’s, Inc.* | 134,079 | ||||||
2,917 | Destination Maternity Corp.* | 16,977 | ||||||
10,159 | Destination XL Group, Inc.* | 22,858 | ||||||
5,615 | Dick’s Sporting Goods, Inc.^ | 197,929 | ||||||
8,084 | DSW, Inc., Class A^ | 208,729 | ||||||
11,002 | Express, Inc.*^ | 100,668 | ||||||
2,795 | Five Below, Inc.* | 273,099 | ||||||
4,415 | Francesca’s Holdings Corp.*^ | 33,333 | ||||||
5,741 | GameStop Corp., Class A^ | 83,646 | ||||||
2,761 | Genesco, Inc.*^ | 109,612 | ||||||
693 | Group 1 Automotive, Inc.^ | 43,659 | ||||||
11,356 | Guess?, Inc.^ | 243,018 | ||||||
2,764 | Haverty Furniture Cos., Inc.^ | 59,702 | ||||||
2,944 | Hibbett Sports, Inc.*^ | 67,418 | ||||||
1,806 | Kirkland’s, Inc.*^ | 21,022 | ||||||
3,560 | Lithia Motors, Inc., Class A^ | 336,669 | ||||||
1,529 | Lumber Liquidators Holdings, Inc.*^ | 37,231 | ||||||
3,611 | MarineMax, Inc.*^ | 68,428 | ||||||
8,315 | Michaels Cos., Inc. (The)*^ | 159,399 | ||||||
4,597 | Monro Muffler Brake, Inc. | 267,086 | ||||||
4,397 | Murphy U.S.A., Inc.*^ | 326,653 | ||||||
11,726 | New York & Co.* | 60,037 | ||||||
42,056 | Office Depot, Inc. | 107,243 | ||||||
3,403 | Party City Holdco, Inc.* | 51,896 | ||||||
4,183 | Penske Automotive Group, Inc.^ | 195,974 | ||||||
11,557 | Pier 1 Imports, Inc.^ | 27,506 | ||||||
1,537 | Rent-A-Center, Inc.* | 22,625 | ||||||
434 | Restoration Hardware, Inc.* | 60,630 | ||||||
7,968 | Sally Beauty Holdings, Inc.*^ | 127,727 | ||||||
4,149 | Signet Jewelers, Ltd. | 231,307 | ||||||
5,594 | Sleep Number Corp.*^ | 162,338 | ||||||
4,654 | Sonic Automotive, Inc., Class A^ | 95,872 | ||||||
2,363 | Sportsman’s Warehouse Holdings, Inc.* | 12,099 | ||||||
1,752 | Tailored Brands, Inc.^ | 44,711 | ||||||
289 | Tandy Leather Factory, Inc.* | 2,254 | ||||||
6,734 | The Buckle, Inc.^ | 181,145 | ||||||
6,893 | The Container Store Group, Inc.* | 57,970 | ||||||
7,392 | The Tile Shop Holdings, Inc. | 56,918 | ||||||
2,271 | Tilly’s, Inc. | 34,406 | ||||||
737 | Trans World Entertainment Corp.* | 641 | ||||||
2,621 | Urban Outfitters, Inc.* | 116,766 | ||||||
4,282 | Vitamin Shoppe, Inc.* | 29,760 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
727 | Winmark Corp. | $ | 107,923 | |||||
3,700 | Zumiez, Inc.* | 92,685 | ||||||
|
| |||||||
7,006,417 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.3%): | ||||||||
3,723 | 3D Systems Corp.*^ | 51,415 | ||||||
1,308 | Astro-Med, Inc. | 24,656 | ||||||
7,288 | Avid Technology, Inc.*^ | 37,898 | ||||||
1,901 | CCUR Holdings, Inc. | 10,113 | ||||||
1,813 | Cray, Inc.* | 44,600 | ||||||
4,887 | Diebold, Inc. | 58,400 | ||||||
7,170 | Eastman Kodak Co.* | 27,246 | ||||||
5,656 | Electronics for Imaging, Inc.* | 184,158 | ||||||
2,458 | Stratasys, Ltd.* | 47,046 | ||||||
5,858 | Super Micro Computer, Inc.*^ | 138,542 | ||||||
1,590 | TransAct Technologies, Inc. | 19,875 | ||||||
|
| |||||||
643,949 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.2%): | ||||||||
8,448 | Crocs, Inc.*^ | 148,769 | ||||||
2,291 | Culp, Inc. | 56,244 | ||||||
4,229 | Deckers Outdoor Corp.* | 477,413 | ||||||
6,596 | G-III Apparel Group, Ltd.* | 292,862 | ||||||
816 | Lakeland Industries, Inc.* | 11,546 | ||||||
2,740 | Oxford Industries, Inc.^ | 227,365 | ||||||
683 | Perry Ellis International, Inc.* | 18,557 | ||||||
1,515 | Rocky Brands, Inc. | 45,450 | ||||||
6,949 | Sequential Brands Group, Inc.* | 13,690 | ||||||
8,174 | Steven Madden, Ltd. | 434,039 | ||||||
957 | Unifi, Inc.* | 30,337 | ||||||
1,916 | Vera Bradley, Inc.* | 26,901 | ||||||
10,708 | Wolverine World Wide, Inc. | 372,317 | ||||||
|
| |||||||
2,155,490 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (2.6%): | ||||||||
2,838 | BankFinancial Corp. | 50,091 | ||||||
10,084 | Beneficial Bancorp, Inc. | 163,361 | ||||||
8,516 | BofI Holding, Inc.*^ | 348,389 | ||||||
1,659 | BSB Bancorp, Inc.*^ | 57,070 | ||||||
17,506 | Capitol Federal Financial, Inc. | 230,379 | ||||||
2,486 | Charter Financial Corp. | 60,037 | ||||||
280 | Citizens Community Bancorp, Inc. | 3,962 | ||||||
993 | Coastway Bancorp, Inc.* | 27,506 | ||||||
4,896 | Dime Community Bancshares | 95,472 | ||||||
1,537 | ESSA Bancorp, Inc. | 24,331 | ||||||
2,015 | Essent Group, Ltd.* | 72,177 | ||||||
400 | Federal Agricultural Mortgage Corp. | 35,792 | ||||||
242 | First Capital, Inc. | 10,055 | ||||||
590 | First Defiance Financial Corp. | 39,565 | ||||||
6,849 | Flagstar Bancorp, Inc.* | 234,647 | ||||||
574 | FS Bancorp, Inc. | 36,306 | ||||||
195 | Guaranty Federal Bankshares, Inc. | 4,768 | ||||||
681 | Hamilton Bancorp, Inc.* | 10,692 | ||||||
301 | Hingham Institution for Savings | 66,130 |
Continued
17
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance, continued | ||||||||
629 | HMN Financial, Inc.* | $ | 12,643 | |||||
973 | Home Bancorp, Inc. | 45,293 | ||||||
43 | Home Federal Bancorp, Inc. | 1,355 | ||||||
3,414 | HomeStreet, Inc.*^ | 92,007 | ||||||
1,446 | HopFed Bancorp, Inc. | 23,975 | ||||||
869 | IF Bancorp, Inc.^ | 21,186 | ||||||
865 | Impac Mortgage Holdings, Inc.* | 8,243 | ||||||
8,131 | Kearny Financial Corp.^ | 109,362 | ||||||
390 | Kentucky First Federal Bancorp | 3,296 | ||||||
955 | LendingTree, Inc.*^ | 204,179 | ||||||
940 | Malvern Bancorp, Inc.* | 22,889 | ||||||
7,012 | Meridian Bancorp, Inc. | 134,280 | ||||||
1,197 | Meta Financial Group, Inc. | 116,588 | ||||||
676 | MSB Financial Corp. | 14,534 | ||||||
3,723 | Nationstar Mortgage Holdings, Inc.* | 65,264 | ||||||
3,627 | NMI Holdings, Inc., Class A* | 59,120 | ||||||
6,978 | Northfield Bancorp, Inc. | 115,974 | ||||||
12,756 | Northwest Bancshares, Inc.^ | 221,827 | ||||||
6,123 | Oceanfirst Financial Corp.^ | 183,445 | ||||||
198 | Oconee Federal Financial Corp. | 5,730 | ||||||
16,927 | Ocwen Financial Corp.* | 67,031 | ||||||
6,648 | Oritani Financial Corp.^ | 107,698 | ||||||
4,022 | PennyMac Financial Services, Inc., Class A* | 79,032 | ||||||
2,981 | PHH Corp.* | 32,374 | ||||||
1,677 | Provident Financial Holdings, Inc. | 31,997 | ||||||
2,873 | Provident Financial Services, Inc. | 79,094 | ||||||
1,685 | Prudential Bancorp, Inc. | 32,521 | ||||||
1,982 | Riverview Bancorp, Inc. | 16,728 | ||||||
2,881 | Security National Financial Corp., Class A* | 14,981 | ||||||
671 | Severn Bancorp, Inc. | 5,804 | ||||||
1,709 | SI Financial Group, Inc. | 25,208 | ||||||
707 | Southern Missouri Bancorp, Inc. | 27,587 | ||||||
1,815 | Territorial Bancorp, Inc. | 56,265 | ||||||
15,166 | TrustCo Bank Corp. | 134,977 | ||||||
25 | United Community Bancorp | 680 | ||||||
7,757 | United Community Financial Corp. | 85,249 | ||||||
6,358 | United Financial Bancorp, Inc. | 111,392 | ||||||
10,147 | Washington Federal, Inc. | 331,806 | ||||||
4,703 | Waterstone Financial, Inc. | 80,186 | ||||||
4,268 | Wawlker & Dunlop, Inc. | 237,514 | ||||||
3,601 | Western New England BanCorp, Inc. | 39,611 | ||||||
4,073 | WSFS Financial Corp. | 217,091 | ||||||
35 | WVS Financial Corp. | 579 | ||||||
|
| |||||||
4,847,325 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
1,419 | Alliance One International, Inc.* | 22,491 | ||||||
491 | Turning Point Brands, Inc. | 15,663 | ||||||
635 | Universal Corp. | 41,942 | ||||||
17,933 | Vector Group, Ltd.^ | 342,161 | ||||||
|
| |||||||
422,257 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.4%): | ||||||||
311 | AeroCentury Corp.* | 4,929 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
1,597 | Air Lease Corp. | $ | 67,026 | |||||
3,318 | Aircastle, Ltd. | 68,019 | ||||||
5,198 | Applied Industrial Technologies, Inc. | 364,640 | ||||||
8,168 | Beacon Roofing Supply, Inc.* | 348,120 | ||||||
1,500 | BlueLinx Holdings, Inc.*^ | 56,295 | ||||||
2,473 | BMC Stock Holdings, Inc.* | 51,562 | ||||||
2,824 | CAI International, Inc.* | 65,630 | ||||||
2,504 | DXP Enterprises, Inc.* | 95,653 | ||||||
1,463 | Envirostar, Inc. | 58,959 | ||||||
1,610 | GATX Corp.^ | 119,510 | ||||||
1,239 | H&E Equipment Services, Inc. | 46,599 | ||||||
1,116 | Herc Holdings, Inc.* | 62,875 | ||||||
4,781 | Huttig Building Products, Inc.*^ | 22,710 | ||||||
4,012 | Kaman Corp., Class A^ | 279,596 | ||||||
373 | Lawson Products, Inc.* | 9,083 | ||||||
4,569 | MRC Global, Inc.* | 99,010 | ||||||
4,852 | NOW, Inc.*^ | 64,677 | ||||||
2,681 | Rush Enterprises, Inc., Class A* | 116,302 | ||||||
7,847 | Textainer Group Holdings, Ltd.*^ | 124,767 | ||||||
2,765 | Titan Machinery, Inc.*^ | 42,996 | ||||||
577 | TransAct Technologies, Inc.* | 10,905 | ||||||
5,731 | Triton International, Ltd. | 175,712 | ||||||
1,668 | Univar, Inc.* | 43,768 | ||||||
2,676 | Veritiv Corp.*^ | 106,639 | ||||||
3,460 | WESCO International, Inc.* | 197,566 | ||||||
|
| |||||||
2,703,548 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%): | ||||||||
892 | Macquarie Infrastructure Corp.^ | 37,642 | ||||||
|
| |||||||
Water Utilities (0.6%): | ||||||||
4,757 | American States Water Co.^ | 271,910 | ||||||
1,221 | Artesian Resources Corp. | 47,338 | ||||||
7,681 | California Water Service Group^ | 299,175 | ||||||
1,558 | Connecticut Water Service, Inc. | 101,769 | ||||||
2,756 | Consolidated Water Co., Ltd. | 35,552 | ||||||
2,508 | Middlesex Water Co. | 105,762 | ||||||
669 | Pure Cycle Corp.* | 6,389 | ||||||
2,763 | SJW Corp.^ | 182,966 | ||||||
1,642 | York Water Co. (The) | 52,216 | ||||||
|
| |||||||
1,103,077 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
6,783 | Boingo Wireless, Inc.*^ | 153,228 | ||||||
7,479 | Shenandoah Telecommunications Co. | 244,563 | ||||||
2,722 | Spok Holdings, Inc. | 40,966 | ||||||
9,308 | Telephone & Data Systems, Inc. | 255,226 | ||||||
1,049 | United States Cellular Corp.* | 38,855 | ||||||
|
| |||||||
732,838 | ||||||||
|
| |||||||
Total Common Stocks (Cost $152,342,520) | 184,677,844 | |||||||
|
| |||||||
Preferred Stock (0.0%): | ||||||||
Media (0.0%): | ||||||||
1,030 | GCI Liberty, Inc., Class A, 5.00% | 24,875 | ||||||
|
| |||||||
Total Preferred Stock (Cost $8,429) | 24,875 | |||||||
|
|
Continued
18
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, | Fair Value | |||||||
Rights (0.0%): | ||||||||
Diversified Financial Services (0.0%): | ||||||||
6,056 | NewStar Financial, Inc., Expires on 12/31/49*(a) | $ | 2,982 | |||||
|
| |||||||
Media (0.0%): | ||||||||
21,894 | Media General, Inc. CVR, Expires on 12/31/49*(a) | 2,189 | ||||||
|
| |||||||
Total Rights (Cost $10,055) | 5,171 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (28.6%): | ||||||||
$ | 52,969,927 | AZL DFA U.S. Small Cap Fund Securities Lending Collateral Account(b) | 52,969,927 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 52,969,927 | ||||||
|
|
Contracts, Shares, | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan, continued | ||||||||
Unaffiliated Investment Company (0.3%): | ||||||||
$ | 605,429 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(c) | $ | 605,429 | ||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $605,429) | 605,429 | |||||||
|
| |||||||
Total Investment Securities (Cost $205,936,360) — 128.7%(d) | 238,283,246 | |||||||
Net other assets (liabilities) — (28.7)% | (53,091,102 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 185,192,144 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
CVR—Contingency Valued Rights
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $51,443,366. |
(a) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.09% of the net assets of the Fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(c) | The rate represents the effective yield at June 30, 2018. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Small Cap Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 205,936,360 | |||
|
| ||||
Investment securities, at value* | $ | 238,283,246 | |||
Interest and dividends receivable | 138,249 | ||||
Receivable for investments sold | 16,150 | ||||
Reclaims receivable | 460 | ||||
Prepaid expenses | 1,138 | ||||
|
| ||||
Total Assets | 238,439,243 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 117,130 | ||||
Payable for collateral received on loaned securities | 52,969,927 | ||||
Manager fees payable | 110,220 | ||||
Administration fees payable | 4,378 | ||||
Distribution fees payable | 39,364 | ||||
Custodian fees payable | 1,018 | ||||
Administrative and compliance services fees payable | 197 | ||||
Transfer agent fees payable | 343 | ||||
Trustee fees payable | 883 | ||||
Other accrued liabilities | 3,639 | ||||
|
| ||||
Total Liabilities | 53,247,099 | ||||
|
| ||||
Net Assets | $ | 185,192,144 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 132,714,298 | |||
Accumulated net investment income/(loss) | 1,436,092 | ||||
Accumulated net realized gains/(losses) from investment transactions | 18,694,890 | ||||
Net unrealized appreciation/(depreciation) on investments | 32,346,864 | ||||
|
| ||||
Net Assets | $ | 185,192,144 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 14,198,214 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.04 | |||
|
|
* | Includes securities on loan of $51,443,366. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 1,258,062 | |||
Income from securities lending | 117,188 | ||||
Foreign withholding tax | (360 | ) | |||
|
| ||||
Total Investment Income | 1,374,890 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 815,677 | ||||
Administration fees | 36,366 | ||||
Distribution fees | 239,904 | ||||
Custodian fees | 5,128 | ||||
Administrative and compliance services fees | 1,021 | ||||
Transfer agent fees | 1,835 | ||||
Trustee fees | 3,337 | ||||
Professional fees | 3,397 | ||||
Shareholder reports | 715 | ||||
Other expenses | 1,274 | ||||
|
| ||||
Total expenses before reductions | 1,108,654 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (143,943 | ) | |||
|
| ||||
Net expenses | 964,711 | ||||
|
| ||||
Net Investment Income/(Loss) | 410,179 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 9,246,156 | ||||
Change in net unrealized appreciation/depreciation on investments | 103,744 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 9,349,900 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 9,760,079 | |||
|
|
See accompanying notes to the financial statements.
20
AZL DFA U.S. Small Cap Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 410,179 | $ | 1,086,364 | ||||||
Net realized gains/(losses) on investment transactions | 9,246,156 | 9,375,020 | ||||||||
Change in unrealized appreciation/depreciation on investments | 103,744 | 9,991,127 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 9,760,079 | 20,452,511 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (1,109,970 | ) | |||||||
From net realized gains | — | (2,963,806 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (4,073,776 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 974,218 | 3,794,880 | ||||||||
Proceeds from dividends reinvested | — | 4,073,776 | ||||||||
Value of shares redeemed | (23,961,475 | ) | (33,839,893 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (22,987,257 | ) | (25,971,237 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (13,227,178 | ) | (9,592,502 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 198,419,322 | 208,011,824 | ||||||||
|
|
|
| |||||||
End of period | $ | 185,192,144 | $ | 198,419,322 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 1,436,092 | $ | 1,025,913 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 78,407 | 327,610 | ||||||||
Dividends reinvested | — | 348,186 | ||||||||
Shares redeemed | (1,878,815 | ) | (2,884,226 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,800,408 | ) | (2,208,430 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
21
AZL DFA U.S. Small Cap Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 27, 2015 to December 31, 2015(a) | |||||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.40 | $ | 11.42 | $ | 9.20 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Investment Activities: | ||||||||||||||||||||
Net Investment Income/(Loss) | 0.04 | 0.07 | 0.07 | 0.03 | ||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.60 | 1.16 | 2.21 | (0.83 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Activities | 0.64 | 1.23 | 2.28 | (0.80 | ) | |||||||||||||||
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|
|
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|
|
|
| |||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||
Net Investment Income | — | (0.07 | ) | (0.04 | ) | — | ||||||||||||||
Net Realized Gains | — | (0.18 | ) | (0.02 | ) | — | ||||||||||||||
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|
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|
|
| |||||||||||||
Total Dividends | — | (0.25 | ) | (0.06 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 13.04 | $ | 12.40 | $ | 11.42 | $ | 9.20 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 5.16 | %(c) | 10.87 | % | 24.90 | % | (8.00 | )%(c) | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 185,192 | $ | 198,419 | $ | 208,012 | $ | 208,531 | ||||||||||||
Net Investment Income/(Loss)(d) | 0.43 | % | 0.55 | % | 0.56 | % | 0.50 | % | ||||||||||||
Expenses Before Reductions(d)(e) | 1.15 | % | 1.16 | % | 1.14 | % | 1.18 | % | ||||||||||||
Expenses Net of Reductions(d) | 1.01 | % | 1.01 | % | 0.99 | % | 1.03 | % | ||||||||||||
Portfolio Turnover Rate | 5 | %(c) | 9 | % | 9 | % | 10 | %(c) |
(a) | For the period April 27, 2015 (commencement of operations) to December 31, 2015. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
22
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA U.S. Small Cap Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
23
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $43 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $11,435 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $52,969,927 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA U.S. Small Cap Fund | 0.85 | % | 1.35 | % |
* | The Manager voluntarily reduced the management fee to 0.70% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide
24
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $881 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Common Stocks+ | $ | 184,677,844 | $ | — | $ | — | $ | 184,677,844 | ||||||||||||
Preferred Stock | 24,875 | — | — | 24,875 | ||||||||||||||||
Rights | — | 5,171 | — | 5,171 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 52,969,927 | 52,969,927 | ||||||||||||||||
Unaffiliated Investment Company | 605,429 | — | — | 605,429 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 185,308,148 | $ | 5,171 | $ | 52,969,927 | $ | 238,283,246 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
25
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA U.S. Small Cap Fund | $ | 8,707,049 | $ | 31,663,591 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $205,823,344. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 48,563,079 | ||
Unrealized (depreciation) | (16,103,177 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 32,459,902 | ||
|
|
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 2,345,932 | $ | 1,727,844 | $ | 4,073,776 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,330,787 | $ | 9,076,361 | $ | — | $ | 32,310,619 | $ | 42,717,767 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 60% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
26
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
27
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Enhanced Bond Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 26 |
Page 26 |
Statements of Changes in Net Assets Page 27 |
Page 28 |
Notes to the Financial Statements Page 29 |
Page 35 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Enhanced Bond Index Fund
(Unaudited)
As a shareholder of the AZL Enhanced Bond Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 981.60 | $ | 3.19 | 0.65 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Government Agency Mortgages | 33.4 | % | |||
U.S. Treasury Obligations | 25.8 | ||||
Corporate Bonds | 25.4 | ||||
Securities Held as Collateral for Securities on Loan | 17.3 | ||||
Yankee Dollars | 9.8 | ||||
Asset Backed Securities | 4.0 | ||||
Collateralized Mortgage Obligations | 3.8 | ||||
Commercial Paper | 3.4 | ||||
Money Markets | 1.1 | ||||
Municipal Bonds | 0.1 | ||||
|
| ||||
Total Investment Securities | 124.1 | ||||
Net other assets (liabilities) | (24.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Asset Backed Securities (4.0%): | ||||||||
$ | 6,930,000 | Aebor Realty Collateralized Loan, Class A, Series 17-FL1, 3.37%(US0001M+130bps), 4/15/27, Callable 11/15/19 @ 100(a) | $ | 6,965,335 | ||||
2,469,699 | American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a) | 2,473,654 | ||||||
4,841,285 | AmeriCredit Automoblie Receivables Trust, Class A3, Series 16-3, 1.46%, 5/10/21, Callable 11/8/20 @ 100 | 4,813,761 | ||||||
2,330,000 | AmeriCredit Automoblie Receivables Trust, Class A3, Series 16-4, 1.53%, 7/8/21, Callable 1/8/21 @ 100 | 2,313,102 | ||||||
1,000,000 | Apidos CLO, Class A1R, Series 15-20A, 3.68%(US0003M+133bps), 1/16/27, Callable 7/16/18 @ 100(a) | 1,000,191 | ||||||
1,000,000 | Cent CLO, LP, Class A1R, Series 14-22A, 3.76%(US0003M+141bps), 11/7/26, Callable 8/7/18 @ 100(a) | 1,000,530 | ||||||
2,000,000 | Chase Issuance Trust, Class A5, Series 2016-A5, 1.27%, 7/15/21 | 1,971,044 | ||||||
8,160,000 | Chesapeake Funding II LLC, Class A1, Series 2018-1A, 3.04%, 4/15/30, Callable 4/15/21 @ 100(a) | 8,132,681 | ||||||
2,210,000 | Citibank Credit Card Issuance Trust, Class A1, Series 2014-A1, 2.88%, 1/23/23 | 2,203,612 | ||||||
3,335,000 | Citibank Credit Card Issuance Trust, Class A3, Series 2017-A3, 1.92%, 4/7/22 | 3,278,532 | ||||||
141,498 | Credit Acceptance Auto Loan Trust, Class A, Series 15-2A, 2.40%, 2/15/23, Callable 12/15/18 @ 100(a)(b) | 141,489 | ||||||
1,460,000 | Drive Auto Receivables Trust, Class A3, Series 2017-3, 1.85%, 4/15/20, Callable 10/15/20 @ 100 | 1,458,390 | ||||||
1,495,000 | Ford Credit Floorplan Master Owner Trust, Class A, Series 2014-2, 2.57%(US0001M+50bps), 2/15/21 | 1,500,012 | ||||||
1,855,000 | Golden Credit Card Trust, Class A, Series 2015-2A, 2.02%, 4/15/22(a) | 1,823,858 | ||||||
4,167,624 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 17-1, 3.50%, 1/25/47, Callable 2/25/41 @ 100(a)(b) | 4,139,855 | ||||||
3,400,000 | LoanCore Issuer, Ltd., Class A, Series 2018-CRE1, 3.07%(US0001M+113bps), 5/15/28, Callable 5/15/20 @ 100(a) | 3,401,037 | ||||||
514,526 | Navient Student Loan Trust, Class A, Series 14-CTA, 2.77%(US0001M+70bps), 9/16/24, Callable 9/15/21 @ 100(a) | 515,158 | ||||||
1,329,912 | Navient Student Loan Trust, Class A2A, Series 2016-AA, 3.91%, 12/15/45, Callable 1/15/30 @ 100(a) | 1,352,155 | ||||||
1,400,000 | OCP CLO, Ltd., Class A1R, Series 2012-2A, 3.73%(US0003M+140bps), 11/22/25, Callable 11/22/18 @ 100(a) | | 1,402,065 | | ||||
1,051,452 | OneMain Financial Issuance Trust, Class A, Series 2015-1A, 3.19%, 3/18/26, Callable 7/18/18 @ 101(a) | 1,053,709 | ||||||
1,250,000 | OZLM, Ltd., Class A1BR, Series 14-7A, 3.50%(US0003M+115bps), 7/17/26, Callable 7/17/18 @ 100(a) | 1,249,996 |
Principal | Fair Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 480,000 | PFS Financing Corp., Class A, Series 2016-BA, 1.87%, 10/15/21(a) | $ | 473,095 | ||||
1,396,520 | Prestige Auto Receivables Trust, Class C, Series 2014-1A, 2.39%, 5/15/20, Callable 9/15/18 @ 100(a) | 1,396,387 | ||||||
2,039,618 | Progress Residential Trust, Class A, Series 2015-SFR2, 2.74%, 6/12/32(a) | 2,011,096 | ||||||
648,586 | Santander Drive Auto Receivables Trust, Class A3, Series 16-3, 1.50%, 8/17/20, Callable 7/15/20 @ 100 | 647,898 | ||||||
35,163 | SLM Student Loan Trust, Class A2, Series 2012-C, 3.31%, 10/15/46, Callable 7/15/18 @ 100(a) | 35,191 | ||||||
505,478 | SMB Private Education Loan Trust, Class A2A, Series 15-B, 2.98%, 7/15/27, Callable 3/15/27 @ 100(a) | 502,228 | ||||||
2,250,000 | SMB Private Education Loan Trust, Class A2A, Series 2017-A, 2.88%, 9/15/34(a) | 2,203,468 | ||||||
227,913 | SMB Private Education Loan Trust, Class A2A, Series 16-A, 2.70%, 5/15/31(a)(b) | 222,996 | ||||||
3,710,000 | SMB Private Education Loan Trust, Class A2A, Series 2018-B, 3.60%, 1/15/37(a) | 3,723,646 | ||||||
1,500,000 | SMB Private Education Loan Trust, Class A2A, Series 2017-B, 2.82%, 10/15/35(a) | 1,457,846 | ||||||
900,000 | SMB Private Education Loan Trust, Class A2B, Series 2017-B, 2.82%(US0001M+75bps), 10/15/35(a) | 902,676 | ||||||
2,294,813 | Social Professional Loan Program, Class A2, Series 2015-D, 2.72%, 10/27/36, Callable 8/25/24 @ 100(a) | 2,263,876 | ||||||
804,844 | Social Professional Loan Program, Class A2, Series 2015-C, 2.51%, 8/25/33, Callable 9/25/23 @ 100(a) | 790,483 | ||||||
5,850,000 | SoFi Professional Loan Program LLC, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 10/25/26 @ 100(a) | 5,711,465 | ||||||
1,377,485 | Springleaf Funding Trust, Class A, Series 2015-AA, 3.16%, 11/15/24, Callable 7/15/18 @ 100(a) | 1,376,956 | ||||||
2,435,000 | Synchrony Credit Card Master Note Trust, Class A, Series 2012-7, 1.76%, 9/15/22 | 2,404,315 | ||||||
435,000 | World Financial Network Credit Card Master Trust, Class A, Series 2012-A, 3.14%, 1/17/23 | 436,154 | ||||||
2,000,000 | World Financial Network Credit Card Master Trust, Class A, Series 2016-C, 1.72%, 8/15/23 | 1,969,663 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $81,406,127) | 80,719,605 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (3.8%): | ||||||||
4,840,000 | BBCMS Mortgage Trust, Class A, Series 2018-TALL, 2.80%(US0001M+72bps), 3/15/37(a) | 4,832,385 | ||||||
2,540,000 | BHMS Mortgage Trust, Class AFL, Series 2014-ATLS, 3.48%(US0001M+150bps), 7/5/33(a) | 2,541,455 | ||||||
1,847,000 | Caesars Palace Las Vegas Trust, Class A, Series 2017-VICI, 3.53%, 10/15/34(a) | 1,851,809 | ||||||
1,300,000 | CIFC Funding, Ltd., Class ARR, Series 2015-1A, 3.47%(US0003M+111bps), 1/22/31, Callable 1/22/20 @ 100(a) | 1,297,101 | ||||||
3,030,000 | Citigroup Commercial Mortgage Trust, Class A5, Series 2014-GC21, 3.86%, 5/10/47 | 3,089,879 |
Continued
2
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 3,360,000 | Cityline Commercial Mortgage Trust, Class A, Series 2016-CLNE, 2.87%, 11/10/31(a)(b) | $ | 3,245,059 | ||||
667,000 | Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48 | 668,425 | ||||||
1,279,058 | Commercial Mortgage Loan Trust, Class AM, Series 2013-CR7, 3.31%, 3/10/46(a) | 1,256,937 | ||||||
8,970,000 | Commercial Mortgage Loan Trust, Class A, Series 2014-TWC, 2.90%(US0001M+85bps), 2/13/32(a) | 8,967,175 | ||||||
3,720,000 | Cosmopolitan Hotel Trust, Class A, Series 2017-CSMO, 3.00%(US0001M+93bps), 11/15/36(a) | 3,721,174 | ||||||
1,102,420 | Credit Suisse Mortgage Trust, Class A, Series 2016-MFF, 3.67%(US0001M+160bps), 11/15/33(a) | 1,107,575 | ||||||
2,760,000 | CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51(b) | 2,807,504 | ||||||
515,362 | GAHR Commercial Mortgage Trust, Class AFL1, Series 2015-NRF, 3.47%(US0001M+130bps), 12/15/34(a) | 515,524 | ||||||
640,000 | GAHR Commercial Mortgage Trust, Class AFX, Series 2015-NRF, 3.23%, 12/15/34(a) | 640,271 | ||||||
1,100,000 | GS Mortgage Securities Trust, Class A, Series 2012-SHOP, 2.93%, 6/5/31(a) | 1,101,211 | ||||||
2,050,000 | GS Mortgage Securities Trust, Class B, Series 2018-CHLL, 3.12%(US0001M+105bps), 2/15/37(a) | 2,047,644 | ||||||
1,525,000 | IMT Trust, Class BFX, Series 2017-APTS, 3.61%, 6/15/34(a)(b) | 1,484,809 | ||||||
1,650,000 | InTown Hotel Portfolio Trust, Class A, Series 2018-STAY, 2.77%(US0001M+70bps), 1/15/33(a) | 1,647,395 | ||||||
243,822 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A, Series 2012-WLDN, 3.91%, 5/5/30(a) | 245,925 | ||||||
5,065,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4FX, Series 2012-CBX, 3.48%, 6/15/45(a) | 5,083,462 | ||||||
3,027,461 | JPMorgan Mortgage Trust, Class A6, Series 2017-2, 3.00%, 5/25/47, Callable 4/25/41 @ 100(a)(b) | 2,952,010 | ||||||
3,329,683 | JPMorgan Mortgage Trust, Class A6, Series 2017-4, 3.00%, 11/25/48, Callable 7/25/39 @ 100(a)(b) | 3,279,555 | ||||||
1,180,000 | Latitude Management Real Estate Capital, Class A, Series 2016-CRE2, 3.78%(US0001M+170bps), 11/24/31(a) | 1,185,900 | ||||||
2,600,000 | Merrill Lynch Mortgage Trust, Class E, Series 2005-MKB2, 6.53%, 9/12/42(b) | 2,694,709 | ||||||
1,300,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48 | 1,288,255 | ||||||
1,540,000 | Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49 | 1,466,160 | ||||||
1,740,000 | Morgan Stanley Capital I Trust, Class A, Series 2014-MP, 3.47%, 8/11/33(a) | 1,737,099 | ||||||
4,579,088 | One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%, 10/15/30(a)(b) | 4,933,281 | ||||||
1,800,988 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 3/25/35 @ 100 | 1,792,669 |
Principal | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 125,000 | SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48 | $ | 118,663 | ||||
768,737 | SMB Private Education Loan Trust, Class A2B, Series 14-A, 3.22%(US0001M+115bps), 5/15/26, Callable 4/15/29 @ 100(a) | 775,931 | ||||||
315,812 | SMB Private Education Loan Trust, Class A2A, Series 16-B, 2.43%, 2/17/32(a)(b) | 306,561 | ||||||
120,000 | Social Professional Loan Program, Class A2B, Series 16-D, 2.34%, 4/25/33, Callable 11/25/25 @ 100(a) | 117,157 | ||||||
445,644 | Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 2.80%(US0001M+75bps), 11/11/34(a) | 445,417 | ||||||
1,460,000 | VNO Mortgage Trust, Class A, Series 2013-PENN, 3.81%, 12/13/29(a) | 1,475,686 | ||||||
170,000 | Waldorf Astoria Boca Raton Trust, Class A, Series 2016-BOCA, 3.42%(US0001M+135bps), 6/15/29(a) | 170,050 | ||||||
1,250,000 | Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48 | 1,215,839 | ||||||
975,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48 | 972,146 | ||||||
1,635,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48 | 1,645,120 | ||||||
14,841,783 | Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 1.22%, 12/15/59(b) | 877,135 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $56,654,690) | 77,602,062 | |||||||
|
| |||||||
Corporate Bonds (25.4%): | ||||||||
Aerospace & Defense (1.6%): | ||||||||
95,000 | BAE Systems plc, 3.85%, 12/15/25, Callable 9/15/25 @ 100.00(a) | 93,904 | ||||||
2,315,000 | General Dynamics Corp., 3.75%, 5/15/28, Callable 2/15/28 @ 100.00^ | 2,336,144 | ||||||
445,000 | Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100.00 | 448,479 | ||||||
1,565,000 | Huntington Ingalls Industries, Inc., 5.00%, 11/15/25, Callable 11/15/20 @ 102.50(a) | 1,618,664 | ||||||
2,995,000 | Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100.00 | 2,814,701 | ||||||
290,000 | L3 Communications Holdings Corp., 3.95%, 5/28/24, Callable 2/28/24 @ 100.00 | 286,403 | ||||||
1,685,000 | L3 Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100.00 | 1,621,418 | ||||||
1,985,000 | L3 Technologies, Inc., 4.40%, 6/15/28, Callable 3/15/28 @ 100.00^ | 1,975,760 | ||||||
3,503,000 | Lockheed Martin Corp., 2.90%, 3/1/25, Callable 12/1/24 @ 100.00 | 3,332,999 | ||||||
2,000 | Lockheed Martin Corp., 3.55%, 1/15/26, Callable 10/15/25 @ 100.00 | 1,966 | ||||||
319,000 | Lockheed Martin Corp., 4.50%, 5/15/36, Callable 11/15/35 @ 100.00 | 331,074 | ||||||
275,000 | Lockheed Martin Corp., 3.80%, 3/1/45, Callable 9/1/44 @ 100.00 | 252,562 | ||||||
2,810,000 | Lockheed Martin Corp., 4.70%, 5/15/46, Callable 11/15/45 @ 100.00^ | 2,987,367 | ||||||
724,000 | Lockheed Martin Corp., 4.09%, 9/15/52, Callable 3/15/52 @ 100.00 | 681,513 |
Continued
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 615,000 | Northrop Grumman Corp., 2.08%, 10/15/20 | $ | 600,862 | ||||
1,810,000 | Northrop Grumman Corp., 3.25%, 8/1/23 | 1,789,478 | ||||||
4,602,000 | Northrop Grumman Corp., 2.93%, 1/15/25, Callable 11/15/24 @ 100.00 | 4,368,969 | ||||||
1,626,000 | Northrop Grumman Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100.00 | 1,527,567 | ||||||
700,000 | Northrop Grumman Corp., 4.03%, 10/15/47, Callable 4/15/47 @ 100.00 | 656,298 | ||||||
1,800,000 | Rockwell Collins, Inc., 2.80%, 3/15/22, Callable 2/15/22 @ 100.00 | 1,753,989 | ||||||
1,385,000 | Spirit AeroSystems, Inc., 3.95%, 6/15/23, Callable 5/15/23 @ 100.00 | 1,392,140 | ||||||
500,000 | United Technologies Corp., 4.50%, 6/1/42 | 494,105 | ||||||
500,000 | United Technologies Corp., 3.75%, 11/1/46, Callable 5/1/46 @ 100.00^ | 437,736 | ||||||
|
| |||||||
31,804,098 | ||||||||
|
| |||||||
Air Freight & Logistics (0.1%): | ||||||||
500,000 | FedEx Corp., 3.88%, 8/1/42 | 447,504 | ||||||
1,315,000 | FedEx Corp., 4.55%, 4/1/46, Callable 10/1/45 @ 100.00 | 1,276,019 | ||||||
615,000 | FedEx Corp., 4.40%, 1/15/47, Callable 7/15/46 @ 100.00 | 582,303 | ||||||
|
| |||||||
2,305,826 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
593,081 | American Airlines, Series A, 3.38%, 11/1/28 | 572,055 | ||||||
543,176 | American Airlines Pass Through Trust, Class AA, Series 2015-2, 3.60%, 3/22/29 | 530,955 | ||||||
400,000 | Southwest Airlines Co., 2.75%, 11/16/22, Callable 10/16/22 @ 100.00 | 388,516 | ||||||
370,000 | United Airlines Pass Through Trust, Class B, Series 2018-1, 4.60%, 9/1/27 | 369,556 | ||||||
|
| |||||||
1,861,082 | ||||||||
|
| |||||||
Auto Components (0.0%): | ||||||||
50,000 | Delphi Corp., 4.15%, 3/15/24, Callable 12/15/23 @ 100.00 | 50,132 | ||||||
680,000 | ZF North America Capital, Inc., 4.50%, 4/29/22^(a) | 692,319 | ||||||
|
| |||||||
742,451 | ||||||||
|
| |||||||
Automobiles (0.3%): | ||||||||
160,000 | Ford Motor Co., 4.75%, 1/15/43 | 138,290 | ||||||
1,375,000 | Ford Motor Co., 5.29%, 12/8/46, Callable 6/8/46 @ 100.00^ | 1,274,256 | ||||||
2,520,000 | General Motors Co., 5.40%, 4/1/48, Callable 10/1/47 @ 100.00^ | 2,394,112 | ||||||
1,390,000 | Volkswagen Group of America Finance LLC, 2.40%, 5/22/20(a) | 1,367,291 | ||||||
|
| |||||||
5,173,949 | ||||||||
|
| |||||||
Banks (4.4%): | ||||||||
5,360,000 | Bank of America Corp., Series G, 2.63%, 4/19/21^ | 5,265,543 | ||||||
7,430,000 | Bank of America Corp., Series G, 2.37%(US0003M+66bps), 7/21/21, Callable 7/21/20 @ 100.00 | 7,283,586 | ||||||
3,395,000 | Bank of America Corp., 2.74%(US0003M+37bps), 1/23/22, Callable 1/23/21 @ 100.00 | 3,334,616 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 890,000 | Bank of America Corp., 2.50%, 10/21/22, Callable 10/21/21 @ 100.00, MTN | $ | 852,485 | ||||
1,010,000 | Bank of America Corp., 3.30%, 1/11/23, MTN | 995,183 | ||||||
643,000 | Bank of America Corp., 3.00%(US0003M+79bps), 12/20/23, Callable 12/20/22 @ 100.00 | 623,412 | ||||||
185,000 | Bank of America Corp., 4.13%, 1/22/24, MTN | 188,045 | ||||||
5,560,000 | Bank of America Corp., 3.55%(US0003M+78bps), 3/5/24, Callable 3/5/23 @ 100.00 | 5,503,077 | ||||||
1,095,000 | Bank of America Corp., 4.00%, 4/1/24 | 1,104,593 | ||||||
2,935,000 | Bank of America Corp., 4.20%, 8/26/24 | 2,950,318 | ||||||
455,000 | Bank of America Corp., 4.00%, 1/22/25, MTN | 449,154 | ||||||
1,810,000 | Bank of America Corp., Series G, 3.50%, 4/19/26 | 1,750,756 | ||||||
1,040,000 | Bank of America Corp., 3.82%(US0003M+158bps), 1/20/28, Callable 1/20/27 @ 100.00, MTN | 1,014,464 | ||||||
380,000 | Bank of America Corp., 4.24%(US0003M+181bps), 4/24/38, Callable 4/24/37 @ 100.00 | 369,123 | ||||||
284,000 | Branch Banking & Trust, 3.63%, 9/16/25, Callable 8/16/25 @ 100.00 | 279,418 | ||||||
920,000 | Citigroup, Inc., 2.45%, 1/10/20, Callable 12/10/19 @ 100.00^ | 909,668 | ||||||
830,000 | Citigroup, Inc., 2.40%, 2/18/20 | 819,419 | ||||||
1,030,000 | Citigroup, Inc., 2.65%, 10/26/20 | 1,016,034 | ||||||
920,000 | Citigroup, Inc., 2.88%(US0003M+95bps), 7/24/23, Callable 7/24/22 @ 100.00 | 887,141 | ||||||
1,545,000 | Citigroup, Inc., 4.40%, 6/10/25 | 1,536,561 | ||||||
225,000 | Citigroup, Inc., 4.08%(US0003M+119bps), 4/23/29, Callable 4/23/28 @ 100.00^ | 220,759 | ||||||
965,000 | Citizens Bank NA, 2.20%, 5/26/20, Callable 4/26/20 @ 100.00 | 944,698 | ||||||
250,000 | Citizens Bank NA, 2.55%, 5/13/21, Callable 4/13/21 @ 100.00 | 243,812 | ||||||
40,000 | Citizens Financial Group, Inc., 2.38%, 7/28/21, Callable 6/28/21 @ 100.00 | 38,677 | ||||||
1,042,000 | Fifth Third Bank, Series B, 3.85%, 3/15/26, Callable 2/15/26 @ 100.00 | 1,024,850 | ||||||
1,660,000 | HSBC USA, Inc., 2.35%, 3/5/20 | 1,640,612 | ||||||
435,000 | HSBC USA, Inc., 5.00%, 9/27/20^ | 447,886 | ||||||
470,000 | Huntington National Bank (The), 2.40%, 4/1/20, Callable 3/1/20 @ 100.00 | 463,502 | ||||||
20,000 | JPMorgan Chase & Co., 2.75%, 6/23/20, Callable 5/23/20 @ 100.00 | 19,822 | ||||||
1,720,000 | JPMorgan Chase & Co., 2.30%, 8/15/21, Callable 8/15/20 @ 100.00 | 1,661,712 | ||||||
125,000 | JPMorgan Chase & Co., 4.50%, 1/24/22 | 129,302 | ||||||
2,625,000 | JPMorgan Chase & Co., 3.51%(US0003M+61bps), 6/18/22, Callable 6/18/21 @ 100.00 | 2,627,021 | ||||||
9,634,000 | JPMorgan Chase & Co., 2.78%(US0003M+94bps), 4/25/23, Callable 4/25/22 @ 100.00 | 9,339,563 | ||||||
445,000 | JPMorgan Chase & Co., 3.38%, 5/1/23 | 434,633 | ||||||
1,180,000 | JPMorgan Chase & Co., 3.56%(US0003M+73bps), 4/23/24, Callable 4/23/23 @ 100.00 | 1,168,944 | ||||||
300,000 | JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100.00 | 283,676 | ||||||
1,271,000 | JPMorgan Chase & Co., 2.95%, 10/1/26, Callable 7/1/26 @ 100.00 | 1,180,625 |
Continued
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 3,710,000 | JPMorgan Chase & Co., 3.78%(US0003M+134bps), 2/1/28, Callable 2/1/27 @ 100.00 | $ | 3,619,678 | ||||
200,000 | JPMorgan Chase & Co., 3.54%(US0003M+138bps), 5/1/28, Callable 5/1/27 @ 100.00 | 191,479 | ||||||
2,320,000 | JPMorgan Chase & Co., 3.51%(US0003M+95bps), 1/23/29, Callable 1/23/28 @ 100.00 | 2,198,095 | ||||||
1,140,000 | Key Bank NA, Series B, 2.50%, 12/15/19 | 1,131,027 | ||||||
250,000 | KeyBank NA, Series B, 3.35%, 6/15/21^ | 250,363 | ||||||
500,000 | KeyBank NA, Series B, 2.40%, 6/9/22 | 480,094 | ||||||
200,000 | KeyCorp, 2.90%, 9/15/20, MTN | 198,395 | ||||||
245,000 | SunTrust Banks, Inc., 4.00%, 5/1/25, Callable 3/1/25 @ 100.00^ | 246,168 | ||||||
440,000 | Synovus Financial Corp., 3.13%, 11/1/22, Callable 10/1/22 @ 100.00^ | 420,200 | ||||||
830,000 | US BanCorp, Series X, 3.15%, 4/27/27, Callable 3/27/27 @ 100.00^ | 793,392 | ||||||
790,000 | US Bank NA, 2.05%, 10/23/20, Callable 9/23/20 @ 100.00, MTN | 771,326 | ||||||
128,000 | Wachovia Corp., 5.50%, 8/1/35 | 136,499 | ||||||
514,000 | Wells Fargo & Co., Series G, 2.60%, 7/22/20 | 507,473 | ||||||
1,590,000 | Wells Fargo & Co., 2.10%, 7/26/21 | 1,527,790 | ||||||
2,960,000 | Wells Fargo & Co., 2.63%, 7/22/22, MTN^ | 2,851,024 | ||||||
2,750,000 | Wells Fargo & Co., 3.07%, 1/24/23, Callable 1/24/22 @ 100.00^ | 2,674,198 | ||||||
320,000 | Wells Fargo & Co., 4.13%, 8/15/23^ | 321,730 | ||||||
250,000 | Wells Fargo & Co., 3.00%, 4/22/26 | 231,762 | ||||||
1,257,000 | Wells Fargo & Co., 3.00%, 10/23/26 | 1,160,633 | ||||||
655,000 | Wells Fargo & Co., Series G, 4.30%, 7/22/27 | 645,494 | ||||||
7,740,000 | Wells Fargo Bank NA, 2.60%, 1/15/21 | 7,616,684 | ||||||
|
| |||||||
86,976,194 | ||||||||
|
| |||||||
Beverages (0.6%): | ||||||||
1,090,000 | Anheuser-Busch InBev NV, 4.70%, 2/1/36, Callable 8/1/35 @ 100.00 | 1,104,766 | ||||||
1,625,000 | Anheuser-Busch InBev NV, 4.90%, 2/1/46, Callable 8/1/45 @ 100.00 | 1,671,116 | ||||||
870,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48, Callable 10/15/47 @ 100.00 | 857,171 | ||||||
685,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100.00 | 669,087 | ||||||
720,000 | Constellation Brands, Inc., 3.60%, 2/15/28, Callable 11/15/27 @ 100.00 | 680,567 | ||||||
150,000 | Dr Pepper Snapple Group, Inc., 4.42%, 12/15/46, Callable 6/15/46 @ 100.00 | 137,232 | ||||||
1,545,000 | Maple Escrow Subsidiary, Inc., 3.55%, 5/25/21^(a) | 1,546,365 | ||||||
1,020,000 | Maple Escrow Subsidiary, Inc., 4.06%, 5/25/23, Callable 4/25/23 @ 100.00(a) | 1,022,487 | ||||||
1,150,000 | Molson Coors Brewing Co., 1.90%, 3/15/19^ | 1,141,803 | ||||||
675,000 | Molson Coors Brewing Co., 2.25%, 3/15/20, Callable 2/15/20 @ 100.00^ | 664,308 | ||||||
1,200,000 | PepsiCo, Inc., 1.70%, 10/6/21, Callable 9/6/21 @ 100.00 | 1,147,559 | ||||||
200,000 | PepsiCo, Inc., 2.38%, 10/6/26, Callable 7/6/26 @ 100.00 | 182,763 | ||||||
730,000 | PepsiCo, Inc., 3.00%, 10/15/27, Callable 7/15/27 @ 100.00^ | 693,510 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Beverages, continued | ||||||||
$ | 200,000 | PepsiCo, Inc., 3.45%, 10/6/46, Callable 4/6/46 @ 100.00 | $ | 179,362 | ||||
|
| |||||||
11,698,096 | ||||||||
|
| |||||||
Biotechnology (0.6%): | ||||||||
1,000,000 | AbbVie, Inc., 2.30%, 5/14/21, Callable 4/14/21 @ 100.00^ | 971,727 | ||||||
2,250,000 | AbbVie, Inc., 3.60%, 5/14/25, Callable 2/14/25 @ 100.00 | 2,179,142 | ||||||
240,000 | AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100.00 | 229,501 | ||||||
570,000 | Amgen, Inc., 2.20%, 5/11/20 | 560,988 | ||||||
500,000 | Amgen, Inc., 1.85%, 8/19/21, Callable 7/19/21 @ 100.00 | 478,900 | ||||||
450,000 | Amgen, Inc., 3.63%, 5/15/22, Callable 2/15/22 @ 100.00^ | 452,667 | ||||||
640,000 | Amgen, Inc., 2.60%, 8/19/26, Callable 5/19/26 @ 100.00 | 577,671 | ||||||
350,000 | Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100.00 | 333,576 | ||||||
254,000 | Amgen, Inc., 4.56%, 6/15/48, Callable 12/15/47 @ 100.00 | 249,617 | ||||||
1,454,000 | Amgen, Inc., 4.66%, 6/15/51, Callable 12/15/50 @ 100.00 | 1,437,705 | ||||||
450,000 | Baxalta, Inc., 4.00%, 6/23/25, Callable 3/23/25 @ 100.00 | 440,538 | ||||||
512,000 | Celgene Corp., 3.88%, 8/15/25, Callable 5/15/25 @ 100.00 | 498,259 | ||||||
485,000 | Celgene Corp., 3.90%, 2/20/28, Callable 11/20/27 @ 100.00 | 458,923 | ||||||
1,650,000 | Gilead Sciences, Inc., 3.25%, 9/1/22, Callable 7/1/22 @ 100.00 | 1,640,490 | ||||||
50,000 | Gilead Sciences, Inc., 2.50%, 9/1/23, Callable 7/1/23 @ 100.00 | 47,665 | ||||||
800,000 | Gilead Sciences, Inc., 3.65%, 3/1/26, Callable 12/1/25 @ 100.00 | 789,829 | ||||||
230,000 | Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100.00 | 239,723 | ||||||
880,000 | Gilead Sciences, Inc., 4.15%, 3/1/47, Callable 9/1/46 @ 100.00 | 841,172 | ||||||
|
| |||||||
12,428,093 | ||||||||
|
| |||||||
Capital Markets (2.0%): | ||||||||
1,710,000 | Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100.00 | 1,644,544 | ||||||
1,475,000 | Bank of New York Mellon Corp. (The), 2.05%, 5/3/21, Callable 4/3/21 @ 100.00, MTN | 1,428,997 | ||||||
2,690,000 | Bank of New York Mellon Corp. (The), 2.95%, 1/29/23, Callable 12/29/22 @ 100.00 | 2,629,064 | ||||||
135,000 | Bank of New York Mellon Corp. (The), 2.80%, 5/4/26, Callable 2/4/26 @ 100.00^ | 126,959 | ||||||
480,000 | Bank of New York Mellon Corp. (The), 3.44%(US0003M+107bps), 2/7/28, Callable 2/7/27 @ 100.00, MTN | 468,474 | ||||||
185,000 | Bank of New York Mellon Corp. (The), 3.00%, 10/30/28, Callable 7/30/28 @ 100.00 | 169,007 |
Continued
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 1,000,000 | Bank of New York Mellon Corp. (The), 3.30%, 8/23/29, Callable 5/23/29 @ 100.00, MTN | $ | 929,637 | ||||
950,000 | Bank of New York Mellon Corp. (The), 4.62%(US0003M+313bps), 12/29/49, Callable 9/20/26 @ 100.00 | 898,938 | ||||||
1,435,000 | Chalres Schwab Corp., Series E, 4.62%(US0003M+332bps), 12/29/49, Callable 3/1/22 @ 100.00^ | 1,433,206 | ||||||
305,000 | CME Group, Inc., 3.75%, 6/15/28, Callable 3/15/28 @ 100.00 | 307,406 | ||||||
1,330,000 | Goldman Sachs Bank USA, Series B, 3.20%, 6/5/20^ | 1,333,872 | ||||||
1,815,000 | Goldman Sachs Group, Inc., 4.00%, 3/3/24 | 1,816,269 | ||||||
425,000 | Goldman Sachs Group, Inc., 3.49%(US0003M+117bps), 5/15/26, Callable 5/15/25 @ 100.00^ | 419,821 | ||||||
1,320,000 | Goldman Sachs Group, Inc., 3.69%(US0003M+151bps), 6/5/28, Callable 6/5/27 @ 100.00 | 1,251,338 | ||||||
2,375,000 | Goldman Sachs Group, Inc., 4.22%(US0003M+130bps), 5/1/29, Callable 5/1/28 @ 100.00^ | 2,339,162 | ||||||
610,000 | Goldman Sachs Group, Inc. (The), 2.60%, 4/23/20, Callable 3/23/20 @ 100.00^ | 604,244 | ||||||
2,425,000 | Goldman Sachs Group, Inc. (The), 2.88%, 2/25/21, Callable 1/25/21 @ 100.00 | 2,393,456 | ||||||
4,730,000 | Goldman Sachs Group, Inc. (The), 3.14%(US0003M+78bps), 10/31/22, Callable 10/31/21 @ 100.00 | 4,730,964 | ||||||
415,000 | Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26, Callable 11/25/25 @ 100.00 | 402,093 | ||||||
106,000 | Goldman Sachs Group, Inc. (The), 5.95%, 1/15/27^ | 114,825 | ||||||
1,385,000 | Goldman Sachs Group, Inc. (The), 3.85%, 1/26/27, Callable 1/26/26 @ 100.00 | 1,330,054 | ||||||
180,000 | Goldman Sachs Group, Inc. (The), 4.80%, 7/8/44, Callable 1/8/44 @ 100.00 | 178,593 | ||||||
760,000 | IntercontinentalExchange, 2.75%, 12/1/20, Callable 11/1/20 @ 100.00 | 753,886 | ||||||
945,000 | Morgan Stanley, 3.13%, 1/23/23 | 922,069 | ||||||
1,555,000 | Morgan Stanley, 3.75%, 2/25/23 | 1,556,763 | ||||||
570,000 | Morgan Stanley, 3.74%(US0003M+85bps), 4/24/24, Callable 4/24/23 @ 100.00 | 566,580 | ||||||
2,880,000 | Morgan Stanley, 3.13%, 7/27/26, MTN | 2,679,049 | ||||||
4,420,000 | Morgan Stanley, 3.77%(US0003M+114bps), 1/24/29, Callable 1/24/28 @ 100.00^ | 4,257,911 | ||||||
760,000 | Morgan Stanley, 4.38%, 1/22/47 | 725,775 | ||||||
1,355,000 | State Street Corp., 2.55%, 8/18/20^ | 1,343,965 | ||||||
741,000 | State Street Corp., Series F, 5.25%(US0003M+360bps), 12/31/49, Callable 9/15/20 @ 100.00^ | 761,192 | ||||||
|
| |||||||
40,518,113 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
49,000 | Dow Chemical Co. (The), 4.38%, 11/15/42, Callable 5/15/42 @ 100.00 | 46,155 | ||||||
345,000 | E.I. du Pont de Nemours & Co., 2.20%, 5/1/20 | 340,061 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Chemicals, continued | ||||||||
$ | 410,000 | Eastman Chemical Co., 2.70%, 1/15/20, Callable 12/15/19 @ 100.00 | $ | 407,548 | ||||
220,000 | Eastman Chemical Co., 4.65%, 10/15/44, Callable 4/15/44 @ 100.00 | 215,642 | ||||||
1,000,000 | Ecolab, Inc., 2.70%, 11/1/26, Callable 8/1/26 @ 100.00^ | 924,182 | ||||||
199,000 | Monsanto Co., 3.38%, 7/15/24, Callable 4/15/24 @ 100.00 | 190,825 | ||||||
90,000 | Monsanto Co., 4.40%, 7/15/44, Callable 1/15/44 @ 100.00 | 83,385 | ||||||
250,000 | Monsanto Co., 3.95%, 4/15/45, Callable 10/15/44 @ 100.00 | 217,031 | ||||||
220,000 | RPM International, Inc., 3.75%, 3/15/27, Callable 12/15/26 @ 100.00 | 209,722 | ||||||
1,500,000 | Sherwin-Williams Co. (The), 4.50%, 6/1/47, Callable 12/1/46 @ 100.00^ | 1,431,620 | ||||||
|
| |||||||
4,066,171 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
535,000 | Republic Services, Inc., 3.20%, 3/15/25, Callable 12/15/24 @ 100.00 | 514,775 | ||||||
45,000 | Republic Services, Inc., 2.90%, 7/1/26, Callable 4/1/26 @ 100.00 | 41,789 | ||||||
575,000 | Republic Services, Inc., 3.38%, 11/15/27, Callable 8/15/27 @ 100.00 | 544,968 | ||||||
1,310,000 | Republic Services, Inc., 3.95%, 5/15/28, Callable 2/15/28 @ 100.00 | 1,292,275 | ||||||
|
| |||||||
2,393,807 | ||||||||
|
| |||||||
Communications Equipment (0.1%): | ||||||||
35,000 | Cisco Systems, Inc., 2.20%, 9/20/23, Callable 7/20/23 @ 100.00 | 33,026 | ||||||
135,000 | Harris Corp., 2.70%, 4/27/20, Callable 3/27/20 @ 100.00 | 133,805 | ||||||
1,000,000 | Harris Corp., 3.83%, 4/27/25, Callable 1/27/25 @ 100.00 | 980,530 | ||||||
50,000 | Juniper Networks, Inc., 4.35%, 6/15/25, Callable 3/15/25 @ 100.00^ | 49,846 | ||||||
400,000 | Motorola Solutions, Inc., 3.50%, 9/1/21 | 397,570 | ||||||
224,000 | Motorola Solutions, Inc., 4.00%, 9/1/24^ | 217,214 | ||||||
|
| |||||||
1,811,991 | ||||||||
|
| |||||||
Consumer Finance (1.4%): | ||||||||
1,400,000 | American Express Co., 3.38%, 5/17/21, Callable 4/17/21 @ 100.00 | 1,401,669 | ||||||
320,000 | American Express Co., 3.00%, 10/30/24, Callable 9/29/24 @ 100.00 | 305,328 | ||||||
530,000 | American Express Credit Corp., 2.38%, 5/26/20, Callable 4/25/20 @ 100.00 | 522,308 | ||||||
635,000 | American Honda Finance Corp., Series G, 1.70%, 9/9/21 | 608,367 | ||||||
335,000 | Capital One Financial Corp., 3.75%, 7/28/26, Callable 6/28/26 @ 100.00 | 311,279 | ||||||
4,120,000 | Capital One NA, 2.35%, 1/31/20, Callable 12/31/19 @ 100.00 | 4,060,723 | ||||||
455,000 | Discover Bank, 2.60%, 11/13/18, Callable 10/12/18 @ 100.00 | 454,737 |
Continued
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 250,000 | Discover Bank, 3.35%, 2/6/23, Callable 1/6/23 @ 100.00 | $ | 243,624 | ||||
370,000 | Discover Bank, 3.45%, 7/27/26, Callable 4/27/26 @ 100.00 | 343,316 | ||||||
850,000 | Ford Motor Credit Co. LLC, 3.10%, 5/4/23^ | 809,482 | ||||||
435,000 | Ford Motor Credit Co. LLC, 3.66%, 9/8/24 | 416,952 | ||||||
810,000 | Ford Motor Credit Co. LLC, 3.82%, 11/2/27, Callable 8/2/27 @ 100.00^ | 751,659 | ||||||
2,269,000 | General Motors Financial Co., Inc., 3.20%, 7/13/20, Callable 6/13/20 @ 100.00 | 2,258,298 | ||||||
1,740,000 | General Motors Financial Co., Inc., 2.45%, 11/6/20 | 1,701,019 | ||||||
755,000 | General Motors Financial Co., Inc., 4.38%, 9/25/21 | 769,553 | ||||||
1,752,000 | General Motors Financial Co., Inc., 3.95%, 4/13/24, Callable 2/13/24 @ 100.00^ | 1,714,519 | ||||||
1,140,000 | General Motors Financial Co., Inc., 4.35%, 4/9/25, Callable 2/9/25 @ 100.00 | 1,123,648 | ||||||
220,000 | Hyundai Capital America, 2.40%, 10/30/18(a) | 219,676 | ||||||
95,000 | Hyundai Capital America, 2.50%, 3/18/19(a) | 94,562 | ||||||
2,060,000 | Hyundai Capital America, 1.75%, 9/27/19(a) | 2,019,995 | ||||||
945,000 | Hyundai Capital America, 2.55%, 4/3/20(a) | 928,681 | ||||||
588,000 | Hyundai Capital America, 3.00%, 10/30/20(a) | 580,098 | ||||||
225,000 | John Deere Capital Corp., 2.65%, 1/6/22, MTN | 220,156 | ||||||
1,400,000 | Nissan Motor Acceptance Corp., 3.15%, 3/15/21(a) | 1,390,672 | ||||||
1,285,000 | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100.00^ | 1,285,745 | ||||||
1,690,000 | Synchrony Financial, 3.00%, 8/15/19, Callable 7/15/19 @ 100.00 | 1,686,412 | ||||||
2,250,000 | Synchrony Financial, 2.70%, 2/3/20, Callable 1/3/20 @ 100.00 | 2,226,276 | ||||||
|
| |||||||
28,448,754 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
715,000 | International Paper Co., 4.35%, 8/15/48, Callable 2/15/48 @ 100.00 | 641,379 | ||||||
685,000 | WestRock RKT Co., 4.90%, 3/1/22 | 713,530 | ||||||
|
| |||||||
1,354,909 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
145,000 | California Institute of Technology, 4.32%, 8/1/45 | 155,332 | ||||||
360,000 | Massachusetts Institute of Technology, 4.68%, 7/1/14 | 394,507 | ||||||
114,000 | Pres & Fellows of Harvar, 3.15%, 7/15/46, Callable 1/15/46 @ 100.00 | 102,947 | ||||||
575,000 | Pres & Fellows of Harvar, 3.30%, 7/15/56, Callable 1/15/56 @ 100.00^ | 523,576 | ||||||
|
| |||||||
1,176,362 | ||||||||
|
| |||||||
Diversified Financial Services (0.2%): | ||||||||
1,870,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100.00^(a) | 1,855,269 | ||||||
135,000 | Berkshire Hathaway, Inc., 2.75%, 3/15/23, Callable 1/15/23 @ 100.00 | 132,113 | ||||||
95,000 | Berkshire Hathaway, Inc., 3.13%, 3/15/26, Callable 12/15/25 @ 100.00 | 91,533 | ||||||
2,575,000 | Daimler Finance North America LLC, 2.70%, 8/3/20(a) | 2,540,535 | ||||||
|
| |||||||
4,619,450 | ||||||||
|
|
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services (1.2%): | ||||||||
$ | 1,000,000 | AT&T, Inc., 2.80%, 2/17/21, Callable 1/17/21 @ 100.00 | $ | 984,078 | ||||
150,000 | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100.00 | 151,434 | ||||||
185,000 | AT&T, Inc., 3.95%, 1/15/25, Callable 10/15/24 @ 100.00 | 180,935 | ||||||
2,000,000 | AT&T, Inc., 4.13%, 2/17/26, Callable 11/17/25 @ 100.00^ | 1,954,832 | ||||||
5,516,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100.00(a) | 5,206,586 | ||||||
170,000 | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100.00 | 157,241 | ||||||
122,000 | AT&T, Inc., 5.35%, 9/1/40 | 119,067 | ||||||
2,465,000 | AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100.00 | 2,088,193 | ||||||
1,010,000 | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100.00 | 902,210 | ||||||
560,000 | Verizon Communications, Inc., 4.13%, 3/16/27 | 554,199 | ||||||
4,604,000 | Verizon Communications, Inc., 4.33%, 9/21/28(a) | 4,563,029 | ||||||
1,930,000 | Verizon Communications, Inc., 4.50%, 8/10/33 | 1,868,977 | ||||||
705,000 | Verizon Communications, Inc., 4.40%, 11/1/34, Callable 5/1/34 @ 100.00 | 657,506 | ||||||
880,000 | Verizon Communications, Inc., 4.13%, 8/15/46 | 754,915 | ||||||
1,962,000 | Verizon Communications, Inc., 4.86%, 8/21/46 | 1,874,832 | ||||||
1,385,000 | Verizon Communications, Inc., 5.01%, 4/15/49 | 1,348,783 | ||||||
525,000 | Verizon Communications, Inc., 5.01%, 8/21/54 | 493,319 | ||||||
|
| |||||||
23,860,136 | ||||||||
|
| |||||||
Electric Utilities (1.4%): | ||||||||
430,000 | AEP Texas, Inc., 2.40%, 10/1/22, Callable 9/1/22 @ 100.00 | 412,967 | ||||||
290,000 | AEP Texas, Inc., 3.95%, 6/1/28, Callable 3/1/28 @ 100.00(a) | 289,088 | ||||||
168,000 | Alabama Power Co., Series 11-C, 5.20%, 6/1/41 | 188,785 | ||||||
320,000 | Alabama Power Co., 3.85%, 12/1/42 | 301,546 | ||||||
640,000 | Alabama Power Co., 4.15%, 8/15/44, Callable 2/15/44 @ 100.00 | 631,655 | ||||||
480,000 | Alabama Power Co., Series A, 4.30%, 7/15/48, Callable 1/15/48 @ 100.00 | 487,448 | ||||||
680,000 | Alliant Energy Finance, 3.75%, 6/15/23, Callable 5/15/23 @ 100.00(a) | 679,875 | ||||||
500,000 | Baltimore Gas & Electric, 2.80%, 8/15/22, Callable 5/15/22 @ 100.00 | 488,699 | ||||||
500,000 | Baltimore Gas & Electric, 2.40%, 8/15/26, Callable 5/15/26 @ 100.00^ | 455,083 | ||||||
900,000 | Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100.00 | 843,095 | ||||||
1,435,000 | Berkshire Hathaway Energy Co., 3.25%, 4/15/28, Callable 1/15/28 @ 100.00^ | 1,364,754 | ||||||
220,000 | Carolina Power & Light Co., 5.70%, 4/1/35 | 254,178 | ||||||
430,000 | Carolina Power & Light Co., 4.10%, 3/15/43, Callable 9/15/42 @ 100.00 | 430,828 | ||||||
1,000,000 | Duke Energy Carolinas, 4.25%, 12/15/41, Callable 6/15/41 @ 100.00 | 1,018,990 | ||||||
555,000 | Duke Energy Carolinas, 3.75%, 6/1/45, Callable 12/1/44 @ 100.00 | 520,949 |
Continued
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 465,000 | Duke Energy Carolinas LLC, 3.95%, 3/15/48, Callable 9/15/47 @ 100.00 | $ | 451,287 | ||||
1,500,000 | Duke Energy Corp., 1.80%, 9/1/21, Callable 8/1/21 @ 100.00 | 1,435,803 | ||||||
430,000 | Duke Energy Corp., 3.05%, 8/15/22, Callable 5/15/22 @ 100.00 | 423,090 | ||||||
1,640,000 | Duke Energy Corp., 3.95%, 10/15/23, Callable 7/15/23 @ 100.00 | 1,658,465 | ||||||
1,500,000 | Duke Energy Corp., 2.65%, 9/1/26, Callable 6/1/26 @ 100.00 | 1,351,008 | ||||||
600,000 | Duke Energy Corp., 3.75%, 9/1/46, Callable 3/1/46 @ 100.00 | 528,485 | ||||||
45,000 | Emera US Finance LP, 2.15%, 6/15/19 | 44,530 | ||||||
850,000 | Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100.00 | 850,780 | ||||||
490,000 | Entergy Texas, Inc., 3.45%, 12/1/27, Callable 9/1/27 @ 100.00 | 475,844 | ||||||
440,000 | Eversource Energy, Series L, 2.90%, 10/1/24, Callable 8/1/24 @ 100.00 | 417,639 | ||||||
135,000 | Exelon Corp., 2.85%, 6/15/20, Callable 5/15/20 @ 100.00 | 133,798 | ||||||
15,000 | Exelon Corp., 2.45%, 4/15/21, Callable 3/15/21 @ 100.00 | 14,578 | ||||||
35,000 | Exelon Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100.00 | 33,242 | ||||||
92,000 | Exelon Corp., 4.95%, 6/15/35, Callable 12/15/34 @ 100.00 | 96,849 | ||||||
163,000 | Exelon Corp., 5.63%, 6/15/35 | 188,628 | ||||||
450,000 | Florida Power & Light Co., 3.13%, 12/1/25, Callable 6/1/25 @ 100.00^ | 439,068 | ||||||
110,000 | Florida Power & Light Co., 5.69%, 3/1/40 | 133,833 | ||||||
460,000 | Florida Power & Light Co., 4.05%, 6/1/42, Callable 12/1/41 @ 100.00 | 465,024 | ||||||
170,000 | Florida Power & Light Co., 3.80%, 12/15/42, Callable 6/15/42 @ 100.00 | 166,473 | ||||||
340,000 | Florida Power & Light Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100.00 | 319,822 | ||||||
120,000 | Florida Power & Light Co., 4.13%, 6/1/48, Callable 12/1/47 @ 100.00 | 121,295 | ||||||
568,000 | Georgia Power Co., 2.00%, 3/30/20 | 558,534 | ||||||
750,000 | Georgia Power Co., 3.25%, 3/30/27, Callable 12/30/26 @ 100.00 | 709,965 | ||||||
40,000 | MidAmerican Energy Holdings Co., 5.95%, 5/15/37 | 48,981 | ||||||
290,000 | Mid-Atlantic Interstate Transmission LLC, 4.10%, 5/15/28(a) | 289,959 | ||||||
365,000 | NextEra Energy Capital Holdings, Inc., 3.55%, 5/1/27, Callable 2/1/27 @ 100.00 | 350,847 | ||||||
110,000 | Northern States Power Co., 3.40%, 8/15/42, Callable 2/15/42 @ 100.00^ | 99,505 | ||||||
320,000 | Northern States Power Co., 3.60%, 5/15/46, Callable 11/15/45 @ 100.00 | 292,836 | ||||||
660,000 | Northern States Power Co., 3.60%, 9/15/47, Callable 3/15/47 @ 100.00 | 608,418 | ||||||
160,000 | Ohio Power Co., Series G, 6.60%, 2/15/33 | 204,775 | ||||||
120,000 | Ohio Power Co., 4.15%, 4/1/48, Callable 10/1/47 @ 100.00^ | 120,683 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 170,000 | Oncor Electric Delivery Co., LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100.00 | $ | 162,437 | ||||
325,000 | PacifiCorp., 5.75%, 4/1/37 | 390,703 | ||||||
1,000,000 | PPL Capital Funding, Inc., 3.40%, 6/1/23, Callable 3/1/23 @ 100.00 | 983,543 | ||||||
600,000 | Southwestern Public Service Co., 3.30%, 6/15/24, Callable 12/15/23 @ 100.00 | 590,405 | ||||||
395,000 | Tampa Electric Co., 4.30%, 6/15/48, Callable 12/15/47 @ 100.00 | 390,996 | ||||||
510,000 | Virginia Electric & Power Co., 3.45%, 9/1/22, Callable 6/1/22 @ 100.00 | 510,256 | ||||||
1,075,000 | Virginia Electric & Power Co., Series A, 3.15%, 1/15/26, Callable 10/15/25 @ 100.00 | 1,032,016 | ||||||
215,000 | Virginia Electric & Power Co., Series B, 2.95%, 11/15/26, Callable 8/15/26 @ 100.00 | 201,324 | ||||||
730,000 | Virginia Electric & Power Co., Series A, 3.80%, 4/1/28, Callable 1/1/28 @ 100.00 | 725,759 | ||||||
25,000 | Virginia Electric & Power Co., 6.35%, 11/30/37 | 31,387 | ||||||
2,110,000 | Virginia Electric & Power Co., 4.00%, 1/15/43, Callable 7/15/42 @ 100.00 | 2,016,105 | ||||||
255,000 | Virginia Electric & Power Co., Series C, 4.00%, 11/15/46, Callable 5/15/46 @ 100.00^ | 245,027 | ||||||
|
| |||||||
28,681,942 | ||||||||
|
| |||||||
Electrical Equipment (0.0%): | ||||||||
645,000 | Eaton Corp., 2.75%, 11/2/22 | 626,231 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.1%): | ||||||||
40,000 | Avnet, Inc., 4.63%, 4/15/26, Callable 1/15/26 @ 100.00 | 39,416 | ||||||
2,025,000 | Corning, Inc., 4.38%, 11/15/57, Callable 5/15/57 @ 100.00 | 1,765,364 | ||||||
|
| |||||||
1,804,780 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
665,000 | Baker Hughes Co-Obligor, Inc., 4.08%, 12/15/47, Callable 6/15/47 @ 100.00 | 594,284 | ||||||
75,000 | Halliburton Co., 3.80%, 11/15/25, Callable 8/15/25 @ 100.00 | 74,464 | ||||||
2,490,000 | Patterson-UTI Energy, Inc., 3.95%, 2/1/28, Callable 11/1/27 @ 100.00(a) | 2,328,973 | ||||||
610,000 | Schlumberger Holdings Corp., 4.00%, 12/21/25, Callable 9/21/25 @ 100.00(a) | 607,963 | ||||||
|
| |||||||
3,605,684 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.2%): | ||||||||
25,000 | Crown Castle International Corp., 3.40%, 2/15/21, Callable 1/15/21 @ 100.00 | 24,971 | ||||||
175,000 | Crown Castle International Corp., 2.25%, 9/1/21, Callable 8/1/21 @ 100.00 | 167,756 | ||||||
2,000,000 | Crown Castle International Corp., 5.25%, 1/15/23 | 2,095,675 | ||||||
535,000 | Crown Castle International Corp., 3.70%, 6/15/26, Callable 3/15/26 @ 100.00 | 504,462 | ||||||
240,000 | Crown Castle International Corp., 4.75%, 5/15/47, Callable 11/15/46 @ 100.00 | 226,241 | ||||||
1,460,000 | Realty Income Corp., 3.00%, 1/15/27, Callable 10/15/26 @ 100.00 | 1,336,265 | ||||||
|
| |||||||
4,355,370 | ||||||||
|
|
Continued
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing (0.7%): | ||||||||
$ | 3,745,000 | CVS Health Corp., 3.13%, 3/9/20 | $ | 3,740,162 | ||||
2,000,000 | CVS Health Corp., 2.80%, 7/20/20, Callable 6/20/20 @ 100.00 | 1,981,116 | ||||||
705,000 | CVS Health Corp., 3.35%, 3/9/21 | 704,225 | ||||||
1,175,000 | CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100.00 | 1,169,041 | ||||||
2,750,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100.00 | 2,712,624 | ||||||
155,000 | CVS Health Corp., 5.13%, 7/20/45, Callable 1/20/45 @ 100.00 | 157,058 | ||||||
695,000 | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100.00 | 707,299 | ||||||
970,000 | Sysco Corp., 3.55%, 3/15/25, Callable 1/15/25 @ 100.00^ | 950,568 | ||||||
1,375,000 | Walgreens Boots Alliance, Inc., 3.45%, 6/1/26, Callable 3/1/26 @ 100.00 | 1,281,574 | ||||||
650,000 | Walgreens Boots Alliance, Inc., 4.65%, 6/1/46, Callable 12/1/45 @ 100.00 | 597,360 | ||||||
295,000 | Wal-Mart Stores, Inc., 3.55%, 6/26/25, Callable 4/26/25 @ 100.00^ | 296,871 | ||||||
305,000 | Wal-Mart Stores, Inc., 4.00%, 4/11/43, Callable 10/11/42 @ 100.00 | 300,140 | ||||||
189,000 | Wal-Mart Stores, Inc., 4.30%, 4/22/44, Callable 10/22/43 @ 100.00 | 197,054 | ||||||
140,000 | Wal-Mart Stores, Inc., 4.05%, 6/29/48, Callable 12/29/47 @ 100.00 | 140,979 | ||||||
|
| |||||||
14,936,071 | ||||||||
|
| |||||||
Food Products (0.3%): | ||||||||
3,425,000 | Campbell Soup Co., 3.95%, 3/15/25, Callable 1/15/25 @ 100.00 | 3,302,365 | ||||||
330,000 | Cargill, Inc., 3.25%, 3/1/23^(a) | 327,842 | ||||||
855,000 | General Mills, Inc., 4.00%, 4/17/25, Callable 2/17/25 @ 100.00 | 842,031 | ||||||
470,000 | Kraft Heinz Foods Co., 3.00%, 6/1/26, Callable 3/1/26 @ 100.00 | 423,246 | ||||||
310,000 | Kraft Heinz Foods Co., 4.38%, 6/1/46, Callable 12/1/45 @ 100.00 | 268,182 | ||||||
1,011,000 | Tyson Foods, Inc., 3.55%, 6/2/27, Callable 3/2/27 @ 100.00 | 956,470 | ||||||
320,000 | Tyson Foods, Inc., 4.55%, 6/2/47, Callable 12/2/46 @ 100.00 | 306,449 | ||||||
|
| |||||||
6,426,585 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
1,335,000 | Abbott Laboratories, 3.40%, 11/30/23, Callable 9/30/23 @ 100.00 | 1,317,144 | ||||||
975,000 | Abbott Laboratories, 2.95%, 3/15/25, Callable 12/15/24 @ 100.00^ | 922,762 | ||||||
35,000 | Abbott Laboratories, 3.88%, 9/15/25, Callable 6/15/25 @ 100.00 | 34,888 | ||||||
270,000 | Abbott Laboratories, 3.75%, 11/30/26, Callable 8/30/26 @ 100.00 | 265,389 | ||||||
166,000 | Abbott Laboratories, 4.75%, 4/15/43, Callable 10/15/42 @ 100.00 | 172,810 | ||||||
1,070,000 | Baxter International, Inc., 1.70%, 8/15/21, Callable 7/15/21 @ 100.00 | 1,016,340 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
$ | 109,000 | Becton, Dickinson & Co., 2.68%, 12/15/19 | $ | 108,183 | ||||
84,000 | Becton, Dickinson & Co., 3.73%, 12/15/24, Callable 9/15/24 @ 100.00 | 82,005 | ||||||
395,000 | Edwards Lifesciences Corp., 4.30%, 6/15/28, Callable 3/15/28 @ 100.00 | 394,361 | ||||||
311,000 | Medtronic, Inc., 3.15%, 3/15/22 | 308,509 | ||||||
830,000 | Medtronic, Inc., 3.50%, 3/15/25 | 821,298 | ||||||
810,000 | Medtronic, Inc., 4.63%, 3/15/45 | 858,636 | ||||||
200,000 | Stryker Corp., 2.63%, 3/15/21, Callable 2/15/21 @ 100.00 | 196,609 | ||||||
460,000 | Stryker Corp., 3.38%, 11/1/25, Callable 8/1/25 @ 100.00 | 441,899 | ||||||
|
| |||||||
6,940,833 | ||||||||
|
| |||||||
Health Care Providers & Services (0.3%): | ||||||||
55,000 | Aetna, Inc., 2.75%, 11/15/22, Callable 8/15/22 @ 100.00 | 52,814 | ||||||
380,000 | Aetna, Inc., 4.13%, 11/15/42, Callable 5/15/42 @ 100.00 | 351,643 | ||||||
110,000 | Aetna, Inc., 3.88%, 8/15/47, Callable 2/15/47 @ 100.00 | 98,411 | ||||||
715,000 | Anthem, Inc., 2.95%, 12/1/22, Callable 11/1/22 @ 100.00^ | 694,408 | ||||||
525,000 | Anthem, Inc., 3.35%, 12/1/24, Callable 10/1/24 @ 100.00 | 507,180 | ||||||
345,000 | Anthem, Inc., 3.65%, 12/1/27, Callable 9/1/27 @ 100.00 | 326,815 | ||||||
255,000 | Anthem, Inc., 4.38%, 12/1/47, Callable 6/1/47 @ 100.00 | 235,319 | ||||||
710,000 | Cigna Corp., 3.25%, 4/15/25, Callable 1/15/25 @ 100.00 | 667,616 | ||||||
230,000 | Cigna Corp., 3.05%, 10/15/27, Callable 7/15/27 @ 100.00 | 207,449 | ||||||
220,000 | Humana, Inc., 4.80%, 3/15/47, Callable 9/15/46 @ 100.00 | 226,007 | ||||||
160,000 | UnitedHealth Group, Inc., 2.70%, 7/15/20 | 159,045 | ||||||
545,000 | UnitedHealth Group, Inc., 3.35%, 7/15/22 | 545,774 | ||||||
1,000,000 | UnitedHealth Group, Inc., 3.10%, 3/15/26 | 954,338 | ||||||
1,320,000 | UnitedHealth Group, Inc., 4.75%, 7/15/45 | 1,410,302 | ||||||
220,000 | WellPoint, Inc., 3.50%, 8/15/24, Callable 5/15/24 @ 100.00 | 214,399 | ||||||
|
| |||||||
6,651,520 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
10,000 | McDonald’s Corp., 2.75%, 12/9/20, Callable 11/9/20 @ 100.00 | 9,932 | ||||||
50,000 | McDonald’s Corp., 4.70%, 12/9/35, Callable 6/9/35 @ 100.00 | 52,105 | ||||||
120,000 | McDonald’s Corp., 4.60%, 5/26/45, Callable 11/26/44 @ 100.00 | 120,974 | ||||||
60,000 | McDonald’s Corp., 4.88%, 12/9/45, Callable 6/9/45 @ 100.00, MTN | 62,993 | ||||||
1,110,000 | McDonald’s Corp., 4.45%, 3/1/47, Callable 9/1/46 @ 100.00, MTN | 1,095,382 | ||||||
|
| |||||||
1,341,386 | ||||||||
|
| |||||||
Household Durables (0.0%): | ||||||||
645,000 | Newell Rubbermaid, Inc., 3.85%, 4/1/23, Callable 2/1/23 @ 100.00 | 635,334 | ||||||
|
|
Continued
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Household Products (0.0%): | ||||||||
$ | 740,000 | Clorox Co. (The), 3.90%, 5/15/28, Callable 2/15/28 @ 100.00^ | $ | 733,808 | ||||
|
| |||||||
Industrial Conglomerates (0.4%): | ||||||||
2,565,000 | General Electric Capital Corp., Series A, 5.55%, 5/4/20, MTN | 2,673,346 | ||||||
4,750,000 | General Electric Co., Series D, 5.00%(US0003M+333bps), 12/31/49, | 4,678,750 | ||||||
164,000 | Georgia-Pacific LLC, 5.40%, 11/1/20(a) | 171,798 | ||||||
505,000 | Georgia-Pacific LLC, 3.73%, 7/15/23, Callable 4/15/23 @ 100.00(a) | 507,267 | ||||||
309,000 | Georgia-Pacific LLC, 3.60%, 3/1/25, Callable 12/1/24 @ 100.00(a) | 307,605 | ||||||
|
| |||||||
8,338,766 | ||||||||
|
| |||||||
Insurance (0.3%): | ||||||||
325,000 | ACE INA Holdings, Inc., 3.35%, 5/15/24 | 320,259 | ||||||
410,000 | ACE INA Holdings, Inc., 4.15%, 3/13/43^ | 405,545 | ||||||
700,000 | American International Group, Inc., 5.75%(US0003M+287bps), 4/1/48, Callable 4/1/28 @ 100.00 | 689,500 | ||||||
810,000 | American International Group, Inc., 4.38%, 1/15/55, Callable 7/15/54 @ 100.00 | 700,039 | ||||||
235,000 | Brighthouse Financial, Inc., 4.70%, 6/22/47, Callable 12/22/46 @ 100.00 | 193,672 | ||||||
401,000 | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | 377,884 | ||||||
20,000 | Marsh & McLennan Cos., Inc., 3.50%, 3/10/25, Callable 12/10/24 @ 100.00 | 19,559 | ||||||
1,060,000 | Marsh & McLennan Cos., Inc., 3.75%, 3/14/26, Callable 12/14/25 @ 100.00^ | 1,049,628 | ||||||
610,000 | Marsh & McLennan Cos., Inc., 4.35%, 1/30/47, Callable 7/30/46 @ 100.00^ | 606,779 | ||||||
95,000 | Principal Financial Group, Inc., 3.13%, 5/15/23 | 92,824 | ||||||
196,000 | Principal Financial Group, Inc., 3.10%, 11/15/26, Callable 8/15/26 @ 100.00 | 183,536 | ||||||
25,000 | Principal Financial Group, Inc., 4.63%, 9/15/42 | 25,150 | ||||||
12,000 | Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39(a) | 15,888 | ||||||
50,000 | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a) | 52,634 | ||||||
540,000 | Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47, Callable 11/15/46 @ 100.00(a) | 516,419 | ||||||
195,000 | Travelers Cos., Inc., 4.05%, 3/7/48, Callable 9/7/47 @ 100.00^ | 188,966 | ||||||
214,000 | Travelers Cos., Inc. (The), 4.30%, 8/25/45, Callable 2/25/45 @ 100.00 | 216,451 | ||||||
|
| |||||||
5,654,733 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.1%): | ||||||||
116,000 | Amazon.com, Inc., 4.80%, 12/5/34, Callable 6/5/34 @ 100.00 | 127,094 | ||||||
368,000 | Amazon.com, Inc., 4.05%, 8/22/47, Callable 2/22/47 @ 100.00 | 360,495 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
$ | 570,000 | Amazon.com, Inc., 4.25%, 8/22/57, Callable 2/22/57 @ 100.00 | $ | 562,040 | ||||
|
| |||||||
1,049,629 | ||||||||
|
| |||||||
Internet Software & Services (0.0%): | ||||||||
275,000 | eBay, Inc., 4.00%, 7/15/42, Callable 1/15/42 @ 100.00 | 239,128 | ||||||
|
| |||||||
IT Services (0.2%): | ||||||||
125,000 | DXC Technology Co., 2.88%, 3/27/20^ | 124,105 | ||||||
49,000 | Fidelity National Information Services, Inc., 5.00%, 10/15/25, Callable 7/15/25 @ 100.00 | 51,519 | ||||||
250,000 | Fidelity National Information Services, Inc., 4.50%, 8/15/46, Callable 2/15/46 @ 100.00 | 232,196 | ||||||
420,000 | International Business Machines Corp., 2.88%, 11/9/22 | 412,437 | ||||||
100,000 | International Business Machines Corp., 4.70%, 2/19/46^ | 109,126 | ||||||
300,000 | Total System Services, Inc., 3.80%, 4/1/21, Callable 3/1/21 @ 100.00 | 302,051 | ||||||
680,000 | Total System Services, Inc., 3.75%, 6/1/23, Callable 3/1/23 @ 100.00 | 673,894 | ||||||
1,720,000 | Visa, Inc., 3.15%, 12/14/25, Callable 9/14/25 @ 100.00 | 1,663,891 | ||||||
|
| |||||||
3,569,219 | ||||||||
|
| |||||||
Leisure Products (0.0%): | ||||||||
220,000 | Hasbro, Inc., 3.50%, 9/15/27, Callable 6/15/27 @ 100.00^ | 203,513 | ||||||
|
| |||||||
Life Sciences Tools & Services (0.0%): | ||||||||
313,000 | Thermo Fisher Scientific, Inc., 3.60%, 8/15/21, Callable 5/15/21 @ 100.00 | 314,708 | ||||||
550,000 | Thermo Fisher Scientific, Inc., 2.95%, 9/19/26, Callable 6/19/26 @ 100.00 | 508,101 | ||||||
140,000 | Thermo Fisher Scientific, Inc., 3.20%, 8/15/27, Callable 5/15/27 @ 100.00 | 130,883 | ||||||
|
| |||||||
953,692 | ||||||||
|
| |||||||
Machinery (0.1%): | ||||||||
395,000 | Crane Co., 4.20%, 3/15/48, Callable 9/15/47 @ 100.00 | 375,464 | ||||||
910,000 | Kennametal, Inc., 4.63%, 6/15/28, Callable 3/15/28 @ 100.00 | 901,109 | ||||||
|
| |||||||
1,276,573 | ||||||||
|
| |||||||
Media (1.0%): | ||||||||
880,000 | CBS Corp., 3.70%, 6/1/28, Callable 3/1/28 @ 100.00(a) | 819,560 | ||||||
341,000 | Comcast Corp., 2.35%, 1/15/27, Callable 10/15/26 @ 100.00 | 298,656 | ||||||
3,380,000 | Comcast Corp., 3.40%, 7/15/46, Callable 1/15/46 @ 100.00 | 2,740,913 | ||||||
2,105,000 | COX Communications, Inc., 3.15%, 8/15/24, Callable 6/15/24 @ 100.00(a) | 1,994,209 | ||||||
250,000 | Discovery Communications LLC, 2.20%, 9/20/19 | 247,262 | ||||||
2,310,000 | Discovery Communications LLC, 2.95%, 3/20/23, Callable 2/20/23 @ 100.00 | 2,209,120 | ||||||
325,000 | Discovery Communications LLC, 3.95%, 6/15/25, Callable 5/15/25 @ 100.00(a) | 316,822 |
Continued
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 65,000 | Discovery Communications LLC, 5.20%, 9/20/47, Callable 3/20/47 @ 100.00^ | $ | 63,046 | ||||
392,000 | Discovery Communications, Inc., 4.88%, 4/1/43 | 363,438 | ||||||
915,000 | NBCUniversal Enterprise, Inc., 2.71%(US0003M+40bps), 4/1/21(a) | 916,266 | ||||||
5,730,000 | NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100.00(a) | 5,787,301 | ||||||
820,000 | NBCUniversal Media LLC, 5.15%, 4/30/20 | 847,353 | ||||||
1,920,000 | Time Warner, Inc., 3.80%, 2/15/27, Callable 11/15/26 @ 100.00 | 1,813,199 | ||||||
1,300,000 | Time Warner, Inc., 5.35%, 12/15/43 | 1,269,406 | ||||||
206,000 | Twenty-First Century Fox, Inc., 6.40%, 12/15/35 | 247,107 | ||||||
480,000 | Viacom, Inc., 5.85%, 9/1/43, Callable 3/1/43 @ 100.00 | 479,784 | ||||||
|
| |||||||
20,413,442 | ||||||||
|
| |||||||
Metals & Mining (0.0%): | ||||||||
400,000 | Newmont Mining Corp., 4.88%, 3/15/42, Callable 9/15/41 @ 100.00 | 399,552 | ||||||
|
| |||||||
Multiline Retail (0.0%): | ||||||||
423,000 | Dollar General Corp., 4.15%, 11/1/25, Callable 8/1/25 @ 100.00 | 423,246 | ||||||
270,000 | Target Corp., 3.63%, 4/15/46 | 240,545 | ||||||
|
| |||||||
663,791 | ||||||||
|
| |||||||
Multi-Utilities (0.2%): | ||||||||
240,000 | Ameren Illinois Co., 3.80%, 5/15/28, Callable 2/15/28 @ 100.00^ | 242,342 | ||||||
170,000 | Black Hills Corp., 3.15%, 1/15/27, Callable 7/15/26 @ 100.00 | 157,060 | ||||||
190,000 | CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100.00 | 186,498 | ||||||
745,000 | CenterPoint Energy Resources Corp., 4.10%, 9/1/47, Callable 3/1/47 @ 100.00 | 709,475 | ||||||
85,000 | CMS Energy Corp., 3.00%, 5/15/26, Callable 2/15/26 @ 100.00 | 79,435 | ||||||
775,000 | CMS Energy Corp., 4.70%, 3/31/43, Callable 9/30/42 @ 100.00 | 801,712 | ||||||
255,000 | Dominion Energy, Inc., 2.58%, 7/1/20 | 251,260 | ||||||
600,000 | DTE Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100.00 | 566,449 | ||||||
590,000 | DTE Energy Co., Series B, 3.30%, 6/15/22, Callable 4/15/22 @ 100.00 | 583,043 | ||||||
515,000 | NiSource Finance Corp., 3.49%, 5/15/27, Callable 2/15/27 @ 100.00 | 492,448 | ||||||
315,000 | WEC Energy Group, Inc., 3.38%, 6/15/21^ | 315,895 | ||||||
|
| |||||||
4,385,617 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.7%): | ||||||||
850,000 | Andeavor, 4.75%, 12/15/23, Callable 10/15/23 @ 100.00 | 882,063 | ||||||
135,000 | Apache Corp., 6.00%, 1/15/37 | 147,192 | ||||||
689,000 | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100.00 | 677,924 | ||||||
270,000 | Buckeye Partners, LP, 4.88%, 2/1/21, Callable 11/1/20 @ 100.00^ | 274,726 | ||||||
1,407,000 | Buckeye Partners, LP, 5.85%, 11/15/43, Callable 5/15/43 @ 100.00 | 1,356,026 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 418,000 | Buckeye Partners, LP, 5.60%, 10/15/44, Callable 4/15/44 @ 100.00 | $ | 390,098 | ||||
2,900,000 | Cimarex Energy Co., 4.38%, 6/1/24, Callable 3/1/24 @ 100.00 | 2,923,936 | ||||||
2,630,000 | Cimarex Energy Co., 3.90%, 5/15/27, Callable 2/15/27 @ 100.00 | 2,525,350 | ||||||
800,000 | Continental Resources, Inc., 4.50%, 4/15/23, Callable 1/15/23 @ 100.00 | 811,826 | ||||||
250,000 | El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/1/21, Callable 7/1/21 @ 100.00 | 259,405 | ||||||
265,000 | Energy Transfer Partners LP, 4.05%, 3/15/25, Callable 12/15/24 @ 100.00 | 256,047 | ||||||
700,000 | Energy Transfer Partners LP, 4.75%, 1/15/26, Callable 10/15/25 @ 100.00 | 694,047 | ||||||
1,350,000 | Energy Transfer Partners LP, 6.13%, 12/15/45, Callable 6/15/45 @ 100.00 | 1,349,231 | ||||||
479,000 | Enterprise Products Operating LLC, 5.10%, 2/15/45, Callable 8/15/44 @ 100.00 | 493,131 | ||||||
120,000 | Enterprise Products Operating LLC, 4.25%, 2/15/48, Callable 8/15/47 @ 100.00^ | 111,652 | ||||||
1,480,000 | Enterprise Products Operating LLC, Series A, 6.07%(US0003M+371bps), 8/1/66, Callable 8/3/18 @ 100.00 | 1,483,700 | ||||||
1,495,000 | Enterprise Products Operating LLC, Series E, 5.25%(US0003M+303bps), 8/16/77, Callable 8/16/27 @ 100.00^ | 1,390,350 | ||||||
885,000 | Enterprise Products Operating LLC, 5.38%(US0003M+257bps), 2/15/78, Callable 2/15/28 @ 100.00^ | 806,754 | ||||||
595,000 | Enterprise Products Operating LP, 4.90%, 5/15/46, Callable 11/15/45 @ 100.00 | 596,166 | ||||||
445,000 | EOG Resources, Inc., 2.45%, 4/1/20, Callable 3/1/20 @ 100.00 | 439,975 | ||||||
450,000 | EOG Resources, Inc., 2.63%, 3/15/23, Callable 12/15/22 @ 100.00^ | 431,987 | ||||||
1,480,000 | EOG Resources, Inc., 4.15%, 1/15/26, Callable 10/15/25 @ 100.00^ | 1,513,731 | ||||||
1,300,000 | EOG Resources, Inc., 3.90%, 4/1/35, Callable 10/1/34 @ 100.00 | 1,261,229 | ||||||
330,000 | Kinder Morgan (Delaware), Inc., 3.05%, 12/1/19, Callable 11/1/19 @ 100.00 | 328,980 | ||||||
2,510,000 | Kinder Morgan (Delaware), Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100.00 | 2,526,652 | ||||||
200,000 | Kinder Morgan (Delaware), Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100.00 | 185,596 | ||||||
235,000 | Kinder Morgan Energy Partners LP, 5.40%, 9/1/44, Callable 3/1/44 @ 100.00 | 227,366 | ||||||
150,000 | Magellan Midstream Partners LP, 4.20%, 10/3/47, Callable 4/3/47 @ 100.00 | 136,669 | ||||||
348,000 | Marathon Petroleum Corp., 4.75%, 9/15/44, Callable 3/15/44 @ 100.00 | 331,093 | ||||||
1,420,000 | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100.00 | 1,450,049 | ||||||
330,000 | MPLX LP, 5.20%, 3/1/47, Callable 9/1/46 @ 100.00 | 327,896 | ||||||
740,000 | Occidental Petroleum Corp., 2.70%, 2/15/23, Callable 11/15/22 @ 100.00 | 718,943 |
Continued
11
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 1,920,000 | Phillips 66, 3.90%, 3/15/28, Callable 12/15/27 @ 100.00 | $ | 1,873,882 | ||||
411,000 | Pioneer Natural Resource, 3.95%, 7/15/22, Callable 4/15/22 @ 100.00 | 415,698 | ||||||
2,974,000 | Pioneer Natural Resource Co., 4.45%, 1/15/26, Callable 10/15/25 @ 100.00^ | 3,058,106 | ||||||
145,000 | Plains All American Pipeline LP, 3.65%, 6/1/22, Callable 3/1/22 @ 100.00 | 142,135 | ||||||
190,000 | Sabine Pass Liquefaction, 5.88%, 6/30/26, Callable 12/31/25 @ 100.00 | 203,774 | ||||||
1,500,000 | Sabine Pass Liquefaction LLC, 5.63%, 4/15/23, Callable 1/15/23 @ 100.00 | 1,591,460 | ||||||
1,680,000 | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24, Callable 2/15/24 @ 100.00 | 1,791,980 | ||||||
4,700,000 | Sabine Pass Liquefaction LLC, 5.63%, 3/1/25, Callable 12/1/24 @ 100.00 | 4,999,233 | ||||||
1,000,000 | Sabine Pass Liquefcation LLC, 6.25%, 3/15/22, Callable 12/15/21 @ 100.00 | 1,075,763 | ||||||
290,000 | Spectra Energy Partners, 3.38%, 10/15/26, Callable 7/15/26 @ 100.00^ | 267,182 | ||||||
470,000 | Spectra Energy Partners LP, 4.75%, 3/15/24, Callable 12/15/23 @ 100.00 | 479,662 | ||||||
505,000 | Spectra Energy Partners LP, 3.50%, 3/15/25, Callable 12/15/24 @ 100.00 | 481,633 | ||||||
1,030,000 | Spectra Energy Partners LP, 4.50%, 3/15/45, Callable 9/15/44 @ 100.00 | 954,175 | ||||||
378,000 | Sunoco Logistics Partner LP, 5.35%, 5/15/45, Callable 11/15/44 @ 100.00 | 344,102 | ||||||
985,000 | Tesoro Logistics LP, 5.25%, 1/15/25, Callable 1/15/21 @ 102.63 | 1,009,507 | ||||||
220,000 | Texas Eastern Transmission LP, 2.80%, 10/15/22, Callable 7/15/22 @ 100.00(a) | 210,344 | ||||||
1,625,000 | Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100.00^(a) | 1,530,094 | ||||||
3,145,000 | Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47 @ 100.00(a) | 2,818,921 | ||||||
426,000 | Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100.00 | 516,286 | ||||||
1,970,000 | Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100.00(a) | 1,914,563 | ||||||
865,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, 3/15/48, Callable 9/15/47 @ 100.00(a) | 831,944 | ||||||
|
| |||||||
53,820,234 | ||||||||
|
| |||||||
Pharmaceuticals (0.3%): | ||||||||
960,000 | Bayer US Finance II LLC, 3.50%, 6/25/21, Callable 5/25/21 @ 100.00(a) | 961,909 | ||||||
1,540,000 | Bayer US Finance LLC, 3.00%, 10/8/21(a) | 1,514,953 | ||||||
560,000 | GlaxoSmithKline Capital, Inc., 3.88%, 5/15/28 | 564,414 | ||||||
500,000 | Johnson & Johnson, 2.45%, 3/1/26, Callable 12/1/25 @ 100.00^ | 469,114 | ||||||
200,000 | Johnson & Johnson, 2.95%, 3/3/27, Callable 12/3/26 @ 100.00 | 192,380 | ||||||
1,195,000 | Johnson & Johnson, 2.90%, 1/15/28, Callable 10/15/27 @ 100.00^ | 1,140,589 | ||||||
250,000 | Merck & Co., Inc., 3.70%, 2/10/45, Callable 8/10/44 @ 100.00 | 237,670 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Pharmaceuticals, continued | ||||||||
$ | 45,000 | Novartis Capital Corp., 3.10%, 5/17/27, Callable 2/17/27 @ 100.00 | $ | 43,204 | ||||
320,000 | Pfizer, Inc., 4.40%, 5/15/44^ | 332,660 | ||||||
|
| |||||||
5,456,893 | ||||||||
|
| |||||||
Professional Services (0.1%): | ||||||||
120,000 | Equifax, Inc., 2.30%, 6/1/21, Callable 5/1/21 @ 100.00 | 115,773 | ||||||
85,000 | Relx Capital, Inc., 3.13%, 10/15/22, Callable 7/15/22 @ 100.00 | 83,394 | ||||||
1,175,000 | Relx Capital, Inc., 3.50%, 3/16/23, Callable 2/16/23 @ 100.00^ | 1,162,569 | ||||||
|
| |||||||
1,361,736 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
1,617,000 | CC Holdings GS V LLC, 3.85%, 4/15/23 | 1,602,354 | ||||||
575,000 | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a) | 550,563 | ||||||
|
| |||||||
2,152,917 | ||||||||
|
| |||||||
Road & Rail (0.4%): | ||||||||
1,000,000 | Burlington North Santa Fe LLC, 3.05%, 9/1/22, Callable 6/1/22 @ 100.00 | 988,393 | ||||||
490,000 | Burlington North Santa Fe LLC, 4.55%, 9/1/44, Callable 3/1/44 @ 100.00 | 509,325 | ||||||
1,305,000 | CSX Corp., 3.25%, 6/1/27, Callable 3/1/27 @ 100.00 | 1,226,320 | ||||||
1,035,000 | CSX Corp., 3.80%, 11/1/46, Callable 5/1/46 @ 100.00^ | 917,087 | ||||||
485,000 | CSX Corp., 4.30%, 3/1/48, Callable 9/1/47 @ 100.00^ | 462,166 | ||||||
432,000 | Norfolk Southern Corp., 2.90%, 6/15/26, Callable 3/15/26 @ 100.00 | 403,073 | ||||||
575,000 | Norfolk Southern Corp., 3.15%, 6/1/27, Callable 3/1/27 @ 100.00 | 538,832 | ||||||
500,000 | Penske Truck Leasing, 3.40%, 11/15/26, Callable 8/15/26 @ 100.00(a) | 466,250 | ||||||
1,090,000 | Ryder System, Inc., 2.65%, 3/2/20, Callable 2/2/20 @ 100.00, MTN | 1,080,907 | ||||||
484,000 | Union Pacific Corp., 3.88%, 2/1/55, Callable 8/1/54 @ 100.00 | 423,398 | ||||||
1,705,000 | Union Pacific Corp., 4.10%, 9/15/67, Callable 3/15/67 @ 100.00 | 1,495,919 | ||||||
435,513 | Union Pacific Railroad Co., Series 14-1, 3.23%, 5/14/26 | 421,921 | ||||||
|
| |||||||
8,933,591 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.6%): | ||||||||
850,000 | Analog Devices, Inc., 2.85%, 3/12/20 | 845,830 | ||||||
515,000 | Analog Devices, Inc., 3.50%, 12/5/26, Callable 9/5/26 @ 100.00^ | 491,182 | ||||||
280,000 | Analog Devices, Inc., 4.50%, 12/5/36, Callable 6/5/36 @ 100.00 | 279,043 | ||||||
190,000 | Analog Devices, Inc., 5.30%, 12/15/45, Callable 6/15/45 @ 100.00 | 202,387 | ||||||
130,000 | Applied Materials, Inc., 5.85%, 6/15/41 | 157,541 | ||||||
1,970,000 | Broadcom Cayman Finance, Ltd., 3.00%, 1/15/22, Callable 12/15/21 @ 100.00 | 1,916,142 |
Continued
12
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
$ | 1,570,000 | Broadcom Cayman Finance, Ltd., 3.63%, 1/15/24, Callable 11/15/23 @ 100.00 | $ | 1,519,773 | ||||
2,035,000 | Broadcom Cayman Finance, Ltd., 3.13%, 1/15/25, Callable 11/15/24 @ 100.00^ | 1,887,792 | ||||||
220,000 | Intel Corp., 4.10%, 5/19/46, Callable 11/19/45 @ 100.00 | 221,078 | ||||||
19,000 | KLA-Tencor Corp., 4.65%, 11/1/24, Callable 8/1/24 @ 100.00 | 19,636 | ||||||
645,000 | Lam Research Corp., 2.75%, 3/15/20, Callable 2/15/20 @ 100.00 | 641,228 | ||||||
302,000 | Lam Research Corp., 2.80%, 6/15/21, Callable 5/15/21 @ 100.00 | 296,848 | ||||||
1,300,000 | Microchip Technology, Inc., 3.92%, 6/1/21(a) | 1,302,159 | ||||||
538,000 | Qualcomm, Inc., 3.45%, 5/20/25, Callable 2/20/25 @ 100.00 | 517,736 | ||||||
978,000 | Qualcomm, Inc., 4.80%, 5/20/45, Callable 11/20/44 @ 100.00 | 978,043 | ||||||
910,000 | Qualcomm, Inc., 4.30%, 5/20/47, Callable 11/20/46 @ 100.00 | 846,594 | ||||||
270,000 | Texas Instruments, Inc., 4.15%, 5/15/48, Callable 11/15/47 @ 100.00 | 274,018 | ||||||
800,000 | Xilinx, Inc., 2.95%, 6/1/24, Callable 4/1/24 @ 100.00 | 760,932 | ||||||
|
| |||||||
13,157,962 | ||||||||
|
| |||||||
Software (0.6%): | ||||||||
600,000 | Activision Blizzard, 3.40%, 9/15/26, Callable 6/15/26 @ 100.00 | 569,762 | ||||||
1,845,000 | Activision Blizzard, Inc., 2.30%, 9/15/21, Callable 8/15/21 @ 100.00 | 1,785,210 | ||||||
1,600,000 | Activision Blizzard, Inc., 3.40%, 6/15/27, Callable 3/15/27 @ 100.00 | 1,512,800 | ||||||
345,000 | Autodesk, Inc., 3.50%, 6/15/27, Callable 3/15/27 @ 100.00 | 322,831 | ||||||
770,000 | Microsoft Corp., 3.30%, 2/6/27, Callable 11/6/26 @ 100.00 | 758,204 | ||||||
925,000 | Microsoft Corp., 3.45%, 8/8/36, Callable 2/8/36 @ 100.00 | 885,571 | ||||||
825,000 | Microsoft Corp., 3.70%, 8/8/46, Callable 2/8/46 @ 100.00 | 802,301 | ||||||
270,000 | Microsoft Corp., Series 30Y, 4.25%, 2/6/47, Callable 8/6/46 @ 100.00 | 286,405 | ||||||
250,000 | Microsoft Corp., 3.95%, 8/8/56, Callable 2/8/56 @ 100.00 | 244,389 | ||||||
760,000 | Microsoft Corp., 4.50%, 2/6/57, Callable 8/6/56 @ 100.00 | 825,004 | ||||||
965,000 | Oracle Corp., 2.40%, 9/15/23, Callable 7/15/23 @ 100.00 | 910,290 | ||||||
1,465,000 | Oracle Corp., 2.65%, 7/15/26, Callable 4/15/26 @ 100.00 | 1,351,071 | ||||||
195,000 | Oracle Corp., 4.50%, 7/8/44, Callable 1/8/44 @ 100.00 | 198,864 | ||||||
525,000 | Oracle Corp., 4.00%, 7/15/46, Callable 1/15/46 @ 100.00 | 495,380 | ||||||
450,000 | Oracle Corp., 4.38%, 5/15/55, Callable 11/15/54 @ 100.00 | 439,601 | ||||||
|
| |||||||
11,387,683 | ||||||||
|
|
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Specialty Retail (0.1%): | ||||||||
$ | 1,225,000 | Bed Bath & Beyond, Inc., 5.17%, 8/1/44, Callable 2/1/44 @ 100.00 | $ | 938,437 | ||||
750,000 | Home Depot, Inc. (The), 3.00%, 4/1/26, Callable 1/1/26 @ 100.00^ | 716,638 | ||||||
560,000 | Home Depot, Inc. (The), 4.25%, 4/1/46, Callable 10/1/45 @ 100.00 | 563,365 | ||||||
290,000 | Lowe’s Cos., Inc., 3.38%, 9/15/25, Callable 6/15/25 @ 100.00 | 283,968 | ||||||
145,000 | Lowe’s Cos., Inc., 2.50%, 4/15/26, Callable 1/15/26 @ 100.00 | 132,639 | ||||||
|
| |||||||
2,635,047 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.3%): | ||||||||
1,340,000 | Apple, Inc., 4.65%, 2/23/46, Callable 8/23/45 @ 100.00 | 1,443,582 | ||||||
1,015,000 | Apple, Inc., 3.85%, 8/4/46, Callable 2/4/46 @ 100.00 | 957,348 | ||||||
170,000 | Apple, Inc., 4.25%, 2/9/47, Callable 8/9/46 @ 100.00 | 172,422 | ||||||
1,900,000 | Apple, Inc., 3.75%, 11/13/47, Callable 5/13/47 @ 100.00^ | 1,784,463 | ||||||
220,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100.00(a) | 231,086 | ||||||
680,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 8.35%, 7/15/46, Callable 1/15/46 @ 100.00(a) | 818,937 | ||||||
400,000 | Xerox Corp., 3.63%, 3/15/23, Callable 2/15/23 @ 100.00 | 383,798 | ||||||
|
| |||||||
5,791,636 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.0%): | ||||||||
245,000 | Coach, Inc., 4.13%, 7/15/27, Callable 4/15/27 @ 100.00 | 233,631 | ||||||
|
| |||||||
Tobacco (0.4%): | ||||||||
475,000 | Altria Group, Inc., 2.85%, 8/9/22^ | 463,782 | ||||||
300,000 | Altria Group, Inc., 2.63%, 9/16/26, Callable 6/16/26 @ 100.00^ | 273,190 | ||||||
940,000 | BAT Capital Corp., 3.22%, 8/15/24, Callable 6/15/24 @ 100.00(a) | 890,399 | ||||||
1,075,000 | BAT Capital Corp., 3.56%, 8/15/27, Callable 5/15/27 @ 100.00^(a) | 1,000,181 | ||||||
1,080,000 | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100.00(a) | 1,008,469 | ||||||
714,000 | Philip Morris International, Inc., 2.50%, 8/22/22 | 687,832 | ||||||
310,000 | Philip Morris International, Inc., 3.38%, 8/11/25, Callable 5/11/25 @ 100.00 | 301,450 | ||||||
92,000 | Reynolds American, Inc., 3.25%, 6/12/20 | 91,906 | ||||||
450,000 | Reynolds American, Inc., 4.00%, 6/12/22 | 452,802 | ||||||
1,030,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100.00 | 1,036,596 | ||||||
955,000 | RJ Reynolds Tobacco Co., 6.88%, 5/1/20 | 1,013,409 | ||||||
|
| |||||||
7,220,016 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.0%): | ||||||||
215,000 | Air Lease Corp., 3.88%, 7/3/23, Callable 6/3/23 @ 100.00 | 212,868 | ||||||
75,000 | Air Lease Corp., 3.63%, 4/1/27, Callable 1/1/27 @ 100.00 | 68,764 | ||||||
|
| |||||||
281,632 | ||||||||
|
|
Continued
13
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services (0.8%): | ||||||||
$ | 9,786,563 | Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a) | $ | 9,676,463 | ||||
7,035,000 | Sprint Spectrum Co. LLC, 4.74%, 3/20/25(a) | 6,980,831 | ||||||
|
| |||||||
16,657,294 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $528,468,212) | 514,216,953 | |||||||
|
| |||||||
Yankee Dollars (9.8%): | ||||||||
Auto Components (0.0%): | ||||||||
641,000 | Aptiv plc, 4.40%, 10/1/46, Callable 4/1/46 @ 100.00 | 602,217 | ||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
1,300,000 | Volkswagen International Finance NV, 4.00%, 8/12/20(a) | 1,318,228 | ||||||
|
| |||||||
Banks (4.0%): | ||||||||
3,145,000 | ABN AMRO Bank NV, 2.65%, 1/19/21(a) | 3,088,513 | ||||||
800,000 | Banco Santander SA, 4.38%, 4/12/28 | 764,901 | ||||||
2,045,000 | Bank of Nova Scotia, Series E, 3.13%, 4/20/21 | 2,034,441 | ||||||
1,915,000 | Banque Federative du Credit Mutuel SA, 2.75%, 10/15/20(a) | 1,890,865 | ||||||
1,275,000 | Barclays Bank plc, 2.75%, 11/8/19 | 1,264,862 | ||||||
1,608,000 | Barclays Bank plc, 5.14%, 10/14/20^ | 1,646,663 | ||||||
2,782,000 | Barclays Bank plc, 3.25%, 1/12/21 | 2,742,148 | ||||||
910,000 | Barclays Bank plc, 4.34%(US0003M+136bps), 5/16/24, Callable 5/16/23 @ 100.00 | 898,750 | ||||||
888,000 | Barclays Bank plc, 4.38%, 1/12/26^ | 862,483 | ||||||
2,990,000 | Barclays Bank plc, 4.97%(US0003M+190bps), 5/16/29, Callable 5/16/28 @ 100.00 | 2,962,241 | ||||||
1,960,000 | BNP Paribas SA, 3.38%, 1/9/25(a) | 1,851,578 | ||||||
1,400,000 | BNP Paribas SA, 4.63%, 3/13/27(a) | 1,374,140 | ||||||
240,000 | BNP Paribas SA, 3.50%, 11/16/27^(a) | 222,652 | ||||||
1,200,000 | BNP Paribas SA, 4.38%(USSW5+148bps), 3/1/33, Callable 3/1/28 @ 100.00^(a) | 1,125,636 | ||||||
470,000 | BPCE SA, 3.00%, 5/22/22(a) | 453,954 | ||||||
510,000 | BPCE SA, 5.70%, 10/22/23(a) | 532,605 | ||||||
1,855,000 | Credit Agricole SA, 3.25%, 10/4/24(a) | 1,746,841 | ||||||
450,000 | Danske Bank A/S, 3.88%, 9/12/23(a) | 446,507 | ||||||
2,075,000 | HSBC Holdings plc, 2.95%, 5/25/21 | 2,042,898 | ||||||
1,525,000 | HSBC Holdings plc, 3.26%(US0003M+106bps), 3/13/23, Callable 3/13/22 @ 100.00 | 1,493,772 | ||||||
400,000 | HSBC Holdings plc, 3.95%(US0003M+99bps), 5/18/24, Callable 5/18/23 @ 100.00 | 398,568 | ||||||
1,600,000 | HSBC Holdings plc, 4.38%, 11/23/26^ | 1,572,791 | ||||||
200,000 | HSBC Holdings plc, 4.58%(US0003M+153bps), 6/19/29, Callable 6/19/28 @ 100.00 | 202,007 | ||||||
1,630,000 | ING Bank NV, 2.45%, 3/16/20(a) | 1,608,356 | ||||||
440,000 | ING Bank NV, 2.75%, 3/22/21(a) | 432,210 | ||||||
900,000 | ING Bank NV, 5.00%, 6/9/21^(a) | 936,007 | ||||||
1,200,000 | ING Bank NV, 5.80%, 9/25/23^(a) | 1,271,559 | ||||||
600,000 | ING Bank NV, Series E, 4.13%(USISDA05+270bps), 11/21/23, Callable 11/21/18 @ 100.00(a) | 601,440 | ||||||
1,160,000 | ING Groep NV, 3.15%, 3/29/22 | 1,138,232 | ||||||
835,000 | ING Groep NV, 3.95%, 3/29/27^ | 814,940 | ||||||
1,150,000 | Intesa Sanpaolo SpA, 3.13%, 7/14/22(a) | 1,061,437 | ||||||
660,000 | Intesa Sanpaolo SpA, 3.88%, 7/14/27(a) | 569,485 | ||||||
682,000 | Lloyds Bank plc, 2.70%, 8/17/20 | 673,963 | ||||||
200,000 | Lloyds Banking Group plc, 3.00%, 1/11/22^ | 194,807 |
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Banks, continued | ||||||||
$ | 1,270,000 | Lloyds Banking Group plc, 2.91%(US0003M+81bps), 11/7/23, Callable 11/7/22 @ 100.00 | $ | 1,209,622 | ||||
690,000 | Lloyds Banking Group plc, 4.45%, 5/8/25 | 694,171 | ||||||
2,025,000 | Lloyds Banking Group plc, 4.58%, 12/10/25 | 1,985,027 | ||||||
2,220,000 | Lloyds Banking Group plc, 4.65%, 3/24/26 | 2,184,301 | ||||||
550,000 | Lloyds Banking Group plc, 3.75%, 1/11/27 | 519,888 | ||||||
270,000 | Lloyds TSB Bank plc, 6.50%, 9/14/20(a) | 285,685 | ||||||
750,000 | Mitsubishi UFJ Finance GRP, 3.00%, 2/22/22 | 736,319 | ||||||
1,041,000 | Mitsubishi UFJ Financial Group, Inc., 2.95%, 3/1/21 | 1,029,763 | ||||||
650,000 | Mitsubishi UFJ Financial Group, Inc., 2.67%, 7/25/22 | 627,361 | ||||||
2,890,000 | Mizuho Financial Group, 2.95%, 2/28/22 | 2,820,642 | ||||||
420,000 | Mizuho Financial Group, Inc., 2.60%, 9/11/22 | 402,534 | ||||||
1,010,000 | National Australia Bank of New York, 2.13%, 5/22/20 | 991,382 | ||||||
2,220,000 | Nordea Bank AB, 4.88%, 1/27/20(a) | 2,279,740 | ||||||
2,135,000 | Rabobank Nederland NY, Series G, 2.50%, 1/19/21 | 2,094,092 | ||||||
2,670,000 | Royal Bank of Canada, 2.20%, 9/23/19 | 2,651,645 | ||||||
860,000 | Royal Bank of Canada, Series G, 2.13%, 3/2/20^ | 846,971 | ||||||
690,000 | Royal Bank of Canada, 2.15%, 10/26/20 | 674,132 | ||||||
550,000 | Royal Bank of Scotland Group plc, 4.89%(US0003M+175bps), 5/18/29, Callable 5/18/28 @ 100.00 | 547,552 | ||||||
1,985,000 | Santander UK Group Holdings plc, 2.88%, 10/16/20^ | 1,956,351 | ||||||
4,875,000 | Santander UK Group Holdings plc, 3.37%(US0003M+108bps), 1/5/24, Callable 1/5/23 @ 100.00 | 4,687,456 | ||||||
1,200,000 | Santander UK Group Holdings plc, 3.82%(US0003M+140bps), 11/3/28, Callable 11/3/27 @ 100.00 | 1,101,738 | ||||||
240,000 | Santander UK Group Holdings plc, 7.95%, 10/26/29 | 299,076 | ||||||
755,000 | Societe Generale SA, 2.63%, 9/16/20^(a) | 745,326 | ||||||
1,545,000 | Societe Generale SA, 2.50%, 4/8/21(a) | 1,503,767 | ||||||
1,375,000 | Standard Chartered plc, 2.25%, 4/17/20(a) | 1,345,127 | ||||||
210,000 | Standard Chartered plc, 3.95%, 1/11/23^(a) | 205,156 | ||||||
1,355,000 | Sumitomo Mitsui Financial Group, Inc., 2.93%, 3/9/21 | 1,339,580 | ||||||
1,655,000 | Sumitomo Mitsui Trust Bank, Ltd., 1.95%, 9/19/19(a) | 1,632,819 | ||||||
360,000 | Svenska Handelsbanken AB, 1.88%, 9/7/21 | 343,768 | ||||||
525,000 | Westpac Banking Corp., 2.15%, 3/6/20 | 516,532 | ||||||
1,810,000 | Westpac Banking Corp., 2.60%, 11/23/20 | 1,781,388 | ||||||
|
| |||||||
80,961,163 | ||||||||
|
| |||||||
Biotechnology (0.1%): | ||||||||
1,445,000 | Shire Acq INV Ireland DA, 2.40%, 9/23/21, Callable 8/23/21 @ 100.00 | 1,383,391 | ||||||
1,700,000 | Shire Acq INV Ireland DA, 2.88%, 9/23/23, Callable 7/23/23 @ 100.00 | 1,599,351 | ||||||
|
| |||||||
2,982,742 | ||||||||
|
| |||||||
Building Products (0.0%): | ||||||||
256,000 | Johnson Controls International, 4.62%, 7/2/44, Callable 1/2/44 @ 100.00 | 253,691 | ||||||
50,000 | Johnson Controls International plc, 3.90%, 2/14/26, Callable 11/14/25 @ 100.00 | 49,352 | ||||||
|
| |||||||
303,043 | ||||||||
|
|
Continued
14
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Capital Markets (1.5%): | ||||||||
$ | 1,515,000 | CDP Financial, Inc., 4.40%, 11/25/19(a) | $ | 1,549,197 | ||||
1,000,000 | Credit Suisse Group AG, 3.00%, 10/29/21 | 986,620 | ||||||
250,000 | Credit Suisse Group AG, 3.63%, 9/9/24 | 245,822 | ||||||
1,380,000 | Credit Suisse Group AG, 3.87%(US0003M+141bps), 1/12/29, Callable 1/12/28 @ 100.00(a) | 1,297,653 | ||||||
1,775,000 | Credit Suisse Group Fun, Ltd., 2.75%, 3/26/20 | 1,755,596 | ||||||
1,705,000 | Credit Suisse Group Fun, Ltd., 3.45%, 4/16/21 | 1,698,587 | ||||||
4,035,000 | Deutsche Bank AG, 4.25%, 10/14/21 | 3,977,986 | ||||||
895,000 | Deutsche Bank AG, 4.10%, 1/13/26^ | 831,519 | ||||||
2,000,000 | Deutsche Bank AG, 4.87%(USISDA05+255bps), 12/1/32, Callable 12/1/27 @ 100.00^ | 1,711,040 | ||||||
1,310,000 | Macquarie Group, Ltd., 4.65%(US0003M+173bps), 3/27/29, Callable 3/27/28 @ 100.00^(a) | 1,305,215 | ||||||
320,000 | Thomson Reuters Corp., 4.30%, 11/23/23, Callable 8/23/23 @ 100.00 | 326,545 | ||||||
1,980,000 | UBS AG, 2.20%, 6/8/20, Callable 5/8/20 @ 100.00(a) | 1,939,194 | ||||||
1,135,000 | UBS AG, 2.45%, 12/1/20, Callable 11/1/20 @ 100.00(a) | 1,109,482 | ||||||
670,000 | UBS Group AG, 4.13%, 9/24/25(a) | 665,318 | ||||||
3,675,000 | UBS Group Funding, 3.49%, 5/23/23, Callable 5/23/22 @ 100.00(a) | 3,592,733 | ||||||
4,335,000 | UBS Group Funding, 2.86%(US0003M+95bps), 8/15/23, Callable 8/15/22 @ 100.00(a) | 4,149,096 | ||||||
|
| |||||||
27,141,603 | ||||||||
|
| |||||||
Chemicals (0.0%): | ||||||||
750,000 | Air Liquide Finance SA, 1.75%, 9/27/21, Callable 8/27/21 @ 100.00(a) | 713,639 | ||||||
45,000 | LyondellBasell Idustries NV, 4.88%, 3/15/44, Callable 9/15/43 @ 100.00 | 44,819 | ||||||
|
| |||||||
758,458 | ||||||||
|
| |||||||
Consumer Finance (0.1%): | ||||||||
1,675,000 | Hyundai Capital Services, Inc., 3.00%, 8/29/22(a) | 1,612,191 | ||||||
1,390,000 | Hyundai Capital Services, Inc., 3.75%, 3/5/23(a) | 1,368,317 | ||||||
|
| |||||||
2,980,508 | ||||||||
|
| |||||||
Diversified Financial Services (0.3%): | ||||||||
245,000 | Corp. Financiera de Desarrollo SA, 4.75%, 7/15/25(a) | 244,669 | ||||||
1,640,000 | Deutsche Telekom International Finance, 1.95%, 9/19/21, Callable 8/19/21 @ 100.00^(a) | 1,563,435 | ||||||
635,000 | Export Development Canada, 0.88%, 8/27/18(a) | 633,628 | ||||||
1,425,000 | Mitsubishi UFJ Trust & Banking Corp., 2.65%, 10/19/20(a) | 1,402,404 | ||||||
2,605,000 | ORIX Corp., 2.90%, 7/18/22 | 2,534,355 | ||||||
|
| |||||||
6,378,491 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.1%): | ||||||||
2,362,000 | Telecom Italia SpA, 5.30%, 5/30/24(a) | 2,329,523 | ||||||
125,000 | Telus Corp., 4.60%, 11/16/48, Callable 5/16/48 @ 100.00 | 122,217 | ||||||
|
| |||||||
2,451,740 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.1%): | ||||||||
1,165,000 | Australia & New Zealand Banking Group, Ltd., 2.25%, 11/9/20^ | 1,136,788 |
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
$ | 125,000 | Tyco Electronics Group SA, 3.45%, 8/1/24, Callable 5/1/24 @ 100.00 | $ | 122,401 | ||||
|
| |||||||
1,259,189 | ||||||||
|
| |||||||
Food Products (0.1%): | ||||||||
1,570,000 | Danone SA, 2.08%, 11/2/21, Callable 10/2/21 @ 100.00(a) | 1,500,884 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.0%): | ||||||||
120,000 | Covidien International Finance SA, 3.20%, 6/15/22, Callable 3/15/22 @ 100.00 | 119,113 | ||||||
|
| |||||||
Industrial Conglomerates (0.3%): | ||||||||
2,874,000 | GE Capital International Funding, 4.42%, 11/15/35 | 2,784,272 | ||||||
2,800,000 | GE Capital International Funding Co. Unlimited Co., 3.37%, 11/15/25 | 2,687,501 | ||||||
|
| |||||||
5,471,773 | ||||||||
|
| |||||||
Insurance (0.1%): | ||||||||
1,210,000 | Aon plc, 3.88%, 12/15/25, Callable 9/15/25 @ 100.00 | 1,194,523 | ||||||
81,000 | Aon plc, 4.45%, 5/24/43, Callable 2/24/43 @ 100.00 | 75,970 | ||||||
744,000 | Aon plc, 4.60%, 6/14/44, Callable 3/14/44 @ 100.00 | 725,816 | ||||||
200,000 | Aon plc, 4.75%, 5/15/45, Callable 11/15/44 @ 100.00 | 197,491 | ||||||
500,000 | Trinity Acquistion plc, 4.40%, 3/15/26, Callable 12/15/25 @ 100.00 | 495,097 | ||||||
|
| |||||||
2,688,897 | ||||||||
|
| |||||||
Internet Software & Services (0.3%): | ||||||||
320,000 | Alibaba Group Holding, Ltd., 2.80%, 6/6/23, Callable 5/6/23 @ 100.00 | 308,111 | ||||||
1,680,000 | Alibaba Group Holding, Ltd., 3.40%, 12/6/27, Callable 9/6/27 @ 100.00^ | 1,565,320 | ||||||
1,095,000 | Alibaba Group Holding, Ltd., 4.40%, 12/6/57, Callable 6/6/57 @ 100.00 | 1,012,001 | ||||||
475,000 | Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100.00 | 468,403 | ||||||
1,511,000 | Tencent Holdings, Ltd., 2.99%, 1/19/23, Callable 12/19/22 @ 100.00(a) | 1,469,130 | ||||||
2,035,000 | Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100.00(a) | 1,925,152 | ||||||
|
| |||||||
6,748,117 | ||||||||
|
| |||||||
Machinery (0.1%): | ||||||||
1,500,000 | Nvent Finance Sarl, 4.55%, 4/15/28, Callable 1/15/28 @ 100.00(a) | 1,471,759 | ||||||
|
| |||||||
Metals & Mining (0.0%): | ||||||||
755,000 | Anglo American Capital plc, 3.63%, 9/11/24(a) | 714,842 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.2%): | ||||||||
320,000 | BP Capital Markets plc, 3.51%, 3/17/25^ | 317,297 | ||||||
555,000 | Ecopetrol SA, 4.13%, 1/16/25^ | 538,350 | ||||||
720,000 | Harvest Operations Corp., 4.20%, 6/1/23, Callable 5/1/23 @ 100.00(a) | 727,876 | ||||||
69,000 | Petroleos Mexicanos, 6.00%, 3/5/20 | 71,243 | ||||||
883,000 | Petroleos Mexicanos, 5.63%, 1/23/46 | 745,252 | ||||||
490,000 | Shell International Finance BV, 1.75%, 9/12/21^ | 469,336 |
Continued
15
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 396,000 | Suncor Energy, Inc., 6.80%, 5/15/38 | $ | 504,715 | ||||
635,000 | TransCanada PipeLines, Ltd., 4.88%, 5/15/48, Callable 11/15/47 @ 100.00 | 641,188 | ||||||
1,704,000 | Transcanada Trust, 5.30%(US0003M+321bps), 3/15/77, Callable 3/15/27 @ 100.00^ | 1,611,158 | ||||||
|
| |||||||
5,626,415 | ||||||||
|
| |||||||
Pharmaceuticals (0.3%): | ||||||||
4,055,000 | Actavis Funding SCS, 3.45%, 3/15/22, Callable 1/15/22 @ 100.00 | 3,990,071 | ||||||
345,000 | Actavis Funding SCS, 3.85%, 6/15/24, Callable 3/15/24 @ 100.00 | 338,789 | ||||||
980,000 | Actavis Funding SCS, 3.80%, 3/15/25, Callable 12/15/24 @ 100.00 | 951,624 | ||||||
690,000 | Actavis Funding SCS, 4.75%, 3/15/45, Callable 9/15/44 @ 100.00^ | 664,212 | ||||||
225,000 | AstraZeneca plc, 2.38%, 6/12/22, Callable 5/12/22 @ 100.00 | 216,428 | ||||||
690,000 | GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 678,322 | ||||||
|
| |||||||
6,839,446 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%): | ||||||||
250,000 | Mitsui Fudosan Co., Ltd., 2.95%, 1/23/23, Callable 12/23/22 @ 100.00(a) | 243,657 | ||||||
|
| |||||||
Sovereign Bond (1.9%): | ||||||||
5,119,000 | Mexico Government International Bond, 4.15%, 3/28/27^ | 5,039,655 | ||||||
10,368,000 | Mexico Government International Bond, 3.75%, 1/11/28^ | 9,802,943 | ||||||
589,561 | Oriental Republic of Uruguay, 4.50%, 8/14/24^ | 605,862 | ||||||
600,000 | Oriental Republic of Uruguay, 4.38%, 10/27/27^ | 607,500 | ||||||
689,000 | Province of Manitoba, 3.05%, 5/14/24 | 681,914 | ||||||
870,000 | Province of Quebec, 2.50%, 4/20/26 | 827,406 | ||||||
1,080,000 | Qatar Government International Bond, 4.50%, 4/23/28(a) | 1,089,925 | ||||||
595,000 | Republic of Colombia, 4.50%, 1/28/26, Callable 10/28/25 @ 100.00^ | 603,925 | ||||||
3,516,000 | Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100.00 | 3,399,972 | ||||||
1,500,000 | Republic of Indonesia, 3.50%, 1/11/28^ | 1,385,217 | ||||||
2,768,000 | Republic of Indonesia, 4.10%, 4/24/28^ | 2,674,705 | ||||||
575,000 | Republic of Panama, 4.00%, 9/22/24, Callable 6/22/24 @ 100.00 | 579,313 | ||||||
540,000 | Republic of Panama, 4.50%, 5/15/47 | 523,800 | ||||||
980,000 | Republic of Peru, 4.13%, 8/25/27^ | 1,002,051 | ||||||
281,000 | Republic of Peru, 5.63%, 11/18/50 | 326,311 | ||||||
3,200,000 | Republic of Philippines, 3.00%, 2/1/28 | 2,954,582 | ||||||
262,000 | United Mexican States, Series E, 3.50%, 1/21/21^ | 261,686 | ||||||
2,506,000 | United Mexican States, 4.13%, 1/21/26 | 2,485,952 | ||||||
|
| |||||||
34,852,719 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%): | ||||||||
410,000 | Mexico City Airport Trust, 5.50%, 7/31/47, Callable 1/31/47 @ 100.00(a) | 365,310 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
95,000 | Rogers Communications, Inc., 3.63%, 12/15/25, Callable 9/15/25 @ 100.00 | 92,894 |
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 130,000 | Rogers Communications, Inc., 5.00%, 3/15/44, Callable 9/15/43 @ 100.00 | $ | 135,015 | ||||
185,000 | Rogers Communications, Inc., 4.30%, 2/15/48, Callable 8/15/47 @ 100.00 | 176,517 | ||||||
1,960,000 | Vodafone Group plc, 3.75%, 1/16/24 | 1,943,250 | ||||||
835,000 | Vodafone Group plc, 4.13%, 5/30/25^ | 831,825 | ||||||
1,885,000 | Vodafone Group plc, 5.25%, 5/30/48 | 1,879,784 | ||||||
|
| |||||||
5,059,285 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $202,990,812) | 198,839,599 | |||||||
|
| |||||||
Municipal Bonds (0.1%): | ||||||||
Massachusetts (0.0%): | ||||||||
450,000 | Massachusetts State School Building Authority Sales Tax Revenue, Series B, 5.00%, 10/15/41, Continuously Callable @100 | 485,235 | ||||||
|
| |||||||
New Jersey (0.1%): | ||||||||
800,000 | New Jersey State Transportation Trust Fund Authority Revenue, Series AA, 5.00%, 6/15/36, Continuously Callable @100 | 839,248 | ||||||
|
| |||||||
New York (0.0%): | ||||||||
540,000 | New York State Urban Development Corp. Revenue, Series E, 5.00%, 3/15/24, Continuously Callable @100 | 608,434 | ||||||
|
| |||||||
California (0.0%): | ||||||||
50,000 | University of California Revenue, 4.86%, 5/15/12 | 53,011 | ||||||
347,000 | University of California Revenue, 4.77%, 5/15/15 | 360,342 | ||||||
|
| |||||||
413,353 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $2,275,116) | 2,346,270 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (33.4%): | ||||||||
Federal Home Loan Bank (0.3%) | ||||||||
4,080,000 | 3.56%, 5/16/33 | 4,119,168 | ||||||
|
| |||||||
4,119,168 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (8.6%) | ||||||||
1,328,425 | 2.50%, 2/1/24, Pool #G14989 | 1,321,439 | ||||||
1,357,402 | Class A1, Series KIR2, 2.75%, 3/25/27 | 1,335,295 | ||||||
342,334 | 3.00%, 9/1/27, Pool #U70060 | 340,407 | ||||||
184,885 | 3.00%, 7/1/28, Pool #U79018 | 183,845 | ||||||
591,000 | 4.08%, 9/15/29 | 403,565 | ||||||
88,723 | 3.00%, 1/1/30, Pool #V60724 | 88,517 | ||||||
60,382 | 3.00%, 1/1/30, Pool #V60696 | 60,265 | ||||||
126,180 | 2.50%, 3/1/30, Pool #V60770 | 122,718 | ||||||
146,419 | 2.50%, 5/1/30, Pool #J31418 | 142,397 | ||||||
292,294 | 2.50%, 5/1/30, Pool #J31728 | 284,267 | ||||||
277,326 | 3.00%, 5/1/30, Pool #J31689 | 276,787 | ||||||
199,652 | 2.50%, 5/1/30, Pool #V60796 | 194,168 | ||||||
539,762 | 3.00%, 6/1/30, Pool #V60840 | 537,675 | ||||||
12,178 | 2.50%, 7/1/30, Pool #J32491 | 11,843 | ||||||
16,524 | 2.50%, 7/1/30, Pool #V60905 | 16,070 | ||||||
53,701 | 2.50%, 7/1/30, Pool #J32204 | 52,227 | ||||||
49,205 | 2.50%, 7/1/30, Pool #J32209 | 47,854 | ||||||
28,828 | 3.00%, 7/1/30, Pool #J32181 | 28,706 | ||||||
244,064 | 3.00%, 7/1/30, Pool #G15520 | 243,214 | ||||||
220,692 | 2.50%, 8/1/30, Pool #V60886 | 214,631 | ||||||
35,569 | 3.00%, 8/1/30, Pool #J32436 | 35,418 | ||||||
54,122 | 3.00%, 8/1/30, Pool #V60909 | 53,851 |
Continued
16
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 168,658 | 2.50%, 8/1/30, Pool #V60902 | $ | 164,025 | ||||
163,792 | 2.50%, 9/1/30, Pool #V60903 | 159,293 | ||||||
547,138 | 2.50%, 9/1/30, Pool #V60904 | 532,113 | ||||||
190,000 | 6.75%, 3/15/31 | 259,412 | ||||||
197,000 | 4.24%, 3/15/31 | 127,391 | ||||||
848,852 | 2.50%, 4/1/31, Pool #G16186 | 825,532 | ||||||
175,143 | 5.50%, 2/1/35, Pool #G04692 | 189,993 | ||||||
241,842 | 6.00%, 4/1/39, Pool #G07613 | 270,325 | ||||||
45,755 | 4.50%, 12/1/39, Pool #A90196 | 48,111 | ||||||
43,225 | 4.50%, 7/1/40, Pool #A93010 | 45,459 | ||||||
54,961 | 4.00%, 8/1/40, Pool #A93534 | 56,501 | ||||||
867,484 | 4.50%, 9/1/40, Pool #A93700 | 912,312 | ||||||
332,355 | 4.00%, 9/1/40, Pool #A93851 | 341,603 | ||||||
50,187 | 4.00%, 10/1/40, Pool #A95923 | 51,641 | ||||||
44,703 | 4.00%, 11/1/40, Pool #A94977 | 45,996 | ||||||
47,818 | 4.00%, 11/1/40, Pool #A95144 | 49,160 | ||||||
48,023 | 4.00%, 11/1/40, Pool #A94779 | 49,411 | ||||||
3,118 | 4.00%, 4/1/41, Pool #Q00093 | 3,205 | ||||||
135,386 | 4.50%, 5/1/41, Pool #Q00804 | 142,390 | ||||||
145,786 | 4.50%, 5/1/41, Pool #Q00959 | 153,328 | ||||||
621,244 | Class FL, Series 4248, 2.52% (US0001M+45bps), 5/15/41 | 624,634 | ||||||
696,457 | 5.50%, 6/1/41, Pool #G07553 | 753,512 | ||||||
703,997 | 3.50%, 10/1/41, Pool #G08462 | 706,126 | ||||||
93,242 | 4.00%, 10/1/41, Pool #Q04022 | 95,946 | ||||||
152,643 | 5.00%, 10/1/41, Pool #G07642 | 162,975 | ||||||
49,692 | 4.00%, 10/1/41, Pool #Q03841 | 51,133 | ||||||
280,247 | 3.50%, 4/1/42, Pool #Q07417 | 281,094 | ||||||
349,350 | 3.50%, 4/1/42, Pool #C03811 | 350,541 | ||||||
18,357 | 3.50%, 5/1/42, Pool #Q07896 | 18,411 | ||||||
32,899 | 3.50%, 5/1/42, Pool #Q08239 | 32,999 | ||||||
10,212 | 3.50%, 5/1/42, Pool #Q08306 | 10,243 | ||||||
511,592 | 3.50%, 8/1/42, Pool #Q10724 | 513,139 | ||||||
294,736 | 3.50%, 8/1/42, Pool #G07106 | 295,618 | ||||||
44,815 | 3.50%, 8/1/42, Pool #Q12162 | 44,950 | ||||||
25,715 | 3.50%, 10/1/42, Pool #Q11909 | 25,686 | ||||||
49,020 | 3.50%, 10/1/42, Pool #Q11750 | 49,169 | ||||||
566,075 | 3.50%, 11/1/42, Pool #Q13134 | 567,785 | ||||||
329,621 | 3.00%, 12/1/42, Pool #C04320 | 321,996 | ||||||
379,818 | 3.00%, 1/1/43, Pool #Q14866 | 370,990 | ||||||
454,023 | 3.00%, 3/1/43, Pool #Q16567 | 443,406 | ||||||
357,546 | 3.00%, 3/1/43, Pool #Q16673 | 349,102 | ||||||
245,225 | 3.00%, 3/1/43, Pool #Q16403 | 239,455 | ||||||
125,581 | 3.00%, 4/1/43, Pool #Q17095 | 122,626 | ||||||
167,338 | 3.50%, 6/1/43, Pool #Q18718 | 167,844 | ||||||
252,788 | 3.50%, 7/1/43, Pool #Q20206 | 253,646 | ||||||
171,388 | 3.50%, 8/1/43, Pool #Q21320 | 171,905 | ||||||
1,385,206 | 3.00%, 8/1/43, Pool #G07550 | 1,352,535 | ||||||
116,383 | 4.00%, 9/1/43, Pool #Q21579 | 119,992 | ||||||
4,048,265 | 3.00%, 9/1/43, Pool #G60675 | 3,951,796 | ||||||
4,913,643 | 3.50%, 12/1/43, Pool #G60270 | 4,928,459 | ||||||
353,248 | 4.50%, 12/1/43, Pool #G60018 | 370,315 | ||||||
395,029 | 4.50%, 12/1/43, Pool #Q23779 | 411,929 | ||||||
7,395,256 | 3.50%, 1/1/44, Pool #G60271 | 7,417,560 | ||||||
28,482 | 3.50%, 1/1/44, Pool #Q24368 | 28,579 | ||||||
14,303,376 | 3.50%, 1/1/44, Pool #G07922 | 14,346,566 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 841,179 | Class XZ, Series 4316, 4.50%, 3/15/44 | $ | 902,255 | ||||
1,207,256 | 3.50%, 4/1/44, Pool #G07848 | 1,211,364 | ||||||
176,908 | 4.00%, 4/1/44, Pool #Q25643 | 182,036 | ||||||
21,896 | 3.50%, 4/1/44, Pool #Q25812 | 21,970 | ||||||
1,243,590 | Class ZX, Series 4352, 4.00%, 4/15/44 | 1,284,289 | ||||||
63,447 | 3.50%, 5/1/44, Pool #Q26362 | 63,663 | ||||||
34,463 | 3.50%, 5/1/44, Pool #Q26218 | 34,652 | ||||||
26,430 | 3.50%, 5/1/44, Pool #Q26452 | 26,520 | ||||||
19,582 | 3.50%, 5/1/44, Pool #Q25988 | 19,649 | ||||||
28,125 | 3.50%, 6/1/44, Pool #Q26707 | 28,210 | ||||||
147,409 | 3.50%, 6/1/44, Pool #Q28764 | 147,854 | ||||||
229,510 | 4.00%, 7/1/44, Pool #G60901 | 235,668 | ||||||
29,144 | 3.50%, 7/1/44, Pool #Q27319 | 29,305 | ||||||
112,398 | 3.50%, 8/1/44, Pool #Q27843 | 112,781 | ||||||
649,271 | 4.00%, 8/1/44, Pool #G07786 | 669,362 | ||||||
130,979 | 3.50%, 9/1/44, Pool #Q28605 | 131,425 | ||||||
22,238 | 3.50%, 9/1/44, Pool #Q28763 | 22,245 | ||||||
51,157 | 3.50%, 9/1/44, Pool #Q28604 | 51,438 | ||||||
10,268 | 3.50%, 11/1/44, Pool #Q29697 | 10,285 | ||||||
3,755 | 3.50%, 11/1/44, Pool #Q29911 | 3,761 | ||||||
57,516 | 3.50%, 1/1/45, Pool #Q30876 | 57,555 | ||||||
40,923 | 3.50%, 1/1/45, Pool #Q31122 | 41,019 | ||||||
44,463 | 4.00%, 2/1/45, Pool #Q31338 | 45,577 | ||||||
19,527 | 4.00%, 2/1/45, Pool #Q31128 | 20,016 | ||||||
20,711 | 3.50%, 5/1/45, Pool #Q33131 | 20,774 | ||||||
132,165 | 3.50%, 5/1/45, Pool #Q33606 | 132,063 | ||||||
128,770 | 3.50%, 6/1/45, Pool #Q34176 | 128,671 | ||||||
3,541 | 3.50%, 7/1/45, Pool #Q34960 | 3,538 | ||||||
4,161,403 | 3.50%, 8/1/45, Pool #G60138 | 4,175,594 | ||||||
34,711 | 3.50%, 9/1/45, Pool #Q36302 | 34,902 | ||||||
324,518 | 4.00%, 10/1/45, Pool #Q36972 | 333,005 | ||||||
14,171 | 3.50%, 10/1/45, Pool #V81932 | 14,160 | ||||||
47,808 | 4.00%, 12/1/45, Pool #Q37955 | 49,006 | ||||||
55,819 | 4.00%, 12/1/45, Pool #Q37957 | 57,172 | ||||||
566,798 | 3.50%, 1/1/46, Pool #G60393 | 566,229 | ||||||
42,920 | 3.50%, 2/1/46, Pool #V82209 | 42,868 | ||||||
411,057 | 3.50%, 3/1/46, Pool #Q39250 | 410,559 | ||||||
453,931 | 3.50%, 5/1/46, Pool #G60561 | 453,475 | ||||||
759,391 | 4.00%, 7/1/46, Pool #V82528 | 777,824 | ||||||
4,639,807 | 3.50%, 7/1/46, Pool #G60658 | 4,648,084 | ||||||
433,566 | 4.00%, 8/1/46, Pool #V82553 | 444,093 | ||||||
10,072,112 | 3.00%, 8/1/46, Pool #G60717 | 9,779,383 | ||||||
865,951 | Class FB, Series 4606, 2.57% (US0001M+50bps), 8/15/46 | 874,500 | ||||||
572,878 | 3.00%, 9/1/46, Pool #G60718 | 556,125 | ||||||
1,889,413 | 3.00%, 9/1/46, Pool #Q42979 | 1,834,159 | ||||||
61,294 | 4.00%, 9/1/46, Pool #G60729 | 62,537 | ||||||
3,679,904 | 3.00%, 9/1/46, Pool #Q43104 | 3,575,144 | ||||||
124,231 | 4.00%, 10/1/46, Pool #V82661 | 126,754 | ||||||
606,045 | 3.00%, 12/1/46, Pool #Q45064 | 588,323 | ||||||
258,371 | 3.00%, 12/1/46, Pool #Q45079 | 251,416 | ||||||
151,434 | 3.00%, 12/1/46, Pool #Q45083 | 147,499 | ||||||
305,302 | 3.00%, 12/1/46, Pool #Q45080 | 296,658 | ||||||
631,116 | 3.00%, 12/1/46, Pool #Q44853 | 613,150 | ||||||
2,054,008 | 3.00%, 12/1/46, Pool #V82781 | 1,992,350 | ||||||
2,701,540 | 4.00%, 2/1/47, Pool #V82929 | 2,767,607 |
Continued
17
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 1,177,359 | 3.50%, 3/1/47, Pool #G60968 | $ | 1,172,951 | ||||
199,598 | 3.50%, 7/1/47, Pool #Q53113 | 200,279 | ||||||
2,259,296 | 4.00%, 8/1/47, Pool #G67704 | 2,321,928 | ||||||
775,148 | 3.50%, 10/1/47, Pool #G61178 | 776,772 | ||||||
13,958,056 | 3.50%, 12/1/47, Pool #G67706 | 13,939,709 | ||||||
956,163 | 3.50%, 12/1/47, Pool #G61208 | 958,166 | ||||||
113,486 | 3.50%, 1/1/48, Pool #Q53630 | 113,724 | ||||||
207,345 | 3.50%, 1/1/48, Pool #Q53648 | 207,136 | ||||||
2,329,712 | 3.50%, 1/1/48, Pool #Q53747 | 2,321,774 | ||||||
8,260,000 | 3.00%, 7/15/48, TBA | 8,082,217 | ||||||
7,189,000 | 4.50%, 7/15/48, TBA | 7,480,254 | ||||||
11,144,416 | 3.00%, 7/15/48, TBA | 10,786,395 | ||||||
7,301,000 | 4.00%, 7/15/48, TBA | 7,441,696 | ||||||
20,085,000 | 3.50%, 7/15/48, TBA | 20,134,301 | ||||||
300,000 | 6.00%, 7/15/48, TBA | 328,125 | ||||||
2,600,000 | 5.50%, 7/15/48, TBA | 2,780,883 | ||||||
|
| |||||||
170,531,853 | ||||||||
|
| |||||||
Federal National Mortgage Association (15.8%) | ||||||||
199,399 | 4.00%, 9/1/26, Pool #AL2683 | 204,855 | ||||||
143,252 | 4.00%, 12/1/26, Pool #AL1938 | 147,088 | ||||||
244,783 | 2.50%, 9/1/27, Pool #AB6194 | 239,654 | ||||||
162,809 | 2.50%, 9/1/27, Pool #AP5205 | 159,526 | ||||||
57,257 | 2.50%, 2/1/28, Pool #AB8446 | 56,066 | ||||||
80,557 | 3.00%, 4/1/28, Pool #AT3121 | 80,544 | ||||||
123,127 | 2.50%, 4/1/28, Pool #AB8870 | 120,567 | ||||||
100,797 | 3.00%, 5/1/28, Pool #AT6033 | 100,781 | ||||||
332,311 | 2.50%, 8/1/28, Pool #AS0190 | 325,408 | ||||||
1,549,545 | 3.50%, 9/1/28, Pool #AL4245 | 1,574,389 | ||||||
20,667 | 3.00%, 10/1/28, Pool #AQ4132 | 20,663 | ||||||
186,068 | 3.00%, 10/1/28, Pool #AU8774 | 185,815 | ||||||
444,666 | 3.50%, 10/1/28, Pool #AV0198 | 451,798 | ||||||
21,329 | 3.00%, 11/1/28, Pool #AV0298 | 21,325 | ||||||
653,429 | 3.50%, 11/1/28, Pool #AV1360 | 663,889 | ||||||
532,359 | 3.00%, 4/1/29, Pool #AW0937 | 532,276 | ||||||
363,216 | 3.00%, 5/1/29, Pool #AW2544 | 362,061 | ||||||
707,642 | 3.00%, 6/1/29, Pool #AS2676 | 707,533 | ||||||
1,448,686 | 3.00%, 9/1/29, Pool #AL6897 | 1,448,459 | ||||||
247,245 | 3.50%, 9/1/29, Pool #AX0105 | 250,448 | ||||||
472,879 | 3.00%, 9/1/29, Pool #AS3220 | 472,806 | ||||||
501,333 | 3.50%, 9/1/29, Pool #AL5806 | 509,360 | ||||||
265,004 | 3.00%, 10/1/29, Pool #AS3594 | 264,963 | ||||||
65,967 | 3.50%, 10/1/29, Pool #AX2741 | 67,022 | ||||||
364,037 | 3.50%, 12/1/29, Pool #AS3988 | 370,515 | ||||||
963,651 | 3.00%, 1/1/30, Pool #AL6144 | 963,501 | ||||||
2,605,000 | 4.12%, 1/15/30 | 1,757,334 | ||||||
38,062 | 2.50%, 2/1/30, Pool #AS4485 | 37,165 | ||||||
142,664 | 2.50%, 2/1/30, Pool #BM3403 | 139,626 | ||||||
45,045 | 2.50%, 2/1/30, Pool #AS4488 | 43,982 | ||||||
285,997 | 2.50%, 3/1/30, Pool #AS4688 | 279,254 | ||||||
191,479 | 3.00%, 3/1/30, Pool #AL6583 | 191,449 | ||||||
165,098 | 3.00%, 4/1/30, Pool #AL6584 | 164,718 | ||||||
131,779 | 2.50%, 4/1/30, Pool #AY3416 | 128,669 | ||||||
66,834 | 2.50%, 5/1/30, Pool #AY0828 | 65,258 | ||||||
94,851 | 3.00%, 5/1/30, Pool #AL6761 | 94,632 | ||||||
3,901,000 | 4.14%, 5/15/30 | 2,601,854 | ||||||
129,259 | 3.00%, 7/1/30, Pool #AL7139 | 128,961 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 58,454 | 2.50%, 7/1/30, Pool #AZ2170 | $ | 57,074 | ||||
23,351 | 3.00%, 7/1/30, Pool #AZ2297 | 23,240 | ||||||
146,969 | 3.00%, 7/1/30, Pool #AX9701 | 146,630 | ||||||
36,374 | 2.50%, 7/1/30, Pool #AS5405 | 35,516 | ||||||
43,478 | 3.00%, 7/1/30, Pool #AX9700 | 43,378 | ||||||
205,409 | 2.50%, 7/1/30, Pool #AS5403 | 200,561 | ||||||
218,465 | 3.00%, 8/1/30, Pool #AL7227 | 217,961 | ||||||
421,054 | 2.50%, 8/1/30, Pool #BM3552 | 411,960 | ||||||
241,989 | 3.00%, 8/1/30, Pool #AL7225 | 241,430 | ||||||
16,691 | 3.00%, 8/1/30, Pool #AZ8597 | 16,653 | ||||||
173,470 | 3.00%, 8/1/30, Pool #AS5622 | 173,070 | ||||||
253,158 | 2.50%, 8/1/30, Pool #AS5616 | 247,187 | ||||||
138,878 | 3.50%, 8/1/30, Pool #AS5708 | 140,852 | ||||||
32,469 | 3.50%, 8/1/30, Pool #AS5707 | 32,930 | ||||||
132,569 | 2.50%, 8/1/30, Pool #AS5614 | 129,440 | ||||||
32,009 | 3.00%, 8/1/30, Pool #AX3298 | 31,935 | ||||||
1,055,843 | 3.50%, 8/1/30, Pool #AL7430 | 1,072,774 | ||||||
187,016 | 3.00%, 8/1/30, Pool #AS5623 | 186,584 | ||||||
102,532 | 2.50%, 8/1/30, Pool #AS5548 | 100,114 | ||||||
36,535 | 3.00%, 8/1/30, Pool #AZ7833 | 36,451 | ||||||
122,974 | 2.50%, 9/1/30, Pool #AS5786 | 120,075 | ||||||
45,905 | 3.00%, 9/1/30, Pool #AL7320 | 45,898 | ||||||
151,057 | 2.50%, 9/1/30, Pool #AS5872 | 147,493 | ||||||
172,230 | 3.00%, 9/1/30, Pool #AS5728 | 171,833 | ||||||
71,922 | 3.00%, 9/1/30, Pool #AZ5719 | 71,646 | ||||||
125,695 | 3.00%, 9/1/30, Pool #AS5714 | 125,405 | ||||||
20,568 | 2.50%, 11/1/30, Pool #AL7800 | 20,082 | ||||||
143,301 | 2.50%, 11/1/30, Pool #AS6141 | 139,920 | ||||||
133,757 | 2.50%, 11/1/30, Pool #AS6142 | 130,600 | ||||||
141,000 | 2.50%, 11/1/30, Pool #AS6116 | 137,671 | ||||||
135,142 | 2.50%, 11/1/30, Pool #AS6115 | 131,951 | ||||||
244,364 | 2.50%, 3/1/31, Pool #BM1595 | 239,286 | ||||||
226,306 | 2.50%, 6/1/31, Pool #AS7320 | 220,403 | ||||||
366,084 | 2.50%, 7/1/31, Pool #AS7605 | 356,536 | ||||||
392,345 | 2.50%, 7/1/31, Pool #AS7617 | 382,110 | ||||||
18,545 | 2.50%, 8/1/31, Pool #BC2777 | 18,062 | ||||||
89,200 | 4.00%, 8/1/31, Pool #AY4707 | 92,249 | ||||||
3,073,145 | 3.00%, 8/1/31, Pool #AL9376 | 3,058,259 | ||||||
53,347 | 4.00%, 8/1/31, Pool #AY4688 | 54,906 | ||||||
246,173 | 3.00%, 9/1/31, Pool #AL9378 | 245,074 | ||||||
478,737 | 2.50%, 10/1/31, Pool #AS8009 | 466,247 | ||||||
3,132,662 | 2.50%, 10/1/31, Pool #BC4773 | 3,050,910 | ||||||
887,989 | 2.50%, 10/1/31, Pool #AS8208 | 864,822 | ||||||
1,648,504 | 2.50%, 10/1/31, Pool #AS8195 | 1,605,530 | ||||||
675,454 | 2.50%, 10/1/31, Pool #AS8193 | 657,840 | ||||||
143,304 | 2.00%, 10/1/31, Pool #MA2774 | 135,782 | ||||||
652,718 | 2.00%, 11/1/31, Pool #AS8251 | 618,454 | ||||||
43,056 | 2.00%, 11/1/31, Pool #AS8291 | 40,796 | ||||||
526,646 | 2.50%, 11/1/31, Pool #AS8240 | 512,906 | ||||||
362,303 | 2.50%, 11/1/31, Pool #AS8241 | 352,852 | ||||||
264,998 | 2.50%, 11/1/31, Pool #AS8245 | 258,089 | ||||||
238,556 | 2.00%, 11/1/31, Pool #BC9040 | 226,033 | ||||||
235,955 | 2.50%, 11/1/31, Pool #BC2628 | 229,811 | ||||||
218,084 | 2.50%, 11/1/31, Pool #BC2629 | 212,386 | ||||||
460,874 | 2.50%, 11/1/31, Pool #BC2631 | 448,145 | ||||||
854,295 | 2.00%, 11/1/31, Pool #BM3054 | 809,452 |
Continued
18
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 437,476 | 2.50%, 11/1/31, Pool #BM1896 | $ | 426,330 | ||||
188,529 | 2.00%, 12/1/31, Pool #MA2845 | 178,634 | ||||||
3,369,017 | 2.50%, 1/1/32, Pool #BM1890 | 3,283,876 | ||||||
47,288 | 2.50%, 2/1/32, Pool #BM1036 | 45,982 | ||||||
1,552,409 | 3.50%, 2/1/32, Pool #AS8885 | 1,574,537 | ||||||
1,124,521 | 2.00%, 3/1/32, Pool #BM3061 | 1,065,496 | ||||||
179,265 | 2.50%, 3/1/32, Pool #BM1422 | 174,314 | ||||||
784,934 | 2.50%, 3/1/32, Pool #AS9318 | 763,255 | ||||||
510,267 | 2.50%, 3/1/32, Pool #AS9316 | 496,175 | ||||||
739,909 | 2.50%, 3/1/32, Pool #AS9321 | 719,477 | ||||||
831,286 | 2.50%, 3/1/32, Pool #AS9319 | 808,326 | ||||||
420,437 | 2.50%, 3/1/32, Pool #AS9317 | 408,825 | ||||||
3,452,927 | 3.50%, 4/1/32, Pool #BM3503 | 3,515,272 | ||||||
2,540,571 | 3.50%, 5/1/32, Pool #BM1602 | 2,577,407 | ||||||
3,774,353 | 3.00%, 6/1/32, Pool #BM1791 | 3,757,302 | ||||||
1,159,968 | 2.50%, 8/1/32, Pool #BM3578 | 1,128,204 | ||||||
466,890 | 3.00%, 9/1/32, Pool #BM3240 | 466,349 | ||||||
118,119 | 3.50%, 11/1/32, Pool #BJ2054 | 119,692 | ||||||
79,609 | 3.50%, 1/1/33, Pool #BJ2096 | 80,671 | ||||||
153,964 | 5.50%, 1/1/33, Pool #676661 | 166,615 | ||||||
2,321,221 | 2.50%, 2/1/33, Pool #BM3793 | 2,266,458 | ||||||
107,796 | 5.50%, 5/1/33, Pool #555424 | 117,119 | ||||||
2,508,000 | 3.00%, 7/25/33, TBA | 2,493,277 | ||||||
1,900,000 | 5.00%, 7/25/33, TBA | 1,929,984 | ||||||
1,803,000 | 4.00%, 7/25/33, TBA | 1,849,625 | ||||||
666,000 | 2.00%, 7/25/33, TBA | 630,698 | ||||||
200,000 | 4.50%, 7/25/33, TBA | 201,250 | ||||||
884,033 | 5.00%, 2/1/35, Pool #735226 | 946,689 | ||||||
258,525 | 5.50%, 2/1/35, Pool #735989 | 280,991 | ||||||
64,120 | 5.00%, 3/1/35, Pool #735288 | 68,658 | ||||||
23,438 | 6.00%, 4/1/35, Pool #735504 | 25,832 | ||||||
120,446 | 5.00%, 9/1/35, Pool #889974 | 128,991 | ||||||
244,511 | 4.00%, 1/1/36, Pool #AB0686 | 250,960 | ||||||
597,106 | 5.50%, 9/1/36, Pool #995113 | 649,307 | ||||||
62,413 | 3.00%, 10/1/36, Pool #AL9227 | 61,598 | ||||||
183,761 | 3.00%, 11/1/36, Pool #AS8349 | 181,363 | ||||||
446,914 | 3.00%, 11/1/36, Pool #AS8348 | 441,080 | ||||||
421,855 | 3.00%, 12/1/36, Pool #BE1896 | 416,348 | ||||||
540,006 | 3.00%, 12/1/36, Pool #AS8553 | 532,956 | ||||||
35,793 | 5.50%, 2/1/38, Pool #961545 | 38,579 | ||||||
18,982 | 6.00%, 3/1/38, Pool #889529 | 20,977 | ||||||
138,813 | 5.50%, 5/1/38, Pool #889692 | 150,149 | ||||||
59,994 | 6.00%, 5/1/38, Pool #889466 | 66,296 | ||||||
104,655 | 5.50%, 5/1/38, Pool #889441 | 113,043 | ||||||
94,039 | 5.50%, 6/1/38, Pool #995018 | 101,877 | ||||||
26,497 | 5.50%, 9/1/38, Pool #889995 | 28,649 | ||||||
63,950 | 6.00%, 10/1/38, Pool #889983 | 70,411 | ||||||
352,421 | 5.50%, 1/1/39, Pool #AB0200 | 380,913 | ||||||
142,075 | 4.50%, 4/1/39, Pool #930922 | 149,401 | ||||||
154,321 | 4.50%, 5/1/39, Pool #AL1472 | 162,283 | ||||||
1,482,078 | 5.00%, 6/1/39, Pool #AL7521 | 1,586,964 | ||||||
951,640 | 6.00%, 7/1/39, Pool #BF0056 | 1,030,085 | ||||||
68,282 | 5.50%, 10/1/39, Pool #AD0362 | 73,900 | ||||||
65,099 | 5.50%, 12/1/39, Pool #AD0571 | 70,486 | ||||||
469,409 | 5.50%, 12/1/39, Pool #AC6680 | 505,521 | ||||||
9,027,245 | 4.50%, 1/1/40, Pool #AC8568 | 9,513,396 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 55,747 | 5.50%, 3/1/40, Pool #AL5304 | $ | 61,005 | ||||
51,718 | 4.50%, 4/1/40, Pool #AD4038 | 54,412 | ||||||
431,885 | 6.00%, 4/1/40, Pool #AL4141 | 475,805 | ||||||
82,345 | 6.50%, 5/1/40, Pool #AL1704 | 91,653 | ||||||
209,755 | 4.00%, 7/1/40, Pool #AE0113 | 215,381 | ||||||
112,168 | 4.50%, 7/1/40, Pool #AB1226 | 118,013 | ||||||
152,898 | 4.50%, 7/1/40, Pool #AD7127 | 160,777 | ||||||
376,727 | 4.00%, 8/1/40, Pool #AE0216 | 386,922 | ||||||
5,554 | 4.00%, 8/1/40, Pool #AD9136 | 5,704 | ||||||
44,817 | 6.00%, 9/1/40, Pool #AE0823 | 49,241 | ||||||
1,015,678 | 4.00%, 10/1/40, Pool #AB1614 | 1,044,520 | ||||||
427,753 | 4.00%, 10/1/40, Pool #AE7535 | 439,319 | ||||||
66,802 | 4.00%, 11/1/40, Pool #AE8407 | 68,610 | ||||||
305,606 | 4.00%, 12/1/40, Pool #AH0946 | 313,871 | ||||||
46,016 | 4.00%, 12/1/40, Pool #AH0006 | 47,262 | ||||||
2,680,000 | Class CY, Series 2010-136, 4.00%, 12/25/40 | 2,766,226 | ||||||
85,902 | 4.00%, 1/1/41, Pool #AL7167 | 88,042 | ||||||
11,396,360 | Class ZA, Series 2011-8, 4.00%, 2/25/41, Callable 1/25/34 @ 100 | 11,620,882 | ||||||
681,860 | 4.00%, 4/1/41, Pool #AI1186 | 700,288 | ||||||
102,203 | 6.00%, 6/1/41, Pool #AL4142 | 112,714 | ||||||
62,038 | 4.50%, 7/1/41, Pool #AB3314 | 65,274 | ||||||
1,103,954 | 5.00%, 7/1/41, Pool #AL7524 | 1,184,025 | ||||||
809,647 | 4.00%, 9/1/41, Pool #AJ1541 | 831,577 | ||||||
66,397 | 4.00%, 9/1/41, Pool #AI5228 | 68,195 | ||||||
58,404 | 4.50%, 9/1/41, Pool #AI8961 | 61,450 | ||||||
1,277,699 | 5.50%, 9/1/41, Pool #AL8430 | 1,383,650 | ||||||
50,952 | 4.00%, 10/1/41, Pool #AC9312 | 52,332 | ||||||
3,561,264 | 4.00%, 11/1/41, Pool #AJ4701 | 3,661,485 | ||||||
176,976 | 4.00%, 12/1/41, Pool #AB4054 | 182,858 | ||||||
58,914 | 4.00%, 12/1/41, Pool #AJ7684 | 60,872 | ||||||
366,510 | 3.50%, 1/1/42, Pool #AW8154 | 367,991 | ||||||
1,573,855 | 4.00%, 1/1/42, Pool #AB4307 | 1,616,482 | ||||||
57,916 | 3.50%, 1/1/42, Pool #AK2073 | 58,122 | ||||||
191,727 | 4.00%, 2/1/42, Pool #AB4530 | 196,918 | ||||||
64,180 | 3.50%, 4/1/42, Pool #AK7510 | 64,100 | ||||||
177,305 | 3.50%, 4/1/42, Pool #AO0777 | 177,936 | ||||||
102,438 | 4.00%, 5/1/42, Pool #AT6144 | 105,842 | ||||||
102,417 | 4.00%, 5/1/42, Pool #A02114 | 105,191 | ||||||
318,760 | 4.00%, 5/1/42, Pool #AO2961 | 327,391 | ||||||
24,906 | 3.50%, 5/1/42, Pool #AO2881 | 24,871 | ||||||
28,774 | 3.50%, 6/1/42, Pool #AO3048 | 28,877 | ||||||
111,681 | 4.00%, 6/1/42, Pool #AL2003 | 114,700 | ||||||
49,908 | 3.50%, 6/1/42, Pool #AL2168 | 50,104 | ||||||
46,475 | 3.50%, 6/1/42, Pool #AK9225 | 46,640 | ||||||
53,477 | 3.50%, 6/1/42, Pool #AO3107 | 53,667 | ||||||
61,898 | 3.50%, 7/1/42, Pool #AO9707 | 62,118 | ||||||
3,911,751 | 4.00%, 7/1/42, Pool #AL2160 | 4,041,010 | ||||||
230,127 | 4.00%, 7/1/42, Pool #AL4244 | 237,772 | ||||||
80,790 | 4.00%, 7/1/42, Pool #AL2607 | 82,977 | ||||||
101,200 | 3.50%, 8/1/42, Pool #AO7152 | 101,560 | ||||||
1,279,804 | 4.00%, 8/1/42, Pool #AL2242 | 1,314,443 | ||||||
366,384 | 4.50%, 9/1/42, Pool #AL2482 | 385,259 | ||||||
112,733 | 4.00%, 9/1/42, Pool #AL2901 | 115,780 | ||||||
56,522 | 4.00%, 9/1/42, Pool #AX3706 | 58,052 | ||||||
67,638 | 3.50%, 10/1/42, Pool #AQ0393 | 68,044 |
Continued
19
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 152,363 | 3.00%, 10/1/42, Pool #AP9726 | $ | 149,040 | ||||
514,925 | 3.50%, 10/1/42, Pool #AB6512 | 515,999 | ||||||
221,135 | 3.00%, 12/1/42, Pool #AB7425 | 216,197 | ||||||
121,243 | 3.50%, 12/1/42, Pool #AQ7127 | 121,674 | ||||||
258,485 | 3.00%, 12/1/42, Pool #AB7271 | 252,707 | ||||||
495,285 | 3.50%, 12/1/42, Pool #AL8045 | 497,042 | ||||||
974,429 | 3.00%, 12/1/42, Pool #AB7269 | 952,673 | ||||||
283,480 | 4.00%, 12/1/42, Pool #AL6055 | 292,895 | ||||||
2,391,218 | 4.50%, 1/1/43, Pool #AL8206 | 2,515,666 | ||||||
352,579 | 3.00%, 1/1/43, Pool #AB7565 | 344,625 | ||||||
701,364 | 3.00%, 1/1/43, Pool #AB7567 | 685,712 | ||||||
438,366 | 3.00%, 1/1/43, Pool #AB7755 | 428,446 | ||||||
178,024 | 4.00%, 1/1/43, Pool #AL7369 | 182,841 | ||||||
639,349 | 3.00%, 1/1/43, Pool #AB7458 | 624,925 | ||||||
638,280 | 3.00%, 1/1/43, Pool #AB7497 | 623,731 | ||||||
237,737 | 3.00%, 2/1/43, Pool #AB8558 | 232,322 | ||||||
244,703 | 3.00%, 2/1/43, Pool #AB7762 | 239,154 | ||||||
278,972 | 3.50%, 2/1/43, Pool #AL2935 | 279,958 | ||||||
116,067 | 3.00%, 3/1/43, Pool #AR7576 | 113,393 | ||||||
730,175 | 3.50%, 3/1/43, Pool #AL3409 | 731,848 | ||||||
278,744 | 4.00%, 3/1/43, Pool #AL3300 | 286,619 | ||||||
55,045 | 3.50%, 3/1/43, Pool #AR9203 | 55,180 | ||||||
102,374 | 3.00%, 3/1/43, Pool #AR7568 | 100,015 | ||||||
17,963 | 3.50%, 3/1/43, Pool #AR6909 | 17,995 | ||||||
23,833 | 3.50%, 3/1/43, Pool #AT0310 | 23,909 | ||||||
450,040 | 3.00%, 3/1/43, Pool #AB8701 | 439,783 | ||||||
155,869 | 3.00%, 3/1/43, Pool #AB8830 | 152,337 | ||||||
37,227 | 3.50%, 3/1/43, Pool #AR8128 | 37,279 | ||||||
161,142 | 3.00%, 3/1/43, Pool #AR9218 | 157,420 | ||||||
471,196 | 3.00%, 3/1/43, Pool #AR9194 | 460,624 | ||||||
62,081 | 3.00%, 3/1/43, Pool #AB8712 | 60,666 | ||||||
426,816 | 3.00%, 4/1/43, Pool #AB9016 | 417,038 | ||||||
174,620 | 3.00%, 4/1/43, Pool #AR8630 | 170,595 | ||||||
113,690 | 3.00%, 4/1/43, Pool #AB8924 | 111,064 | ||||||
125,097 | 3.00%, 4/1/43, Pool #AB8923 | 122,215 | ||||||
124,615 | 3.00%, 4/1/43, Pool #AT2043 | 121,734 | ||||||
68,544 | 3.00%, 4/1/43, Pool #AT2037 | 66,966 | ||||||
217,416 | 3.00%, 4/1/43, Pool #AT2040 | 212,384 | ||||||
25,226 | 3.50%, 4/1/43, Pool #AT3019 | 25,293 | ||||||
59,493 | 3.00%, 4/1/43, Pool #AB9033 | 58,130 | ||||||
457,846 | 3.00%, 5/1/43, Pool #AT2719 | 447,413 | ||||||
171,190 | 3.00%, 5/1/43, Pool #AL3759 | 167,348 | ||||||
171,728 | 3.00%, 5/1/43, Pool #AT6654 | 167,833 | ||||||
113,665 | 3.50%, 5/1/43, Pool #AB9255 | 113,863 | ||||||
314,018 | 3.00%, 5/1/43, Pool #AB9173 | 306,824 | ||||||
42,816 | 3.50%, 5/1/43, Pool #MA1440 | 42,875 | ||||||
222,329 | 3.00%, 5/1/43, Pool #AB9462 | 217,669 | ||||||
27,520 | 3.50%, 6/1/43, Pool #AB9567 | 27,558 | ||||||
16,288 | 3.00%, 6/1/43, Pool #AB9564 | 15,915 | ||||||
253,540 | 3.00%, 6/1/43, Pool #AB9662 | 247,734 | ||||||
89,843 | 3.00%, 6/1/43, Pool #AT7676 | 87,819 | ||||||
472,604 | 3.50%, 7/1/43, Pool #AT9667 | 473,253 | ||||||
206,778 | 3.50%, 7/1/43, Pool #AR7145 | 207,065 | ||||||
235,049 | 3.50%, 7/1/43, Pool #AT8464 | 235,976 | ||||||
73,621 | 3.50%, 7/1/43, Pool #AT3906 | 73,723 | ||||||
629,792 | 3.50%, 7/1/43, Pool #AT7940 | 633,578 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 694,074 | 3.00%, 7/1/43, Pool #AL5778 | $ | 678,044 | ||||
3,097,884 | 3.00%, 7/1/43, Pool #AB9940 | 3,027,966 | ||||||
509,418 | 3.50%, 7/1/43, Pool #AL4010 | 510,577 | ||||||
713,212 | 3.50%, 7/1/43, Pool #AU0918 | 716,024 | ||||||
220,186 | 3.50%, 7/1/43, Pool #AT4327 | 221,515 | ||||||
579,957 | 3.50%, 8/1/43, Pool #AS0209 | 580,758 | ||||||
569,339 | 3.00%, 8/1/43, Pool #AS0331 | 556,237 | ||||||
130,231 | 3.50%, 8/1/43, Pool #AU0570 | 130,412 | ||||||
15,059 | 3.50%, 8/1/43, Pool #AU3032 | 15,118 | ||||||
59,050 | 3.50%, 8/1/43, Pool #AU3270 | 59,143 | ||||||
127,297 | 3.50%, 8/1/43, Pool #AU0613 | 127,473 | ||||||
16,828 | 3.50%, 8/1/43, Pool #AT7333 | 16,895 | ||||||
65,979 | 3.50%, 8/1/43, Pool #AU3267 | 66,377 | ||||||
22,269 | 3.50%, 9/1/43, Pool #AT7267 | 22,357 | ||||||
132,336 | 4.00%, 10/1/43, Pool #AL7577 | 135,915 | ||||||
24,838 | 3.50%, 10/1/43, Pool #AU7247 | 24,988 | ||||||
1,938,372 | 4.00%, 10/1/43, Pool #BM1502 | 1,990,764 | ||||||
1,260,096 | 3.50%, 11/1/43, Pool #AL9745 | 1,264,573 | ||||||
1,591,002 | 5.00%, 12/1/43, Pool #AL7777 | 1,702,914 | ||||||
633,275 | 3.50%, 12/1/43, Pool #AL4682 | 637,087 | ||||||
111,477 | 3.50%, 1/1/44, Pool #AS1539 | 111,917 | ||||||
65,920 | 3.50%, 1/1/44, Pool #AS1453 | 66,318 | ||||||
846,690 | 3.50%, 1/1/44, Pool #AL9422 | 851,796 | ||||||
463,259 | 3.50%, 1/1/44, Pool #AL4750 | 466,048 | ||||||
116,884 | 3.50%, 1/1/44, Pool #AS1703 | 117,344 | ||||||
142,310 | 4.00%, 3/1/44, Pool #AV6577 | 146,467 | ||||||
4,177,400 | 4.50%, 4/1/44, Pool #AL6887 | 4,393,413 | ||||||
1,039,656 | 3.50%, 5/1/44, Pool #AL5554 | 1,045,922 | ||||||
26,387 | 3.50%, 6/1/44, Pool #AW6405 | 26,405 | ||||||
5,467,955 | 3.50%, 6/1/44, Pool #AL9405 | 5,487,370 | ||||||
15,239 | 3.50%, 6/1/44, Pool #AS2591 | 15,300 | ||||||
26,856 | 4.00%, 7/1/44, Pool #AW7055 | 27,513 | ||||||
1,841,320 | 4.00%, 8/1/44, Pool #AL5601 | 1,902,065 | ||||||
1,080,665 | 4.00%, 8/1/44, Pool #890629 | 1,116,578 | ||||||
872,170 | 5.00%, 11/1/44, Pool #AL8878 | 935,629 | ||||||
17,722 | 4.00%, 12/1/44, Pool #AX6255 | 18,311 | ||||||
17,773 | 4.00%, 12/1/44, Pool #AY0299 | 18,364 | ||||||
228,098 | 4.00%, 12/1/44, Pool #AX9372 | 235,220 | ||||||
205,143 | 4.00%, 1/1/45, Pool #AY0367 | 211,549 | ||||||
70,359 | 4.00%, 1/1/45, Pool #AX8713 | 72,554 | ||||||
761,201 | 4.00%, 1/1/45, Pool #AS4083 | 784,967 | ||||||
198,277 | 4.00%, 2/1/45, Pool #AS4308 | 204,069 | ||||||
131,723 | 4.00%, 2/1/45, Pool #AY2693 | 135,051 | ||||||
543,199 | 3.50%, 2/1/45, Pool #BM1100 | 544,039 | ||||||
31,393 | 4.00%, 2/1/45, Pool #AY1866 | 32,435 | ||||||
866,906 | 4.00%, 5/1/45, Pool #AS5017 | 895,716 | ||||||
31,782 | 4.00%, 5/1/45, Pool #AY8218 | 32,508 | ||||||
70,964 | 4.00%, 5/1/45, Pool #AY9770 | 73,322 | ||||||
478,251 | 5.00%, 6/1/45, Pool #BM3784 | 508,571 | ||||||
509,763 | 3.50%, 7/1/45, Pool #AS5459 | 512,448 | ||||||
1,352,428 | 3.50%, 7/1/45, Pool #AS5453 | 1,351,439 | ||||||
68,790 | 3.50%, 8/1/45, Pool #AS5640 | 68,733 | ||||||
271,690 | 4.50%, 9/1/45, Pool #AL7936 | 286,494 | ||||||
156,414 | 4.00%, 10/1/45, Pool #AL7443 | 161,298 | ||||||
111,929 | 4.00%, 10/1/45, Pool #AL7442 | 115,573 | ||||||
644,541 | 3.50%, 10/1/45, Pool #MA2414 | 643,439 |
Continued
20
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 49,487 | 4.00%, 10/1/45, Pool #AZ9243 | $ | 51,084 | ||||
544,118 | 4.00%, 10/1/45, Pool #AS5949 | 561,108 | ||||||
51,307 | 4.00%, 10/1/45, Pool #BA2879 | 52,545 | ||||||
52,322 | 4.00%, 10/1/45, Pool #BA2878 | 53,827 | ||||||
57,608 | 4.00%, 10/1/45, Pool #BA2877 | 59,040 | ||||||
51,595 | 4.00%, 10/1/45, Pool #AZ9244 | 53,121 | ||||||
18,194 | 4.50%, 11/1/45, Pool #AS6233 | 19,097 | ||||||
248,085 | 4.00%, 11/1/45, Pool #BA2905 | 255,219 | ||||||
161,692 | 4.00%, 11/1/45, Pool #BA2904 | 166,844 | ||||||
112,881 | 3.50%, 11/1/45, Pool #AS6195 | 113,390 | ||||||
132,239 | 4.50%, 11/1/45, Pool #AL9501 | 139,381 | ||||||
1,889,461 | 3.50%, 11/1/45, Pool #BM1124 | 1,896,148 | ||||||
168,161 | 4.00%, 12/1/45, Pool #BA4737 | 172,851 | ||||||
137,695 | 4.00%, 12/1/45, Pool #BA4736 | 141,869 | ||||||
442,138 | 4.50%, 12/1/45, Pool #BM1756 | 463,421 | ||||||
74,831 | 4.00%, 12/1/45, Pool #BA2924 | 76,513 | ||||||
520,904 | 4.00%, 12/1/45, Pool #AS6347 | 535,065 | ||||||
475,352 | 3.50%, 12/1/45, Pool #AL9635 | 478,099 | ||||||
187,616 | 4.00%, 1/1/46, Pool #BA4781 | 193,122 | ||||||
328,535 | 4.00%, 2/1/46, Pool #AS6662 | 337,245 | ||||||
614,996 | 3.50%, 3/1/46, Pool #AS6823 | 614,310 | ||||||
231,438 | 3.50%, 4/1/46, Pool #AL8521 | 231,975 | ||||||
6,955,135 | 3.50%, 4/1/46, Pool #BC5981 | 6,967,488 | ||||||
584,894 | 3.50%, 4/1/46, Pool #AS7015 | 583,894 | ||||||
386,772 | 3.50%, 5/1/46, Pool #AL8570 | 386,273 | ||||||
2,108,010 | 4.00%, 6/1/46, Pool #AL9093 | 2,161,331 | ||||||
76,108 | 3.50%, 6/1/46, Pool #BC1154 | 76,332 | ||||||
35,168 | 4.00%, 6/1/46, Pool #BD0734 | 36,002 | ||||||
1,629,989 | 3.50%, 6/1/46, Pool #AS7353 | 1,627,455 | ||||||
2,028,151 | 3.50%, 6/1/46, Pool #AS7383 | 2,025,176 | ||||||
31,549 | 3.00%, 6/1/46, Pool #AS7365 | 30,652 | ||||||
146,750 | 3.00%, 6/1/46, Pool #AS7370 | 143,058 | ||||||
266,825 | 3.00%, 6/1/46, Pool #AS7362 | 259,862 | ||||||
3,809,484 | 3.00%, 7/1/46, Pool #BC1450 | 3,701,165 | ||||||
1,092,609 | 4.50%, 7/1/46, Pool #BM1920 | 1,152,115 | ||||||
4,321,626 | 3.50%, 7/1/46, Pool #BA7748 | 4,314,240 | ||||||
5,586,615 | 4.00%, 7/1/46, Pool #AL8857 | 5,731,066 | ||||||
745,793 | 4.50%, 7/1/46, Pool #BM3053 | 788,444 | ||||||
43,696 | 3.00%, 8/1/46, Pool #AL9031 | 42,597 | ||||||
876,323 | 3.50%, 8/1/46, Pool #AL8952 | 875,037 | ||||||
57,080 | 4.00%, 8/1/46, Pool #BD4900 | 58,754 | ||||||
3,974,248 | 3.00%, 8/1/46, Pool #BC1486 | 3,861,243 | ||||||
31,456 | 4.00%, 8/1/46, Pool #AW7541 | 32,185 | ||||||
38,550 | 4.00%, 8/1/46, Pool #BD3933 | 39,686 | ||||||
1,514,221 | Class UF, Series 2016-48, 2.49% (US0001M+40bps), 8/25/46 | 1,524,331 | ||||||
2,837,087 | 3.00%, 9/1/46, Pool #BD1469 | 2,758,980 | ||||||
216,457 | 3.00%, 9/1/46, Pool #AS7889 | 211,010 | ||||||
410,938 | 3.00%, 9/1/46, Pool #AS7878 | 400,190 | ||||||
308,790 | 3.00%, 9/1/46, Pool #AL9045 | 300,611 | ||||||
37,730 | 4.00%, 9/1/46, Pool #BD7826 | 38,837 | ||||||
880,515 | 3.00%, 9/1/46, Pool #AL9214 | 855,438 | ||||||
824,460 | 3.50%, 9/1/46, Pool #AL9511 | 824,098 | ||||||
3,276,072 | 3.00%, 9/1/46, Pool #AS7847 | 3,182,764 | ||||||
20,749 | 3.50%, 9/1/46, Pool #BE0547 | 20,668 | ||||||
129,944 | 4.00%, 9/1/46, Pool #BD1481 | 133,732 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 880,892 | 3.00%, 10/1/46, Pool #AL9215 | $ | 856,487 | ||||
5,229,014 | 3.00%, 10/1/46, Pool #BD3309 | 5,086,101 | ||||||
1,138,279 | 3.00%, 10/1/46, Pool #BD8925 | 1,106,840 | ||||||
686,273 | 3.00%, 10/1/46, Pool #AL9266 | 666,728 | ||||||
320,420 | 3.00%, 11/1/46, Pool #AL9481 | 312,019 | ||||||
1,942,366 | 4.00%, 11/1/46, Pool #AS8379 | 1,999,661 | ||||||
7,517,904 | 4.00%, 11/1/46, Pool #AS8374 | 7,717,947 | ||||||
453,032 | 3.00%, 11/1/46, Pool #BD9645 | 440,151 | ||||||
5,569,561 | 3.50%, 11/1/46, Pool #AL9424 | 5,560,903 | ||||||
352,877 | 3.00%, 11/1/46, Pool #BD9641 | 343,670 | ||||||
1,297,186 | 3.50%, 11/1/46, Pool #BD8970 | 1,294,848 | ||||||
908,157 | 3.00%, 11/1/46, Pool #BD9644 | 882,976 | ||||||
382,637 | 3.00%, 11/1/46, Pool #BD9643 | 372,004 | ||||||
34,125 | 3.50%, 11/1/46, Pool #BC7299 | 34,072 | ||||||
58,165 | 3.50%, 11/1/46, Pool #BE1932 | 57,993 | ||||||
1,006,234 | 3.00%, 11/1/46, Pool #AL9325 | 978,314 | ||||||
376,677 | 4.00%, 11/1/46, Pool #BC9012 | 387,724 | ||||||
121,152 | 3.50%, 11/1/46, Pool #BD8477 | 120,830 | ||||||
590,973 | 3.50%, 11/1/46, Pool #BM1938 | 591,703 | ||||||
833,483 | 3.00%, 11/1/46, Pool #BD8962 | 810,463 | ||||||
775,425 | 3.50%, 11/1/46, Pool #AS8371 | 777,463 | ||||||
76,578 | 4.00%, 12/1/46, Pool #BD9583 | 78,737 | ||||||
1,531,864 | 3.50%, 12/1/46, Pool #AS8493 | 1,531,143 | ||||||
1,835,821 | 4.00%, 12/1/46, Pool #AS8499 | 1,887,588 | ||||||
1,930,570 | 3.00%, 12/1/46, Pool #AS8486 | 1,877,251 | ||||||
53,823 | 4.00%, 12/1/46, Pool #BE2862 | 55,318 | ||||||
36,952 | 4.00%, 12/1/46, Pool #BE3141 | 37,994 | ||||||
765,726 | 3.50%, 12/1/46, Pool #BC9084 | 766,671 | ||||||
136,209 | 3.50%, 12/1/46, Pool #AL9593 | 136,103 | ||||||
44,446 | 4.00%, 1/1/47, Pool #BE5312 | 45,568 | ||||||
140,835 | 3.50%, 1/1/47, Pool #BE4913 | 140,460 | ||||||
219,322 | 3.00%, 1/1/47, Pool #AS8589 | 213,548 | ||||||
2,294,085 | 3.50%, 1/1/47, Pool #AL9725 | 2,300,116 | ||||||
343,793 | 3.50%, 1/1/47, Pool #AL9774 | 344,697 | ||||||
898,649 | 3.50%, 1/1/47, Pool #AS8653 | 901,011 | ||||||
528,006 | 4.00%, 1/1/47, Pool #BD2439 | 543,675 | ||||||
275,652 | 3.50%, 1/1/47, Pool #BD8531 | 275,437 | ||||||
1,597,797 | 4.00%, 1/1/47, Pool #AS8657 | 1,642,853 | ||||||
114,660 | 3.00%, 2/1/47, Pool #BD5056 | 111,643 | ||||||
1,146,648 | 3.50%, 2/1/47, Pool #BM3792 | �� | 1,147,366 | |||||
374,578 | 3.50%, 2/1/47, Pool #BE3188 | 375,040 | ||||||
422,559 | 3.00%, 2/1/47, Pool #BD5049 | 410,815 | ||||||
3,621,221 | 4.00%, 3/1/47, Pool #BM1155 | 3,715,049 | ||||||
905,773 | 3.00%, 3/1/47, Pool #AS8925 | 880,570 | ||||||
767,992 | 3.00%, 3/1/47, Pool #AS8936 | 746,058 | ||||||
1,042,638 | 4.00%, 5/1/47, Pool #BH0398 | 1,064,869 | ||||||
216,056 | 3.50%, 5/1/47, Pool #BM1937 | 216,624 | ||||||
834,650 | 3.50%, 5/1/47, Pool #BM1174 | 833,999 | ||||||
716,816 | 3.50%, 6/1/47, Pool #BM1902 | 715,783 | ||||||
879,991 | 4.00%, 7/1/47, Pool #BH3401 | 898,772 | ||||||
511,915 | 3.50%, 7/1/47, Pool #BM1571 | 511,674 | ||||||
5,718,000 | 4.50%, 7/25/47, TBA | 5,953,917 | ||||||
989,656 | 4.00%, 8/1/47, Pool #BM1619 | 1,014,160 | ||||||
293,883 | 3.50%, 9/1/47, Pool #BM1822 | 294,246 | ||||||
118,829 | 3.50%, 9/1/47, Pool #BH8295 | 118,441 | ||||||
656,150 | 3.50%, 10/1/47, Pool #BM1952 | 656,960 |
Continued
21
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 491,064 | 4.50%, 10/1/47, Pool #BM3052 | $ | 518,608 | ||||
118,873 | 3.50%, 11/1/47, Pool #CA0681 | 119,019 | ||||||
739,922 | 3.50%, 11/1/47, Pool #CA0689 | 741,868 | ||||||
59,936 | 3.50%, 12/1/47, Pool #BM3327 | 60,010 | ||||||
623,326 | 4.50%, 12/1/47, Pool #BH7067 | 654,880 | ||||||
3,983,885 | 3.50%, 12/1/47, Pool #BH7060 | 3,980,778 | ||||||
603,144 | 4.00%, 12/1/47, Pool #BM3261 | 620,600 | ||||||
911,896 | 3.50%, 12/1/47, Pool #BM3282 | 914,294 | ||||||
799,820 | 3.50%, 12/1/47, Pool #BM3326 | 801,923 | ||||||
85,327 | 3.50%, 1/1/48, Pool #BJ8126 | 85,287 | ||||||
61,028 | 3.50%, 1/1/48, Pool #BJ8650 | 61,104 | ||||||
165,716 | 3.50%, 1/1/48, Pool #BJ8120 | 166,152 | ||||||
1,449,839 | 3.50%, 1/1/48, Pool #CA0993 | 1,447,533 | ||||||
1,623,259 | 3.50%, 1/1/48, Pool #CA1058 | 1,625,139 | ||||||
307,201 | 3.50%, 1/1/48, Pool #BJ5879 | 307,580 | ||||||
1,277,683 | 4.00%, 2/1/48, Pool #CA1199 | 1,307,549 | ||||||
1,859,710 | 4.00%, 2/1/48, Pool #CA1255 | 1,903,181 | ||||||
300,631 | 4.00%, 2/1/48, Pool #BJ9057 | 307,604 | ||||||
273,696 | 4.00%, 2/1/48, Pool #BJ9058 | 280,310 | ||||||
1,964,325 | 4.00%, 3/1/48, Pool #CA1372 | 2,023,619 | ||||||
802,763 | 4.00%, 4/1/48, Pool #CA1549 | 826,995 | ||||||
6,205,317 | 4.00%, 4/1/48, Pool #CA1545 | 6,350,373 | ||||||
4,168,514 | 4.00%, 4/1/48, Pool #CA1541 | 4,278,861 | ||||||
231,033 | 4.00%, 4/1/48, Pool #BM3763 | 237,650 | ||||||
208,703 | 4.00%, 4/1/48, Pool #BM3762 | 215,003 | ||||||
2,900,000 | 2.50%, 7/25/48, TBA | 2,715,578 | ||||||
4,523,000 | 6.00%, 7/25/48, TBA | 4,947,031 | ||||||
18,306,832 | 3.00%, 7/25/48, TBA | 17,734,026 | ||||||
3,414,000 | 5.00%, 7/25/48, TBA | 3,616,487 | ||||||
2,103,112 | 3.50%, 7/25/48, TBA | 2,093,219 | ||||||
|
| |||||||
349,611,697 | ||||||||
|
| |||||||
Government National Mortgage Association (8.7%) | ||||||||
25,003 | 4.50%, 9/15/33, Pool #615516 | 26,228 | ||||||
87,623 | 5.00%, 12/15/33, Pool #783571 | 93,369 | ||||||
24,953 | 6.50%, 8/20/38, Pool #4223 | 27,808 | ||||||
26,639 | 6.50%, 10/15/38, Pool #673213 | 30,275 | ||||||
13,837 | 6.50%, 11/20/38, Pool #4292 | 15,508 | ||||||
27,511 | 6.50%, 12/15/38, Pool #782510 | 30,701 | ||||||
287,759 | 5.00%, 1/15/39, Pool #782557 | 306,628 | ||||||
121,530 | 5.00%, 4/15/39, Pool #711939 | 129,578 | ||||||
195,072 | 5.00%, 4/15/39, Pool #782619 | 207,873 | ||||||
22,284 | 4.00%, 4/20/39, Pool #4422 | 23,043 | ||||||
18,999 | 5.00%, 6/15/39, Pool #782696 | 20,250 | ||||||
78,348 | 4.00%, 7/20/39, Pool #4494 | 81,022 | ||||||
126,803 | 5.00%, 10/20/39, Pool #4559 | 136,113 | ||||||
14,580 | 4.50%, 12/20/39, Pool #G24598 | 15,323 | ||||||
39,847 | 4.50%, 1/15/40, Pool #728627 | 42,145 | ||||||
18,276 | 4.50%, 1/20/40, Pool #4617 | 19,207 | ||||||
14,329 | 4.50%, 2/20/40, Pool #G24636 | 15,060 | ||||||
102,413 | 5.00%, 5/15/40, Pool #782958 | 109,164 | ||||||
995 | 4.50%, 5/20/40, Pool #G24696 | 1,046 | ||||||
85,025 | 5.00%, 6/15/40, Pool #697862 | 90,524 | ||||||
834,683 | 4.50%, 7/15/40, Pool #733795 | 882,689 | ||||||
88,914 | 4.50%, 7/15/40, Pool #745793 | 94,008 | ||||||
37,257 | 4.50%, 7/20/40, Pool #4746 | 39,158 | ||||||
71,843 | 4.50%, 8/20/40, Pool #4771 | 75,508 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 33,949 | 4.50%, 9/20/40, Pool #748948 | $ | 35,732 | ||||
21,280 | 4.00%, 9/20/40, Pool #G24800 | 22,007 | ||||||
169,774 | 4.50%, 10/15/40, Pool #783609 | 179,538 | ||||||
539,767 | 4.00%, 10/20/40, Pool #G24833 | 558,188 | ||||||
63,315 | 4.50%, 10/20/40, Pool #4834 | 66,548 | ||||||
1,009,864 | 4.00%, 11/20/40, Pool #4853 | 1,044,304 | ||||||
488,752 | 4.00%, 12/20/40, Pool #G24882 | 505,418 | ||||||
215,016 | 4.00%, 1/15/41, Pool #759138 | 221,438 | ||||||
430,585 | 4.00%, 1/20/41, Pool #4922 | 445,282 | ||||||
59,664 | 4.50%, 2/15/41, Pool #738019 | 62,794 | ||||||
7,381 | 4.00%, 2/20/41, Pool #4945 | 7,633 | ||||||
1,432,197 | 4.00%, 2/20/41, Pool #742887 | 1,474,815 | ||||||
150,635 | 4.00%, 3/15/41, Pool #762838 | 155,171 | ||||||
10,104 | 5.00%, 4/20/41, Pool #5018 | 10,809 | ||||||
21,680 | 5.00%, 6/20/41, Pool #5083 | 23,196 | ||||||
168,104 | 4.50%, 6/20/41, Pool #783590 | 176,745 | ||||||
80,508 | 4.50%, 7/20/41, Pool #754367 | 83,802 | ||||||
752,821 | 4.00%, 7/20/41, Pool #742895 | 773,712 | ||||||
114,868 | 4.50%, 7/20/41, Pool #783584 | 120,802 | ||||||
11,343 | 5.00%, 7/20/41, Pool #5116 | 12,133 | ||||||
387,132 | 4.50%, 7/20/41, Pool #5115 | 407,130 | ||||||
121,748 | 4.50%, 11/15/41, Pool #783610 | 128,791 | ||||||
52,241 | 4.50%, 11/20/41, Pool #5234 | 54,966 | ||||||
677,699 | 3.50%, 12/20/41, Pool #5258 | 685,767 | ||||||
353,075 | 3.50%, 1/15/42, Pool #553461 | 355,926 | ||||||
456,083 | 4.00%, 4/20/42, Pool #MA0023 | 471,643 | ||||||
184,248 | 5.00%, 7/20/42, Pool #MA0223 | 196,420 | ||||||
490,493 | 3.50%, 8/20/42, Pool #MA0318 | 496,333 | ||||||
69,093 | 3.50%, 9/20/42, Pool #MA0392 | 69,916 | ||||||
115,659 | 3.50%, 10/20/42, Pool #MA0462 | 117,036 | ||||||
18,618 | 3.50%, 11/20/42, Pool #MA0534 | 18,839 | ||||||
95,165 | 3.50%, 12/20/42, Pool #MA0625 | 96,298 | ||||||
4,410,440 | 3.50%, 1/20/43, Pool #MA0699 | 4,462,982 | ||||||
94,872 | 3.50%, 3/20/43, Pool #MA0852 | 96,002 | ||||||
536,056 | 3.50%, 4/15/43, Pool #AD2334 | 539,034 | ||||||
852,099 | 3.50%, 4/20/43, Pool #MA0934 | 862,245 | ||||||
472,876 | 3.50%, 5/20/43, Pool #MA1012 | 478,506 | ||||||
40,172 | 4.00%, 7/20/43, Pool #MA1158 | 41,522 | ||||||
1,780,771 | 4.50%, 6/20/44, Pool #MA1997 | 1,879,951 | ||||||
1,563,689 | 4.00%, 8/20/44, Pool #MA2149 | 1,615,041 | ||||||
40,924 | 4.00%, 8/20/44, Pool #AI4167 | 42,168 | ||||||
37,292 | 4.00%, 8/20/44, Pool #AJ2723 | 38,791 | ||||||
22,185 | 4.00%, 8/20/44, Pool #AJ4687 | 22,890 | ||||||
15,336 | 4.00%, 8/20/44, Pool #AI4166 | 15,815 | ||||||
799,311 | 5.00%, 12/20/44, Pool #MA2448 | 851,299 | ||||||
93,629 | 3.00%, 12/20/44, Pool #MA2444 | 92,315 | ||||||
1,495,772 | Class ZD, Series 2015-3, 4.00%, 1/20/45 | 1,564,477 | ||||||
776,153 | 3.00%, 2/15/45, Pool #784439 | 762,362 | ||||||
4,311,671 | 3.50%, 4/20/45, Pool #MA2754 | 4,339,104 | ||||||
1,787,315 | 3.00%, 4/20/45, Pool #MA2753 | 1,765,576 | ||||||
5,182,889 | 3.50%, 5/20/45, Pool #MA2826 | 5,215,866 | ||||||
95,637 | 3.00%, 6/20/45, Pool #MA2891 | 94,103 | ||||||
284,441 | 3.00%, 7/20/45, Pool #MA2960 | 279,879 | ||||||
93,583 | 3.00%, 8/20/45, Pool #MA3033 | 92,198 | ||||||
577,058 | 3.00%, 10/20/45, Pool #MA3172 | 567,803 | ||||||
453,380 | 5.00%, 12/20/45, Pool #MA3313 | 482,822 |
Continued
22
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 15,414,224 | 3.50%, 3/20/46, Pool #MA3521 | $ | 15,507,556 | ||||
10,596,920 | 3.00%, 4/20/46, Pool #MA3596 | 10,428,054 | ||||||
16,044,727 | 3.50%, 4/20/46, Pool #MA3597 | 16,136,932 | ||||||
5,107,861 | 3.50%, 5/20/46, Pool #MA3663 | 5,136,428 | ||||||
74,370 | 3.00%, 5/20/46, Pool #MA3662 | 73,143 | ||||||
10,687,438 | 3.50%, 6/20/46, Pool #MA3736 | 10,743,916 | ||||||
1,692,901 | 3.00%, 6/20/46, Pool #MA3735 | 1,661,870 | ||||||
1,760,061 | 3.50%, 7/20/46, Pool #MA3803 | 1,769,091 | ||||||
3,327,918 | 3.00%, 7/20/46, Pool #MA3802 | 3,266,995 | ||||||
15,526,445 | 3.00%, 8/20/46, Pool #MA3873 | 15,242,207 | ||||||
6,826,235 | 3.00%, 9/20/46, Pool #MA3936 | 6,703,522 | ||||||
337,978 | 3.50%, 9/20/46, Pool #MA3937 | 339,661 | ||||||
176,428 | 3.50%, 10/20/46, Pool #AX4342 | 177,511 | ||||||
183,753 | 3.50%, 10/20/46, Pool #AX4341 | 185,035 | ||||||
40,166 | 4.00%, 10/20/46, Pool #AQ0542 | 41,168 | ||||||
375,789 | 3.50%, 10/20/46, Pool #AX4345 | 377,749 | ||||||
422,919 | 3.50%, 10/20/46, Pool #AX4344 | 425,145 | ||||||
149,724 | 3.50%, 10/20/46, Pool #AX4343 | 150,556 | ||||||
178,721 | 3.00%, 11/20/46, Pool #MA4068 | 175,298 | ||||||
514,444 | 3.00%, 12/20/46, Pool #MA4126 | 504,443 | ||||||
325,891 | 3.00%, 1/20/47, Pool #MA4195 | 319,513 | ||||||
735,154 | 3.00%, 3/20/47, Pool #MA4320 | 721,128 | ||||||
460,042 | 3.00%, 4/20/47, Pool #MA4381 | 450,923 | ||||||
46,517 | 3.00%, 6/20/47, Pool #MA4509 | 45,583 | ||||||
314,855 | 3.00%, 7/20/47, Pool #MA4585 | 308,448 | ||||||
24,660 | 4.00%, 9/15/47, Pool #BC5919 | 25,436 | ||||||
31,677 | 4.00%, 10/15/47, Pool #BE1031 | 32,675 | ||||||
35,586 | 4.00%, 10/15/47, Pool #BD3187 | 36,707 | ||||||
24,748 | 4.00%, 11/15/47, Pool #BE1030 | 25,528 | ||||||
37,669 | 4.00%, 12/15/47, Pool #BE4664 | 38,859 | ||||||
42,695 | 4.00%, 1/15/48, Pool #BE0143 | 44,044 | ||||||
26,854 | 4.00%, 1/15/48, Pool #BE0204 | 27,704 | ||||||
1,000,000 | 5.00%, 7/15/48, TBA | 1,044,545 | ||||||
2,800,000 | 4.50%, 7/15/48, TBA | 2,910,274 | ||||||
33,182,000 | 4.00%, 7/20/48, TBA | 34,008,957 | ||||||
|
| |||||||
166,880,715 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $703,172,180) | 691,143,433 | |||||||
|
| |||||||
U.S. Treasury Obligations (25.8%): | ||||||||
U.S. Treasury Bonds (6.4%) | ||||||||
4,105,000 | 5.38%, 2/15/31^ | 5,186,732 | ||||||
20,525,000 | 4.75%, 2/15/37^ | 26,013,032 | ||||||
31,340,000 | 3.13%, 11/15/41^(c) | 32,205,523 | ||||||
11,080,000 | 3.63%, 8/15/43 | 12,350,738 | ||||||
1,205,000 | 3.13%, 8/15/44 | 1,237,337 | ||||||
15,000 | 2.50%, 2/15/45^ | 13,676 | ||||||
955,000 | 3.00%, 5/15/45 | 958,693 | ||||||
1,770,000 | 2.88%, 8/15/45 | 1,734,669 | ||||||
7,293,000 | 3.00%, 2/15/47 | 7,319,209 | ||||||
38,900,000 | 3.13%, 5/15/48^ | 39,980,387 | ||||||
|
| |||||||
126,999,996 | ||||||||
|
| |||||||
U.S. Treasury Notes (19.4%) | ||||||||
14,675,000 | 2.25%, 3/31/20^ | 14,608,504 | ||||||
2,645,000 | 2.00%, 9/30/20(c) | 2,612,144 | ||||||
88,565,000 | 1.88%, 12/15/20^ | 87,077,385 | ||||||
25,615,000 | 1.38%, 5/31/21^ | 24,719,476 |
Shares or Principal | Fair Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Notes, continued | ||||||||
$ | 2,975,000 | 2.00%, 12/31/21 | $ | 2,908,992 | ||||
42,911,000 | 1.75%, 6/30/22^ | 41,372,238 | ||||||
2,275,000 | 1.88%, 7/31/22 | 2,202,396 | ||||||
31,805,000 | 2.63%, 2/28/23 | 31,677,034 | ||||||
2,035,000 | 2.75%, 4/30/23 | 2,036,987 | ||||||
9,345,000 | 2.75%, 5/31/23 | 9,356,681 | ||||||
6,990,000 | 2.63%, 6/30/23 | 6,955,869 | ||||||
21,290,000 | 2.13%, 7/31/24 | 20,492,457 | ||||||
32,537,000 | 2.13%, 9/30/24 | 31,278,733 | ||||||
21,295,000 | 2.63%, 3/31/25 | 21,052,104 | ||||||
46,000 | 2.00%, 11/15/26 | 43,109 | ||||||
35,766,000 | 2.38%, 5/15/27^ | 34,442,937 | ||||||
26,435,000 | 2.25%, 8/15/27^ | 25,159,718 | ||||||
20,810,000 | 2.25%, 11/15/27^ | 19,781,693 | ||||||
18,085,000 | 2.88%, 5/15/28^ | 18,121,029 | ||||||
|
| |||||||
395,899,486 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $532,820,268) | 522,899,482 | |||||||
|
| |||||||
Commercial Paper (3.4%): | ||||||||
15,250,000 | BAT International Finance plc, 2.55% | 15,169,417 | ||||||
31,600,000 | Bell Canada, 2.46% | 31,441,012 | ||||||
21,695,000 | Suncor Energy, Inc., 2.54% | 21,583,646 | ||||||
|
| |||||||
Total Commercial Paper (Cost $68,183,737) | 68,194,075 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (17.3%): | ||||||||
350,042,408 | AZL Enhanced Bond Index Fund Securities Lending Collateral Account(d) | 350,042,408 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 350,042,408 | ||||||
|
| |||||||
Unaffiliated Investment Company (1.1%): | ||||||||
21,155,335 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(e) | $ | 21,155,335 | |||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $21,155,335) | 21,155,335 | |||||||
|
| |||||||
Total Investment Securities (Cost $2,547,168,885) — 124.1%(f) | 2,527,159,222 | |||||||
Net other assets (liabilities) — (24.1)% | (502,780,357 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,024,378,865 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USISDA05—5 Year ICE Swap Rate
USSW5—USD 5 Year Swap Rate
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $340,504,254. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
Continued
23
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2018. |
(c) | All or a portion of this security has been pledged as collateral for open derivative positions. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(e) | The rate represents the effective yield at June 30, 2018. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Australia | 0.2 | % | ||
Canada | 2.9 | % | ||
Cayman Islands | 0.3 | % | ||
Colombia | 0.2 | % | ||
Denmark | — | %^ | ||
France | 0.6 | % | ||
Germany | 0.3 | % | ||
Guernsey | 0.1 | % | ||
Indonesia | 0.2 | % | ||
Ireland | 0.4 | % | ||
Italy | 0.2 | % | ||
Japan | 0.5 | % | ||
Jersey | 0.1 | % | ||
Korea, Republic Of | 0.1 | % |
Country | Percentage | |||
Luxembourg | 0.3 | % | ||
Mexico | 0.8 | % | ||
Netherlands | 0.6 | % | ||
Panama | — | %^ | ||
Peru | 0.1 | % | ||
Philippines | 0.1 | % | ||
Qatar | — | %^ | ||
Spain | — | %^ | ||
Sweden | 0.1 | % | ||
Switzerland | 0.6 | % | ||
United Kingdom | 2.4 | % | ||
United States | 88.8 | % | ||
Uruguay | 0.1 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
Securities Sold Short (-10.6%):
Security Description | Coupon Rate | Maturity Date | Par Amount | Proceeds Received | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Federal Home Loan Mortgage Corporation, TBA | 3.50 | % | 7/15/47 | $ | (42,994,057 | ) | $ | (42,535,991 | ) | $ | (42,768,373 | ) | $ | (232,382 | ) | |||||||||
Federal Home Loan Mortgage Corporation, TBA | 3.00 | % | 7/15/33 | (1,217,000 | ) | (1,202,976 | ) | (1,208,391 | ) | (5,415 | ) | |||||||||||||
Federal Home Loan Mortgage Corporation, TBA | 2.50 | % | 7/15/33 | (2,843,000 | ) | (2,749,332 | ) | (2,759,734 | ) | (10,402 | ) | |||||||||||||
Federal Home Loan Mortgage Corporation, TBA | 5.00 | % | 7/15/48 | (51,000 | ) | (53,829 | ) | (53,834 | ) | (5 | ) | |||||||||||||
Federal National Mortgage Association, TBA | 2.50 | % | 7/25/33 | (1,690,000 | ) | (1,634,228 | ) | (1,642,473 | ) | (8,245 | ) | |||||||||||||
Federal National Mortgage Association, TBA | 5.50 | % | 7/25/48 | (900,000 | ) | (964,111 | ) | (965,039 | ) | (928 | ) | |||||||||||||
Federal National Mortgage Association, TBA | 3.50 | % | 8/25/48 | (13,600,000 | ) | (13,502,288 | ) | (13,514,902 | ) | (12,614 | ) | |||||||||||||
Federal National Mortgage Association, TBA | 3.50 | % | 7/25/33 | (10,664,766 | ) | (10,762,342 | ) | (10,792,243 | ) | (29,901 | ) | |||||||||||||
Federal National Mortgage Association, TBA | 4.50 | % | 8/25/48 | (4,400,000 | ) | (4,566,977 | ) | (4,572,992 | ) | (6,015 | ) | |||||||||||||
Federal National Mortgage Association, TBA | 4.00 | % | 7/25/48 | (18,415,000 | ) | (18,748,061 | ) | (18,774,126 | ) | (26,065 | ) | |||||||||||||
Government National Mortgage Association, TBA | 4.50 | % | 7/20/48 | (1,323,000 | ) | (1,372,819 | ) | (1,375,105 | ) | (2,286 | ) | |||||||||||||
Government National Mortgage Association, TBA | 3.50 | % | 7/20/48 | (20,103,203 | ) | (20,136,027 | ) | (20,180,552 | ) | (44,525 | ) | |||||||||||||
Government National Mortgage Association, TBA | 3.00 | % | 8/20/48 | (18,313,500 | ) | (17,846,209 | ) | (17,898,942 | ) | (52,733 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (136,075,190 | ) | $ | (136,506,706 | ) | $ | (431,516 | ) | ||||||||||||||||
|
|
|
|
|
|
Futures Contracts
At June 30, 2018, the Fund’s futures contracts were as follows:
Short Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Euro-Bond September Futures (Euro) | 9/6/18 | 56 | $ | (10,629,393 | ) | $ | (102,077 | ) | ||||||||
Euro-OAT September Futures (Euro) | 9/6/18 | 33 | (5,955,090 | ) | (57,535 | ) | ||||||||||
Long Gilt September Futures (British Pound) | 9/26/18 | 74 | (12,015,992 | ) | (97,921 | ) | ||||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/19/18 | 391 | (50,139,641 | ) | 48,800 | |||||||||||
U.S. Treasury 5-Year Note September Futures (U.S. Dollar) | 9/28/18 | 82 | (9,316,609 | ) | 23,601 | |||||||||||
Ultra Long Term US Treasury Bond September Futures (U.S. Dollar) | 9/19/18 | 27 | (4,308,188 | ) | (68,353 | ) | ||||||||||
|
| |||||||||||||||
$ | (253,485 | ) | ||||||||||||||
|
|
Continued
24
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/19/18 | 784 | 94,227,000 | $ | 460,569 | |||||||||||
U.S. Treasury 2-Year Note September Futures (U.S. Dollar) | 9/28/18 | 535 | 113,328,047 | 167,157 | ||||||||||||
U.S. Treasury 30-Year Bond September Futures (U.S. Dollar) | 9/19/18 | 114 | 16,530,000 | 345,308 | ||||||||||||
|
| |||||||||||||||
973,034 | ||||||||||||||||
|
| |||||||||||||||
Total Net Futures Contracts | $ | 719,549 | ||||||||||||||
|
|
See accompanying notes to the financial statements.
25
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 2,547,168,885 | |||
|
| ||||
Investment securities, at value* | $ | 2,527,159,222 | |||
Interest and dividends receivable | 12,408,216 | ||||
Foreign currency, at value (cost $247,430) | 244,669 | ||||
Receivable for capital shares issued | 65,343 | ||||
Receivable for investments sold | 279,026,548 | ||||
Receivable for variation margin on futures contracts | 26,705 | ||||
Prepaid expenses | 11,094 | ||||
|
| ||||
Total Assets | 2,818,941,797 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 233 | ||||
Payable for investments purchased | 305,894,377 | ||||
Payable for capital shares redeemed | 975,359 | ||||
Payable for collateral received on loaned securities | 350,042,408 | ||||
Securities sold short (Proceeds received $136,075,190) | 136,506,706 | ||||
Payable for variation margin on futures contracts | 38,788 | ||||
Manager fees payable | 581,227 | ||||
Administration fees payable | 43,768 | ||||
Distribution fees payable | 415,163 | ||||
Custodian fees payable | 4,015 | ||||
Administrative and compliance services fees payable | 1,676 | ||||
Transfer agent fees payable | 398 | ||||
Trustee fees payable | 7,412 | ||||
Other accrued liabilities | 51,402 | ||||
|
| ||||
Total Liabilities | 794,562,932 | ||||
|
| ||||
Net Assets | $ | 2,024,378,865 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 2,044,885,255 | |||
Accumulated net investment income/(loss) | 44,742,463 | ||||
Accumulated net realized gains/(losses) from investment transactions | (45,524,462 | ) | |||
Net unrealized appreciation/(depreciation) on investments | (19,724,391 | ) | |||
|
| ||||
Net Assets | $ | 2,024,378,865 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 189,436,973 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.69 | |||
|
|
* | Includes securities on loan of $340,504,254. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Interest | $ | 6,939,290 | |||
Dividends | 534,621 | ||||
Income from securities lending | 532,664 | ||||
|
| ||||
Total Investment Income | 8,006,575 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 3,511,136 | ||||
Administration fees | 335,909 | ||||
Distribution fees | 2,507,960 | ||||
Custodian fees | 26,866 | ||||
Administrative and compliance services fees | 12,318 | ||||
Transfer agent fees | 3,005 | ||||
Trustee fees | 40,424 | ||||
Professional fees | 40,978 | ||||
Shareholder reports | 9,140 | ||||
Other expenses | 41,229 | ||||
|
| ||||
Total expenses | 6,528,965 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,477,610 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | (21,172,598 | ) | |||
Net realized gains/(losses) on futures contracts | (3,636,981 | ) | |||
Net realized gains/(losses) on securities sold short | 3,463,272 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (19,044,682 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 1,010,178 | ||||
Change in net unrealized appreciation/depreciation on securities sold short | (498,042 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (39,878,853 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (38,401,243 | ) | ||
|
|
See accompanying notes to the financial statements.
26
AZL Enhanced Bond Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,477,610 | $ | 37,515,313 | ||||||
Net realized gains/(losses) on investment transactions | (21,346,307 | ) | (10,092,281 | ) | ||||||
Change in unrealized appreciation/depreciation on investments | (18,532,546 | ) | 32,694,031 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (38,401,243 | ) | 60,117,063 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (18,214,095 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (18,214,095 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 66,752,416 | 187,627,945 | ||||||||
Proceeds from dividends reinvested | — | 18,214,095 | ||||||||
Value of shares redeemed | (52,651,568 | ) | (208,787,058 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 14,100,848 | (2,945,018 | ) | |||||||
|
|
|
| |||||||
Change in net assets | (24,300,395 | ) | 38,957,950 | |||||||
Net Assets: | ||||||||||
Beginning of period | 2,048,679,260 | 2,009,721,310 | ||||||||
|
|
|
| |||||||
End of period | $ | 2,024,378,865 | $ | 2,048,679,260 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 44,742,463 | $ | 43,264,853 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 6,237,225 | 17,317,900 | ||||||||
Dividends reinvested | — | 1,671,018 | ||||||||
Shares redeemed | (4,929,109 | ) | (19,261,705 | ) | ||||||
|
|
|
| |||||||
Change in shares | 1,308,116 | (272,787 | ) | |||||||
|
|
|
|
See accompanying notes to the financial statements.
27
AZL Enhanced Bond Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.89 | $ | 10.67 | $ | 10.78 | $ | 11.13 | $ | 10.67 | $ | 11.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.01 | 0.20 | 0.09 | 0.27 | 0.14 | 0.05 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.21 | ) | 0.12 | 0.16 | (0.24 | ) | 0.43 | (0.31 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.20 | ) | 0.32 | 0.25 | 0.03 | 0.57 | (0.26 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.10 | ) | (0.22 | ) | (0.24 | ) | (0.11 | ) | (0.12 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.14 | ) | (0.14 | ) | — | (0.12 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.10 | ) | (0.36 | ) | (0.38 | ) | (0.11 | ) | (0.24 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.69 | $ | 10.89 | $ | 10.67 | $ | 10.78 | $ | 11.13 | $ | 10.67 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | (1.84 | )%(b) | 3.01 | % | 2.28 | % | 0.23 | % | 5.35 | % | (2.32 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 2,024,379 | $ | 2,048,679 | $ | 2,009,721 | $ | 682,269 | $ | 949,426 | $ | 788,913 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.15 | % | 1.87 | % | 1.93 | % | 1.65 | % | 1.49 | % | 1.14 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.65 | % | 0.65 | % | 0.67 | % | 0.66 | % | 0.65 | % | 0.66 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.65 | % | 0.65 | % | 0.67 | % | 0.66 | % | 0.65 | % | 0.66 | % | ||||||||||||||||||
Portfolio Turnover Rate | 79 | %(b) | 214 | % | 288 | % | 342 | % | 564 | % | 663 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
28
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Enhanced Bond Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Funds may engage in short sales against the box (i.e., where the Funds owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Funds sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Funds may also incur an interest expense if a security that has been sold short has an interest payment. When the Funds engages in a short sale, the Funds records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Funds also may be required to pay a premium, which would increase the cost of the security sold.
29
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $385 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $52,374 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less than 30 Days | Between 30 & 90 Days | Greater than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 330,131,772 | $ | 19,910,636 | $ | — | $ | — | $ | 350,042,408 |
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2018, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
30
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for long contracts was $227.8 million and the monthly average notional amount for short contracts was $73.6 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Interest Rate Risk | ||||||||||||
Interest Rate Contracts | Receivable for variation margin on futures contracts | $ | 1,045,435 | Payable for variation margin on futures contracts * | $ | 325,886 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Interest Rate Risk | ||||||||||
Interest Rate Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (3,636,981 | ) | $ | 1,010,178 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Financial Management, Inc. (“BlackRock Financial”), BlackRock Financial provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Enhanced Bond Index Fund | 0.35 | % | 0.70 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
31
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $9,220 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
32
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 80,719,605 | $ | — | $ | 80,719,605 | ||||||||||||
Collateralized Mortgage Obligations | — | 77,602,062 | — | 77,602,062 | ||||||||||||||||
Corporate Bonds+ | — | 514,216,953 | — | 514,216,953 | ||||||||||||||||
Yankee Dollars | — | 198,839,599 | — | 198,839,599 | ||||||||||||||||
Municipal Bonds | — | 2,346,270 | — | 2,346,270 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 691,143,433 | — | 691,143,433 | ||||||||||||||||
U.S. Treasury Obligations | — | 522,899,482 | — | 522,899,482 | ||||||||||||||||
Commercial Paper | — | 68,194,075 | — | 68,194,075 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 350,042,408 | 350,042,408 | ||||||||||||||||
Unaffiliated Investment Company | 21,155,335 | — | — | 21,155,335 | ||||||||||||||||
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Total Investment Securities | 21,155,335 | 2,155,961,479 | 350,042,408 | 2,527,159,222 | ||||||||||||||||
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Securities Sold Short | — | (136,506,706 | ) | — | (136,506,706 | ) | ||||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 719,549 | — | — | 719,549 | ||||||||||||||||
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Total Investments | $ | 21,874,884 | $ | 2,019,454,773 | $ | 350,042,408 | $ | 2,391,372,065 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 1,620,331,666 | $ | 1,509,379,385 |
For the period ended June 30, 2018, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 1,126,410,701 | $ | 1,220,854,342 |
6. Restricted Securities
A restricted security is a security which has been purchase through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. There were no illiquid restricted securities held as of June 30, 2018.
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to
33
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $2,412,787,596. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 24,501,914 | ||
Unrealized (depreciation) | (46,636,994 | ) | ||
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| |||
Net unrealized appreciation/(depreciation) | $ | (22,135,080 | ) | |
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As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 21,477,720 | $ | 1,467,933 | $ | 22,945,653 |
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 18,214,095 | $ | – | $ | 18,214,095 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 43,264,853 | $ | – | $ | (22,945,653 | ) | $ | (2,424,347 | ) | $ | 17,894,853 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 30% of the Fund.
10. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
34
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
35
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Fidelity Institutional Asset Management® Multi-Strategy Fund
(formerly, AZL® Pyramis® Multi-Strategy Fund)
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 16 |
Page 16 |
Statements of Changes in Net Assets Page 17 |
Page 18 |
Notes to the Financial Statements Page 19 |
Page 26 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
(Unaudited)
As a shareholder of the AZL Fidelity Institutional Asset Management Multi-Strategy Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 1,000.00 | $ | 1,003.00 | $ | 3.53 | 0.71 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 1,000.00 | $ | 1,021.28 | $ | 3.56 | 0.71 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 39.2 | % | |||
U.S. Treasury Obligations | 20.7 | ||||
Corporate Bonds | 16.6 | ||||
Securities Held as Collateral for Securities on Loan | 16.1 | ||||
U.S. Government Agency Mortgages | 14.0 | ||||
Yankee Dollars | 6.5 | ||||
Money Markets | 1.9 | ||||
Municipal Bonds | 0.8 | ||||
Asset Backed Securities | 0.7 | ||||
Collateralized Mortgage Obligations | 0.6 | ||||
Foreign Bonds | — | ^ | |||
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| ||||
Total Investment Securities | 117.1 | ||||
Net other assets (liabilities) | (17.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (39.2%): | ||||||||
Aerospace & Defense (1.1%): | ||||||||
9,036 | Boeing Co. (The) | $ | 3,031,669 | |||||
6,372 | Lockheed Martin Corp. | 1,882,480 | ||||||
621 | Northrop Grumman Corp. | 191,082 | ||||||
8,486 | Raytheon Co. | 1,639,325 | ||||||
|
| |||||||
6,744,556 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%): | ||||||||
2,874 | Ceva Logistics AG* | 67,058 | ||||||
|
| |||||||
Automobiles (0.3%): | ||||||||
139,510 | Ford Motor Co. | 1,544,376 | ||||||
|
| |||||||
Banks (2.2%): | ||||||||
137,316 | Bank of America Corp. | 3,870,938 | ||||||
40,870 | Citigroup, Inc. | 2,735,020 | ||||||
42,217 | JPMorgan Chase & Co. | 4,399,012 | ||||||
13,401 | People’s United Financial, Inc.^ | 242,424 | ||||||
32,528 | Wells Fargo & Co. | 1,803,352 | ||||||
|
| |||||||
13,050,746 | ||||||||
|
| |||||||
Beverages (1.2%): | ||||||||
60,734 | Coca-Cola Co. (The) | 2,663,793 | ||||||
20,183 | Molson Coors Brewing Co., Class B^ | 1,373,251 | ||||||
26,110 | PepsiCo, Inc. | 2,842,596 | ||||||
|
| |||||||
6,879,640 | ||||||||
|
| |||||||
Biotechnology (1.4%): | ||||||||
28,045 | AbbVie, Inc. | 2,598,370 | ||||||
13,288 | Amgen, Inc. | 2,452,832 | ||||||
3,518 | Biogen Idec, Inc.* | 1,021,064 | ||||||
30,343 | Gilead Sciences, Inc. | 2,149,498 | ||||||
|
| |||||||
8,221,764 | ||||||||
|
| |||||||
Capital Markets (0.6%): | ||||||||
7,948 | BGC Partners, Inc., Class A | 89,971 | ||||||
1,321 | CME Group, Inc. | 216,538 | ||||||
37,377 | Morgan Stanley | 1,771,670 | ||||||
30,261 | Thomson Reuters Corp.^ | 1,220,124 | ||||||
|
| |||||||
3,298,303 | ||||||||
|
| |||||||
Chemicals (0.4%): | ||||||||
5,542 | DowDuPont, Inc. | 365,329 | ||||||
36,795 | Huntsman Corp. | 1,074,414 | ||||||
3,376 | LyondellBasell Industries NV, Class A | 370,854 | ||||||
638 | Westlake Chemical Corp.^ | 68,668 | ||||||
|
| |||||||
1,879,265 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.6%): | ||||||||
21,297 | KAR Auction Services, Inc.^ | 1,167,076 | ||||||
15,789 | Republic Services, Inc., Class A | 1,079,336 | ||||||
15,040 | Waste Management, Inc. | 1,223,353 | ||||||
|
| |||||||
3,469,765 | ||||||||
|
| |||||||
Communications Equipment (0.8%): | ||||||||
76,273 | Cisco Systems, Inc. | 3,282,027 | ||||||
49,357 | Juniper Networks, Inc.^ | 1,353,369 | ||||||
|
| |||||||
4,635,396 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering (0.0%): | ||||||||
638 | EMCOR Group, Inc. | $ | 48,603 | |||||
|
| |||||||
Consumer Finance (0.3%): | ||||||||
13,642 | American Express Co. | 1,336,916 | ||||||
6,966 | Synchrony Financial | 232,525 | ||||||
|
| |||||||
1,569,441 | ||||||||
|
| |||||||
Diversified Financial Services (0.4%): | ||||||||
13,756 | Berkshire Hathaway, Inc., Class B* | 2,567,557 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.2%): | ||||||||
110,145 | AT&T, Inc. | 3,536,756 | ||||||
66,740 | Verizon Communications, Inc. | 3,357,689 | ||||||
|
| |||||||
6,894,445 | ||||||||
|
| |||||||
Electric Utilities (0.1%): | ||||||||
9,203 | Exelon Corp. | 392,048 | ||||||
14,512 | PPL Corp.^ | 414,317 | ||||||
|
| |||||||
806,365 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%): | ||||||||
3,154 | Tech Data Corp.* | 259,006 | ||||||
|
| |||||||
Energy Equipment & Services (0.0%): | ||||||||
4,327 | Halliburton Co. | 194,975 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.7%): | ||||||||
62,996 | Apple Hospitality REIT, Inc. | 1,126,368 | ||||||
31,213 | Gaming & Leisure Properties, Inc. | 1,117,425 | ||||||
14,233 | Parks Hotels & Resorts, Inc.^ | 435,957 | ||||||
40,372 | Weyerhaeuser Co. | 1,471,964 | ||||||
|
| |||||||
4,151,714 | ||||||||
|
| |||||||
Food & Staples Retailing (0.7%): | ||||||||
18,471 | CVS Health Corp. | 1,188,609 | ||||||
10,160 | Walgreens Boots Alliance, Inc. | 609,752 | ||||||
28,875 | Wal-Mart Stores, Inc. | 2,473,144 | ||||||
|
| |||||||
4,271,505 | ||||||||
|
| |||||||
Food Products (0.2%): | ||||||||
26,241 | ConAgra Foods, Inc.^ | 937,591 | ||||||
2,107 | Mondelez International, Inc., Class A | 86,387 | ||||||
3,880 | Tyson Foods, Inc., Class A | 267,138 | ||||||
|
| |||||||
1,291,116 | ||||||||
|
| |||||||
Gas Utilities (0.1%): | ||||||||
14,256 | UGI Corp. | 742,310 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.6%): | ||||||||
31,358 | Abbott Laboratories | 1,912,524 | ||||||
21,745 | Baxter International, Inc. | 1,605,651 | ||||||
775 | Haemonetics Corp.* | 69,502 | ||||||
202 | Medtronic plc | 17,293 | ||||||
|
| |||||||
3,604,970 | ||||||||
|
| |||||||
Health Care Providers & Services (1.5%): | ||||||||
1,858 | Aetna, Inc. | 340,943 | ||||||
21,973 | Cardinal Health, Inc. | 1,072,942 | ||||||
3,082 | Centene Corp.* | 379,733 | ||||||
7,740 | Cigna Corp. | 1,315,413 | ||||||
2,354 | Express Scripts Holding Co.* | 181,752 |
Continued
2
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
5,485 | Humana, Inc.^ | $ | 1,632,501 | |||||
7,994 | Quest Diagnostics, Inc. | 878,860 | ||||||
13,510 | UnitedHealth Group, Inc. | 3,314,543 | ||||||
|
| |||||||
9,116,687 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.3%): | ||||||||
21,730 | Carnival Corp., Class A | 1,245,346 | ||||||
4,715 | Las Vegas Sands Corp. | 360,037 | ||||||
688 | McDonald’s Corp. | 107,803 | ||||||
|
| |||||||
1,713,186 | ||||||||
|
| |||||||
Household Durables (0.3%): | ||||||||
25,434 | PulteGroup, Inc.^ | 731,228 | ||||||
48,239 | Taylor Morrison Home Corp., Class A* | 1,002,406 | ||||||
6,874 | Toll Brothers, Inc.^ | 254,269 | ||||||
|
| |||||||
1,987,903 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
41,376 | Procter & Gamble Co. (The) | 3,229,811 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.3%): | ||||||||
39,164 | NRG Energy, Inc. | 1,202,334 | ||||||
1,450 | NRG Yield, Inc., Class C^ | 24,940 | ||||||
31,472 | Vistra Energy Corp.* | 744,628 | ||||||
|
| |||||||
1,971,902 | ||||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
1,608 | 3M Co., Class C | 316,326 | ||||||
2,673 | General Electric Co. | 36,380 | ||||||
5,101 | Honeywell International, Inc. | 734,798 | ||||||
|
| |||||||
1,087,504 | ||||||||
|
| |||||||
Insurance (0.9%): | ||||||||
16,736 | Aflac, Inc. | 719,983 | ||||||
269 | American National Insurance Co. | 32,170 | ||||||
16,212 | First American Financial Corp. | 838,485 | ||||||
23,865 | FNF Group | 897,801 | ||||||
22,701 | Loews Corp.^ | 1,096,004 | ||||||
25,253 | Progressive Corp. (The) | 1,493,715 | ||||||
|
| |||||||
5,078,158 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (1.6%): | ||||||||
4,634 | Amazon.com, Inc.* | 7,876,873 | ||||||
31 | Booking Holdings, Inc.* | 62,840 | ||||||
121 | Etsy, Inc.* | 5,105 | ||||||
4,071 | Netflix, Inc.* | 1,593,512 | ||||||
|
| |||||||
9,538,330 | ||||||||
|
| |||||||
Internet Software & Services (2.6%): | ||||||||
3,008 | Alphabet, Inc., Class A* | 3,396,604 | ||||||
3,862 | Alphabet, Inc., Class C* | 4,308,640 | ||||||
40,644 | eBay, Inc.* | 1,473,751 | ||||||
30,227 | Facebook, Inc., Class A* | 5,873,712 | ||||||
|
| |||||||
15,052,707 | ||||||||
|
| |||||||
IT Services (1.2%): | ||||||||
315 | Conduent, Inc.* | 5,724 | ||||||
17,713 | DXC Technology Co. | 1,427,845 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
1,896 | Fidelity National Information Services, Inc. | $ | 201,033 | |||||
16,990 | International Business Machines Corp. | 2,373,502 | ||||||
2,873 | MasterCard, Inc., Class A | 564,602 | ||||||
9,676 | Visa, Inc., Class A | 1,281,586 | ||||||
62,817 | Western Union Co.^ | 1,277,070 | ||||||
|
| |||||||
7,131,362 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
4,462 | Hasbro, Inc.^ | 411,887 | ||||||
|
| |||||||
Machinery (0.9%): | ||||||||
17,334 | AGCO Corp. | 1,052,520 | ||||||
26,810 | Allison Transmission Holdings, Inc.^ | 1,085,537 | ||||||
14,630 | Caterpillar, Inc. | 1,984,852 | ||||||
10,150 | Cummins, Inc. | 1,349,950 | ||||||
|
| |||||||
5,472,859 | ||||||||
|
| |||||||
Media (0.8%): | ||||||||
30,864 | Comcast Corp., Class A | 1,012,648 | ||||||
39,009 | Tegna, Inc.^ | 423,248 | ||||||
3,859 | Twenty-First Century Fox, Inc. | 191,754 | ||||||
26,962 | Walt Disney Co. (The) | 2,825,886 | ||||||
|
| |||||||
4,453,536 | ||||||||
|
| |||||||
Metals & Mining (0.5%): | ||||||||
87,427 | Freeport-McMoRan Copper & Gold, Inc. | 1,508,990 | ||||||
34,814 | Newmont Mining Corp. | 1,312,836 | ||||||
|
| |||||||
2,821,826 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.4%): | ||||||||
114,771 | Annaly Capital Management, Inc. | 1,180,993 | ||||||
23,495 | MFA Financial, Inc. | 178,092 | ||||||
15,226 | New Residential Investment Corp. | 266,303 | ||||||
17,994 | Starwood Property Trust, Inc.^ | 390,650 | ||||||
14,535 | Two Harbors Investment Corp.^ | 229,653 | ||||||
|
| |||||||
2,245,691 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
15,492 | Kohl’s Corp.^ | 1,129,367 | ||||||
29,683 | Macy’s, Inc.^ | 1,111,035 | ||||||
5,812 | Nordstrom, Inc.^ | 300,945 | ||||||
5,269 | Target Corp. | 401,076 | ||||||
|
| |||||||
2,942,423 | ||||||||
|
| |||||||
Multi-Utilities (0.0%): | ||||||||
868 | MDU Resources Group, Inc. | 24,894 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.4%): | ||||||||
28,921 | Chevron Corp. | 3,656,482 | ||||||
29,715 | ConocoPhillips Co. | 2,068,758 | ||||||
57,485 | Exxon Mobil Corp. | 4,755,735 | ||||||
19,024 | HollyFrontier Corp.^ | 1,301,812 | ||||||
16,451 | Marathon Petroleum Corp. | 1,154,202 | ||||||
1,441 | Murphy Oil Corp.^ | 48,663 | ||||||
847 | Occidental Petroleum Corp. | 70,877 | ||||||
623 | PBF Energy, Inc., Class A | 26,122 | ||||||
7,917 | Valero Energy Corp. | 877,441 | ||||||
|
| |||||||
13,960,092 | ||||||||
|
|
Continued
3
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Paper & Forest Products (0.3%): | ||||||||
14,083 | Domtar Corp. | $ | 672,322 | |||||
33,351 | Louisiana-Pacific Corp. | 907,815 | ||||||
|
| |||||||
1,580,137 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
10,099 | Estee Lauder Co., Inc. (The), Class A | 1,441,026 | ||||||
|
| |||||||
Pharmaceuticals (2.5%): | ||||||||
1,680 | Allergan plc | 280,090 | ||||||
39,297 | Bristol-Myers Squibb Co. | 2,174,696 | ||||||
23,965 | Eli Lilly & Co. | 2,044,933 | ||||||
36,918 | Johnson & Johnson Co. | 4,479,631 | ||||||
47,044 | Merck & Co., Inc. | 2,855,571 | ||||||
82,523 | Pfizer, Inc. | 2,993,934 | ||||||
|
| |||||||
14,828,855 | ||||||||
|
| |||||||
Professional Services (0.4%): | ||||||||
9,065 | Dun & Bradstreet Corp. | 1,111,822 | ||||||
19,616 | Robert Half International, Inc. | 1,277,002 | ||||||
|
| |||||||
2,388,824 | ||||||||
|
| |||||||
Road & Rail (0.3%): | ||||||||
11,796 | Union Pacific Corp.^ | 1,671,257 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.3%): | ||||||||
1,567 | Applied Materials, Inc. | 72,380 | ||||||
70,494 | Intel Corp. | 3,504,256 | ||||||
33,565 | Micron Technology, Inc.* | 1,760,149 | ||||||
5,670 | NVIDIA Corp. | 1,343,223 | ||||||
11,848 | Texas Instruments, Inc. | 1,306,242 | ||||||
|
| |||||||
7,986,250 | ||||||||
|
| |||||||
Software (2.4%): | ||||||||
117 | Adobe Systems, Inc.* | 28,526 | ||||||
27,729 | CA, Inc. | 988,539 | ||||||
2,812 | Citrix Systems, Inc.* | 294,810 | ||||||
2,542 | Dell Technologies, Inc., Class V* | 215,002 | ||||||
8,224 | Intuit, Inc. | 1,680,204 | ||||||
89,823 | Microsoft Corp. | 8,857,447 | ||||||
54,439 | Oracle Corp. | 2,398,582 | ||||||
|
| |||||||
14,463,110 | ||||||||
|
| |||||||
Specialty Retail (0.9%): | ||||||||
8,767 | Best Buy Co., Inc.^ | 653,843 | ||||||
7,463 | Dick’s Sporting Goods, Inc.^ | 263,071 | ||||||
7,751 | Foot Locker, Inc. | 408,090 | ||||||
17,477 | Home Depot, Inc. (The) | 3,409,762 | ||||||
911 | Tiffany & Co. | 119,888 | ||||||
2,398 | TJX Cos., Inc. (The) | 228,242 | ||||||
|
| |||||||
5,082,896 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.5%): | ||||||||
54,165 | Apple, Inc. | 10,026,483 | ||||||
41,687 | HP, Inc. | 945,878 | ||||||
17,715 | NetApp, Inc. | 1,391,159 | ||||||
24,475 | Seagate Technology plc^ | 1,382,103 | ||||||
17,636 | Western Digital Corp.^ | 1,365,203 | ||||||
|
| |||||||
15,110,826 | ||||||||
|
|
Contracts, | Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods (0.5%): | ||||||||
10,001 | Deckers Outdoor Corp.* | $ | 1,129,013 | |||||
7,934 | Michael Kors Holdings, Ltd.* | 528,404 | ||||||
9,135 | Ralph Lauren Corp.^ | 1,148,452 | ||||||
2,817 | VF Corp. | 229,642 | ||||||
|
| |||||||
3,035,511 | ||||||||
|
| |||||||
Tobacco (0.0%): | ||||||||
640 | Philip Morris International, Inc. | 51,674 | ||||||
|
| |||||||
Trading Companies & Distributors (0.0%): | ||||||||
170 | W.W. Grainger, Inc.^ | 52,428 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.0%): | ||||||||
3,117 | Telephone & Data Systems, Inc. | 85,468 | ||||||
|
| |||||||
Total Common Stocks (Cost $201,754,058) | 232,211,896 | |||||||
|
| |||||||
Asset Backed Securities (0.7%): | ||||||||
270,068 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 268,030 | ||||||
|
| |||||||
1,578,198 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | 1,575,865 | ||||||
|
| |||||||
707,292 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 711,409 | ||||||
|
| |||||||
205,729 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 200,238 | ||||||
|
| |||||||
406,000 | Castlelake Aircraft Securitization Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 407,867 | ||||||
|
| |||||||
366,160 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | 363,264 | ||||||
|
| |||||||
218,900 | DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/23 @ 100(a) | 214,962 | ||||||
|
| |||||||
381,964 | Thunderbolt Aircraft Lease Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | 383,794 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $4,135,444) | 4,125,429 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (0.6%): | ||||||||
$ | 860,000 | CSMC Trust, Class D, Series 2017-PFHP, 4.32%(US0001M+225bps), 12/15/30(a) | 861,888 | |||||
|
| |||||||
1,900,000 | GAHR Commercial Mortgage Trust, Class DFX, Series 2015-NRF, 3.49%, 12/15/34(a)(b) | 1,888,757 | ||||||
|
| |||||||
91,781 | MSCG Trust, Class C, Series 2016-SNR, 5.21%, 11/15/34(a) | 91,406 | ||||||
|
| |||||||
130,097 | MSCG Trust, Class B, Series 2016-SNR, 4.18%, 11/15/34(a) | 127,742 | ||||||
|
| |||||||
368,905 | MSCG Trust, Class A, Series 2016-SNR, 3.35%, 11/15/34(a)(b) | 362,699 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $3,380,527) | 3,332,492 | |||||||
|
| |||||||
Corporate Bonds (16.6%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
235,000 | BBA US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @ 102.69(a) | 235,884 |
Continued
4
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 210,000 | BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | $ | 212,625 | ||||
500,000 | KLX, Inc., 5.88%, 12/1/22, Callable 8/3/18 @ 104.41(a) | 519,375 | ||||||
|
| |||||||
967,884 | ||||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
330,000 | General Motors Co., 3.50%, 10/2/18 | 330,625 | ||||||
|
| |||||||
Banks (1.6%): | ||||||||
640,000 | Bank of America Corp., 4.20%, 8/26/24 | 643,340 | ||||||
410,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 401,527 | ||||||
66,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 66,153 | ||||||
396,000 | Bank of America Corp., Series G, 3.50%, 4/19/26 | 383,038 | ||||||
397,000 | Bank of America Corp., 4.25%, 10/22/26 | 392,301 | ||||||
543,000 | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | 511,329 | ||||||
170,000 | Bank of America Corp., Series AA, 6.10% (US0003M+390 bps), 12/29/49, Callable 3/17/25 @ 100^ | 176,698 | ||||||
495,000 | CIT Group, Inc., 6.13%, 3/9/28 | 508,613 | ||||||
730,000 | Citigroup, Inc., 4.05%, 7/30/22 | 733,941 | ||||||
1,098,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,071,419 | ||||||
250,000 | Citizens Bank NA, 2.55%, 5/13/21, Callable 4/13/21 @ 100 | 243,812 | ||||||
2,005,000 | JPMorgan Chase & Co., 3.88%, 9/10/24 | 1,986,405 | ||||||
231,000 | JPMorgan Chase & Co., 2.95%, 10/1/26, Callable 7/1/26 @ 100 | 214,575 | ||||||
1,422,000 | JPMorgan Chase & Co., 4.13%, 12/15/26 | 1,404,039 | ||||||
160,000 | JPMorgan Chase & Co., Series S, 6.75% (US0003M+378 bps), 12/31/99, Callable 2/1/24 @ 100, Perpetual Bond^ | 174,000 | ||||||
550,000 | Regions Financial Corp., 3.20%, 2/8/21, Callable 1/8/21 @ 100 | 547,152 | ||||||
|
| |||||||
9,458,342 | ||||||||
|
| |||||||
Beverages (0.4%): | ||||||||
992,000 | Anheuser-Busch InBev NV, 3.30%, 2/1/23, Callable 12/1/22 @ 100 | 983,705 | ||||||
939,000 | Anheuser-Busch InBev NV, 4.70%, 2/1/36, Callable 8/1/35 @ 100 | 951,721 | ||||||
333,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | 325,264 | ||||||
|
| |||||||
2,260,690 | ||||||||
|
| |||||||
Capital Markets (1.1%): | ||||||||
128,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 151,916 | ||||||
399,000 | Goldman Sachs Group, Inc.(The), 2.88% (US0003M+82 bps), 10/31/22, Callable 10/31/21 @ 100 | 389,512 | ||||||
154,000 | IntercontinentalExchange, 2.75%, 12/1/20, Callable 11/1/20 @ 100 | 152,761 | ||||||
148,000 | Moody’s Corp., 4.88%, 2/15/24, Callable 11/15/23 @ 100^ | 155,375 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 523,000 | Morgan Stanley, 4.88%, 11/1/22 | $ | 542,462 | ||||
4,600,000 | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | 4,572,399 | ||||||
145,000 | MSCI, Inc., 4.75%, 8/1/26, Callable 8/1/21 @ 102.38(a) | 140,288 | ||||||
114,000 | Tiaa Asset Management Finance LLC, 2.95%, 11/1/19(a) | 113,555 | ||||||
|
| |||||||
6,218,268 | ||||||||
|
| |||||||
Chemicals (0.3%): | ||||||||
350,000 | CF Industries Holdings, Inc., 3.45%, 6/1/23^ | 331,184 | ||||||
120,000 | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100 | 116,100 | ||||||
380,000 | Platform Specialty Products, 6.50%, 2/1/22, Callable 8/3/18 @ 103.25^(a) | 386,650 | ||||||
245,000 | Platform Specialty Products Corp., 5.88%, 12/1/25, Callable 12/1/20 @ 102.94^(a) | 239,488 | ||||||
385,000 | TPC Group, Inc., 8.75%, 12/15/20, Callable 8/3/18 @ 102.19(a) | 381,150 | ||||||
130,000 | Valvoline, Inc., 4.38%, 8/15/25, Callable 8/15/20 @ 103.28 | 120,900 | ||||||
175,000 | Venator Finance SARL/Venator Materials Corp., 5.75%, 7/15/25, Callable 7/15/20 @ 104.31^(a) | 167,125 | ||||||
200,000 | W R Grace & Co., 5.63%, 10/1/24(a) | 208,500 | ||||||
|
| |||||||
1,951,097 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
200,000 | ADT Corp., 4.88%, 7/15/32(a) | 156,500 | ||||||
220,000 | Covanta Holding Corp., 5.88%, 3/1/24, Callable 3/1/19 @ 102.94 | 216,700 | ||||||
|
| |||||||
373,200 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
250,000 | AECOM, 5.88%, 10/15/24, Callable 7/15/24 @ 100 | 258,750 | ||||||
200,000 | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100^ | 188,500 | ||||||
150,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 7/15/20 @ 106.34(a) | 151,875 | ||||||
|
| |||||||
599,125 | ||||||||
|
| |||||||
Consumer Finance (1.4%): | ||||||||
400,000 | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/20/25 @ 100^ | 407,500 | ||||||
260,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 245,425 | ||||||
534,000 | Capital One NA, Series BNKT, 2.95%, 7/23/21, Callable 6/23/21 @ 100^ | 524,476 | ||||||
1,000,000 | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | 988,614 | ||||||
1,000,000 | Discover Financial Services, 5.20%, 4/27/22 | 1,043,022 | ||||||
600,000 | Ford Motor Credit Co. LLC, 2.88%, 10/1/18 | 600,132 | ||||||
1,000,000 | Ford Motor Credit Co. LLC, 2.60%, 11/4/19 | 991,711 | ||||||
300,000 | General Motors Acceptance Corp., 8.00%, 11/1/31 | 357,000 | ||||||
383,000 | General Motors Financial Co., 3.50%, 7/10/19^ | 384,923 | ||||||
500,000 | General Motors Financial Co., 4.20%, 3/1/21, Callable 2/1/21 @ 100 | 506,970 |
Continued
5
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 161,000 | Hyundai Capital America, 2.88%, 8/9/18^(a) | $ | 160,977 | ||||
378,000 | Hyundai Capital America, 2.55%, 2/6/19(a) | 376,604 | ||||||
130,000 | Navient Corp., 7.25%, 9/25/23^ | 136,175 | ||||||
200,000 | SLM Corp., 5.50%, 1/15/19 | 201,600 | ||||||
271,000 | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100^ | 271,157 | ||||||
510,000 | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100^ | 509,471 | ||||||
610,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | 597,991 | ||||||
161,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 148,524 | ||||||
|
| |||||||
8,452,272 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
80,000 | Crown Americas LLC, 4.75%, 2/1/26, Callable 2/1/21 @ 103.56^(a) | 76,000 | ||||||
65,000 | Crown Americas LLC, 4.25%, 9/30/26, Callable 3/31/26 @ 100^ | 59,475 | ||||||
50,000 | Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 54,000 | ||||||
200,000 | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 7/15/19 @ 102.56(a) | 197,500 | ||||||
115,000 | Silgan Holdings, Inc., 4.75%, 3/15/25, Callable 3/15/20 @ 102.38 | 109,250 | ||||||
|
| |||||||
496,225 | ||||||||
|
| |||||||
Diversified Consumer Services (0.3%): | ||||||||
850,000 | APX Group, Inc., 8.75%, 12/1/20, Callable 8/3/18 @ 102.19 | 813,534 | ||||||
415,000 | APX Group, Inc., 7.63%, 9/1/23, Callable 9/1/19 @ 105.72^ | 368,313 | ||||||
110,000 | Ascend Learning LLC, 6.88%, 8/1/25, Callable 8/1/20 @ 103.44(a) | 110,963 | ||||||
460,000 | Laureate Education, Inc., 8.25%, 5/1/25, Callable 5/1/20 @ 106.19^(a) | 490,765 | ||||||
|
| |||||||
1,783,575 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
60,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100^(a) | 59,527 | ||||||
500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 486,485 | ||||||
125,000 | USA Compression Partners LP, 6.88%, 4/1/26, Callable 4/1/21 @ 105.16^(a) | 129,375 | ||||||
185,000 | Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100 | 174,762 | ||||||
|
| |||||||
850,149 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.8%): | ||||||||
322,000 | AT&T, Inc., 2.45%, 6/30/20, Callable 5/30/20 @ 100 | 317,130 | ||||||
580,000 | AT&T, Inc., 3.60%, 2/17/23, Callable 12/17/22 @ 100^ | 571,423 | ||||||
28,000 | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | 28,268 | ||||||
255,000 | Frontier Communications Corp., 7.05%, 10/1/46 | 140,250 | ||||||
555,000 | Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 1/15/19 @ 102.69 | 543,623 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
$ | 200,000 | Level 3 Financing, Inc., 5.38%, 5/1/25, Callable 5/1/20 @ 102.69^ | $ | 192,500 | ||||
130,000 | Qwest Corp., 7.25%, 9/15/25 | 138,907 | ||||||
400,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25, Callable 2/15/20 @ 103.31^(a) | 366,000 | ||||||
325,000 | Verizon Communications, Inc., 5.50%, 3/16/47 | 340,555 | ||||||
603,000 | Verizon Communications, Inc., 5.01%, 4/15/49 | 587,232 | ||||||
930,000 | Verizon Communications, Inc., 5.01%, 8/21/54 | 873,878 | ||||||
500,000 | Zayo Group LLC / Zayo Capital, Inc., 6.38%, 5/15/25, Callable 5/15/20 @ 103.19 | 509,375 | ||||||
|
| |||||||
4,609,141 | ||||||||
|
| |||||||
Electric Utilities (0.1%): | ||||||||
110,000 | Emera US Finance LP, 2.15%, 6/15/19 | 108,852 | ||||||
109,000 | Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100 | 106,091 | ||||||
174,000 | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100 | 163,832 | ||||||
305,000 | FirstEnergy Solutions Co., 6.05%, 8/15/21(c) | 150,975 | ||||||
159,000 | NSG Holdings LLC, 7.75%, 12/15/25(d) | 173,309 | ||||||
117,000 | NV Energy, Inc., 6.25%, 11/15/20 | 124,888 | ||||||
|
| |||||||
827,947 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%): | ||||||||
230,000 | TTM Technologies, Inc., 5.63%, 10/1/25, Callable 10/1/20 @ 102.81^(a) | 224,250 | ||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
234,000 | Halliburton Co., 3.80%, 11/15/25, Callable 8/15/25 @ 100 | 232,326 | ||||||
205,000 | Halliburton Co., 4.85%, 11/15/35, Callable 5/15/35 @ 100 | 211,983 | ||||||
110,000 | Nabors Industries, Inc., 5.50%, 1/15/23, Callable 11/15/22 @ 100 | 105,875 | ||||||
|
| |||||||
550,184 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.1%): | ||||||||
500,000 | American Tower Corp., 2.80%, 6/1/20, Callable 5/1/20 @ 100 | 495,709 | ||||||
1,000,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | 987,351 | ||||||
265,000 | Brandywine Operating Partnership LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 251,777 | ||||||
528,000 | Brixmor Operating Partners LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100 | 505,901 | ||||||
355,000 | Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100 | 342,395 | ||||||
717,000 | Corporate Office Properties LP, 5.25%, 2/15/24, Callable 11/15/23 @ 100 | 741,964 | ||||||
110,000 | Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100 | 110,000 | ||||||
773,000 | DDR Corp., 4.63%, 7/15/22, Callable 4/15/22 @ 100^ | 792,708 | ||||||
315,000 | Digital Realty Trust LP, 3.95%, 7/1/22, Callable 5/1/22 @ 100 | 318,219 |
Continued
6
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 900,000 | Digital Realty Trust LP, 4.75%, 10/1/25, Callable 7/1/25 @ 100 | $ | 927,437 | ||||
183,000 | Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100 | 181,427 | ||||||
500,000 | Equinix, Inc., 5.75%, 1/1/25, Callable 1/1/20 @ 102.88 | 503,600 | ||||||
45,000 | GLP Capital LP, 5.25%, 6/1/25^ | 45,000 | ||||||
500,000 | Health Care REIT, Inc., 4.13%, 4/1/19, Callable 1/1/19 @ 100 | 502,928 | ||||||
735,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 723,940 | ||||||
200,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63^ | 196,000 | ||||||
549,000 | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | 545,072 | ||||||
101,000 | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100^ | 98,690 | ||||||
526,000 | Omega Healthcare Investors, Inc., 5.25%, 1/15/26, Callable 10/15/25 @ 100 | 530,499 | ||||||
1,628,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100^ | 1,551,228 | ||||||
494,000 | Omega Healthcare Investors, Inc., 4.75%, 1/15/28, Callable 10/15/27 @ 100^ | 476,273 | ||||||
600,000 | Sabra Health/Capital Corp., 5.50%, 2/1/21, Callable 8/3/18 @ 102.75 | 611,448 | ||||||
700,000 | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100 | 684,023 | ||||||
275,000 | Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | 264,025 | ||||||
118,000 | Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100 | 114,280 | ||||||
131,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100^ | 126,509 | ||||||
|
| |||||||
12,628,403 | ||||||||
|
| |||||||
Food & Staples Retailing (0.5%): | ||||||||
300,000 | CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100 | 298,479 | ||||||
670,000 | CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100 | 666,450 | ||||||
779,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100 | 768,412 | ||||||
347,000 | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | 341,299 | ||||||
510,000 | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100 | 519,025 | ||||||
65,000 | US Foods, Inc., 5.88%, 6/15/24, Callable 6/15/19 @ 102.94(a) | 66,138 | ||||||
271,000 | Walgreens Boots Alliance, Inc., 3.30%, 11/18/21, Callable 9/18/21 @ 100^ | 269,276 | ||||||
|
| |||||||
2,929,079 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food Products (0.1%): | ||||||||
$ | 255,000 | JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 6/15/20 @ 102.88^(a) | $ | 237,150 | ||||
200,000 | Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a) | 186,500 | ||||||
|
| |||||||
423,650 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
191,000 | Becton Dickinson And Co., 3.70%, 6/6/27, Callable 3/6/27 @ 100 | 180,801 | ||||||
215,000 | Ortho-Clinical Diagnostics, Inc., 6.63%, 5/15/22, Callable 8/3/18 @ 101.66(a) | 210,162 | ||||||
125,000 | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | 122,500 | ||||||
|
| |||||||
513,463 | ||||||||
|
| |||||||
Health Care Providers & Services (0.6%): | ||||||||
260,000 | Community Health Systems, Inc., 5.13%, 8/1/21, Callable 8/3/18 @ 102.56^ | 240,500 | ||||||
120,000 | Community Health Systems, Inc., 6.25%, 3/31/23, Callable 3/31/20 @ 103.13 | 109,950 | ||||||
355,000 | HCA, Inc., 3.75%, 3/15/19^ | 356,331 | ||||||
1,900,000 | HCA, Inc., 6.50%, 2/15/20 | 1,972,437 | ||||||
25,000 | HCA, Inc., 5.88%, 3/15/22 | 26,063 | ||||||
20,000 | HCA, Inc., 4.75%, 5/1/23 | 19,950 | ||||||
300,000 | HCA, Inc., 5.38%, 2/1/25 | 295,410 | ||||||
200,000 | Tenet Healthcare Corp., 4.50%, 4/1/21^ | 198,000 | ||||||
400,000 | Tenet Healthcare Corp., 8.13%, 4/1/22 | 418,208 | ||||||
130,000 | Vizient, Inc., 10.38%, 3/1/24, Callable 3/1/19 @ 107.78^(a) | 143,325 | ||||||
|
| |||||||
3,780,174 | ||||||||
|
| |||||||
Health Care Technology (0.0%): | ||||||||
200,000 | IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.5(a) | 194,750 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.3%): | ||||||||
200,000 | Aramark Services, Inc., 5.00%, 4/1/25, Callable 4/1/20 @ 103.75^(a) | 199,000 | ||||||
325,000 | Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 10/15/20 @ 102.63^(a) | 307,531 | ||||||
50,000 | Eldorado Resorts, Inc., 7.00%, 8/1/23, Callable 8/3/18 @ 105.25 | 52,500 | ||||||
95,000 | Eldorado Resorts, Inc., 6.00%, 4/1/25, Callable 4/1/20 @ 104.5 | 95,119 | ||||||
100,000 | Hilton Worldwide Finance LLC, 4.63%, 4/1/25, Callable 4/1/20 @ 102.31 | 97,500 | ||||||
86,000 | McDonald’s Corp., 2.75%, 12/9/20, Callable 11/9/20 @ 100^ | 85,419 | ||||||
430,000 | MGM Growth Properties LLC, 4.50%, 9/1/26, Callable 6/1/26 @ 100 | 399,362 | ||||||
100,000 | Penn National Gaming, Inc., 5.63%, 1/15/27, Callable 1/15/22 @ 102.81^(a) | 94,250 | ||||||
60,000 | Scientific Games International, Inc., 5.00%, 10/15/25, Callable 10/15/20 @ 103.75(a) | 57,150 |
Continued
7
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 95,000 | Station Casinos LLC, 5.00%, 10/1/25, Callable 10/1/20 @ 102.5(a) | $ | 89,300 | ||||
115,000 | Wyndham Hotels & Resorts, Inc., 5.38%, 4/15/26, Callable 4/15/21 @ 102.69(a) | 114,138 | ||||||
100,000 | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100^(a) | 98,250 | ||||||
|
| |||||||
1,689,519 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.3%): | ||||||||
230,000 | AES Corp., 5.50%, 4/15/25, Callable 4/15/20 @ 102.75 | 231,725 | ||||||
695,000 | Dynegy, Inc., 8.00%, 1/15/25, Callable 1/15/20 @ 104^(a) | 746,255 | ||||||
500,000 | IPALCO Enterprises, Inc., 3.45%, 7/15/20, Callable 6/15/20 @ 100 | 497,840 | ||||||
136,000 | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | 131,874 | ||||||
115,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100^(a) | 110,688 | ||||||
230,000 | NRG Energy, 6.25%, 5/1/24, Callable 5/1/19 @ 103.13^ | 235,750 | ||||||
|
| |||||||
1,954,132 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
200,000 | Icahn Enterprises LP, 6.00%, 8/1/20, Callable 8/3/18 @ 101.5 | 202,500 | ||||||
330,000 | Icahn Enterprises LP, 5.88%, 2/1/22, Callable 8/3/18 @ 102.94^ | 330,413 | ||||||
130,000 | Icahn Enterprises LP, 6.75%, 2/1/24, Callable 2/1/20 @ 103.38 | 130,975 | ||||||
|
| |||||||
663,888 | ||||||||
|
| |||||||
Insurance (0.6%): | ||||||||
218,000 | American International Group, Inc., 3.30%, 3/1/21, Callable 2/1/21 @ 100 | 217,846 | ||||||
809,000 | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100^ | 781,437 | ||||||
65,000 | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | 65,975 | ||||||
436,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 465,947 | ||||||
497,000 | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a) | 523,181 | ||||||
1,042,000 | Unum Group, 5.75%, 8/15/42 | 1,107,887 | ||||||
130,000 | USIS Merger Sub, Inc., 6.88%, 5/1/25, Callable 5/1/20 @ 103.44(a) | 129,350 | ||||||
|
| |||||||
3,291,623 | ||||||||
|
| |||||||
Internet Software & Services (0.0%): | ||||||||
130,000 | Semgroup Corp., 6.38%, 3/15/25, Callable 3/15/20 @ 103.19^ | 123,500 | ||||||
|
| |||||||
IT Services (0.0%): | ||||||||
90,000 | Conduent Finance, Inc., 10.50%, 12/15/24, Callable 12/15/20 @ 105.25^(a) | 107,663 | ||||||
140,000 | First Data Corp., 5.75%, 1/15/24, Callable 1/15/19 @ 102.88(a) | 140,002 | ||||||
|
| |||||||
247,665 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Life Sciences Tools & Services (0.0%): | ||||||||
$ | 115,000 | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 10/15/20 @ 102.44(a) | $ | 110,433 | ||||
30,000 | Charles River Laboratories International, Inc., 5.50%, 4/1/26, Callable 4/1/21 @ 104.13(a) | 30,066 | ||||||
|
| |||||||
140,499 | ||||||||
|
| |||||||
Media (1.7%): | ||||||||
395,000 | 21st Century Fox America, 7.75%, 12/1/45 | 556,662 | ||||||
500,000 | Altice US Finance I Corp., 5.38%, 7/15/23, Callable 7/16/18 @ 104.03(a) | 497,500 | ||||||
115,000 | AMC Entertainment, Inc., 5.75%, 6/15/25, Callable 6/15/20 @ 102.88 | 112,700 | ||||||
320,000 | CCO Holdings LLC, 5.88%, 4/1/24, Callable 4/1/19 @ 104.41(a) | 320,800 | ||||||
65,000 | CCO Holdings LLC, 5.38%, 5/1/25, Callable 5/1/20 @ 102.68(a) | 62,888 | ||||||
400,000 | CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a) | 393,000 | ||||||
400,000 | CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a) | 390,500 | ||||||
61,000 | Comcast Corp., 3.90%, 3/1/38, Callable 9/1/37 @ 100 | 55,356 | ||||||
144,000 | Comcast Corp., 4.65%, 7/15/42 | 140,097 | ||||||
161,000 | Comcast Corp., 4.60%, 8/15/45, Callable 2/15/45 @ 100 | 155,126 | ||||||
136,000 | Comcast Corp., 3.97%, 11/1/47, Callable 5/1/47 @ 100 | 119,797 | ||||||
112,000 | Comcast Corp., 4.00%, 3/1/48, Callable 9/1/47 @ 100^ | 98,674 | ||||||
224,000 | Comcast Corp., 4.00%, 11/1/49, Callable 5/1/49 @ 100 | 196,885 | ||||||
200,000 | DISH DBS Corp., 5.00%, 3/15/23^ | 173,500 | ||||||
200,000 | DISH DBS Corp., 5.88%, 11/15/24^ | 169,250 | ||||||
140,000 | DISH Network Corp., 3.38%, 8/15/26 | 135,603 | ||||||
80,000 | NBCUniversal Media LLC, 5.95%, 4/1/41 | 90,100 | ||||||
114,000 | NBCUniversal Media LLC, 4.45%, 1/15/43 | 107,767 | ||||||
700,000 | Neptune Finco Corp., 6.63%, 10/15/25, Callable 10/15/20 @ 103.31(a) | 716,625 | ||||||
200,000 | Sirius XM Radio, Inc., 4.63%, 5/15/23, Callable 8/3/18 @ 102.31(a) | 195,000 | ||||||
105,000 | Sirius XM Radio, Inc., 6.00%, 7/15/24, Callable 7/15/19 @ 103(a) | 106,969 | ||||||
695,000 | Sirius XM Radio, Inc., 5.38%, 4/15/25, Callable 4/15/20 @ 102.69(a) | 685,444 | ||||||
130,000 | Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | 125,125 | ||||||
716,000 | Time Warner Cable, Inc., 8.25%, 4/1/19 | 742,662 | ||||||
1,000,000 | Time Warner Cable, Inc., 4.13%, 2/15/21, Callable 11/15/20 @ 100 | 1,005,089 | ||||||
623,000 | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100 | 622,986 | ||||||
155,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 164,434 | ||||||
280,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | 317,382 |
Continued
8
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 1,500,000 | Time Warner Cable, Inc., 6.75%, 6/15/39 | $ | 1,599,123 | ||||
69,000 | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 64,195 | ||||||
|
| |||||||
10,121,239 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
400,000 | Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100 | 380,000 | ||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%): | ||||||||
45,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100(a) | 43,200 | ||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
339,000 | Sempra Energy, 6.00%, 10/15/39 | 401,825 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.3%): | ||||||||
149,000 | Anadarko Petroleum Corp., 4.85%, 3/15/21, Callable 2/15/21 @ 100 | 153,337 | ||||||
308,000 | Anadarko Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100^ | 330,089 | ||||||
738,000 | Anadarko Petroleum Corp., 7.50%, 5/1/31 | 914,149 | ||||||
78,000 | Anadarko Petroleum Corp., 6.45%, 9/15/36 | 90,141 | ||||||
410,000 | Anadarko Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | 492,763 | ||||||
300,000 | Antero Resources Corp., 5.13%, 12/1/22, Callable 8/3/18 @ 102.56^ | 300,750 | ||||||
280,000 | California Resources Corp., 8.00%, 12/15/22, Callable 12/15/18 @ 104^(a) | 254,100 | ||||||
315,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24, Callable 1/1/24 @ 100 | 343,350 | ||||||
475,000 | Cheniere Energy Partners, 5.25%, 10/1/25, Callable 10/1/20 @ 102.63^(a) | 463,339 | ||||||
488,000 | Chesapeake Energy Corp., 8.00%, 12/15/22, Callable 12/15/18 @ 104^(a) | 512,253 | ||||||
360,000 | Chesapeake Energy Corp., 8.00%, 1/15/25, Callable 1/15/20 @ 106^ | 366,642 | ||||||
425,000 | Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 8/3/18 @ 104.69(a) | 423,003 | ||||||
132,000 | Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100 | 131,697 | ||||||
195,000 | Crestwood Midstream Partners LP, 6.25%, 4/1/23, Callable 8/3/18 @ 104.69^ | 198,413 | ||||||
100,000 | Crestwood Midstream Partners LP, 5.75%, 4/1/25, Callable 4/1/20 @ 104.31 | 99,875 | ||||||
100,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/22, Callable 8/3/18 @ 103.25 | 102,000 | ||||||
275,000 | DCP Midstream Operating LLC, 8.13%, 8/16/30^ | 326,563 | ||||||
350,000 | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(a) | 320,250 | ||||||
215,000 | Denbury Resources, Inc., 9.25%, 3/31/22, Callable 3/31/19 @ 109.25^(a) | 227,900 | ||||||
125,000 | Denbury Resources, Inc., 4.63%, 7/15/23, Callable 8/3/18 @ 102.31 | 109,100 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 117,000 | Enable Midstream Partners LP, 2.40%, 5/15/19, Callable 4/15/19 @ 100 | $ | 116,261 | ||||
124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 118,699 | ||||||
67,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100^ | 66,967 | ||||||
229,000 | Energy Transfer Partners LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 228,289 | ||||||
128,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 126,687 | ||||||
83,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | 82,991 | ||||||
165,000 | Everest Acquisition Finance, Inc., 8.00%, 11/29/24, Callable 11/30/19 @ 106^(a) | 166,650 | ||||||
200,000 | Global Partners LP, 6.25%, 7/15/22, Callable 8/3/18 @ 103.13 | 194,000 | ||||||
220,000 | Hess Infrastructure Partners LP/Finance Corp., 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a) | 219,450 | ||||||
205,000 | Hilcorp Energy LP, 5.00%, 12/1/24, Callable 6/1/19 @ 102.5(a) | 198,850 | ||||||
50,000 | Indigo Natural Resources LLC, 6.88%, 2/15/26, Callable 2/15/21 @ 103.44(a) | 48,250 | ||||||
155,000 | Jonah Energy LLC/Jonah Energy Finance Corp., 7.25%, 10/15/25, Callable 10/15/20 @ 105.44^(a) | 125,163 | ||||||
111,000 | Kinder Morgan (Delaware), Inc., 3.05%, 12/1/19, Callable 11/1/19 @ 100 | 110,657 | ||||||
112,000 | Kinder Morgan (Delaware), Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100 | 103,934 | ||||||
195,000 | Kinder Morgan Energy Partners LP, 2.65%, 2/1/19 | 194,614 | ||||||
42,000 | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | 46,093 | ||||||
479,000 | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | 474,339 | ||||||
159,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 163,924 | ||||||
190,000 | Parsley Energy LLC, 5.25%, 8/15/25, Callable 8/15/20 @ 103.94(a) | 186,675 | ||||||
265,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.00%, 11/15/23, Callable 11/15/18 @ 105.25^ | 274,275 | ||||||
38,000 | Phillips 66 Partners LP, 2.65%, 2/15/20, Callable 1/15/20 @ 100 | 37,567 | ||||||
200,000 | Rose Rock Midstream LP, 5.63%, 7/15/22, Callable 7/19/18 @ 102.81^ | 194,000 | ||||||
233,000 | Southwestern Energy Co., 6.70%, 1/23/25, Callable 10/23/24 @ 100^ | 228,049 | ||||||
40,000 | Southwestern Energy Co., 7.50%, 4/1/26, Callable 4/1/21 @ 105.63^ | 41,400 | ||||||
200,000 | Summit Midstream Holdings LLC, 5.75%, 4/15/25, Callable 4/15/20 @ 104.31 | 190,000 | ||||||
80,000 | Sunoco Finance Corp., 5.50%, 2/15/26, Callable 2/15/21 @ 102.75(a) | 75,800 | ||||||
548,000 | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | 503,881 |
Continued
9
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 130,000 | Targa Resources Partners LP, 5.13%, 2/1/25, Callable 2/1/20 @ 103.84^ | $ | 128,375 | ||||
125,000 | Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41(a) | 125,938 | ||||||
130,000 | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69^ | 126,100 | ||||||
103,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 101,185 | ||||||
1,000,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100^ | 962,355 | ||||||
239,000 | Williams Partners LP, 3.60%, 3/15/22, Callable 1/15/22 @ 100 | 237,832 | ||||||
162,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100^ | 164,468 | ||||||
285,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | 286,020 | ||||||
|
| |||||||
12,809,452 | ||||||||
|
| |||||||
Pharmaceuticals (0.0%): | ||||||||
110,000 | Valeant Pharmaceuticals International, 9.25%, 4/1/26, Callable 4/1/22 @ 104.63(a) | 114,263 | ||||||
|
| |||||||
Professional Services (0.0%): | ||||||||
200,000 | Tempo Finance, Corp., 6.75%, 6/1/25, Callable 6/1/20 @ 103.38(a) | 192,000 | ||||||
|
| |||||||
Real Estate Management & Development (0.0%): | ||||||||
200,000 | Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 3/15/20 @ 104.03(a) | 196,250 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.0%): | ||||||||
135,000 | QORVO, Inc., 7.00%, 12/1/25, Callable 12/1/20 @ 103.5 | 145,125 | ||||||
|
| |||||||
Software (0.1%): | ||||||||
80,000 | CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94 | 81,520 | ||||||
135,000 | Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a) | 135,506 | ||||||
200,000 | Solera LLC, 10.50%, 3/1/24, Callable 3/1/19 @ 107.88^(a) | 222,126 | ||||||
250,000 | Sophia LP/Finance, Inc., 9.00%, 9/30/23, Callable 9/30/18 @ 104.5(a) | 262,469 | ||||||
125,000 | Symantec Corp., 5.00%, 4/15/25, Callable 4/15/20 @ 102.5(a) | 121,097 | ||||||
|
| |||||||
822,718 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.1%): | ||||||||
441,000 | HP Enterprise Co., 3.60%, 10/15/20, Callable 9/15/20 @ 100 | 443,095 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%): | ||||||||
235,000 | Quicken Loans, Inc., 5.25%, 1/15/28, Callable 1/15/23 @ 102.63(a) | 216,741 | ||||||
|
| |||||||
Tobacco (0.3%): | ||||||||
212,000 | Altria Group, Inc., 4.00%, 1/31/24 | 214,656 | ||||||
94,000 | Reynolds American, Inc., 3.25%, 6/12/20 | 93,904 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Tobacco, continued | ||||||||
$ | 320,000 | Reynolds American, Inc., 4.00%, 6/12/22 | $ | 321,993 | ||||
232,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 233,486 | ||||||
120,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | 128,837 | ||||||
700,000 | Vector Group, Ltd., 6.13%, 2/1/25, Callable 2/1/20 @ 103.06(a) | 676,374 | ||||||
|
| |||||||
1,669,250 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
130,000 | AerCap Global Aviation Trust, 6.50% (US0003M+430 bps), 6/15/45, Callable 6/15/25 @ 100^(a) | 133,900 | ||||||
442,000 | Air Lease Corp., 2.63%, 9/4/18 | 441,820 | ||||||
471,000 | Air Lease Corp., 3.75%, 2/1/22, Callable 12/1/21 @ 100 | 471,550 | ||||||
|
| |||||||
1,047,270 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
200,000 | Sprint Communications, Inc., 7.25%, 9/15/21 | 208,000 | ||||||
200,000 | Sprint Communications, Inc., 7.88%, 9/15/23 | 207,375 | ||||||
280,000 | Sprint Communications, Inc., 7.13%, 6/15/24 | 282,685 | ||||||
200,000 | T-Mobile USA, Inc., 5.13%, 4/15/25, Callable 4/15/20 @ 102.56^ | 201,000 | ||||||
|
| |||||||
899,060 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $101,097,236) | 98,034,807 | |||||||
|
| |||||||
Foreign Bond (0.0%): | ||||||||
Sovereign Bond (0.0%): | ||||||||
50,000 | Korea Treasury Bond, Series 2103, 0.13%, 3/10/21+ | 45 | ||||||
|
| |||||||
Total Foreign Bond (Cost $43) | 45 | |||||||
|
| |||||||
Yankee Dollars (6.5%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
140,000 | Bombardier, Inc., 6.00%, 10/15/22, Callable 8/3/18 @ 103(a) | 139,433 | ||||||
210,000 | Bombardier, Inc., 6.13%, 1/15/23^(a) | 210,525 | ||||||
|
| |||||||
349,958 | ||||||||
|
| |||||||
Banks (1.1%): | ||||||||
430,000 | Barclays Bank plc, 3.25%, 1/12/21 | 423,840 | ||||||
200,000 | Barclays Bank plc, 7.63%, 11/21/22^ | 215,300 | ||||||
585,000 | Barclays Bank plc, 4.38%, 1/12/26 | 568,190 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 203,954 | ||||||
200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 181,533 | ||||||
656,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 599,821 | ||||||
530,000 | Rabobank Nederland NY, 4.38%, 8/4/25 | 519,629 | ||||||
2,550,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22^ | 2,683,648 | ||||||
452,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 476,046 | ||||||
425,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 445,983 | ||||||
|
| |||||||
6,317,944 | ||||||||
|
| |||||||
Beverages (0.0%): | ||||||||
80,000 | Cott Corp., 5.50%, 4/1/25, Callable 4/1/20 @ 104.13^(a) | 77,800 | ||||||
|
|
Continued
10
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Capital Markets (0.8%): | ||||||||
$ | 470,000 | Credit Suisse Group Fun, Ltd., 2.75%, 3/26/20 | $ | 464,862 | ||||
670,000 | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | 667,059 | ||||||
787,000 | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | 776,790 | ||||||
470,000 | Credit Suisse Group Fun, Ltd., 3.75%, 3/26/25 | 452,032 | ||||||
860,000 | Deutsche Bank AG, 3.30%, 11/16/22 | 805,710 | ||||||
979,000 | Deutsche Bank AG, 4.50%, 4/1/25^ | 892,896 | ||||||
491,000 | UBS Group AG, 4.13%, 9/24/25(a) | 487,569 | ||||||
|
| |||||||
4,546,918 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
400,000 | Consolidated Energy Finance SA, 6.88%, 6/15/25, Callable 6/15/20 @ 105.16(a) | 410,500 | ||||||
150,000 | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 5/15/21 @ 104.88(a) | 148,500 | ||||||
325,000 | Nova Chemicals Corp., 4.88%, 6/1/24, Callable 3/3/24 @ 100(a) | 308,750 | ||||||
105,000 | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a) | 101,850 | ||||||
150,000 | OCI NV, 6.63%, 4/15/23, Callable 4/15/20 @ 103.31(a) | 152,355 | ||||||
115,000 | Tronox Finance plc, 5.75%, 10/1/25, Callable 10/1/20 @ 104.31(a) | 111,694 | ||||||
|
| |||||||
1,233,649 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
490,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 7.25%, 5/15/24, Callable 5/15/19 @ 105.44(a) | 509,600 | ||||||
200,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 6.00%, 2/15/25, Callable 2/15/20 @ 104.5(a) | 194,750 | ||||||
|
| |||||||
704,350 | ||||||||
|
| |||||||
Diversified Financial Services (0.0%): | ||||||||
120,000 | Camelot Finance SA, 7.88%, 10/15/24, Callable 10/15/19 @ 103.94^(a) | 120,300 | ||||||
20,000 | Tervita Escrow Corp., 7.63%, 12/1/21, Callable 12/1/18 @ 103.81(a) | 20,400 | ||||||
|
| |||||||
140,700 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.2%): | ||||||||
260,000 | Intelsat Jackson Holdings SA, 8.00%, 2/15/24, Callable 2/15/19 @ 104(a) | 273,000 | ||||||
140,000 | Numericable Group SA, 6.00%, 5/15/22, Callable 8/3/18 @ 103^(a) | 140,497 | ||||||
200,000 | Sable International Finance, Ltd., 6.88%, 8/1/22, Callable 8/3/18 @ 105.16(a) | 205,940 | ||||||
200,000 | SFR Group SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a) | 195,540 | ||||||
355,000 | Ziggo Bond Finance BV, 5.88%, 1/15/25, Callable 1/15/20 @ 102.94(a) | 331,708 | ||||||
|
| |||||||
1,146,685 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
200,000 | Ensco plc, 4.50%, 10/1/24, Callable 7/1/24 @ 100^ | 164,750 | ||||||
113,000 | Noble Holding International, Ltd., 7.75%, 1/15/24, Callable 10/15/23 @ 100^ | 107,068 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Energy Equipment & Services, continued | ||||||||
$ | 130,000 | Noble Holding International, Ltd., 7.88%, 2/1/26, Callable 2/1/21 @ 105.91(a) | $ | 133,899 | ||||
120,000 | Precision Drilling Corp., 7.75%, 12/15/23, Callable 12/15/19 @ 103.88^ | 126,300 | ||||||
215,000 | Weatherford International, Ltd., 9.88%, 2/15/24, Callable 11/15/23 @ 100 | 217,080 | ||||||
215,000 | Weatherford International, Ltd., 6.50%, 8/1/36^ | 168,238 | ||||||
|
| |||||||
917,335 | ||||||||
|
| |||||||
Gas Utilities (0.0%): | ||||||||
230,000 | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 8/3/18 @ 103.44(d) | 232,300 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%): | ||||||||
115,000 | 1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 5/15/20 @ 102.13^(a) | 108,963 | ||||||
45,000 | Stars Group Holdings BV, 7.00%, 7/15/26, Callable 7/15/21 @ 103.5(a) | 45,450 | ||||||
200,000 | Studio City Co., Ltd., 7.25%, 11/30/21, Callable 11/30/18 @ 103.63(a) | 206,500 | ||||||
95,000 | Wynn Macau, Ltd., 4.88%, 10/1/24, Callable 10/1/20 @ 102.44^(a) | 90,697 | ||||||
|
| |||||||
451,610 | ||||||||
|
| |||||||
Media (0.1%): | ||||||||
400,000 | Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a) | 386,880 | ||||||
200,000 | Altice Finco SA, 8.13%, 1/15/24, Callable 12/15/18 @ 104.06^(a) | 199,000 | ||||||
325,000 | MDC Partners, Inc., 6.50%, 5/1/24, Callable 5/1/19 @ 104.88^(a) | 281,938 | ||||||
|
| |||||||
867,818 | ||||||||
|
| |||||||
Metals & Mining (0.2%): | ||||||||
200,000 | BHP Billiton Finance USA, Ltd., 6.25% (USSW5+497 bps), 10/19/75, Callable 10/19/20 @ 100(a) | 209,063 | ||||||
456,000 | BHP Billiton Finance USA, Ltd., 6.75% (USSW5+509 bps), 10/19/75, Callable 10/20/25 @ 100^(a) | 494,532 | ||||||
200,000 | Corp. Nacional del Cobre, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a) | 190,506 | ||||||
200,000 | Corp. Nacional del Cobre, 4.50%, 8/1/47, Callable 2/1/47 @ 100^(a) | 194,312 | ||||||
200,000 | First Quantum Minerals, Ltd., 7.25%, 5/15/22, Callable 8/3/18 @ 103.63^(a) | 202,000 | ||||||
200,000 | First Quantum Minerals, Ltd., 6.50%, 3/1/24, Callable 9/1/20 @ 103.25(a) | 193,000 | ||||||
95,000 | First Quantum Minerals, Ltd., 7.50%, 4/1/25, Callable 4/1/20 @ 105.63^(a) | 93,756 | ||||||
|
| |||||||
1,577,169 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
148,000 | InterGen NV, 7.00%, 6/30/23, Callable 8/3/18 @ 103.5(a) | 145,780 | ||||||
566,000 | Petroleos Mexicanos, 6.50%, 3/13/27 | 580,388 | ||||||
|
| |||||||
726,168 | ||||||||
|
|
Continued
11
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Oil, Gas & Consumable Fuels (1.5%): | ||||||||
$ | 28,000 | Canadian Natural Resources, Ltd., 5.85%, 2/1/35 | $ | 31,120 | ||||
362,000 | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100^ | 348,676 | ||||||
330,000 | Empresa Nacional del Pet, 4.38%, 10/30/24(a) | 328,809 | ||||||
135,000 | Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100 | 133,776 | ||||||
156,000 | Enbridge, Inc., 5.50%, 12/1/46, Callable 5/29/46 @ 100 | 166,534 | ||||||
234,000 | Petrobras Global Finance Co., 4.38%, 5/20/23^ | 219,258 | ||||||
1,793,000 | Petrobras Global Finance Co., 7.25%, 3/17/44^ | 1,658,526 | ||||||
97,000 | Petroleos Mexicanos, 6.00%, 3/5/20 | 100,153 | ||||||
1,169,000 | Petroleos Mexicanos, 4.88%, 1/18/24 | 1,154,001 | ||||||
694,000 | Petroleos Mexicanos, 4.50%, 1/23/26^ | 651,111 | ||||||
696,000 | Petroleos Mexicanos, 6.50%, 6/2/41 | 654,518 | ||||||
563,000 | Petroleos Mexicanos, 5.50%, 6/27/44 | 474,891 | ||||||
673,000 | Petroleos Mexicanos, 5.63%, 1/23/46 | 568,012 | ||||||
2,228,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 2,100,780 | ||||||
130,000 | Teine Energy, Ltd., 6.88%, 9/30/22, Callable 8/3/18 @ 105.16(a) | 131,300 | ||||||
|
| |||||||
8,721,465 | ||||||||
|
| |||||||
Pharmaceuticals (0.7%): | ||||||||
1,050,000 | Actavis Funding SCS, 3.45%, 3/15/22, Callable 1/15/22 @ 100 | 1,033,187 | ||||||
123,000 | Mylan NV, 2.50%, 6/7/19 | 122,440 | ||||||
459,000 | Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100 | 453,960 | ||||||
226,000 | Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100 | 215,829 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24, Callable 1/15/24 @ 100^ | 198,065 | ||||||
324,000 | Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21 | 300,522 | ||||||
232,000 | Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23^ | 200,390 | ||||||
276,000 | Teva Pharmaceuticals Industries, Ltd., 3.15%, 10/1/26 | 221,828 | ||||||
120,000 | Valeant Pharmaceuticals, 5.50%, 3/1/23, Callable 8/3/18 @ 102.75(a) | 111,600 | ||||||
200,000 | Valeant Pharmaceuticals International, Inc., 6.50%, 3/15/22, Callable 3/15/19 @ 103.25(a) | 207,000 | ||||||
265,000 | Valeant Pharmaceuticals International, Inc., 7.00%, 3/15/24, Callable 3/15/20 @ 103.5(a) | 277,838 | ||||||
145,000 | Valeant Pharmaceuticals International, Inc., 9.00%, 12/15/25, Callable 12/15/21 @ 104.5(a) | 150,249 | ||||||
295,000 | VRX Escrow Corp., 6.13%, 4/15/25, Callable 4/15/20 @ 103.06^(a) | 271,769 | ||||||
|
| |||||||
3,764,677 | ||||||||
|
| |||||||
Professional Services (0.1%): | ||||||||
205,000 | IHS Markit, Ltd., 4.75%, 2/15/25, Callable 11/15/24 @ 100(a) | 202,950 | ||||||
620,000 | Nielsen Co. Luxembourg SARL (The), 5.00%, 2/1/25, Callable 2/1/20 @ 103.75^(a) | 590,550 | ||||||
|
| |||||||
793,500 | ||||||||
|
| |||||||
Software (0.1%): | ||||||||
350,000 | Open Text Corp., 5.63%, 1/15/23, Callable 8/3/18 @ 104.22^(a) | 359,625 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Sovereign Bond (0.3%): | ||||||||
$ | 900,000 | Dominican Republic, 5.50%, 1/27/25(a) | $ | 893,088 | ||||
1,000,000 | Republic of Argentina, 5.88%, 1/11/28^ | 812,500 | ||||||
|
| |||||||
1,705,588 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
462,000 | Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22 @ 100(a) | 458,559 | ||||||
700,000 | Imperial Tobacco Finance, 4.25%, 7/21/25, Callable 4/21/25 @ 100(a) | 696,799 | ||||||
|
| |||||||
1,155,358 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.5%): | ||||||||
900,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, 10/1/21 | 927,369 | ||||||
1,450,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.63%, 7/1/22^ | 1,478,636 | ||||||
200,000 | Fly Leasing, Ltd., 6.38%, 10/15/21, Callable 8/3/18 @ 104.78^ | 206,250 | ||||||
125,000 | Fly Leasing, Ltd., 5.25%, 10/15/24, Callable 10/15/20 @ 102.63 | 117,188 | ||||||
|
| |||||||
2,729,443 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $39,457,721) | 38,520,060 | |||||||
|
| |||||||
Municipal Bonds (0.8%): | ||||||||
California (0.3%): | ||||||||
400,000 | California State, Build America Bonds, GO, 7.50% 04/1/34 | 561,796 | ||||||
740,000 | California State, Build America Bonds, GO, 7.55% 04/1/39 | 1,091,234 | ||||||
10,000 | California State, Build America Bonds, GO, 7.35% 11/1/39 | 14,235 | ||||||
|
| |||||||
1,667,265 | ||||||||
|
| |||||||
Illinois (0.5%): | ||||||||
105,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series B, 5.43% 1/1/42 | 97,632 | ||||||
125,000 | Illinois State, Build America Bonds, GO, 4.95% 6/1/23 | 127,181 | ||||||
3,235,000 | Illinois State, Build America Bonds, GO, 5.10% 6/1/33 | 3,061,474 | ||||||
|
| |||||||
3,286,287 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $5,021,113) | 4,953,552 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (14.0%): | ||||||||
Federal National Mortgage Association (7.2%) | ||||||||
5,323 | 3.50%, 11/1/25, Pool #AE7758 | 5,390 | ||||||
253,787 | 3.50%, 1/1/26, Pool #AH2108 | 256,985 | ||||||
648,842 | 3.50%, 1/1/26, Pool #AH1296 | 657,512 | ||||||
158,765 | 3.00%, 11/1/27, Pool #AL4642 | 158,789 | ||||||
237,922 | 3.00%, 6/1/29, Pool #AW3641 | 237,886 | ||||||
1,000,000 | 2.50%, 7/25/33, TBA | 971,878 | ||||||
1,125,000 | 3.00%, 7/25/33, TBA | 1,118,396 | ||||||
450,000 | 3.50%, 7/25/33, TBA | 455,379 | ||||||
154,642 | 3.50%, 8/1/33, Pool #AL4227 | 156,377 | ||||||
840,449 | 6.00%, 5/1/36, Pool #745512 | 926,190 | ||||||
388,631 | 6.00%, 7/1/39, Pool #BF0030 | 420,987 | ||||||
44,317 | 3.50%, 12/1/40, Pool #AH1556 | 44,474 |
Continued
12
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 19,536 | 3.50%, 6/1/42, Pool #AO6387 | $ | 19,581 | ||||
617,657 | 3.00%, 9/1/42, Pool #AB6126 | 604,154 | ||||||
826,108 | 3.00%, 10/1/42, Pool #AB6504 | 807,663 | ||||||
468,929 | 3.00%, 10/1/42, Pool #AB6509 | 458,678 | ||||||
42,717 | 3.50%, 11/1/42, Pool #MA1236 | 42,876 | ||||||
948,039 | 3.00%, 11/1/42, Pool #AB6976 | 926,871 | ||||||
322,329 | 3.00%, 12/1/42, Pool #AB7282 | 315,170 | ||||||
1,430,792 | 3.00%, 1/1/43, Pool #AB7586 | 1,398,569 | ||||||
22,644 | 3.50%, 3/1/43, Pool #AR4461 | 22,675 | ||||||
19,498 | 3.50%, 3/1/43, Pool #AB8733 | 19,536 | ||||||
61,001 | 3.50%, 7/1/43, Pool #AT8975 | 61,097 | ||||||
83,565 | 3.50%, 11/1/43, Pool #AL9612 | 83,801 | ||||||
917,883 | 4.50%, 3/1/44, Pool #AV0957 | 958,196 | ||||||
996,874 | 4.50%, 7/1/44, Pool #AS3062 | 1,043,770 | ||||||
353,447 | 4.50%, 10/1/44, Pool #AV8856 | 369,613 | ||||||
512,348 | 4.50%, 12/1/44, Pool #AS4176 | 536,034 | ||||||
126,337 | 3.50%, 2/1/45, Pool #BM1014 | 126,672 | ||||||
184,660 | 4.00%, 5/1/45, Pool #AZ1207 | 188,486 | ||||||
504,349 | 4.00%, 6/1/45, Pool #AY8096 | 514,916 | ||||||
272,095 | 4.00%, 6/1/45, Pool #AY8126 | 277,651 | ||||||
772,322 | 3.50%, 7/1/45, Pool #AZ0814 | 771,002 | ||||||
506,284 | 3.50%, 8/1/45, Pool #AY8424 | 505,419 | ||||||
652,759 | 4.50%, 12/1/45, Pool #BA6997 | 680,201 | ||||||
94,119 | 4.00%, 12/1/45, Pool #AS6352 | 96,262 | ||||||
41,186 | 4.50%, 1/1/46, Pool #AY3890 | 43,138 | ||||||
320,223 | 4.00%, 2/1/46, Pool #BC1578 | 326,682 | ||||||
15,211 | 4.50%, 3/1/46, Pool #BC0287 | 15,929 | ||||||
696,394 | 4.00%, 4/1/46, Pool #AL8468 | 714,767 | ||||||
90,603 | 4.00%, 4/1/46, Pool #AS7024 | 92,659 | ||||||
148,733 | 4.50%, 6/1/46, Pool #BD1238 | 156,003 | ||||||
596,234 | 3.50%, 6/1/46, Pool #BD1073 | 595,215 | ||||||
656,206 | 4.00%, 6/1/46, Pool #AL9282 | 669,464 | ||||||
466,277 | 3.50%, 7/1/46, Pool #BC6149 | 465,480 | ||||||
673,033 | 3.50%, 7/1/46, Pool #AL9515 | 671,883 | ||||||
31,207 | 3.50%, 8/1/46, Pool #BD5247 | 31,159 | ||||||
126,581 | 3.00%, 8/1/46, Pool #AS8320 | 122,807 | ||||||
47,545 | 3.50%, 9/1/46, Pool #BD7792 | 47,471 | ||||||
20,877 | 3.50%, 9/1/46, Pool #BD0711 | 20,845 | ||||||
999,894 | 3.00%, 9/1/46, Pool #AS7844 | 970,683 | ||||||
111,941 | 4.00%, 9/1/46, Pool #BD1489 | 114,202 | ||||||
69,330 | 4.50%, 10/1/46, Pool #BE1671 | 72,557 | ||||||
343,488 | 3.50%, 10/1/46, Pool #AL9285 | 342,902 | ||||||
35,967 | 4.00%, 10/1/46, Pool #BD7599 | 36,695 | ||||||
1,912,441 | 3.50%, 10/1/46, Pool #BC4760 | 1,909,468 | ||||||
568,214 | 3.00%, 10/1/46, Pool #AL9397 | 551,596 | ||||||
75,123 | 4.50%, 11/1/46, Pool #BE2386 | 78,524 | ||||||
44,671 | 3.50%, 12/1/46, Pool #BE5877 | 44,602 | ||||||
18,470 | 4.50%, 12/1/46, Pool #BC9079 | 19,343 | ||||||
693,941 | 3.50%, 12/1/46, Pool #BC9077 | 692,701 | ||||||
1,121,071 | 3.50%, 12/1/46, Pool #BD8504 | 1,119,329 | ||||||
483,331 | 3.00%, 12/1/46, Pool #BE0757 | 469,185 | ||||||
145,303 | 4.50%, 12/1/46, Pool #BE4488 | 152,411 | ||||||
515,528 | 3.50%, 1/1/47, Pool #BE1526 | 514,567 | ||||||
26,802 | 3.50%, 1/1/47, Pool #BE7834 | 26,760 | ||||||
415,772 | 3.50%, 1/1/47, Pool #AL9776 | 415,061 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 423,079 | 3.50%, 1/1/47, Pool #BE5530 | $ | 422,356 | ||||
116,740 | 4.50%, 1/1/47, Pool #BE7087 | 122,448 | ||||||
92,416 | 4.50%, 1/1/47, Pool #BE6506 | 96,599 | ||||||
128,394 | 4.50%, 2/1/47, Pool #BE8498 | 134,672 | ||||||
998,261 | 4.00%, 2/1/47, Pool #AL9779 | 1,022,795 | ||||||
412,634 | 4.50%, 3/1/47, Pool #BE9261 | 431,910 | ||||||
295,499 | 2.50%, 4/1/47, Pool #BM3707 | 276,882 | ||||||
153,670 | 4.00%, 5/1/47, Pool #BM1277 | 157,236 | ||||||
1,464,327 | 4.00%, 6/1/47, Pool #BE3702 | 1,493,619 | ||||||
152,928 | 4.50%, 6/1/47, Pool #BE3663 | 160,183 | ||||||
24,558 | 4.50%, 6/1/47, Pool #BE9387 | 25,724 | ||||||
46,960 | 4.50%, 6/1/47, Pool #BH0561 | 49,118 | ||||||
22,008 | 4.00%, 6/1/47, Pool #BH4269 | 22,518 | ||||||
795,442 | 3.50%, 7/1/47, Pool #BM3041 | 796,409 | ||||||
366,237 | 4.00%, 7/1/47, Pool #BE9653 | 373,835 | ||||||
143,156 | 4.50%, 7/1/47, Pool #BE3749 | 149,951 | ||||||
98,378 | 4.00%, 7/1/47, Pool #AS9968 | 100,597 | ||||||
2,200,000 | 4.50%, 7/25/47, TBA | 2,290,769 | ||||||
415,560 | 3.50%, 12/1/47, Pool #CA0854 | 414,914 | ||||||
456,496 | 3.50%, 12/1/47, Pool #CA0855 | 455,234 | ||||||
23,998 | 4.00%, 12/1/47, Pool #BJ4279 | 24,559 | ||||||
24,781 | 4.00%, 12/1/47, Pool #BJ2132 | 25,360 | ||||||
24,328 | 4.00%, 2/1/48, Pool #CA1199 | 24,896 | ||||||
24,894 | 4.00%, 3/1/48, Pool #BK1867 | 25,476 | ||||||
24,899 | 4.00%, 3/1/48, Pool #BK3214 | 25,481 | ||||||
498,127 | 3.00%, 4/1/48, Pool #CA1521 | 483,175 | ||||||
32,643 | 4.00%, 4/1/48, Pool #CA1545 | 33,406 | ||||||
24,924 | 4.00%, 4/1/48, Pool #BK2485 | 25,507 | ||||||
24,900 | 4.00%, 4/1/48, Pool #BK4838 | 25,482 | ||||||
24,930 | 4.00%, 4/1/48, Pool #BJ8805 | 25,513 | ||||||
682,551 | 4.00%, 4/1/48, Pool #BJ9939 | 698,294 | ||||||
142,376 | 4.50%, 4/1/48, Pool #BJ5454 | 148,999 | ||||||
32,295 | 4.00%, 4/1/48, Pool #BK3836 | 33,050 | ||||||
179,007 | 4.00%, 4/1/48, Pool #BM3700 | 183,122 | ||||||
999,900 | 3.50%, 4/1/48, Pool #BJ2692 | 995,691 | ||||||
24,965 | 4.00%, 5/1/48, Pool #BK2527 | 25,548 | ||||||
51,779 | 4.50%, 5/1/48, Pool #BJ5507 | 54,188 | ||||||
90,533 | 4.00%, 5/1/48, Pool #BM3877 | 92,916 | ||||||
3,100,000 | 4.50%, 8/25/48, TBA | 3,222,089 | ||||||
|
| |||||||
42,913,745 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (3.4%) | ||||||||
512,945 | 3.50%, 3/1/32, Pool #C91403 | 520,353 | ||||||
1,352,561 | 3.50%, 7/1/32, Pool #C91467 | 1,372,057 | ||||||
1,275,255 | 4.00%, 5/1/37, Pool #C91938 | 1,314,598 | ||||||
425,724 | 5.00%, 2/1/38, Pool #G60365 | 453,937 | ||||||
538,257 | 4.00%, 11/1/40, Pool #A95150 | 552,346 | ||||||
1,085,961 | 3.50%, 1/1/44, Pool #G07922 | 1,089,240 | ||||||
542,433 | 3.50%, 1/1/44, Pool #G60271 | 544,069 | ||||||
167,203 | 3.50%, 11/1/45, Pool #Q37467 | 167,035 | ||||||
18,264 | 4.00%, 4/1/46, Pool #Q39975 | 18,692 | ||||||
47,965 | 4.00%, 4/1/46, Pool #V82292 | 49,089 | ||||||
29,620 | 3.00%, 6/1/46, Pool #G08710 | 28,717 | ||||||
342,645 | 3.50%, 9/1/46, Pool #Q43257 | 341,930 | ||||||
169,533 | 3.00%, 11/1/46, Pool #Q44452 | 164,313 |
Continued
13
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 471,634 | 3.00%, 12/1/46, Pool #G60989 | $ | 457,468 | ||||
3,577,943 | 3.00%, 12/1/46, Pool #G08737 | 3,467,764 | ||||||
21,538 | 4.50%, 12/1/46, Pool #Q45028 | 22,538 | ||||||
20,729 | 4.50%, 1/1/47, Pool #Q45635 | 21,692 | ||||||
725,939 | 3.00%, 1/1/47, Pool #G08741 | 703,105 | ||||||
47,890 | 4.50%, 2/1/47, Pool #Q46222 | 50,120 | ||||||
98,286 | 4.50%, 5/1/47, Pool #Q48095 | 102,867 | ||||||
111,293 | 4.50%, 5/1/47, Pool #Q47935 | 116,480 | ||||||
44,664 | 4.50%, 5/1/47, Pool #Q47942 | 46,746 | ||||||
719,155 | 4.00%, 6/1/47, Pool #G08767 | 734,666 | ||||||
852,034 | 4.00%, 6/1/47, Pool #Q48877 | 872,871 | ||||||
115,376 | 4.50%, 6/1/47, Pool #Q48759 | 120,754 | ||||||
90,069 | 4.50%, 7/1/47, Pool #Q49393 | 94,267 | ||||||
971,986 | 4.00%, 7/1/47, Pool #G08771 | 993,022 | ||||||
638,570 | 3.50%, 10/1/47, Pool #G08784 | 635,710 | ||||||
498,439 | 3.50%, 11/1/47, Pool #Q52086 | 496,156 | ||||||
340,213 | 4.00%, 12/1/47, Pool #G61305 | 347,130 | ||||||
45,970 | 3.50%, 12/1/47, Pool #Q53293 | 45,759 | ||||||
2,457,783 | 3.50%, 12/1/47, Pool #V83817 | 2,446,482 | ||||||
191,089 | 4.50%, 12/1/47, Pool #Q53017 | 199,830 | ||||||
80,438 | 4.00%, 1/1/48, Pool #V83906 | 82,079 | ||||||
26,338 | 4.50%, 1/1/48, Pool #Q53730 | 27,544 | ||||||
92,715 | 4.00%, 2/1/48, Pool #G61343 | 94,625 | ||||||
24,864 | 4.00%, 2/1/48, Pool #Q54499 | 25,440 | ||||||
74,126 | 4.00%, 2/1/48, Pool #V83994 | 75,641 | ||||||
148,213 | 4.50%, 4/1/48, Pool #Q55500 | 154,999 | ||||||
169,319 | 4.50%, 4/1/48, Pool #Q55660 | 177,072 | ||||||
196,777 | 4.50%, 4/1/48, Pool #Q55724 | 205,787 | ||||||
292,040 | 4.50%, 5/1/48, Pool #Q55839 | 305,412 | ||||||
432,770 | 4.00%, 5/1/48, Pool #Q55992 | 442,791 | ||||||
|
| |||||||
20,183,193 | ||||||||
|
| |||||||
Government National Mortgage Association (3.4%) | ||||||||
157,908 | 4.00%, 8/15/41, Pool #430354 | 162,641 | ||||||
1,824,424 | 4.00%, 1/20/42, Pool #5280 | 1,886,679 | ||||||
29,117 | 4.00%, 11/20/42, Pool #AB9233 | 30,135 | ||||||
441,105 | 3.00%, 12/20/42, Pool #AA5872 | 433,894 | ||||||
3,850,161 | 3.50%, 1/20/43, Pool #MA0699 | 3,896,028 | ||||||
65,562 | 3.50%, 3/20/43, Pool #AD8884 | 66,202 | ||||||
115,362 | 3.00%, 3/20/43, Pool #AD8812 | 113,547 | ||||||
280,004 | 3.00%, 3/20/43, Pool #AA6146 | 275,514 | ||||||
25,615 | 3.50%, 4/20/43, Pool #AB9891 | 25,900 | ||||||
68,742 | 3.50%, 4/20/43, Pool #AD9075 | 69,454 | ||||||
380,530 | 3.50%, 6/20/46, Pool #MA3736 | 382,541 | ||||||
642,632 | 3.00%, 7/20/46, Pool #MA3802 | 630,867 | ||||||
97,579 | 3.50%, 7/20/46, Pool #MA3803 | 98,080 | ||||||
876,469 | 3.00%, 9/20/46, Pool #MA3936 | 860,713 | ||||||
175,854 | 3.00%, 11/20/46, Pool #MA4068 | 172,485 | ||||||
1,098,105 | 3.00%, 12/20/46, Pool #MA4126 | 1,076,757 | ||||||
320,293 | 4.00%, 1/15/47, Pool #AX5857 | 329,280 | ||||||
349,787 | 4.00%, 1/15/47, Pool #AX5831 | 358,783 | ||||||
2,244,664 | 3.00%, 1/20/47, Pool #MA4195 | 2,200,736 | ||||||
266,029 | 3.00%, 2/20/47, Pool #MA4261 | 260,823 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 228,283 | 4.00%, 4/20/47, Pool #784304 | $ | 234,423 | ||||
197,627 | 4.00%, 4/20/47, Pool #784303 | 202,927 | ||||||
168,424 | 4.00%, 5/20/47, Pool #MA4452 | 172,934 | ||||||
178,663 | 4.00%, 7/20/47, Pool #MA4587 | 183,924 | ||||||
49,953 | 3.50%, 7/20/47, Pool #MA4586 | 50,190 | ||||||
4,760,665 | 3.50%, 9/20/47, Pool #MA4719 | 4,783,303 | ||||||
394,982 | 3.50%, 1/20/48, Pool #MA4962 | 396,860 | ||||||
|
| |||||||
19,355,620 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $84,229,003) | 82,452,558 | |||||||
|
| |||||||
U.S. Treasury Obligations (20.7%): | ||||||||
U.S. Treasury Inflation Index Bonds (1.6%) | ||||||||
1,430,000 | 1.38%, 2/15/44 | 1,716,029 | ||||||
6,447,000 | 0.75%, 2/15/45^ | 6,653,290 | ||||||
1,150,000 | 1.00%, 2/15/46 | 1,252,377 | ||||||
|
| |||||||
9,621,696 | ||||||||
|
| |||||||
U.S. Treasury Bonds (2.6%) | ||||||||
1,029,000 | 3.00%, 11/15/45^ | 1,032,618 | ||||||
10,538,000 | 3.00%, 2/15/47 | 10,575,871 | ||||||
2,197,000 | 3.00%, 5/15/47 | 2,203,437 | ||||||
1,347,000 | 2.75%, 11/15/47^ | 1,285,333 | ||||||
|
| |||||||
15,097,259 | ||||||||
|
| |||||||
U.S. Treasury Notes (13.7%) | ||||||||
11,824,000 | 1.75%, 12/31/20^ | 11,584,287 | ||||||
2,851,000 | 1.25%, 3/31/21^ | 2,748,765 | ||||||
910,000 | 1.38%, 4/30/21^ | 879,323 | ||||||
13,364,000 | 1.13%, 9/30/21 | 12,732,864 | ||||||
4,686,000 | 2.00%, 12/31/21 | 4,582,029 | ||||||
14,576,000 | 1.88%, 3/31/22^ | 14,157,509 | ||||||
1,431,000 | 1.75%, 6/30/22 | 1,379,685 | ||||||
15,386,000 | 1.88%, 7/31/22 | 14,894,969 | ||||||
8,264,000 | 1.88%, 9/30/22 | 7,989,287 | ||||||
2,625,000 | 2.13%, 7/31/24 | 2,526,665 | ||||||
2,619,000 | 2.13%, 11/30/24 | 2,514,752 | ||||||
2,314,000 | 2.25%, 12/31/24^ | 2,237,801 | ||||||
3,900,800 | 1.50%, 8/15/26 | 3,522,910 | ||||||
|
| |||||||
81,750,846 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Notes (2.8%) | ||||||||
2,238,000 | 0.25%, 1/15/25 | 2,302,525 | ||||||
5,000,000 | 0.63%, 1/15/26 | 5,243,518 | ||||||
3,330,000 | 0.13%, 7/15/26^ | 3,334,512 | ||||||
5,351,100 | 0.38%, 7/15/27 | 5,332,011 | ||||||
|
| |||||||
16,212,566 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $126,924,560) | 122,682,367 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (16.1%): | ||||||||
95,506,225 | AZL Fidelity Institutional Asset Management Multi-Strategy Fund Securities Lending Collateral Account(e) | 95,506,225 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 95,506,225 | ||||||
|
|
Continued
14
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Unaffiliated Investment Company (1.9%): | ||||||||
$ | 11,171,522 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(f) | $ | 11,171,522 | ||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $11,171,522) | 11,171,522 | |||||||
|
| |||||||
Total Investment Securities (Cost $672,677,452) — 117.1%(g) | 692,990,953 | |||||||
Net other assets (liabilities) — (17.1)% | (101,028,493 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 591,962,460 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
GO—General Obligation
LIBOR—London Interbank Offered Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USSW5—USD 5 Year Swap Rate
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $92,241,623. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2018. |
(c) | Defaulted bond. |
(d) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.07% of the net assets of the fund. |
(e) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(f) | The rate represents the effective yield at June 30, 2018. |
(g) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Securities Sold Short (-0.3%):
|
| |||||||||||||||||||||
Security Description | Coupon Rate | Maturity Date | Par Amount | Proceeds Received | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Federal National Mortgage Association, TBA | 3.50% | 7/25/48 | $ | (1,600,000 | ) | $ | (1,582,500 | ) | $ | (1,592,474 | ) | $ | (9,974 | ) | ||||||||
|
|
|
|
|
| |||||||||||||||||
$ | (1,582,500 | ) | $ | (1,592,474 | ) | $ | (9,974 | ) | ||||||||||||||
|
|
|
|
|
|
Futures Contracts
Cash of $50,400 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/21/18 | 10 | $ | 1,360,800 | $ | (20,299 | ) | |||||||||
|
| |||||||||||||||
$ | (20,299 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 672,677,452 | |||
|
| ||||
Investment securities, at value* | $ | 692,990,953 | |||
Cash | 968 | ||||
Segregated cash for collateral | 50,400 | ||||
Interest and dividends receivable | 3,209,662 | ||||
Receivable for capital shares issued | 99,313 | ||||
Receivable for investments sold | 8,246,114 | ||||
Receivable for variation margin on futures contracts | 945 | ||||
Reclaims receivable | 149,082 | ||||
Prepaid expenses | 3,652 | ||||
|
| ||||
Total Assets | 704,751,089 | ||||
|
| ||||
Liabilities: | |||||
Foreign currency, at value (cost $34,494) | 34,494 | ||||
Payable for investments purchased | 15,110,474 | ||||
Payable for capital shares redeemed | 179,886 | ||||
Payable for collateral received on loaned securities | 95,506,225 | ||||
Securities sold short (Proceeds received $1,582,500) | 1,592,474 | ||||
Payable for variation margin on futures contracts | 409 | ||||
Manager fees payable | 196,077 | ||||
Administration fees payable | 14,377 | ||||
Distribution fees payable | 122,701 | ||||
Custodian fees payable | 3,337 | ||||
Administrative and compliance services fees payable | 858 | ||||
Transfer agent fees payable | 559 | ||||
Trustee fees payable | 5,103 | ||||
Other accrued liabilities | 21,655 | ||||
|
| ||||
Total Liabilities | 112,788,629 | ||||
|
| ||||
Net Assets | $ | 591,962,460 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 513,288,660 | |||
Accumulated net investment income/(loss) | 20,275,702 | ||||
Accumulated net realized gains/(losses) from investment transactions | 38,107,900 | ||||
Net unrealized appreciation/(depreciation) on investments | 20,290,198 | ||||
|
| ||||
Net Assets | $ | 591,962,460 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 44,222,979 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.39 | |||
|
|
* | Includes securities on loan of $92,241,623. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Interest | $ | 6,194,511 | |||
Dividends | 2,678,482 | ||||
Income from securities lending | 126,469 | ||||
Foreign withholding tax | (82,717 | ) | |||
|
| ||||
Total Investment Income | 8,916,745 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,107,461 | ||||
Administration fees | 116,763 | ||||
Distribution fees | 752,662 | ||||
Custodian fees | 15,050 | ||||
Administrative and compliance services fees | 4,048 | ||||
Transfer agent fees | 2,546 | ||||
Trustee fees | 12,324 | ||||
Professional fees | 13,298 | ||||
Shareholder reports | 6,148 | ||||
Other expenses | 5,373 | ||||
|
| ||||
Total expenses before reductions | 3,035,673 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (752,662 | ) | |||
Less expense contractually waived/reimbursed by the Manager | (150,254 | ) | |||
|
| ||||
Net expenses | 2,132,757 | ||||
|
| ||||
Net Investment Income/(Loss) | 6,783,988 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 16,448,046 | ||||
Net realized gains/(losses) on futures contracts | 67,232 | ||||
Net realized gains/(losses) on securities sold short | 51,911 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (21,753,330 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (59,447 | ) | |||
Change in net unrealized appreciation/depreciation on securities sold short | (9,974 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (5,255,562 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 1,528,426 | |||
|
|
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,783,988 | $ | 13,232,000 | ||||||
Net realized gains/(losses) on investment transactions | 16,567,189 | 22,009,963 | ||||||||
Change in unrealized appreciation/depreciation on investments | (21,822,751 | ) | 32,662,848 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 1,528,426 | 67,904,811 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net realized gains | — | (21,250,085 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (21,250,085 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 6,778,888 | 3,203,380 | ||||||||
Proceeds from dividends reinvested | — | 21,250,085 | ||||||||
Value of shares redeemed | (43,719,936 | ) | (101,460,476 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (36,941,048 | ) | (77,007,011 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (35,412,622 | ) | (30,352,285 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 627,375,082 | 657,727,367 | ||||||||
|
|
|
| |||||||
End of period | $ | 591,962,460 | $ | 627,375,082 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 20,275,702 | $ | 13,491,714 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 506,281 | 243,838 | ||||||||
Dividends reinvested | — | 1,649,851 | ||||||||
Shares redeemed | (3,268,756 | ) | (7,827,925 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,762,475 | ) | (5,934,236 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.35 | $ | 12.43 | $ | 12.06 | $ | 13.72 | $ | 13.86 | $ | 12.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.17 | 0.28 | 0.34 | 0.32 | 0.32 | 0.15 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.13 | ) | 1.09 | 0.44 | (1.07 | ) | (0.01 | ) | 2.01 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.04 | 1.37 | 0.78 | (0.75 | ) | 0.31 | 2.16 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | — | (0.18 | ) | (0.56 | ) | (0.22 | ) | (0.22 | ) | ||||||||||||||||||||
Net Realized Gains | — | (0.45 | ) | (0.23 | ) | (0.35 | ) | (0.23 | ) | (0.09 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.45 | ) | (0.41 | ) | (0.91 | ) | (0.45 | ) | (0.31 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.39 | $ | 13.35 | $ | 12.43 | $ | 12.06 | $ | 13.72 | $ | 13.86 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 0.30 | %(b) | 11.12 | % | 6.52 | % | (5.46 | )% | 2.14 | % | 18.12 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 591,962 | $ | 627,375 | $ | 657,727 | $ | 735,431 | $ | 795,513 | $ | 711,214 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 2.25 | % | 2.06 | % | 2.48 | % | 2.31 | % | 2.51 | % | 2.10 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.01 | % | 1.00 | % | 1.04 | % | 1.04 | % | 1.04 | % | 1.05 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.71 | % | 0.71 | % | 0.97 | % | 1.04 | % | 1.04 | % | 1.05 | % | ||||||||||||||||||
Portfolio Turnover Rate | 32 | %(b) | 82 | % | 148 | %(e) | 35 | % | 23 | % | 24 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Effective October 14, 2016, the investment strategy of the Fund changed. Costs of purchases and proceeds from sales of portfolio securities associated with the changes in investment strategy contributed to higher portfolio turnover for the period ended December 31, 2016 as compared to prior years. |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Fidelity Institutional Asset Management Multi-Strategy Fund (formerly, AZL Pyramis® Multi-Strategy Fund) (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Floating Rate Loans
The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are variable and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. A Fund records an investment when the borrower withdraws money and records the interest as earned.
Structured Notes
The Fund may invest in structured notes, the values of which are based on the price movements of a reference security or index. Structured notes are derivative debt securities, the interest rate or principal of which is determined by an unrelated indicator. The terms of the structured notes may provide that in certain circumstances no principal is due at maturity and therefore, may result in a loss of invested capital. Structured notes may be positively or negatively indexed, so that appreciation of the reference may produce an increase or a decrease in the interest rate or the value of the structured note at maturity may be calculated as a specified multiple of the change in the value of the reference; therefore, the value of such security may be very volatile. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities.
19
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Funds may engage in short sales against the box (i.e., where the Funds owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Funds sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Funds may also incur an interest expense if a security that has been sold short has an interest payment. When the Funds engages in a short sale, the Funds records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Funds also may be required to pay a premium, which would increase the cost of the security sold.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $81 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $12,542 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $95,506,225 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized
20
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2018, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund did not enter into any futures contracts. The Fund may enter into futures contracts to manage its exposure to the securities markets or to movements in market conditions or foreign exchange rates. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $3.6 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 20,299 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | 67,232 | $ | (59,447 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained two independent money management organizations (the “Subadviser”), FIAM LLC (“FIAM”) and Geode Capital Management, LLC (“Geode”) to make investment decisions on behalf of the Fund. Pursuant to subadvisory agreements with the Manager and FIAM, and the Manager and Geode provide investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
21
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | 0.70 | % | 0.71 | % |
* | The Manager voluntarily reduced the management fee to 0.45% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2018, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2019 | Expires 12/31/2020 | Total | |||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 134,642 | $ | 268,430 | $ | 403,072 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $2,574 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
22
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Common Stocks+ | $ | 232,211,896 | $ | — | $ | — | $ | 232,211,896 | ||||||||||||
Asset Backed Securities | — | 4,125,429 | — | 4,125,429 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 3,332,492 | — | 3,332,492 | ||||||||||||||||
Corporate Bonds+ | — | 98,034,807 | — | 98,034,807 | ||||||||||||||||
Foreign Bond | — | 45 | — | 45 | ||||||||||||||||
Yankee Dollars+ | — | 38,520,060 | — | 38,520,060 | ||||||||||||||||
Municipal Bonds | — | 4,953,552 | — | 4,953,552 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 82,452,558 | — | 82,452,558 | ||||||||||||||||
U.S. Treasury Obligations | — | 122,682,367 | — | 122,682,367 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 95,506,225 | 95,506,225 | ||||||||||||||||
Unaffiliated Investment Company | 11,171,522 | — | — | 11,171,522 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 243,383,418 | 354,101,310 | 95,506,225 | 692,990,953 | ||||||||||||||||
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| |||||||||||||
Securities Sold Short | — | (1,592,474 | ) | — | (1,592,474 | ) | ||||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (20,299 | ) | — | — | (20,299 | ) | ||||||||||||||
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| |||||||||||||
Total Investments | $ | 243,363,119 | $ | 352,508,836 | $ | 95,506,225 | $ | 691,378,180 | ||||||||||||
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|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 190,304,373 | $ | 220,090,124 |
For the period ended June 30, 2018, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 43,432,752 | $ | 50,051,794 |
23
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2018 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 8/3/18 @ 103.44 | 6/21/17 | $ | 5,213 | $ | 230,000 | $ | 232,300 | 0.04 | % | ||||||||||||||||
NSG Holdings LLC, 7.75%, 12/15/25 | 5/3/17 | 185,407 | 159,000 | 173,309 | 0.03 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $671,837,494. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 33,917,249 | ||
Unrealized (depreciation) | (14,356,264 | ) | ||
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| |||
Net unrealized appreciation/(depreciation) | $ | 19,560,985 | ||
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As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 21,250,085 | $ | — | $ | 21,250,085 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
24
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 24,388,280 | $ | 11,452,382 | $ | — | $ | 41,304,712 | $ | 77,145,374 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 95% of the Fund.
10. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
25
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
26
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Fidelity Institutional Asset Management® Total Bond Fund
(formerly, AZL® Pyramis® Total Bond Fund)
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 15 |
Page 15 |
Statements of Changes in Net Assets Page 16 |
Page 17 |
Notes to the Financial Statements Page 18 |
Page 24 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Fidelity Institutional Asset Management Total Bond Fund
(Unaudited)
As a shareholder of the AZL Fidelity Institutional Asset Management Total Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 1,000.00 | $ | 984.90 | $ | 2.76 | 0.56 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 1,000.00 | $ | 984.40 | $ | 3.99 | 0.81 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 1,000.00 | $ | 1,020.78 | $ | 4.06 | 0.81 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Treasury Obligations | 32.3 | % | |||
Corporate Bonds | 28.3 | ||||
U.S. Government Agency Mortgages | 22.8 | ||||
Yankee Dollars | 10.7 | ||||
Securities Held as Collateral for Securities on Loan | 6.7 | ||||
Money Markets | 3.1 | ||||
Municipal Bonds | 1.6 | ||||
Collateralized Mortgage Obligations | 1.4 | ||||
Asset Backed Securities | 1.1 | ||||
Common Stocks | — | ^ | |||
Warrants | — | ^ | |||
|
| ||||
Total Investment Securities | 108.0 | ||||
Net other assets (liabilities) | (8.0 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Asset Backed Securities (1.1%): | ||||||||
$ | 2,421,842 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | $ | 2,418,264 | ||||
420,960 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 417,783 | ||||||
205,729 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 200,238 | ||||||
739,193 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 743,496 | ||||||
619,000 | Castlelake Aircraft Securitization Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 621,847 | ||||||
23,803 | Countrywide Asset-Backed Certificates Trust, Class AF5, Series 2004-7, 5.87%, 1/25/35, Callable 7/25/18 @ 100(b) | 23,973 | ||||||
339,295 | DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/23 @ 100(a) | 333,191 | ||||||
570,135 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | 565,625 | ||||||
578,482 | Thunderbolt Aircraft Lease Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | 581,253 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $5,921,178) | 5,905,670 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (1.4%): | ||||||||
1,384,000 | CSMC Trust, Class D, Series 2017-PFHP, 4.32% (US0001M+225bps), 12/15/30(a) | 1,387,039 | ||||||
2,000,000 | GAHR Commercial Mortgage Trust, Class BFX, Series 2015-NRF, 3.49%, 12/15/34(a)(b) | 1,999,361 | ||||||
390,000 | GAHR Commercial Mortgage Trust, Class CFX, Series 2015-NRF, 3.38%, 12/15/34(a) | 388,782 | ||||||
2,930,000 | GAHR Commercial Mortgage Trust, Class DFX, Series 2015-NRF, 3.49%, 12/15/34(a)(b) | 2,912,663 | ||||||
594,347 | MSCG Trust, Class A, Series 2016-SNR, 3.35%, 11/15/34(a)(b) | 584,348 | ||||||
209,403 | MSCG Trust, Class B, Series 2016-SNR, 4.18%, 11/15/34(a) | 205,612 | ||||||
147,027 | MSCG Trust, Class C, Series 2016-SNR, 5.21%, 11/15/34(a) | 146,426 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $7,733,407) | 7,624,231 | |||||||
|
| |||||||
Corporate Bonds (28.3%): | ||||||||
Aerospace & Defense (0.3%): | ||||||||
365,000 | BBA US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @ 102.69(a) | 366,372 | ||||||
315,000 | BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69^(a) | 318,938 | ||||||
747,000 | KLX, Inc., 5.88%, 12/1/22, Callable 8/3/18 @ 104.41(a) | 775,946 | ||||||
|
| |||||||
1,461,256 | ||||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
493,000 | General Motors Co., 3.50%, 10/2/18 | 493,934 | ||||||
|
| |||||||
Banks (2.5%): | ||||||||
656,000 | Bank of America Corp., 4.20%, 8/26/24 | 659,424 | ||||||
612,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 599,353 | ||||||
690,000 | Bank of America Corp., 3.50%, 4/19/26 | 667,415 | ||||||
593,000 | Bank of America Corp., 4.25%, 10/22/26 | 585,980 | ||||||
811,000 | Bank of America Corp., 3.42% (US0003M+104bps), 12/20/28, Callable 12/20/27 @ 100.00 | 763,698 | ||||||
250,000 | Bank of America Corp., 6.10% (US0003M+390bps), 12/29/49, Callable 3/17/25 @ 100.00^ | 259,850 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 755,000 | CIT Group, Inc., 6.13%, 3/9/28^ | $ | 775,763 | ||||
1,090,000 | Citigroup, Inc., 4.05%, 7/30/22 | 1,095,884 | ||||||
1,642,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,602,249 | ||||||
250,000 | Citizens Bank NA/RI, 2.55%, 5/13/21, Callable 4/13/21 @ 100.00 | 243,812 | ||||||
253,000 | Citizens Bank of Rhode Island, 2.50%, 3/14/19, Callable 2/14/19 @ 100.00, MTN | 252,426 | ||||||
2,994,000 | JPMorgan Chase & Co., 3.88%, 9/10/24 | 2,966,233 | ||||||
759,000 | JPMorgan Chase & Co., 2.95%, 10/1/26, Callable 7/1/26 @ 100.00 | 705,031 | ||||||
1,109,000 | JPMorgan Chase & Co., 4.13%, 12/15/26 | 1,094,993 | ||||||
240,000 | JPMorgan Chase & Co., Series S, 6.75% (US0003M+378bps), 12/31/99, Callable 2/1/24 @ 100.00^ | 261,000 | ||||||
500,000 | Regions Bank, 6.45%, 6/26/37 | 590,760 | ||||||
260,000 | Regions Financial Corp., 3.20%, 2/8/21, Callable 1/8/21 @ 100.00 | 258,654 | ||||||
|
| |||||||
13,382,525 | ||||||||
|
| |||||||
Beverages (0.6%): | ||||||||
1,481,000 | Anheuser-Busch InBev NV, 3.30%, 2/1/23, Callable 12/1/22 @ 100.00 | 1,468,616 | ||||||
1,402,000 | Anheuser-Busch InBev NV, 4.70%, 2/1/36, Callable 8/1/35 @ 100.00 | 1,420,993 | ||||||
509,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100.00 | 497,176 | ||||||
|
| |||||||
3,386,785 | ||||||||
|
| |||||||
Capital Markets (2.0%): | ||||||||
282,000 | Affiliated Managers Group, Inc., 4.25%, 2/15/24 | 286,892 | ||||||
572,000 | Affiliated Managers Group, Inc., 3.50%, 8/1/25 | 554,458 | ||||||
194,000 | Goldman Sachs Group, Inc., 6.75%, 10/1/37 | 230,247 | ||||||
596,000 | Goldman Sachs Group, Inc. (The), 2.88% (US0003M+82bps), 10/31/22, Callable 10/31/21 @ 100.00 | 581,827 | ||||||
230,000 | IntercontinentalExchange, 2.75%, 12/1/20, Callable 11/1/20 @ 100.00 | 228,150 | ||||||
464,000 | Lazard Group LLC, 4.25%, 11/14/20 | 473,083 | ||||||
227,000 | Moody’s Corp., 4.88%, 2/15/24, Callable 11/15/23 @ 100.00 | 238,312 | ||||||
781,000 | Morgan Stanley, 4.88%, 11/1/22 | 810,063 | ||||||
7,000,000 | Morgan Stanley, 3.74% (US0003M+85bps), 4/24/24, Callable 4/24/23 @ 100.00 | 6,957,999 | ||||||
220,000 | MSCI, Inc., 4.75%, 8/1/26, Callable 8/1/21 @ 102.38(a) | 212,850 | ||||||
114,000 | Tiaa Asset Management Finance LLC, 2.95%, 11/1/19(a) | 113,555 | ||||||
165,000 | Tiaa Asset Management Finance LLC, 4.13%, 11/1/24(a) | 164,093 | ||||||
|
| |||||||
10,851,529 | ||||||||
|
| |||||||
Chemicals (0.6%): | ||||||||
550,000 | CF Industries Holdings, Inc., 3.45%, 6/1/23^ | 520,432 | ||||||
200,000 | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100.00 | 193,500 | ||||||
617,000 | Platform Specialty Products, 6.50%, 2/1/22, Callable 8/3/18 @ 103.25(a) | 627,798 | ||||||
370,000 | Platform Specialty Products Corp., 5.88%, 12/1/25, Callable 12/1/20 @ 102.94^(a) | 361,675 |
Continued
2
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Chemicals, continued | ||||||||
$ | 565,000 | TPC Group, Inc., 8.75%, 12/15/20, Callable 8/3/18 @ 102.19(a) | $ | 559,350 | ||||
200,000 | Valvoline, Inc., 4.38%, 8/15/25, Callable 8/15/20 @ 103.28 | 186,000 | ||||||
260,000 | Venator Finance SARL/Venator Materials Corp., 5.75%, 7/15/25, Callable 7/15/20 @ 104.31^(a) | 248,300 | ||||||
300,000 | W R Grace & Co., 5.63%, 10/1/24(a) | 312,750 | ||||||
|
| |||||||
3,009,805 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
280,000 | ADT Corp., 4.88%, 7/15/32(a) | 219,100 | ||||||
335,000 | Covanta Holding Corp., 5.88%, 3/1/24, Callable 3/1/19 @ 102.94 | 329,975 | ||||||
|
| |||||||
549,075 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
375,000 | AECOM, 5.88%, 10/15/24, Callable 7/15/24 @ 100.00 | 388,125 | ||||||
300,000 | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100.00 | 282,750 | ||||||
220,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 7/15/20 @ 106.34(a) | 222,750 | ||||||
|
| |||||||
893,625 | ||||||||
|
| |||||||
Consumer Finance (2.1%): | ||||||||
600,000 | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/20/25 @ 100.00^ | 611,250 | ||||||
406,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100.00 | 383,240 | ||||||
797,000 | Capital One NA, Series BNKT, 2.95%, 7/23/21, Callable 6/23/21 @ 100.00^ | 782,785 | ||||||
250,000 | Discover Bank, 7.00%, 4/15/20 | 264,008 | ||||||
644,000 | Discover Bank, Series BKNT, 3.20%, 8/9/21, Callable 7/9/21 @ 100.00 | 636,668 | ||||||
1,000,000 | Discover Financial Services, 5.20%, 4/27/22 | 1,043,022 | ||||||
457,000 | Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100.00 | 438,347 | ||||||
896,000 | Ford Motor Credit Co. LLC, 2.88%, 10/1/18 | 896,197 | ||||||
1,493,000 | Ford Motor Credit Co. LLC, 2.60%, 11/4/19 | 1,480,626 | ||||||
500,000 | General Motors Acceptance Corp., 8.00%, 11/1/31 | 595,000 | ||||||
572,000 | General Motors Financial Co., 3.50%, 7/10/19 | 574,872 | ||||||
747,000 | General Motors Financial Co., 4.20%, 3/1/21, Callable 2/1/21 @ 100.00 | 757,413 | ||||||
240,000 | Hyundai Capital America, 2.88%, 8/9/18(a) | 239,965 | ||||||
564,000 | Hyundai Capital America, 2.55%, 2/6/19(a) | 561,917 | ||||||
447,000 | Navient Corp., 8.00%, 3/25/20, MTN | 471,585 | ||||||
195,000 | Navient Corp., 7.25%, 9/25/23^ | 204,263 | ||||||
415,000 | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100.00^ | 415,240 | ||||||
206,000 | Synchrony Financial, 3.00%, 8/15/19, Callable 7/15/19 @ 100.00 | 205,563 | ||||||
510,000 | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100.00 | 509,471 | ||||||
314,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100.00 | 307,818 | ||||||
245,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100.00 | 226,014 | ||||||
|
| |||||||
11,605,264 | ||||||||
|
|
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Containers & Packaging (0.1%): | ||||||||
$ | 125,000 | Crown Americas LLC, 4.75%, 2/1/26, Callable 2/1/21 @ 103.56^(a) | $ | 118,750 | ||||
100,000 | Crown Americas LLC, 4.25%, 9/30/26, Callable 3/31/26 @ 100.00^ | 91,500 | ||||||
80,000 | Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 86,400 | ||||||
300,000 | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 7/15/19 @ 102.56(a) | 296,250 | ||||||
170,000 | Silgan Holdings, Inc., 4.75%, 3/15/25, Callable 3/15/20 @ 102.38 | 161,500 | ||||||
|
| |||||||
754,400 | ||||||||
|
| |||||||
Diversified Consumer Services (0.5%): | ||||||||
1,230,000 | APX Group, Inc., 8.75%, 12/1/20, Callable 8/3/18 @ 102.19^ | 1,177,233 | ||||||
640,000 | APX Group, Inc., 7.63%, 9/1/23, Callable 9/1/19 @ 105.72^ | 568,000 | ||||||
170,000 | Ascend Learning LLC, 6.88%, 8/1/25, Callable 8/1/20 @ 103.44(a) | 171,488 | ||||||
690,000 | Laureate Education, Inc., 8.25%, 5/1/25, Callable 5/1/20 @ 106.19^(a) | 736,147 | ||||||
|
| |||||||
2,652,868 | ||||||||
|
| |||||||
Diversified Financial Services (0.2%): | ||||||||
91,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100.00(a) | 90,283 | ||||||
500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 486,484 | ||||||
190,000 | USA Compression Partners LP, 6.88%, 4/1/26, Callable 4/1/21 @ 105.16^(a) | 196,650 | ||||||
285,000 | Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100.00 | 269,229 | ||||||
|
| |||||||
1,042,646 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.3%): | ||||||||
481,000 | AT&T, Inc., 2.45%, 6/30/20, Callable 5/30/20 @ 100.00 | 473,725 | ||||||
867,000 | AT&T, Inc., 3.60%, 2/17/23, Callable 12/17/22 @ 100.00^ | 854,178 | ||||||
42,000 | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100.00 | 42,401 | ||||||
385,000 | Frontier Communications Corp., 7.05%, 10/1/46 | 211,750 | ||||||
830,000 | Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 1/15/19 @ 102.69^ | 812,985 | ||||||
300,000 | Level 3 Financing, Inc., 5.38%, 5/1/25, Callable 5/1/20 @ 102.69 | 288,750 | ||||||
200,000 | Qwest Corp., 7.25%, 9/15/25 | 213,704 | ||||||
600,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25, Callable 2/15/20 @ 103.31^(a) | 549,000 | ||||||
1,116,000 | Verizon Communications, Inc., 5.50%, 3/16/47 | 1,169,414 | ||||||
900,000 | Verizon Communications, Inc., 5.01%, 4/15/49 | 876,466 | ||||||
889,000 | Verizon Communications, Inc., 5.01%, 8/21/54 | 835,353 | ||||||
747,000 | Zayo Group LLC/Zayo Capital, 6.38%, 5/15/25, Callable 5/15/20 @ 103.19^ | 761,006 | ||||||
|
| |||||||
7,088,732 | ||||||||
|
| |||||||
Electric Utilities (0.7%): | ||||||||
164,000 | Emera US Finance LP, 2.15%, 6/15/19 | 162,288 | ||||||
163,000 | Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100.00 | 158,650 | ||||||
260,000 | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100.00 | 244,806 |
Continued
3
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 455,000 | FirstEnergy Solutions Co., 6.05%, 8/15/21(c) | $ | 225,225 | ||||
2,306,000 | FirstEnergy, Inc., Series B, 4.25%, 3/15/23, Callable 12/15/22 @ 100.00 | 2,342,991 | ||||||
238,500 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(d) | 259,965 | ||||||
175,000 | NV Energy, Inc., 6.25%, 11/15/20 | 186,798 | ||||||
|
| |||||||
3,580,723 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.1%): | ||||||||
345,000 | TTM Technologies, Inc., 5.63%, 10/1/25, Callable 10/1/20 @ 102.81(a) | 336,375 | ||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
349,000 | Halliburton Co., 3.80%, 11/15/25, Callable 8/15/25 @ 100.00 | 346,504 | ||||||
306,000 | Halliburton Co., 4.85%, 11/15/35, Callable 5/15/35 @ 100.00 | 316,423 | ||||||
170,000 | Nabors Industries, Inc., 5.50%, 1/15/23, Callable 11/15/22 @ 100.00 | 163,625 | ||||||
|
| |||||||
826,552 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (3.7%): | ||||||||
82,000 | Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20, Callable 12/15/19 @ 100.00 | 81,330 | ||||||
152,000 | American Campus Communities, Inc., 3.75%, 4/15/23, Callable 1/15/23 @ 100.00 | 151,188 | ||||||
747,000 | American Tower Corp., 2.80%, 6/1/20, Callable 5/1/20 @ 100.00 | 740,588 | ||||||
161,000 | AvalonBay Communities, Inc., 3.63%, 10/1/20, Callable 7/1/20 @ 100.00 | 162,235 | ||||||
514,000 | BPG Subsidiary, Inc., 3.88%, 8/15/22, Callable 6/15/22 @ 100.00 | 512,125 | ||||||
394,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100.00 | 389,016 | ||||||
426,000 | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100.00 | 417,602 | ||||||
421,000 | Brandywine Operating Partnership LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100.00 | 399,993 | ||||||
489,000 | Brandywine Realty Trust, 3.95%, 2/15/23, Callable 11/15/22 @ 100.00 | 486,691 | ||||||
788,000 | Brixmor Operating Partners LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100.00 | 755,019 | ||||||
134,000 | Camden Property Trust, 2.95%, 12/15/22, Callable 9/15/22 @ 100.00 | 130,488 | ||||||
381,000 | Corporate Office Properties Trust, 3.70%, 6/15/21, Callable 4/15/21 @ 100.00 | 377,941 | ||||||
414,000 | Corporate Office Properties Trust, 5.00%, 7/1/25, Callable 4/1/25 @ 100.00 | 422,532 | ||||||
155,000 | Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100.00 | 155,000 | ||||||
1,114,000 | DDR Corp., 4.63%, 7/15/22, Callable 4/15/22 @ 100.00 | 1,142,402 | ||||||
484,000 | Digital Realty Trust LP, 3.95%, 7/1/22, Callable 5/1/22 @ 100.00 | 488,946 | ||||||
491,000 | Digital Realty Trust LP, 4.75%, 10/1/25, Callable 7/1/25 @ 100.00 | 505,968 | ||||||
458,000 | Digital Realty Trust, Inc., 3.40%, 10/1/20, Callable 9/1/20 @ 100.00^ | 457,840 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 256,000 | Duke Realty LP, 3.88%, 10/15/22, Callable 7/15/22 @ 100.00 | $ | 258,501 | ||||
273,000 | Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100.00 | 270,654 | ||||||
146,000 | Duke Realty LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100.00 | 143,879 | ||||||
747,000 | Equinix, Inc., 5.75%, 1/1/25, Callable 1/1/20 @ 102.88^ | 752,378 | ||||||
70,000 | Equity Commonwealth, 5.88%, 9/15/20, Callable 3/15/20 @ 100.00 | 72,289 | ||||||
500,000 | Equity One, Inc., 3.75%, 11/15/22, Callable 8/15/22 @ 100.00 | 497,944 | ||||||
65,000 | GLP Capital, LP/Finance II, Inc., 5.25%, 6/1/25 | 65,000 | ||||||
1,000,000 | Government Properties Income Trust, 3.75%, 8/15/19, Callable 7/15/19 @ 100.00 | 1,001,253 | ||||||
500,000 | Health Care REIT, Inc., 4.13%, 4/1/19, Callable 1/1/19 @ 100.00 | 502,928 | ||||||
135,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100.00 | 132,968 | ||||||
500,000 | Mack-Cali Realty LP, 4.50%, 4/18/22, Callable 1/18/22 @ 100.00 | 486,850 | ||||||
401,000 | Mack-Cali Realty LP, 3.15%, 5/15/23, Callable 2/15/23 @ 100.00 | 356,915 | ||||||
300,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63 | 294,000 | ||||||
820,000 | OMEGA Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100.00 | 814,132 | ||||||
126,000 | OMEGA Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100.00^ | 127,818 | ||||||
281,000 | OMEGA Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100.00^ | 274,574 | ||||||
785,000 | OMEGA Healthcare Investors, Inc., 5.25%, 1/15/26, Callable 10/15/25 @ 100.00 | 791,715 | ||||||
2,431,000 | OMEGA Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100.00^ | 2,316,360 | ||||||
748,000 | OMEGA Healthcare Investors, Inc., 4.75%, 1/15/28, Callable 10/15/27 @ 100.00^ | 721,159 | ||||||
70,000 | Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100.00 | 69,014 | ||||||
68,000 | Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100.00 | 68,428 | ||||||
104,000 | Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100.00 | 98,201 | ||||||
900,000 | Sabra Health/Capital Corp., 5.50%, 2/1/21, Callable 8/3/18 @ 102.75 | 917,172 | ||||||
161,000 | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100.00 | 157,325 | ||||||
411,000 | Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100.00 | 394,597 | ||||||
342,000 | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100.00 | 308,604 | ||||||
118,000 | Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100.00 | 114,280 | ||||||
199,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100.00 | 192,178 | ||||||
67,000 | Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100.00 | 66,085 | ||||||
814,000 | WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100.00 | 789,786 | ||||||
|
| |||||||
20,833,891 | ||||||||
|
|
Continued
4
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing (0.8%): | ||||||||
$ | 400,000 | CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100.00 | $ | 397,972 | ||||
1,017,000 | CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100.00 | 1,011,611 | ||||||
1,181,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100.00 | 1,164,949 | ||||||
526,000 | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100.00 | 517,359 | ||||||
773,000 | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100.00 | 786,679 | ||||||
100,000 | US Foods, Inc., 5.88%, 6/15/24, Callable 6/15/19 @ 102.94(a) | 101,750 | ||||||
405,000 | Walgreens Boots Alliance, Inc., 3.30%, 11/18/21, Callable 9/18/21 @ 100.00^ | 402,424 | ||||||
|
| |||||||
4,382,744 | ||||||||
|
| |||||||
Food Products (0.1%): | ||||||||
390,000 | JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 6/15/20 @ 102.88^(a) | 362,700 | ||||||
300,000 | Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.50(a) | 279,750 | ||||||
|
| |||||||
642,450 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
291,000 | Becton Dickinson And Co., 3.70%, 6/6/27, Callable 3/6/27 @ 100.00 | 275,461 | ||||||
330,000 | Ortho-Clinical Diagnostics, Inc., 6.63%, 5/15/22, Callable 8/3/18 @ 101.66(a) | 322,575 | ||||||
190,000 | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | 186,200 | ||||||
|
| |||||||
784,236 | ||||||||
|
| |||||||
Health Care Providers & Services (1.1%): | ||||||||
390,000 | Community Health Systems, Inc., 5.13%, 8/1/21, Callable 8/3/18 @ 102.56^ | 360,750 | ||||||
180,000 | Community Health Systems, Inc., 6.25%, 3/31/23, Callable 3/31/20 @ 103.13 | 164,925 | ||||||
530,000 | HCA, Inc., 3.75%, 3/15/19^ | 531,988 | ||||||
2,837,000 | HCA, Inc., 6.50%, 2/15/20 | 2,945,160 | ||||||
37,000 | HCA, Inc., 5.88%, 3/15/22 | 38,573 | ||||||
30,000 | HCA, Inc., 4.75%, 5/1/23 | 29,925 | ||||||
500,000 | HCA, Inc., 5.38%, 2/1/25 | 492,350 | ||||||
300,000 | Tenet Healthcare Corp., 4.50%, 4/1/21^ | 297,000 | ||||||
637,000 | Tenet Healthcare Corp., 8.13%, 4/1/22 | 665,996 | ||||||
200,000 | Vizient, Inc., 10.38%, 3/1/24, Callable 3/1/19 @ 107.78(a) | 220,500 | ||||||
|
| |||||||
5,747,167 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
300,000 | IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.50(a) | 292,125 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.5%): | ||||||||
300,000 | Aramark Services, Inc., 5.00%, 4/1/25, Callable 4/1/20 @ 103.75^(a) | 298,500 | ||||||
495,000 | Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 10/15/20 @ 102.63^(a) | 468,394 | ||||||
80,000 | Eldorado Resorts, Inc., 7.00%, 8/1/23, Callable 8/3/18 @ 105.25 | 84,000 | ||||||
145,000 | Eldorado Resorts, Inc., 6.00%, 4/1/25, Callable 4/1/20 @ 104.50 | 145,181 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 155,000 | Hilton Worldwide Finance LLC, 4.63%, 4/1/25, Callable 4/1/20 @ 102.31 | $ | 151,125 | ||||
128,000 | McDonald’s Corp., 2.75%, 12/9/20, Callable 11/9/20 @ 100.00 | 127,135 | ||||||
595,000 | MGM Growth Properties LLC, 4.50%, 9/1/26, Callable 6/1/26 @ 100.00 | 552,605 | ||||||
150,000 | Penn National Gaming, Inc., 5.63%, 1/15/27, Callable 1/15/22 @ 102.81(a) | 141,375 | ||||||
85,000 | Scientific Games International, Inc., 5.00%, 10/15/25, Callable 10/15/20 @ 103.75(a) | 80,963 | ||||||
145,000 | Station Casinos LLC, 5.00%, 10/1/25, Callable 10/1/20 @ 102.50(a) | 136,300 | ||||||
170,000 | Wyndham Hotels & Resorts, Inc., 5.38%, 4/15/26, Callable 4/15/21 @ 102.69(a) | 168,725 | ||||||
155,000 | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100.00(a) | 152,288 | ||||||
|
| |||||||
2,506,591 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.6%): | ||||||||
350,000 | AES Corp., 5.50%, 4/15/25, Callable 4/15/20 @ 102.75 | 352,625 | ||||||
200,000 | Calpine Corp., 5.38%, 1/15/23, Callable 10/15/18 @ 102.69^ | 190,250 | ||||||
995,000 | Dynegy, Inc., 8.00%, 1/15/25, Callable 1/15/20 @ 104.00^(a) | 1,068,381 | ||||||
763,000 | IPALCO Enterprises, Inc., 3.45%, 7/15/20, Callable 6/15/20 @ 100.00 | 759,704 | ||||||
211,000 | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100.00 | 204,598 | ||||||
175,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100.00^(a) | 168,438 | ||||||
391,000 | NRG Energy, 6.25%, 5/1/24, Callable 5/1/19 @ 103.13 | 400,775 | ||||||
|
| |||||||
3,144,771 | ||||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
300,000 | Icahn Enterprises LP, 6.00%, 8/1/20, Callable 8/3/18 @ 101.50 | 303,750 | ||||||
495,000 | Icahn Enterprises LP, 5.88%, 2/1/22, Callable 8/3/18 @ 102.94 | 495,618 | ||||||
195,000 | Icahn Enterprises LP, 6.75%, 2/1/24, Callable 2/1/20 @ 103.38^ | 196,463 | ||||||
|
| |||||||
995,831 | ||||||||
|
| |||||||
Insurance (1.0%): | ||||||||
326,000 | American International Group, Inc., 3.30%, 3/1/21, Callable 2/1/21 @ 100.00 | 325,770 | ||||||
1,208,000 | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100.00 | 1,166,843 | ||||||
100,000 | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | 101,500 | ||||||
180,000 | Liberty Mutual Group, Inc., 4.25%, 6/15/23(a) | 181,819 | ||||||
651,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 695,715 | ||||||
497,000 | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a) | 523,181 | ||||||
463,000 | Unum Group, 3.88%, 11/5/25 | 449,673 | ||||||
1,556,000 | Unum Group, 5.75%, 8/15/42 | 1,654,387 | ||||||
195,000 | Usis Merger Sub, Inc., 6.88%, 5/1/25, Callable 5/1/20 @ 103.44(a) | 194,025 | ||||||
|
| |||||||
5,292,913 | ||||||||
|
|
Continued
5
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Internet Software & Services (0.0%): | ||||||||
$ | 195,000 | Semgroup Corp., 6.38%, 3/15/25, Callable 3/15/20 @ 103.19^ | $ | 185,250 | ||||
|
| |||||||
IT Services (0.1%): | ||||||||
135,000 | Conduent Finance, Inc., 10.50%, 12/15/24, Callable 12/15/20 @ 105.25^(a) | 161,494 | ||||||
215,000 | First Data Corp., 5.75%, 1/15/24, Callable 1/15/19 @ 102.88(a) | 215,004 | ||||||
|
| |||||||
376,498 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.0%): | ||||||||
175,000 | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 10/15/20 @ 102.44(a) | 168,051 | ||||||
50,000 | Charles River Laboratories International, Inc., 5.50%, 4/1/26, Callable 4/1/21 @ 104.13^(a) | 50,110 | ||||||
|
| |||||||
218,161 | ||||||||
|
| |||||||
Media (2.7%): | ||||||||
390,000 | 21st Century Fox America, 7.75%, 12/1/45 | 549,615 | ||||||
747,000 | Altice US Finance I Corp., 5.38%, 7/15/23, Callable 7/16/18 @ 104.03^(a) | 743,265 | ||||||
175,000 | AMC Entertainment, Inc., 5.75%, 6/15/25, Callable 6/15/20 @ 102.88^ | 171,500 | ||||||
1,237,000 | CCO Holdings LLC, 5.88%, 4/1/24, Callable 4/1/19 @ 104.41(a) | 1,240,093 | ||||||
700,000 | CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a) | 683,375 | ||||||
95,000 | CCO Holdings LLC/Capital Corp., 5.38%, 5/1/25, Callable 5/1/20 @ 102.68(a) | 91,913 | ||||||
92,000 | Comcast Corp., 3.90%, 3/1/38, Callable 9/1/37 @ 100.00 | 83,487 | ||||||
219,000 | Comcast Corp., 4.65%, 7/15/42 | 213,063 | ||||||
245,000 | Comcast Corp., 4.60%, 8/15/45, Callable 2/15/45 @ 100.00 | 236,061 | ||||||
207,000 | Comcast Corp., 3.97%, 11/1/47, Callable 5/1/47 @ 100.00 | 182,338 | ||||||
169,000 | Comcast Corp., 4.00%, 3/1/48, Callable 9/1/47 @ 100.00^ | 148,892 | ||||||
342,000 | Comcast Corp., 4.00%, 11/1/49, Callable 5/1/49 @ 100.00 | 300,601 | ||||||
300,000 | DISH DBS Corp., 5.00%, 3/15/23^ | 260,250 | ||||||
300,000 | DISH DBS Corp., 5.88%, 11/15/24 | 253,875 | ||||||
210,000 | DISH Network Corp., 3.38%, 8/15/26 | 203,405 | ||||||
121,000 | NBCUniversal, 5.95%, 4/1/41 | 136,276 | ||||||
174,000 | NBCUniversal Media LLC, 4.45%, 1/15/43 | 164,487 | ||||||
1,000,000 | Neptune Finco Corp., 6.63%, 10/15/25, Callable 10/15/20 @ 103.31(a) | 1,023,750 | ||||||
300,000 | Sirius XM Radio, Inc., 4.63%, 5/15/23, Callable 8/3/18 @ 102.31(a) | 292,500 | ||||||
160,000 | Sirius XM Radio, Inc., 6.00%, 7/15/24, Callable 7/15/19 @ 103.00^(a) | 163,000 | ||||||
1,092,000 | Sirius XM Radio, Inc., 5.38%, 4/15/25, Callable 4/15/20 @ 102.69(a) | 1,076,985 | ||||||
195,000 | Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69^(a) | 187,688 | ||||||
1,069,000 | Time Warner Cable, Inc., 8.25%, 4/1/19 | 1,108,807 | ||||||
1,493,000 | Time Warner Cable, Inc., 4.13%, 2/15/21, Callable 11/15/20 @ 100.00 | 1,500,599 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 930,000 | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100.00 | $ | 929,979 | ||||
231,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 245,059 | ||||||
418,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | 473,807 | ||||||
2,240,000 | Time Warner Cable, Inc., 6.75%, 6/15/39 | 2,388,025 | ||||||
103,000 | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100.00 | 95,827 | ||||||
|
| |||||||
15,148,522 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
600,000 | Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100.00 | 570,000 | ||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%): | ||||||||
65,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100.00(a) | 62,400 | ||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
1,371,000 | Dominion Resources, Inc., Series 06-B, 4.63%(US0003M+230bps), 9/30/66, Callable 7/24/18 @ 100.00 | 1,278,457 | ||||||
49,000 | Puget Energy, Inc., 6.00%, 9/1/21 | 52,405 | ||||||
506,000 | Sempra Energy, 6.00%, 10/15/39 | 599,775 | ||||||
|
| |||||||
1,930,637 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.4%): | ||||||||
222,000 | Anadarko Petroleum Corp., 4.85%, 3/15/21, Callable 2/15/21 @ 100.00^ | 228,462 | ||||||
460,000 | Anadarko Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100.00^ | 492,990 | ||||||
722,000 | Anadarko Petroleum Corp., Series B, 7.50%, 5/1/31 | 894,330 | ||||||
122,000 | Anadarko Petroleum Corp., 6.45%, 9/15/36 | 140,990 | ||||||
612,000 | Anadarko Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100.00 | 735,539 | ||||||
400,000 | Antero Resources Corp., 5.13%, 12/1/22, Callable 8/3/18 @ 102.56 | 401,000 | ||||||
430,000 | California Resources Corp., 8.00%, 12/15/22, Callable 12/15/18 @ 104.00^(a) | 390,225 | ||||||
480,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24, Callable 1/1/24 @ 100.00 | 523,200 | ||||||
725,000 | Cheniere Energy Partners, 5.25%, 10/1/25, Callable 10/1/20 @ 102.63(a) | 707,200 | ||||||
714,000 | Chesapeake Energy Corp., 8.00%, 12/15/22, Callable 12/15/18 @ 104.00^(a) | 749,485 | ||||||
550,000 | Chesapeake Energy Corp., 8.00%, 1/15/25, Callable 1/15/20 @ 106.00^ | 560,148 | ||||||
630,000 | Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 8/3/18 @ 104.69(a) | 627,039 | ||||||
434,000 | Columbia Pipeline Group, 3.30%, 6/1/20, Callable 5/1/20 @ 100.00 | 432,204 | ||||||
197,000 | Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100.00 | �� | 196,548 | |||||
290,000 | Crestwood Midstream Partners LP, 6.25%, 4/1/23, Callable 8/3/18 @ 104.69^ | 295,075 | ||||||
150,000 | Crestwood Midstream Partners LP, 5.75%, 4/1/25, Callable 4/1/20 @ 104.31^ | 149,813 | ||||||
150,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/22, Callable 8/3/18 @ 103.25 | 153,000 | ||||||
163,000 | DCP Midstream Operating LLC, 3.88%, 3/15/23, Callable 12/15/22 @ 100.00^ | 157,499 |
Continued
6
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 410,000 | DCP Midstream Operating LLC, 8.13%, 8/16/30^ | $ | 486,875 | ||||
185,000 | DCP Midstream Operating LLC, 5.60%, 4/1/44, Callable 10/1/43 @ 100.00 | 174,594 | ||||||
150,000 | DCP Midstream Operating LP, 5.85%(US0003M+385bps), 5/21/43, Callable 5/21/23 @ 100.00(a) | 137,250 | ||||||
325,000 | Denbury Resources, Inc., 9.25%, 3/31/22, Callable 3/31/19 @ 109.25(a) | 344,500 | ||||||
190,000 | Denbury Resources, Inc., 4.63%, 7/15/23, Callable 8/3/18 @ 102.31 | 165,832 | ||||||
175,000 | Enable Midstream Partners LP, 2.40%, 5/15/19, Callable 4/15/19 @ 100.00 | 173,895 | ||||||
124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100.00 | 118,699 | ||||||
103,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100.00^ | 102,949 | ||||||
350,000 | Energy Transfer Partners LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100.00 | 348,913 | ||||||
195,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100.00 | 192,999 | ||||||
127,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100.00 | 126,986 | ||||||
250,000 | Everest Acquisition Finance, Inc., 8.00%, 11/29/24, Callable 11/30/19 @ 106.00^(a) | 252,500 | ||||||
300,000 | Global Partners LP, 6.25%, 7/15/22, Callable 8/3/18 @ 103.13 | 291,000 | ||||||
335,000 | Hess Infrastructure Partners LP/Finance Corp., 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a) | 334,163 | ||||||
310,000 | Hilcorp Energy LP, 5.00%, 12/1/24, Callable 6/1/19 @ 102.50^(a) | 300,700 | ||||||
80,000 | Indigo Natural Resources LLC, 6.88%, 2/15/26, Callable 2/15/21 @ 103.44(a) | 77,200 | ||||||
240,000 | Jonah Energy LLC/Jonah Energy Finance Corp., 7.25%, 10/15/25, Callable 10/15/20 @ 105.44^(a) | 193,800 | ||||||
49,000 | Kinder Morgan (Delaware), Inc., 3.05%, 12/1/19, Callable 11/1/19 @ 100.00 | 48,849 | ||||||
167,000 | Kinder Morgan (Delaware), Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100.00 | 154,973 | ||||||
63,000 | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | 69,140 | ||||||
712,000 | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100.00 | 705,072 | ||||||
1,163,000 | Midstates Petroleum Co., Inc., 10.75%, 10/1/20(e) | — | ||||||
242,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100.00 | 249,494 | ||||||
290,000 | Parsley Energy LLC, 5.25%, 8/15/25, Callable 8/15/20 @ 103.94(a) | 284,925 | ||||||
405,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.00%, 11/15/23, Callable 11/15/18 @ 105.25^ | 419,175 | ||||||
57,000 | Phillips 66 Partners LP, 2.65%, 2/15/20, Callable 1/15/20 @ 100.00 | 56,351 | ||||||
300,000 | Rose Rock Midstream LP, 5.63%, 7/15/22, Callable 7/19/18 @ 102.81^ | 291,000 | ||||||
346,000 | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100.00(a) | 345,947 | ||||||
348,000 | Southwestern Energy Co., 6.70%, 1/23/25, Callable 10/23/24 @ 100.00^ | 340,605 | ||||||
65,000 | Southwestern Energy Co., 7.50%, 4/1/26, Callable 4/1/21 @ 105.63^ | 67,275 |
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 300,000 | Summit Midstream Holdings LLC, 5.75%, 4/15/25, Callable 4/15/20 @ 104.31 | $ | 285,000 | ||||
115,000 | Sunoco Finance Corp., 5.50%, 2/15/26, Callable 2/15/21 @ 102.75(a) | 108,963 | ||||||
848,000 | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100.00 | 779,728 | ||||||
195,000 | Targa Resources Partners LP, 5.13%, 2/1/25, Callable 2/1/20 @ 103.84^ | 192,563 | ||||||
195,000 | Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41(a) | 196,463 | ||||||
195,000 | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69^ | 189,150 | ||||||
574,000 | Western Gas Partners LP, 5.38%, 6/1/21, Callable 3/1/21 @ 100.00 | 595,000 | ||||||
154,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100.00 | 151,287 | ||||||
900,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100.00^ | 866,120 | ||||||
222,000 | Williams Partners LP, 4.00%, 11/15/21, Callable 8/15/21 @ 100.00 | 223,941 | ||||||
357,000 | Williams Partners LP, 3.60%, 3/15/22, Callable 1/15/22 @ 100.00 | 355,255 | ||||||
242,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100.00 | 245,687 | ||||||
426,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100.00 | 427,524 | ||||||
|
| |||||||
19,307,089 | ||||||||
|
| |||||||
Pharmaceuticals (0.0%): | ||||||||
165,000 | Valeant Pharmaceuticals International, 9.25%, 4/1/26, Callable 4/1/22 @ 104.63(a) | 171,394 | ||||||
|
| |||||||
Professional Services (0.1%): | ||||||||
300,000 | Tempo Finance, Corp., 6.75%, 6/1/25, Callable 6/1/20 @ 103.38(a) | 288,000 | ||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
300,000 | Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 3/15/20 @ 104.03(a) | 294,375 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.0%): | ||||||||
215,000 | Qorvo, Inc., 7.00%, 12/1/25, Callable 12/1/20 @ 103.50^ | 231,125 | ||||||
|
| |||||||
Software (0.2%): | ||||||||
125,000 | CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94^ | 127,375 | ||||||
195,000 | Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100.00(a) | 195,731 | ||||||
300,000 | Solera LLC, 10.50%, 3/1/24, Callable 3/1/19 @ 107.88(a) | 333,189 | ||||||
437,000 | Sophia LP/Finance, Inc., 9.00%, 9/30/23, Callable 9/30/18 @ 104.50(a) | 458,796 | ||||||
190,000 | Symantec Corp., 5.00%, 4/15/25, Callable 4/15/20 @ 102.50(a) | 184,067 | ||||||
|
| |||||||
1,299,158 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
355,000 | Quicken Loans, Inc., 5.25%, 1/15/28, Callable 1/15/23 @ 102.63^(a) | 327,417 | ||||||
|
|
Continued
7
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Tobacco (0.6%): | ||||||||
$ | 317,000 | Altria Group, Inc., 4.00%, 1/31/24 | $ | 320,972 | ||||
140,000 | Reynolds American, Inc., 3.25%, 6/12/20 | 139,856 | ||||||
478,000 | Reynolds American, Inc., 4.00%, 6/12/22 | 480,977 | ||||||
346,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100.00 | 348,216 | ||||||
179,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100.00 | 192,181 | ||||||
600,000 | Reynolds American, Inc., 7.25%, 6/15/37 | 751,191 | ||||||
1,000,000 | Vector Group, Ltd., 6.13%, 2/1/25, Callable 2/1/20 @ 103.06^(a) | 966,249 | ||||||
|
| |||||||
3,199,642 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.5%): | ||||||||
200,000 | Aercap Global Aviation Trust, 6.50%(US0003M+430bps), 6/15/45, Callable 6/15/25 @ 100.00^(a) | 206,000 | ||||||
442,000 | Air Lease Corp., 2.63%, 9/4/18 | 441,820 | ||||||
499,000 | Air Lease Corp., 4.75%, 3/1/20 | 509,562 | ||||||
297,000 | Air Lease Corp., 3.88%, 4/1/21, Callable 3/1/21 @ 100.00^ | 299,178 | ||||||
348,000 | Air Lease Corp., 3.38%, 6/1/21, Callable 5/1/21 @ 100.00 | 346,130 | ||||||
703,000 | Air Lease Corp., 3.75%, 2/1/22, Callable 12/1/21 @ 100.00 | 703,821 | ||||||
82,000 | Air Lease Corp., 3.00%, 9/15/23, Callable 7/15/23 @ 100.00 | 77,702 | ||||||
|
| |||||||
2,584,213 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
300,000 | Sprint Communications, Inc., 7.25%, 9/15/21 | 312,000 | ||||||
300,000 | Sprint Communications, Inc., 7.88%, 9/15/23 | 311,063 | ||||||
420,000 | Sprint Communications, Inc., 7.13%, 6/15/24 | 424,027 | ||||||
300,000 | T-Mobile USA, Inc., 5.13%, 4/15/25, Callable 4/15/20 @ 102.56^ | 301,500 | ||||||
|
| |||||||
1,348,590 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $156,611,080) | 154,081,284 | |||||||
|
| |||||||
Yankee Dollars (10.7%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
215,000 | Bombardier, Inc., 6.00%, 10/15/22, Callable 8/3/18 @ 103.00(a) | 214,129 | ||||||
320,000 | Bombardier, Inc., 6.13%, 1/15/23(a) | 320,800 | ||||||
|
| |||||||
534,929 | ||||||||
|
| |||||||
Banks (1.8%): | ||||||||
642,000 | Barclays Bank plc, 3.25%, 1/12/21 | 632,803 | ||||||
300,000 | Barclays Bank plc, 7.63%, 11/21/22 | 322,950 | ||||||
874,000 | Barclays Bank plc, 4.38%, 1/12/26 | 848,886 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 203,954 | ||||||
200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 181,533 | ||||||
1,180,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 1,078,947 | ||||||
791,000 | Rabobank Nederland NY, 4.38%, 8/4/25 | 775,521 | ||||||
200,000 | RBS Citizens Financial Group, Inc., 4.15%, 9/28/22(a) | 201,363 | ||||||
3,808,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | 4,007,579 | ||||||
675,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 710,910 | ||||||
847,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 888,818 | ||||||
|
| |||||||
9,853,264 | ||||||||
|
|
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Beverages (0.0%): | ||||||||
$ | 125,000 | Cott Corp., 5.50%, 4/1/25, Callable 4/1/20 @ 104.13^(a) | $ | 121,563 | ||||
|
| |||||||
Capital Markets (1.3%): | ||||||||
720,000 | Credit Suisse Group Fun, Ltd., 2.75%, 3/26/20 | 712,129 | ||||||
1,000,000 | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | 995,611 | ||||||
1,175,000 | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23^ | 1,159,756 | ||||||
720,000 | Credit Suisse Group Fun, Ltd., 3.75%, 3/26/25 | 692,474 | ||||||
1,462,000 | Deutsche Bank AG, 4.50%, 4/1/25^ | 1,333,417 | ||||||
1,284,000 | Deutsche Bank NY, 3.30%, 11/16/22 | 1,202,943 | ||||||
733,000 | UBS Group AG, 4.13%, 9/24/25(a) | 727,878 | ||||||
|
| |||||||
6,824,208 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
575,000 | Consolidated Energy Finance SA, 6.88%, 6/15/25, Callable 6/15/20 @ 105.16(a) | 590,094 | ||||||
150,000 | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 5/15/21 @ 104.88(a) | 148,500 | ||||||
500,000 | Nova Chemicals Corp., 4.88%, 6/1/24, Callable 3/3/24 @ 100.00(a) | 475,000 | ||||||
160,000 | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a) | 155,200 | ||||||
210,000 | OCI NV, 6.63%, 4/15/23, Callable 4/15/20 @ 103.31(a) | 213,297 | ||||||
170,000 | Tronox Finance plc, 5.75%, 10/1/25, Callable 10/1/20 @ 104.31^(a) | 165,113 | ||||||
|
| |||||||
1,747,204 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
745,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 7.25%, 5/15/24, Callable 5/15/19 @ 105.44(a) | 774,800 | ||||||
300,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 6.00%, 2/15/25, Callable 2/15/20 @ 104.50(a) | 292,125 | ||||||
|
| |||||||
1,066,925 | ||||||||
|
| |||||||
Diversified Financial Services (0.0%): | ||||||||
180,000 | Camelot Finance SA, 7.88%, 10/15/24, Callable 10/15/19 @ 103.94^(a) | 180,450 | ||||||
30,000 | Tervita Escrow Corp., 7.63%, 12/1/21, Callable 12/1/18 @ 103.81(a) | 30,600 | ||||||
|
| |||||||
211,050 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.4%): | ||||||||
495,000 | Intelsat Jackson Holdings SA, 8.00%, 2/15/24, Callable 2/15/19 @ 104.00(a) | 519,750 | ||||||
300,000 | Sable International Finance, Ltd., 6.88%, 8/1/22, Callable 8/3/18 @ 105.16(a) | 308,910 | ||||||
215,000 | SFR Group SA, 6.00%, 5/15/22, Callable 8/3/18 @ 103.00^(a) | 215,763 | ||||||
300,000 | SFR Group SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a) | 293,310 | ||||||
540,000 | Ziggo Bond Finance BV, 5.88%, 1/15/25, Callable 1/15/20 @ 102.94(a) | 504,571 | ||||||
|
| |||||||
1,842,304 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
305,000 | Ensco plc, 4.50%, 10/1/24, Callable 7/1/24 @ 100.00^ | 251,244 | ||||||
169,000 | Noble Holding International, Ltd., 7.75%, 1/15/24, Callable 10/15/23 @ 100.00 | 160,128 |
Continued
8
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Energy Equipment & Services, continued | ||||||||
$ | 195,000 | Noble Holding International, Ltd., 7.88%, 2/1/26, Callable 2/1/21 @ 105.91(a) | $ | 200,849 | ||||
180,000 | Precision Drilling Corp., 7.75%, 12/15/23, Callable 12/15/19 @ 103.88^ | 189,450 | ||||||
325,000 | Weatherford International, Ltd., 9.88%, 2/15/24, Callable 11/15/23 @ 100.00 | 328,146 | ||||||
330,000 | Weatherford International, Ltd., 6.50%, 8/1/36^ | 258,225 | ||||||
|
| |||||||
1,388,042 | ||||||||
|
| |||||||
Gas Utilities (0.1%): | ||||||||
340,000 | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 8/3/18 @ 103.44(d) | 343,400 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
175,000 | 1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 5/15/20 @ 102.13^(a) | 165,813 | ||||||
70,000 | Stars Group Holdings BV, 7.00%, 7/15/26, Callable 7/15/21 @ 103.50(a) | 70,700 | ||||||
300,000 | Studio City Co., Ltd., 7.25%, 11/30/21, Callable 11/30/18 @ 103.63(a) | 309,750 | ||||||
145,000 | Wynn Macau, Ltd., 4.88%, 10/1/24, Callable 10/1/20 @ 102.44^(a) | 138,432 | ||||||
|
| |||||||
684,695 | ||||||||
|
| |||||||
Insurance (0.0%): | ||||||||
200,000 | AIA Group, Ltd., 2.25%, 3/11/19(a) | 198,671 | ||||||
|
| |||||||
Machinery (0.0%): | ||||||||
107,000 | Ingersoll-Rand Lux Financial Holding, 2.63%, 5/1/20, Callable 4/1/20 @ 100.00 | 106,096 | ||||||
|
| |||||||
Media (0.3%): | ||||||||
600,000 | Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a) | 580,320 | ||||||
300,000 | Altice Finco SA, 8.13%, 1/15/24, Callable 12/15/18 @ 104.06^(a) | 298,500 | ||||||
495,000 | MDC Partners, Inc., 6.50%, 5/1/24, Callable 5/1/19 @ 104.88^(a) | 429,413 | ||||||
|
| |||||||
1,308,233 | ||||||||
|
| |||||||
Metals & Mining (0.3%): | ||||||||
400,000 | BHP Billiton Finance USA, Ltd., 6.25%(USSW5+497bps), 10/19/75, Callable 10/19/20 @ 100.00(a) | 418,125 | ||||||
681,000 | BHP Billiton Finance USA, Ltd., 6.75%(USSW5+509bps), 10/19/75, Callable 10/20/25 @ 100.00(a) | 738,545 | ||||||
200,000 | Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100.00(a) | 190,506 | ||||||
200,000 | Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100.00^(a) | 194,312 | ||||||
300,000 | First Quantum Minerals, Ltd., 7.25%, 5/15/22, Callable 8/3/18 @ 103.63(a) | 303,000 | ||||||
200,000 | First Quantum Minerals, Ltd., 6.50%, 3/1/24, Callable 9/1/20 @ 103.25(a) | 193,000 | ||||||
145,000 | First Quantum Minerals, Ltd., 7.50%, 4/1/25, Callable 4/1/20 @ 105.63(a) | 143,101 | ||||||
|
| |||||||
2,180,589 | ||||||||
|
| |||||||
Multi-Utilities (0.3%): | ||||||||
215,000 | Intergen NV, 7.00%, 6/30/23, Callable 8/3/18 @ 103.50(a) | 211,775 | ||||||
1,700,000 | Petroleos Mexicanos, 6.50%, 3/13/27 | 1,743,214 | ||||||
|
| |||||||
1,954,989 | ||||||||
|
|
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Oil, Gas & Consumable Fuels (2.4%): | ||||||||
$ | 309,000 | Canadian Natural Resources, Ltd., 5.85%, 2/1/35 | $ | 343,433 | ||||
558,000 | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100.00^ | 537,461 | ||||||
330,000 | Empresa Nacional del Petroleo, 4.38%, 10/30/24(a) | 328,809 | ||||||
218,000 | Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100.00 | 216,023 | ||||||
252,000 | Enbridge, Inc., 5.50%, 12/1/46, Callable 5/29/46 @ 100.00 | 269,017 | ||||||
244,000 | Navios Maritime Holdings/Finance, 7.38%, 1/15/22, Callable 8/3/18 @ 103.69(a) | 185,288 | ||||||
349,000 | Petrobras Global Finance Co., 4.38%, 5/20/23^ | 327,013 | ||||||
2,677,000 | Petrobras Global Finance Co., 7.25%, 3/17/44^ | 2,476,224 | ||||||
144,000 | Petroleos Mexicanos, 6.00%, 3/5/20 | 148,680 | ||||||
1,471,000 | Petroleos Mexicanos, 4.88%, 1/18/24 | 1,452,126 | ||||||
1,036,000 | Petroleos Mexicanos, 4.50%, 1/23/26^ | 971,975 | ||||||
1,039,000 | Petroleos Mexicanos, 6.50%, 6/2/41 | 977,076 | ||||||
841,000 | Petroleos Mexicanos, 5.50%, 6/27/44 | 709,384 | ||||||
1,005,000 | Petroleos Mexicanos, 5.63%, 1/23/46 | 848,220 | ||||||
2,762,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 2,604,289 | ||||||
222,000 | Teine Energy, Ltd., 6.88%, 9/30/22, Callable 8/3/18 @ 105.16(a) | 224,220 | ||||||
|
| |||||||
12,619,238 | ||||||||
|
| |||||||
Pharmaceuticals (1.1%): | ||||||||
1,489,000 | Actavis Funding SCS, 3.45%, 3/15/22, Callable 1/15/22 @ 100.00 | 1,465,158 | ||||||
186,000 | Mylan NV, 2.50%, 6/7/19 | 185,153 | ||||||
685,000 | Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100.00 | 677,480 | ||||||
337,000 | Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100.00 | 321,833 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4/15/24, Callable 1/15/24 @ 100.00 | 198,065 | ||||||
484,000 | Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21 | 448,928 | ||||||
346,000 | Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23^ | 298,858 | ||||||
412,000 | Teva Pharmaceuticals Industries, Ltd., 3.15%, 10/1/26 | 331,134 | ||||||
185,000 | Valeant Pharmaceuticals, 5.50%, 3/1/23, Callable 8/3/18 @ 102.75^(a) | 172,050 | ||||||
305,000 | Valeant Pharmaceuticals International, Inc., 6.50%, 3/15/22, Callable 3/15/19 @ 103.25(a) | 315,675 | ||||||
405,000 | Valeant Pharmaceuticals International, Inc., 7.00%, 3/15/24, Callable 3/15/20 @ 103.50(a) | 424,622 | ||||||
215,000 | Valeant Pharmaceuticals International, Inc., 9.00%, 12/15/25, Callable 12/15/21 @ 104.50(a) | 222,783 | ||||||
392,000 | VRX Escrow Corp., 6.13%, 4/15/25, Callable 4/15/20 @ 103.06^(a) | 361,130 | ||||||
|
| |||||||
5,422,869 | ||||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
365,000 | IHS Markit, Ltd., 4.75%, 2/15/25, Callable 11/15/24 @ 100.00(a) | 361,350 | ||||||
980,000 | Nielsen Co. Luxembourg SARLl (The), 5.00%, 2/1/25, Callable 2/1/20 @ 103.75^(a) | 933,450 | ||||||
|
| |||||||
1,294,800 | ||||||||
|
|
Continued
9
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Software (0.1%): | ||||||||
$ | 550,000 | Open Text Corp., 5.63%, 1/15/23, Callable 8/3/18 @ 104.22^(a) | $ | 565,125 | ||||
|
| |||||||
Sovereign Bond (0.4%): | ||||||||
1,500,000 | Argentine Republic Government International Bond, 5.88%, 1/11/28^ | 1,218,750 | ||||||
1,344,000 | Dominican Republic, 5.50%, 1/27/25(a) | 1,333,678 | ||||||
|
| |||||||
2,552,428 | ||||||||
|
| |||||||
Tobacco (0.4%): | ||||||||
690,000 | Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22 @ 100.00(a) | 684,861 | ||||||
690,000 | Imperial Tobacco Finance, 4.25%, 7/21/25, Callable 4/21/25 @ 100.00(a) | 686,845 | ||||||
|
| |||||||
1,371,706 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.8%): | ||||||||
1,344,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, 10/1/21 | 1,384,871 | ||||||
2,165,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.63%, 7/1/22^ | 2,207,756 | ||||||
347,000 | Fly Leasing, Ltd., 6.38%, 10/15/21, Callable 8/3/18 @ 104.78^ | 357,844 | ||||||
190,000 | Fly Leasing, Ltd., 5.25%, 10/15/24, Callable 10/15/20 @ 102.63 | 178,125 | ||||||
|
| |||||||
4,128,596 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $59,744,777) | 58,320,924 | |||||||
|
| |||||||
Municipal Bonds (1.6%): | ||||||||
California (0.5%): | ||||||||
460,000 | California State, Build America Bonds, GO, 7.30%, 10/1/39 | 651,728 | ||||||
10,000 | California State, Build America Bonds, GO, 7.35%, 11/1/39 | 14,235 | ||||||
400,000 | California State, Build America Bonds, GO, 7.50%, 4/1/34 | 561,796 | ||||||
965,000 | California State, Build America Bonds, GO, 7.55%, 4/1/39 | 1,423,028 | ||||||
|
| |||||||
2,650,787 | ||||||||
|
| |||||||
Illinois (1.1%): | ||||||||
176,000 | Illinois State, Build America Bonds, GO, 6.20%, 7/1/21 | 181,804 | ||||||
10,000 | Illinois State, Build America Bonds, GO, Series 3, 5.55%, 4/1/19 | 10,161 | ||||||
425,000 | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | 453,050 | ||||||
420,000 | Illinois State, Build America Bonds, GO, 4.00%, 12/1/20 | 417,375 | ||||||
1,340,000 | Illinois State, Build America Bonds, GO, 5.88%, 3/1/19 | 1,363,745 | ||||||
1,935,000 | Illinois State, Build America Bonds, GO, 7.35%, 7/1/35 | 2,160,640 | ||||||
105,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series B, 5.43%, 1/1/42 | 97,632 | ||||||
395,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series C1, 7.78%, 1/1/35 | 454,305 | ||||||
80,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series B, 5.63%, 1/1/22 | 80,906 |
Principal | Fair Value | |||||||
Municipal Bonds, continued | ||||||||
Illinois, continued | ||||||||
$ | 315,000 | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | $ | 333,777 | ||||
295,000 | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | 279,176 | ||||||
125,000 | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | 127,181 | ||||||
|
| |||||||
5,959,752 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $8,545,927) | 8,610,539 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (22.8%): | ||||||||
Federal Home Loan Mortgage Corporation (5.7%) | ||||||||
699,470 | 3.50%, 3/1/32, Pool #C91403 | 709,573 | ||||||
1,844,401 | 3.50%, 7/1/32, Pool #C91467 | 1,870,987 | ||||||
326,294 | 4.00%, 6/1/33, Pool #G30718 | 337,546 | ||||||
1,594,069 | 4.00%, 5/1/37, Pool #C91938 | 1,643,248 | ||||||
2,199,566 | 5.00%, 2/1/38, Pool #G60365 | 2,345,332 | ||||||
111,477 | 3.50%, 4/1/40, Pool #V81744 | 111,814 | ||||||
133,430 | 3.50%, 5/1/40, Pool #V81750 | 133,833 | ||||||
224,405 | 3.50%, 6/1/40, Pool #V81792 | 225,083 | ||||||
110,529 | 3.50%, 8/1/40, Pool #V81886 | 110,863 | ||||||
84,621 | 3.50%, 9/1/40, Pool #V81958 | 84,877 | ||||||
871,898 | 4.00%, 1/1/41, Pool #A96413 | 896,352 | ||||||
732,414 | 4.00%, 2/1/41, Pool #A96807 | 752,967 | ||||||
87,185 | 4.50%, 3/1/41, Pool #A97673 | 91,696 | ||||||
142,571 | 4.50%, 4/1/41, Pool #A97942 | 149,946 | ||||||
391,219 | 5.00%, 6/1/41, Pool #G06596 | 420,677 | ||||||
1,881,673 | 4.50%, 1/1/42, Pool #G60517 | 1,978,951 | ||||||
64,138 | 3.50%, 8/1/42, Pool #Q10164 | 64,332 | ||||||
75,068 | 3.50%, 8/1/42, Pool #Q10434 | 75,293 | ||||||
55,839 | 3.50%, 8/1/42, Pool #Q10392 | 56,008 | ||||||
78,093 | 3.50%, 8/1/42, Pool #Q10047 | 78,329 | ||||||
79,134 | 3.50%, 9/1/42, Pool #Q11244 | 79,371 | ||||||
52,497 | 3.50%, 11/1/42, Pool #G07231 | 52,656 | ||||||
60,829 | 4.00%, 11/1/42, Pool #Q13121 | 62,632 | ||||||
165,378 | 3.00%, 12/1/42, Pool #C04320 | 161,552 | ||||||
672,731 | 3.50%, 4/1/43, Pool #G07921 | 674,761 | ||||||
596,644 | 3.50%, 4/1/43, Pool #Q17209 | 598,446 | ||||||
107,500 | 4.00%, 5/1/43, Pool #Q18481 | 110,687 | ||||||
53,655 | 4.00%, 7/1/43, Pool #Q19597 | 55,246 | ||||||
708,794 | 3.00%, 10/1/43, Pool #G08553 | 691,861 | ||||||
65,894 | 4.00%, 10/1/43, Pool #Q22499 | 67,847 | ||||||
407,238 | 3.50%, 1/1/44, Pool #G07922 | 408,467 | ||||||
133,624 | 4.00%, 1/1/44, Pool #V80950 | 137,584 | ||||||
203,410 | 3.50%, 1/1/44, Pool #G60271 | 204,023 | ||||||
435,080 | 4.00%, 1/1/45, Pool #Q30720 | 445,249 | ||||||
143,975 | 3.50%, 3/1/45, Pool #Q32008 | 143,879 | ||||||
75,791 | 3.50%, 3/1/45, Pool #Q31974 | 75,732 | ||||||
68,155 | 3.50%, 3/1/45, Pool #Q32328 | 68,133 | ||||||
374,584 | 3.50%, 5/1/45, Pool #Q33547 | 374,178 | ||||||
45,913 | 3.00%, 5/1/45, Pool #Q33468 | 44,759 | ||||||
432,150 | 3.50%, 6/1/45, Pool #Q34164 | 431,716 | ||||||
290,464 | 3.00%, 6/1/45, Pool #Q34156 | 282,478 | ||||||
440,710 | 3.50%, 6/1/45, Pool #Q34311 | 440,369 | ||||||
69,129 | 3.50%, 6/1/45, Pool #Q33791 | 69,060 | ||||||
28,258 | 3.00%, 7/1/45, Pool #Q34979 | 27,523 | ||||||
77,309 | 3.00%, 7/1/45, Pool #Q34759 | 75,162 | ||||||
116,363 | 4.00%, 8/1/45, Pool #Q35845 | 119,085 |
Continued
10
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 26,756 | 4.00%, 9/1/45, Pool #Q37853 | $ | 27,400 | ||||
501,573 | 3.50%, 11/1/45, Pool #Q37467 | 501,070 | ||||||
21,856 | 4.00%, 11/1/45, Pool #Q38812 | 22,315 | ||||||
14,505 | 4.00%, 2/1/46, Pool #Q38879 | 14,844 | ||||||
26,888 | 4.00%, 2/1/46, Pool #Q38782 | 27,518 | ||||||
32,622 | 4.00%, 2/1/46, Pool #Q38783 | 33,384 | ||||||
89,808 | 4.00%, 4/1/46, Pool #V82292 | 91,912 | ||||||
18,263 | 4.00%, 4/1/46, Pool #Q39975 | 18,691 | ||||||
184,337 | 3.50%, 5/1/46, Pool #Q40647 | 183,961 | ||||||
535,978 | 3.50%, 5/1/46, Pool #G60553 | 535,639 | ||||||
169,170 | 3.50%, 5/1/46, Pool #G60603 | 168,905 | ||||||
29,620 | 3.00%, 6/1/46, Pool #G08710 | 28,717 | ||||||
513,967 | 3.50%, 9/1/46, Pool #Q43257 | 512,894 | ||||||
876,145 | 3.00%, 10/1/46, Pool #Q43734 | 849,465 | ||||||
169,533 | 3.00%, 11/1/46, Pool #Q44452 | 164,313 | ||||||
3,093,651 | 3.00%, 12/1/46, Pool #G08737 | 2,998,386 | ||||||
51,460 | 3.00%, 12/1/46, Pool #Q44977 | 49,884 | ||||||
2,302,111 | 3.00%, 1/1/47, Pool #G08741 | 2,229,700 | ||||||
1,379,495 | 3.00%, 2/1/47, Pool #G08747 | 1,336,657 | ||||||
24,693 | 4.00%, 9/1/47, Pool #Q50433 | 25,263 | ||||||
387,936 | 3.50%, 10/1/47, Pool #V83497 | 386,160 | ||||||
24,718 | 4.00%, 10/1/47, Pool #Q51189 | 25,288 | ||||||
299,063 | 3.50%, 11/1/47, Pool #Q52086 | 297,694 | ||||||
1,671,612 | 3.50%, 12/1/47, Pool #V83817 | 1,663,926 | ||||||
24,852 | 4.00%, 2/1/48, Pool #Q54192 | 25,427 | ||||||
532,948 | 4.00%, 5/1/48, Pool #Q55992 | 545,289 | ||||||
|
| |||||||
30,804,865 | ||||||||
|
| |||||||
Federal National Mortgage Association (10.9%) | ||||||||
450,798 | 3.50%, 9/1/29, Pool #AL5878 | 458,023 | ||||||
1,624,894 | 3.50%, 11/1/30, Pool #AL7688 | 1,650,920 | ||||||
8,231 | 4.50%, 7/1/33, Pool #729327 | 8,602 | ||||||
4,887 | 4.50%, 7/1/33, Pool #720240 | 5,093 | ||||||
1,600,000 | 2.50%, 7/25/33, TBA | 1,555,004 | ||||||
1,950,000 | 3.00%, 7/25/33, TBA | 1,938,553 | ||||||
7,675 | 4.50%, 8/1/33, Pool #723124 | 8,002 | ||||||
12,065 | 4.50%, 8/1/33, Pool #729713 | 12,655 | ||||||
6,499 | 4.50%, 8/1/33, Pool #727029 | 6,781 | ||||||
48,840 | 4.50%, 8/1/33, Pool #729380 | 51,285 | ||||||
10,025 | 4.50%, 8/1/33, Pool #727160 | 10,529 | ||||||
17,658 | 4.50%, 8/1/33, Pool #726928 | 18,543 | ||||||
18,216 | 4.50%, 8/1/33, Pool #726956 | 19,124 | ||||||
309,283 | 3.50%, 8/1/33, Pool #AL4227 | 312,755 | ||||||
15,428 | 4.50%, 9/1/33, Pool #734922 | 16,200 | ||||||
37,153 | 4.50%, 9/1/33, Pool #727147 | 39,013 | ||||||
47,228 | 4.50%, 12/1/33, Pool #AL5321 | 49,612 | ||||||
21,404 | 3.50%, 1/1/34, Pool #AS1614 | 21,724 | ||||||
51,826 | 3.50%, 1/1/34, Pool #AS1406 | 52,603 | ||||||
166,182 | 3.50%, 1/1/34, Pool #AS1611 | 168,672 | ||||||
112,333 | 3.50%, 1/1/34, Pool #AS1612 | 114,016 | ||||||
40,765 | 6.00%, 10/1/34, Pool #AL2130 | 45,589 | ||||||
86,428 | 4.50%, 9/1/35, Pool #AB8198 | 90,744 | ||||||
840,449 | 6.00%, 5/1/36, Pool #745512 | 926,190 | ||||||
413,334 | 6.00%, 1/1/37, Pool #932030 | 454,470 | ||||||
80,460 | 6.00%, 3/1/37, Pool #889506 | 88,719 | ||||||
108,569 | 6.00%, 1/1/38, Pool #889371 | 122,187 | ||||||
322,226 | 5.00%, 2/1/38, Pool #310165 | 345,034 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 37,592 | 6.00%, 3/1/38, Pool #889219 | $ | 42,224 | ||||
21,390 | 6.00%, 7/1/38, Pool #889733 | 23,487 | ||||||
125,819 | 4.50%, 3/1/39, Pool #AB0051 | 132,118 | ||||||
585,186 | 4.50%, 4/1/39, Pool #AB0043 | 614,628 | ||||||
575,346 | 5.00%, 6/1/39, Pool #AL7521 | 616,063 | ||||||
209,680 | 5.00%, 6/1/39, Pool #AL7550 | 224,519 | ||||||
680,104 | 6.00%, 7/1/39, Pool #BF0030 | 736,728 | ||||||
148,326 | 6.00%, 5/1/40, Pool #AL2129 | 166,954 | ||||||
87,779 | 4.00%, 12/1/40, Pool #AA4757 | 90,155 | ||||||
12,756 | 6.00%, 1/1/42, Pool #AL2128 | 14,108 | ||||||
303,001 | 3.00%, 9/1/42, Pool #AB6126 | 296,377 | ||||||
115,730 | 3.50%, 9/1/42, Pool #AP4100 | 116,136 | ||||||
230,041 | 3.00%, 10/1/42, Pool #AB6509 | 225,012 | ||||||
405,260 | 3.00%, 10/1/42, Pool #AB6504 | 396,212 | ||||||
465,075 | 3.00%, 11/1/42, Pool #AB6976 | 454,692 | ||||||
24,073 | 3.50%, 12/1/42, Pool #AQ9054 | 24,146 | ||||||
158,124 | 3.00%, 12/1/42, Pool #AB7282 | 154,611 | ||||||
145,189 | 3.50%, 1/1/43, Pool #AQ9328 | 145,679 | ||||||
701,898 | 3.00%, 1/1/43, Pool #AB7586 | 686,090 | ||||||
826,699 | 3.00%, 1/1/43, Pool #AL3181 | 808,144 | ||||||
28,522 | 3.50%, 2/1/43, Pool #AR1797 | 28,572 | ||||||
349,389 | 2.50%, 2/1/43, Pool #AB8465 | 328,798 | ||||||
271,749 | 3.00%, 2/1/43, Pool #AB7846 | 265,791 | ||||||
37,132 | 3.50%, 3/1/43, Pool #AR6751 | 37,190 | ||||||
96,028 | 3.50%, 3/1/43, Pool #AL3409 | 96,248 | ||||||
35,486 | 3.50%, 3/1/43, Pool #AR7567 | 35,535 | ||||||
177,117 | 3.50%, 8/1/43, Pool #AL7261 | 177,745 | ||||||
392,275 | 3.00%, 9/1/43, Pool #AL5059 | 383,466 | ||||||
434,092 | 4.50%, 3/1/44, Pool #AL5082 | 454,210 | ||||||
482,469 | 3.00%, 6/1/44, Pool #AL7195 | 471,530 | ||||||
459,110 | 5.00%, 11/1/44, Pool #AL7307 | 491,646 | ||||||
40,303 | 4.00%, 12/1/44, Pool #AW9502 | 41,177 | ||||||
204,182 | 4.00%, 12/1/44, Pool #AX8459 | 209,571 | ||||||
22,948 | 4.00%, 12/1/44, Pool #AY0045 | 23,419 | ||||||
343,151 | 4.00%, 3/1/45, Pool #AL6541 | 352,209 | ||||||
103,146 | 3.50%, 3/1/45, Pool #AY5352 | 103,071 | ||||||
66,971 | 4.00%, 5/1/45, Pool #AZ1876 | 68,604 | ||||||
129,639 | 3.50%, 5/1/45, Pool #AZ1192 | 129,557 | ||||||
151,421 | 4.00%, 5/1/45, Pool #AZ1207 | 154,558 | ||||||
161,088 | 3.50%, 5/1/45, Pool #AY9287 | 160,954 | ||||||
110,861 | 3.50%, 5/1/45, Pool #AY9074 | 110,835 | ||||||
116,793 | 3.00%, 5/1/45, Pool #AS4972 | 113,710 | ||||||
118,948 | 3.50%, 5/1/45, Pool #AZ0727 | 118,885 | ||||||
150,578 | 3.50%, 5/1/45, Pool #AY9324 | 150,453 | ||||||
1,242,754 | 3.50%, 6/1/45, Pool #AY5622 | 1,241,968 | ||||||
223,119 | 4.00%, 6/1/45, Pool #AY8126 | 227,674 | ||||||
413,566 | 4.00%, 6/1/45, Pool #AY8096 | 422,231 | ||||||
62,946 | 4.00%, 6/1/45, Pool #AZ2719 | 64,272 | ||||||
75,861 | 4.00%, 6/1/45, Pool #AZ3341 | 77,710 | ||||||
321,919 | 5.00%, 6/1/45, Pool #AZ3448 | 341,801 | ||||||
30,635 | 3.50%, 7/1/45, Pool #AS5312 | 30,579 | ||||||
805,603 | 3.50%, 7/1/45, Pool #AZ0814 | 804,226 | ||||||
361,221 | 4.00%, 7/1/45, Pool #AZ0833 | 370,030 | ||||||
312,955 | 4.00%, 7/1/45, Pool #AZ1783 | 319,370 | ||||||
212,779 | 3.50%, 7/1/45, Pool #AZ3198 | 212,602 | ||||||
46,661 | 3.00%, 8/1/45, Pool #AZ3728 | 45,415 | ||||||
115,354 | 3.00%, 8/1/45, Pool #AZ8288 | 112,101 |
Continued
11
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 266,582 | 3.00%, 8/1/45, Pool #AS5634 | $ | 259,180 | ||||
228,671 | 3.50%, 8/1/45, Pool #AY8424 | 228,280 | ||||||
165,462 | 4.00%, 10/1/45, Pool #AL7413 | 169,825 | ||||||
869,769 | 4.00%, 10/1/45, Pool #AL7593 | 892,288 | ||||||
66,339 | 4.00%, 11/1/45, Pool #AZ0560 | 67,667 | ||||||
30,921 | 4.00%, 12/1/45, Pool #BC0997 | 31,539 | ||||||
126,432 | 3.50%, 12/1/45, Pool #AL7890 | 126,315 | ||||||
109,527 | 4.00%, 12/1/45, Pool #BA6404 | 111,742 | ||||||
64,792 | 4.00%, 12/1/45, Pool #AS6350 | 66,380 | ||||||
1,518,087 | 4.00%, 2/1/46, Pool #BC1578 | 1,548,703 | ||||||
78,369 | 4.00%, 4/1/46, Pool #BC7809 | 79,957 | ||||||
56,048 | 4.00%, 4/1/46, Pool #BC3920 | 57,179 | ||||||
339,482 | 3.50%, 4/1/46, Pool #BC0823 | 338,954 | ||||||
18,895 | 4.00%, 5/1/46, Pool #BC2276 | 19,278 | ||||||
771,045 | 3.50%, 5/1/46, Pool #BC0880 | 769,727 | ||||||
738,232 | 4.00%, 6/1/46, Pool #AL9282 | 753,147 | ||||||
521,308 | 4.00%, 6/1/46, Pool #BC0960 | 531,835 | ||||||
122,848 | 4.00%, 7/1/46, Pool #BC6148 | 125,309 | ||||||
757,162 | 3.50%, 7/1/46, Pool #AL9515 | 755,868 | ||||||
142,782 | 3.50%, 8/1/46, Pool #AL8970 | 142,373 | ||||||
46,810 | 3.50%, 8/1/46, Pool #BD5247 | 46,737 | ||||||
126,102 | 4.50%, 8/1/46, Pool #AL9111 | 132,024 | ||||||
116,484 | 4.00%, 8/1/46, Pool #BD1451 | 118,836 | ||||||
265,158 | 3.50%, 8/1/46, Pool #AL8990 | 264,746 | ||||||
28,431 | 3.50%, 9/1/46, Pool #BD0711 | 28,387 | ||||||
139,927 | 4.00%, 9/1/46, Pool #BD1489 | 142,753 | ||||||
1,281,534 | 3.00%, 9/1/46, Pool #AS7844 | 1,244,094 | ||||||
1,484,569 | 3.00%, 9/1/46, Pool #BC2817 | 1,441,167 | ||||||
71,318 | 3.50%, 9/1/46, Pool #BD7792 | 71,207 | ||||||
434,646 | 3.50%, 10/1/46, Pool #BC4760 | 433,971 | ||||||
1,231,121 | 3.00%, 10/1/46, Pool #AL9397 | 1,195,116 | ||||||
343,488 | 3.50%, 10/1/46, Pool #AL9285 | 342,902 | ||||||
44,716 | 4.00%, 10/1/46, Pool #BD7599 | 45,621 | ||||||
174,563 | 3.50%, 11/1/46, Pool #BC9014 | 174,291 | ||||||
67,007 | 3.50%, 12/1/46, Pool #BE5877 | 66,903 | ||||||
867,425 | 3.50%, 12/1/46, Pool #BC9077 | 865,874 | ||||||
1,724,725 | 3.50%, 12/1/46, Pool #BD8504 | 1,722,044 | ||||||
748,390 | 3.50%, 1/1/47, Pool #AL9776 | 747,110 | ||||||
40,204 | 3.50%, 1/1/47, Pool #BE7834 | 40,141 | ||||||
3,077,971 | 4.00%, 2/1/47, Pool #AL9779 | 3,153,619 | ||||||
195,218 | 3.50%, 2/1/47, Pool #BE5696 | 194,793 | ||||||
1,680,250 | 4.50%, 2/1/47, Pool #AL9846 | 1,759,149 | ||||||
375,121 | 4.50%, 3/1/47, Pool #BE9261 | 392,646 | ||||||
98,503 | 2.50%, 4/1/47, Pool #BM3707 | 92,297 | ||||||
227,464 | 4.00%, 5/1/47, Pool #BM1277 | 232,742 | ||||||
2,342,922 | 4.00%, 6/1/47, Pool #BE3702 | 2,389,788 | ||||||
22,008 | 4.00%, 6/1/47, Pool #BH4269 | 22,518 | ||||||
160,150 | 4.00%, 7/1/47, Pool #AS9968 | 163,763 | ||||||
897,838 | 3.50%, 7/1/47, Pool #BM3041 | 898,929 | ||||||
2,850,000 | 4.50%, 7/25/47, TBA | 2,967,587 | ||||||
42,154 | 4.00%, 12/1/47, Pool #BJ2132 | 43,139 | ||||||
24,282 | 4.00%, 12/1/47, Pool #BJ4279 | 24,849 | ||||||
3,084,209 | 3.50%, 1/1/48, Pool #MA3238 | 3,071,225 | ||||||
50,001 | 4.00%, 1/1/48, Pool #BM2006 | 51,041 | ||||||
939,168 | 3.50%, 2/1/48, Pool #BJ3436 | 935,979 | ||||||
24,328 | 4.00%, 2/1/48, Pool #CA1199 | 24,896 | ||||||
24,894 | 4.00%, 3/1/48, Pool #BK1867 | 25,476 |
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 24,899 | 4.00%, 3/1/48, Pool #BK3214 | $ | 25,481 | ||||
24,924 | 4.00%, 4/1/48, Pool #BK2485 | 25,507 | ||||||
24,930 | 4.00%, 4/1/48, Pool #BJ8805 | 25,513 | ||||||
109,209 | 4.00%, 4/1/48, Pool #CA1545 | 111,762 | ||||||
24,900 | 4.00%, 4/1/48, Pool #BK4838 | 25,482 | ||||||
298,876 | 3.00%, 4/1/48, Pool #CA1521 | 289,905 | ||||||
233,873 | 4.00%, 4/1/48, Pool #BM3700 | 239,249 | ||||||
59,246 | 4.00%, 4/1/48, Pool #BK3836 | 60,631 | ||||||
924,597 | 4.00%, 5/1/48, Pool #BJ2731 | 946,211 | ||||||
24,965 | 4.00%, 5/1/48, Pool #BK2527 | 25,548 | ||||||
148,352 | 4.00%, 5/1/48, Pool #BM3877 | 152,256 | ||||||
3,900,000 | 4.50%, 8/25/48, TBA | 4,053,596 | ||||||
|
| |||||||
61,961,485 | ||||||||
|
| |||||||
Government National Mortgage Association (6.2%) | ||||||||
14,884 | 5.00%, 6/15/34, Pool #629493 | 15,843 | ||||||
10,517 | 5.00%, 3/15/38, Pool #676766 | 11,144 | ||||||
4,225 | 5.00%, 4/15/38, Pool #672672 | 4,503 | ||||||
17,725 | 5.00%, 8/15/38, Pool #687818 | 18,859 | ||||||
123,064 | 5.00%, 1/15/39, Pool #705997 | 130,922 | ||||||
1,733 | 5.00%, 3/15/39, Pool #697946 | 1,847 | ||||||
261,609 | 5.00%, 3/15/39, Pool #646746 | 278,778 | ||||||
291,911 | 4.00%, 10/15/40, Pool #783143 | 300,712 | ||||||
682,584 | 4.50%, 3/20/41, Pool #4978 | 717,359 | ||||||
495,595 | 4.00%, 5/20/41, Pool #5054 | 512,507 | ||||||
242,247 | 4.50%, 5/20/41, Pool #005055 | 254,648 | ||||||
226,052 | 4.50%, 6/15/41, Pool #366975 | 237,725 | ||||||
158,195 | 4.50%, 6/20/41, Pool #005082 | 166,326 | ||||||
563,289 | 4.00%, 10/20/41, Pool #5203 | 582,480 | ||||||
609,383 | 3.50%, 12/20/41, Pool #5258 | 616,638 | ||||||
1,078,074 | 4.00%, 1/20/42, Pool #5280 | 1,114,861 | ||||||
64,059 | 4.00%, 11/20/42, Pool #AB9233 | 66,298 | ||||||
441,105 | 3.00%, 12/20/42, Pool #AA5872 | 433,894 | ||||||
359,738 | 3.00%, 12/20/42, Pool #MA0624 | 355,417 | ||||||
64,324 | 3.00%, 1/20/43, Pool #MA0698 | 63,551 | ||||||
3,515,365 | 3.50%, 1/20/43, Pool #MA0699 | 3,557,243 | ||||||
779,340 | 3.50%, 2/20/43, Pool #MA0783 | 788,620 | ||||||
115,362 | 3.00%, 3/20/43, Pool #AD8812 | 113,547 | ||||||
280,004 | 3.00%, 3/20/43, Pool #AA6146 | 275,514 | ||||||
98,343 | 3.50%, 3/20/43, Pool #AD8884 | 99,304 | ||||||
656,943 | 3.50%, 4/20/43, Pool #783976 | 664,766 | ||||||
103,113 | 3.50%, 4/20/43, Pool #AD9075 | 104,182 | ||||||
38,422 | 3.50%, 4/20/43, Pool #AB9891 | 38,850 | ||||||
450,496 | 4.00%, 4/15/46, Pool #784232 | 462,684 | ||||||
30,289 | 3.50%, 5/20/46, Pool #AR9166 | 30,447 | ||||||
41,861 | 3.50%, 5/20/46, Pool #AS4272 | 42,072 | ||||||
39,215 | 3.50%, 5/20/46, Pool #AR9028 | 39,419 | ||||||
106,178 | 3.00%, 5/20/46, Pool #MA3662 | 104,426 | ||||||
155,249 | 3.50%, 6/20/46, Pool #AT4139 | 156,055 | ||||||
34,475 | 3.50%, 6/20/46, Pool #AT4134 | 34,655 | ||||||
528,957 | 3.50%, 6/20/46, Pool #MA3736 | 531,753 | ||||||
98,117 | 3.00%, 6/20/46, Pool #MA3735 | 96,319 | ||||||
50,619 | 3.50%, 6/20/46, Pool #AS4285 | 50,873 | ||||||
292,737 | 3.50%, 7/20/46, Pool# MA3803 | 294,239 | ||||||
52,918 | 3.50%, 7/20/46, Pool #784391 | 53,421 | ||||||
340,598 | 3.00%, 8/20/46, Pool #MA3873 | 334,362 | ||||||
961,600 | 3.00%, 9/20/46, Pool #MA3936 | 944,313 |
Continued
12
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 50,812 | 3.00%, 10/20/46, Pool #MA4003 | $ | 49,853 | ||||
307,746 | 3.00%, 11/20/46, Pool #MA4068 | 301,850 | ||||||
3,269,368 | 3.00%, 12/20/46, Pool #MA4126 | 3,205,808 | ||||||
440,403 | 4.00%, 1/15/47, Pool #AX5857 | 452,759 | ||||||
480,958 | 4.00%, 1/15/47, Pool #AX5831 | 493,326 | ||||||
800,609 | 3.00%, 1/20/47, Pool #MA4195 | 784,941 | ||||||
443,381 | 3.00%, 2/20/47, Pool #MA4261 | 434,704 | ||||||
434,781 | 4.00%, 4/20/47, Pool #784303 | 446,442 | ||||||
502,221 | 4.00%, 4/20/47, Pool #784304 | 515,730 | ||||||
84,212 | 4.00%, 5/20/47, Pool #MA4452 | 86,468 | ||||||
350,240 | 4.00%, 6/20/47, Pool #MA4511 | 359,780 | ||||||
5,054,023 | 3.50%, 9/20/47, Pool #MA4719 | 5,078,057 | ||||||
1,624,179 | 3.00%, 10/20/47, Pool #MA4777 | 1,590,462 | ||||||
197,081 | 3.00%, 11/20/47, Pool #MA4836 | 192,939 | ||||||
342,115 | 3.00%, 1/20/48, Pool #MA4961 | 334,926 | ||||||
1,978,146 | 3.50%, 1/20/48, Pool #MA4962 | 1,987,552 | ||||||
99,170 | 3.50%, 3/20/48, Pool #MA5077 | 99,642 | ||||||
50,000 | 3.50%, 4/20/48, Pool# MA5136 | 50,238 | ||||||
358,842 | Class JA, Series 2015-H21, 2.50%, 6/20/65, Callable 6/20/21 @ 100 | 357,080 | ||||||
|
| |||||||
31,523,933 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $127,234,356) | 124,290,283 | |||||||
|
| |||||||
U.S. Treasury Obligations (32.3%): | ||||||||
U.S. Treasury Bonds (3.9%) | ||||||||
3,535,000 | 2.50%, 2/15/46 | 3,213,950 | ||||||
13,490,000 | 3.00%, 2/15/47 | 13,538,480 | ||||||
3,368,000 | 3.00%, 5/15/47 | 3,377,867 | ||||||
726,000 | 2.75%, 11/15/47 | 692,763 | ||||||
|
| |||||||
20,823,060 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (3.1%) | ||||||||
4,362,000 | 1.38%, 2/15/44 | 5,234,489 | ||||||
9,627,000 | 0.75%, 2/15/45 | 9,935,043 | ||||||
1,717,000 | 1.00%, 2/15/46 | 1,869,854 | ||||||
|
| |||||||
17,039,386 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Notes (3.4%) | ||||||||
3,342,000 | 0.25%, 1/15/25 | 3,438,355 | ||||||
7,466,000 | 0.63%, 1/15/26 | 7,829,621 | ||||||
4,972,000 | 0.13%, 7/15/26 | 4,978,736 | ||||||
2,501,400 | 0.38%, 7/15/27 | 2,492,477 | ||||||
|
| |||||||
18,739,189 | ||||||||
|
|
Shares or Principal | Fair Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Notes (21.9%) | ||||||||
$ | 17,547,000 | 1.25%, 3/31/21 | $ | 16,917,775 | ||||
5,324,000 | 1.38%, 4/30/21 | 5,144,523 | ||||||
33,191,000 | 1.88%, 3/31/22 | 32,238,056 | ||||||
5,498,000 | 1.75%, 6/30/22 | 5,300,845 | ||||||
16,633,000 | 1.88%, 7/31/22 | 16,102,173 | ||||||
7,592,000 | 1.88%, 9/30/22 | 7,339,625 | ||||||
1,250,000 | 2.13%, 12/31/22 | 1,218,604 | ||||||
8,734,000 | 2.13%, 7/31/24 | 8,406,816 | ||||||
7,472,000 | 2.13%, 11/30/24 | 7,174,579 | ||||||
6,828,000 | 2.25%, 12/31/24 | 6,603,156 | ||||||
9,226,000 | 1.50%, 8/15/26 | 8,332,231 | ||||||
3,870,000 | 2.25%, 11/15/27 | 3,678,768 | ||||||
|
| |||||||
118,457,151 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $180,285,221) | 175,058,786 | |||||||
|
| |||||||
Common Stock (0.0%): | ||||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
13 | Midstates Petroleum Co., Inc.* | 177 | ||||||
|
| |||||||
Total Common Stock (Cost $—) | 177 | |||||||
|
| |||||||
Warrant (0.0%): | ||||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
3,841 | Midstates Petroleum Co., Inc., 4/21/20 | 383 | ||||||
|
| |||||||
Total Warrant (Cost $8,435) | 383 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (6.7%): | ||||||||
36,626,712 | AZL Fidelity Institutional Asset Management Total Bond Fund Securities Lending Collateral Account(f) | 36,626,712 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 36,626,712 | ||||||
|
| |||||||
Unaffiliated Investment Company (3.1%): | ||||||||
17,021,496 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(g) | 17,021,496 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $17,021,496) | 17,021,496 | |||||||
|
| |||||||
Total Investment Securities | 587,540,485 | |||||||
Net other assets (liabilities) — (8.0)% | (43,558,305 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 543,982,180 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
GO—General Obligation
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USSW5—USD 5 Year Swap Rate
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $35,153,029. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2018. |
Continued
13
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
(c) | Defaulted bond. |
(d) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.11% of the net assets of the fund. |
(e) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.00% of the net assets of the fund. |
(f) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(g) | The rate represents the effective yield at June 30, 2018. |
(h) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are either $0 or rounds to less than $1.
Securities Sold Short (-0.1%):
Security Description | Coupon Rate | Maturity Date | Par Amount | Proceeds Received | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Federal National Mortgage Association, TBA | 3.50 | % | 7/11/27 | $ | (600,000 | ) | $ | (593,438 | ) | $ | (597,178 | ) | $ | (3,740 | ) | |||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (593,438 | ) | $ | (597,178 | ) | $ | (3,740 | ) | ||||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Total Bond Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 599,732,589 | |||
|
| ||||
Investment securities, at value* | $ | 587,540,485 | |||
Interest and dividends receivable | 4,571,108 | ||||
Receivable for capital shares issued | 44,777 | ||||
Receivable for investments sold | 4,856,674 | ||||
Prepaid expenses | 3,405 | ||||
|
| ||||
Total Assets | 597,016,449 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 15,224,024 | ||||
Payable for capital shares redeemed | 216,554 | ||||
Payable for collateral received on loaned securities | 36,626,712 | ||||
Securities sold short (Proceeds received $593,438) | 597,178 | ||||
Interest payable on securities sold short | 642 | ||||
Manager fees payable | 224,248 | ||||
Administration fees payable | 12,378 | ||||
Distribution fees payable | 107,463 | ||||
Custodian fees payable | 1,493 | ||||
Administrative and compliance services fees payable | 709 | ||||
Transfer agent fees payable | 975 | ||||
Trustee fees payable | 3,158 | ||||
Other accrued liabilities | 18,735 | ||||
|
| ||||
Total Liabilities | 53,034,269 | ||||
|
| ||||
Net Assets | $ | 543,982,180 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 542,904,360 | |||
Accumulated net investment income/(loss) | 23,043,915 | ||||
Accumulated net realized gains/(losses) from investment transactions | (9,770,251 | ) | |||
Net unrealized appreciation/(depreciation) on investments | (12,195,844 | ) | |||
|
| ||||
Net Assets | $ | 543,982,180 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 22,658,983 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 2,308,757 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.81 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 521,323,197 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 51,772,777 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.07 | |||
|
|
* | Includes securities on loan of $35,153,029. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Interest | $ | 9,669,691 | |||
Dividends | 155,163 | ||||
Income from securities lending | 107,540 | ||||
Foreign tax reclaims received | 465 | ||||
|
| ||||
Total Investment Income | 9,932,859 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,384,224 | ||||
Administration fees | 120,247 | ||||
Distribution fees — Class 2 | 663,544 | ||||
Custodian fees | 7,257 | ||||
Administrative and compliance services fees | 3,650 | ||||
Transfer agent fees | 4,703 | ||||
Trustee fees | 12,008 | ||||
Professional fees | 12,049 | ||||
Shareholder reports | 6,231 | ||||
Other expenses | 4,615 | ||||
|
| ||||
Total expenses | 2,218,528 | ||||
|
| ||||
Net Investment Income/(Loss) | 7,714,331 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | (1,412,747 | ) | |||
Net realized gains/(losses) on securities sold short | 67,187 | ||||
Change in net unrealized appreciation/depreciation on investments | (15,692,421 | ) | |||
Change in net unrealized appreciation/depreciation on securities sold short | (2,709 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (17,040,690 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (9,326,359 | ) | ||
|
|
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Total Bond Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 7,714,331 | $ | 11,741,844 | ||||||
Net realized gains/(losses) on investment transactions | (1,345,560 | ) | 3,599,938 | |||||||
Change in unrealized appreciation/depreciation on investments | (15,695,130 | ) | 9,672,649 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (9,326,359 | ) | 25,014,431 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (609,952 | ) | |||||||
Class 2 | — | (13,382,351 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (13,992,303 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 739,810 | 573,881 | ||||||||
Proceeds from dividends reinvested | — | 609,952 | ||||||||
Value of shares redeemed | (1,799,011 | ) | (3,595,755 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,059,201 | ) | (2,411,922 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 5,158,248 | 11,883,572 | ||||||||
Proceeds from dividends reinvested | — | 13,382,351 | ||||||||
Value of shares redeemed | (27,544,883 | ) | (51,318,244 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (22,386,635 | ) | (26,052,321 | ) | ||||||
|
|
| �� | |||||||
Change in net assets resulting from capital transactions | (23,445,836 | ) | (28,464,243 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (32,772,195 | ) | (17,442,115 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 576,754,375 | 594,196,490 | ||||||||
|
|
|
| |||||||
End of period | $ | 543,982,180 | $ | 576,754,375 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 23,043,915 | $ | 15,329,584 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 75,518 | 57,427 | ||||||||
Dividends reinvested | — | 61,302 | ||||||||
Shares redeemed | (183,420 | ) | (360,782 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (107,902 | ) | (242,053 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 511,160 | 1,161,305 | ||||||||
Dividends reinvested | — | 1,309,428 | ||||||||
Shares redeemed | (2,739,953 | ) | (4,993,336 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (2,228,793 | ) | (2,522,603 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,336,695 | ) | (2,764,656 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Total Bond Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.96 | $ | 9.77 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | 0.23 | 0.24 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.30 | ) | 0.21 | (0.47 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total from Investment Activities | (0.15 | ) | 0.44 | (0.23 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.25 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Dividends | — | (0.25 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 9.81 | $ | 9.96 | $ | 9.77 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return(a) | (1.51 | )%(b) | 4.55 | % | (2.30 | )%(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 22,659 | $ | 24,077 | $ | 25,981 | ||||||||||||||||||||||||
Net Investment Income/(Loss) (c) | 3.03 | % | 2.23 | % | 3.03 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.56 | % | 0.56 | % | 0.59 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.56 | % | 0.56 | % | 0.59 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 19 | % | 81 | % | 119 | % | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.23 | $ | 10.05 | $ | 9.85 | $ | 10.14 | $ | 9.78 | $ | 10.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | 0.22 | 0.26 | 0.31 | 0.18 | 0.12 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.31 | ) | 0.21 | 0.29 | (0.40 | ) | 0.34 | (0.34 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.16 | ) | 0.43 | 0.55 | (0.09 | ) | 0.52 | (0.22 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.25 | ) | (0.34 | ) | (0.20 | ) | (0.16 | ) | (0.04 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.01 | ) | — | — | (0.02 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.25 | ) | (0.35 | ) | (0.20 | ) | (0.16 | ) | (0.06 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.07 | $ | 10.23 | $ | 10.05 | $ | 9.85 | $ | 10.14 | $ | 9.78 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | (1.56 | )%(b) | 4.28 | % | 5.51 | % | (0.89 | )% | 5.37 | % | (2.20 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 521,323 | $ | 552,678 | $ | 568,216 | $ | 433,205 | $ | 457,287 | $ | 370,623 | ||||||||||||||||||
Net Investment Income/(Loss) (c) | 2.78 | % | 1.98 | % | 3.06 | % | 2.93 | % | 2.11 | % | 1.24 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.81 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.81 | % | 0.81 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.81 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.81 | % | 0.81 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 19 | % | 81 | % | 119 | % | 123 | % | 421 | % | 488 | % |
* | Class 1 activity is for the period October 31, 2016 (commencement of operations) to December 31, 2016. |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Fidelity Institutional Asset Management Total Bond Fund (formerly, AZL Pyramis® Total Bond Fund) (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Funds may engage in short sales against the box (i.e., where the Funds owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Funds sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Funds may also incur an interest expense if a security that has been sold short has an interest payment. When the Funds engages in a short sale, the Funds records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Funds also may be required to pay a premium, which would increase the cost of the security sold.
18
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $39 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $10,636 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $36,626,712 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2018, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with FIAM LLC (“FIAM”), FIAM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its
19
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund Class 1 | 0.50 | % | 0.70 | % | ||||||
AZL Fidelity Institutional Asset Management Total Bond Fund Class 2 | 0.50 | % | 0.95 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $2,563 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
20
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Asset Backed Securities | $ | — | $ | 5,905,670 | $ | — | $ | — | $ | 5,905,670 | |||||||||||||||
Collateralized Mortgage Obligations | — | 7,624,231 | — | — | 7,624,231 | ||||||||||||||||||||
Corporate Bonds+ | — | 154,081,284 | — | # | — | 154,081,284 | |||||||||||||||||||
Yankee Dollars+ | — | 58,320,924 | — | — | 58,320,924 | ||||||||||||||||||||
Municipal Bonds | — | 8,610,539 | — | — | 8,610,539 | ||||||||||||||||||||
U.S. Government Agency Mortgages | — | 124,290,283 | — | — | 124,290,283 | ||||||||||||||||||||
U.S. Treasury Obligations | — | 175,058,786 | — | — | 175,058,786 | ||||||||||||||||||||
Common Stock | |||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 177 | — | — | — | 177 | ||||||||||||||||||||
Warrant | — | 383 | — | — | 383 | ||||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 36,626,712 | 36,626,712 | ||||||||||||||||||||
Unaffiliated Investment Company | 17,021,496 | — | — | — | 17,021,496 | ||||||||||||||||||||
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| ||||||||||||||||
Total Investment Securities | 17,021,673 | 533,892,100 | — | 36,626,712 | 587,540,485 | ||||||||||||||||||||
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Securities Sold Short | — | (597,178 | ) | — | — | (597,178 | ) | ||||||||||||||||||
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|
| ||||||||||||||||
Total Investments | $ | 17,021,673 | $ | 533,294,922 | $ | — | $ | 36,626,712 | $ | 586,943,307 | |||||||||||||||
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|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2018. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 99,200,761 | $ | 110,595,393 |
For the period ended June 30, 2018, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 50,276,159 | $ | 60,641,654 |
21
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2018 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 8/3/18 @ 103.44 | 6/21/17 | $ | 5,213 | $ | 340,000 | $ | 343,400 | 0.06 | % | ||||||||||||||||
NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 | 11/7/14 | 978,750 | 238,500 | 259,965 | 0.05 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $599,487,114. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 1,239,766 | ||
Unrealized (depreciation) | (13,783,573 | ) | ||
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| |||
Net unrealized appreciation/(depreciation) | $ | (12,543,807 | ) | |
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As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 6,060,284 | $ | 2,023,402 | $ | 8,083,686 |
22
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 13,992,303 | $ | — | $ | 13,992,303 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 15,329,584 | $ | — | $ | (8,083,687 | ) | $ | 3,158,282 | $ | 10,404,179 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 70% of the Fund.
10. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
23
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
24
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Gateway Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 8 |
Page 8 |
Statements of Changes in Net Assets Page 9 |
Page 10 |
Notes to the Financial Statements Page 11 |
Page 16 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Gateway Fund
(Unaudited)
As a shareholder of the AZL Gateway Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 997.00 | $ | 5.45 | 1.10 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 1,019.34 | $ | 5.51 | 1.10 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 25.8 | % | |||
Health Care | 13.8 | ||||
Financials | 13.5 | ||||
Consumer Discretionary | 12.6 | ||||
Industrials | 9.7 | ||||
Consumer Staples | 6.5 | ||||
Energy | 6.1 | ||||
Utilities | 3.1 | ||||
Materials | 2.4 | ||||
Real Estate | 2.3 | ||||
Telecommunication Services | 2.1 | ||||
|
| ||||
Total Common Stocks | 97.9 | ||||
Money Market | 1.8 | ||||
Purchased Put Options | 0.5 | ||||
|
| ||||
Total Investment Securities | 100.2 | ||||
Net other assets (liabilities) | (0.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+ (97.9%): | ||||||||
Aerospace & Defense (2.5%): | ||||||||
5,047 | Boeing Co. (The) | $ | 1,693,319 | |||||
1,166 | Huntington Ingalls Industries, Inc. | 252,777 | ||||||
4,954 | Raytheon Co. | 957,014 | ||||||
815 | TransDigm Group, Inc. | 281,289 | ||||||
7,625 | United Technologies Corp. | 953,354 | ||||||
|
| |||||||
4,137,753 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
8,045 | United Parcel Service, Inc., Class B | 854,620 | ||||||
|
| |||||||
Airlines (0.4%): | ||||||||
2,177 | Alaska Air Group, Inc. | 131,469 | ||||||
6,245 | American Airlines Group, Inc. | 237,060 | ||||||
5,353 | JetBlue Airways Corp.* | 101,600 | ||||||
3,421 | United Continental Holdings, Inc.* | 238,547 | ||||||
|
| |||||||
708,676 | ||||||||
|
| |||||||
Auto Components (0.1%): | ||||||||
766 | Adient plc | 37,680 | ||||||
915 | Autoliv, Inc. | 131,046 | ||||||
1,060 | Cooper Tire & Rubber Co. | 27,878 | ||||||
|
| |||||||
196,604 | ||||||||
|
| |||||||
Automobiles (0.4%): | ||||||||
47,775 | Ford Motor Co. | 528,869 | ||||||
308 | Tesla Motors, Inc.* | 105,629 | ||||||
|
| |||||||
634,498 | ||||||||
|
| |||||||
Banks (6.3%): | ||||||||
6,563 | Associated Banc-Corp. | 179,170 | ||||||
77,669 | Bank of America Corp. | 2,189,489 | ||||||
22,229 | Citigroup, Inc. | 1,487,565 | ||||||
24,600 | Huntington Bancshares, Inc. | 363,096 | ||||||
28,491 | JPMorgan Chase & Co. | 2,968,762 | ||||||
6,739 | Old National Bancorp | 125,345 | ||||||
1,190 | Signature Bank* | 152,177 | ||||||
890 | SVB Financial Group* | 256,996 | ||||||
15,870 | U.S. Bancorp | 793,817 | ||||||
33,632 | Wells Fargo & Co. | 1,864,558 | ||||||
|
| |||||||
10,380,975 | ||||||||
|
| |||||||
Beverages (2.0%): | ||||||||
33,673 | Coca-Cola Co. (The) | 1,476,898 | ||||||
4,867 | Monster Beverage Corp.* | 278,879 | ||||||
13,656 | PepsiCo, Inc. | 1,486,729 | ||||||
|
| |||||||
3,242,506 | ||||||||
|
| |||||||
Biotechnology (3.0%): | ||||||||
11,789 | AbbVie, Inc. | 1,092,252 | ||||||
2,526 | Alexion Pharmaceuticals, Inc.* | 313,603 | ||||||
5,843 | Amgen, Inc. | 1,078,560 | ||||||
1,814 | Biogen Idec, Inc.* | 526,495 | ||||||
7,079 | Celgene Corp.* | 562,214 | ||||||
10,467 | Gilead Sciences, Inc. | 741,482 | ||||||
1,042 | Seattle Genetics, Inc.* | 69,178 | ||||||
887 | Shire plc, ADR | 149,726 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Biotechnology, continued | ||||||||
551 | Tesaro, Inc.* | $ | 24,503 | |||||
2,265 | Vertex Pharmaceuticals, Inc.* | 384,959 | ||||||
|
| |||||||
4,942,972 | ||||||||
|
| |||||||
Building Products (0.4%): | ||||||||
4,287 | Fortune Brands Home & Security, Inc. | 230,169 | ||||||
8,085 | Johnson Controls International plc | 270,443 | ||||||
758 | Lennox International, Inc. | 151,714 | ||||||
|
| |||||||
652,326 | ||||||||
|
| |||||||
Capital Markets (2.4%): | ||||||||
12,460 | Charles Schwab Corp. (The) | 636,706 | ||||||
3,513 | CME Group, Inc. | 575,851 | ||||||
3,288 | Eaton Vance Corp. | 171,601 | ||||||
3,472 | Goldman Sachs Group, Inc. (The) | 765,819 | ||||||
7,766 | Intercontinental Exchange, Inc. | 571,189 | ||||||
2,140 | Legg Mason, Inc. | 74,322 | ||||||
14,586 | Morgan Stanley | 691,376 | ||||||
1,383 | MSCI, Inc. | 228,790 | ||||||
2,636 | TD Ameritrade Holding Corp. | 144,374 | ||||||
2,573 | Waddell & Reed Financial, Inc., Class A | 46,237 | ||||||
|
| |||||||
3,906,265 | ||||||||
|
| |||||||
Chemicals (1.8%): | ||||||||
332 | AdvanSix, Inc.* | 12,161 | ||||||
2,459 | Ashland Global Holdings, Inc. | 192,245 | ||||||
1,325 | Celanese Corp., Series A | 147,155 | ||||||
1,164 | Chemours Co. (The) | 51,635 | ||||||
20,253 | DowDuPont, Inc. | 1,335,078 | ||||||
3,240 | Eastman Chemical Co. | 323,870 | ||||||
683 | Ingevity Corp.* | 55,227 | ||||||
4,134 | LyondellBasell Industries NV, Class A | 454,120 | ||||||
1,723 | Olin Corp. | 49,485 | ||||||
3,495 | RPM International, Inc. | 203,828 | ||||||
4,772 | Valvoline, Inc. | 102,932 | ||||||
|
| |||||||
2,927,736 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
1,871 | Copart, Inc.* | 105,824 | ||||||
2,031 | Waste Connections, Inc. | 152,894 | ||||||
6,134 | Waste Management, Inc. | 498,939 | ||||||
|
| |||||||
757,657 | ||||||||
|
| |||||||
Communications Equipment (1.3%): | ||||||||
329 | Arista Networks, Inc.* | 84,714 | ||||||
38,687 | Cisco Systems, Inc. | 1,664,702 | ||||||
2,164 | Motorola Solutions, Inc. | 251,825 | ||||||
667 | Palo Alto Networks, Inc.* | 137,048 | ||||||
|
| |||||||
2,138,289 | ||||||||
|
| |||||||
Consumer Finance (0.7%): | ||||||||
2,419 | Ally Financial, Inc. | 63,547 | ||||||
7,795 | American Express Co. | 763,910 | ||||||
5,297 | Discover Financial Services | 372,962 | ||||||
|
| |||||||
1,200,419 | ||||||||
|
|
Continued
2
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Containers & Packaging (0.4%): | ||||||||
2,315 | Avery Dennison Corp. | $ | 236,362 | |||||
2,596 | Sonoco Products Co. | 136,290 | ||||||
4,370 | WestRock Co. | 249,177 | ||||||
|
| |||||||
621,829 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
2,806 | Genuine Parts Co. | 257,563 | ||||||
|
| |||||||
Diversified Financial Services (1.8%): | ||||||||
16,051 | Berkshire Hathaway, Inc., Class B* | 2,995,919 | ||||||
|
| |||||||
Diversified Telecommunication Services (2.0%): | ||||||||
54,976 | AT&T, Inc. | 1,765,279 | ||||||
29,145 | Verizon Communications, Inc. | 1,466,285 | ||||||
|
| |||||||
3,231,564 | ||||||||
|
| |||||||
Electric Utilities (1.6%): | ||||||||
11,991 | Alliant Energy Corp. | 507,459 | ||||||
12,957 | American Electric Power Co., Inc. | 897,271 | ||||||
10,220 | Duke Energy Corp. | 808,198 | ||||||
2,778 | Evergy, Inc. | 155,985 | ||||||
1,812 | Hawaiian Electric Industries, Inc. | 62,152 | ||||||
3,928 | OGE Energy Corp. | 138,305 | ||||||
|
| |||||||
2,569,370 | ||||||||
|
| |||||||
Electrical Equipment (0.6%): | ||||||||
4,381 | Eaton Corp. plc | 327,436 | ||||||
6,733 | Emerson Electric Co. | 465,520 | ||||||
735 | Hubbell, Inc. | 77,719 | ||||||
3,649 | nVent Electric plc* | 91,590 | ||||||
|
| |||||||
962,265 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.4%): | ||||||||
11,416 | Corning, Inc. | 314,054 | ||||||
4,334 | TE Connectivity, Ltd. | 390,320 | ||||||
|
| |||||||
704,374 | ||||||||
|
| |||||||
Energy Equipment & Services (0.9%): | ||||||||
5,708 | Baker Hughes, a GE Co. | 188,535 | ||||||
9,644 | Halliburton Co. | 434,559 | ||||||
4,634 | Patterson-UTI Energy, Inc. | 83,412 | ||||||
12,542 | Schlumberger, Ltd. | 840,689 | ||||||
|
| |||||||
1,547,195 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.3%): | ||||||||
3,601 | Camden Property Trust | 328,159 | ||||||
3,457 | Digital Realty Trust, Inc. | 385,732 | ||||||
13,318 | Duke Realty Corp. | 386,622 | ||||||
3,605 | Extra Space Storage, Inc. | 359,815 | ||||||
5,299 | Healthcare Realty Trust, Inc. | 154,095 | ||||||
4,116 | Kilroy Realty Corp. | 311,334 | ||||||
5,023 | Liberty Property Trust | 222,670 | ||||||
5,722 | Mack-Cali Realty Corp. | 116,042 | ||||||
3,099 | Parks Hotels & Resorts, Inc. | 94,922 | ||||||
6,740 | Regency Centers Corp. | 418,419 | ||||||
4,193 | Sabra Health Care REIT, Inc. | 91,114 | ||||||
5,429 | Senior Housing Properties Trust | 98,211 | ||||||
12,354 | UDR, Inc. | 463,769 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
5,967 | Ventas, Inc. | $ | 339,821 | |||||
|
| |||||||
3,770,725 | ||||||||
|
| |||||||
Food & Staples Retailing (1.0%): | ||||||||
10,397 | Walgreens Boots Alliance, Inc. | 623,976 | ||||||
11,959 | Wal-Mart Stores, Inc. | 1,024,288 | ||||||
|
| |||||||
1,648,264 | ||||||||
|
| |||||||
Food Products (1.0%): | ||||||||
1,733 | Bunge, Ltd. | 120,807 | ||||||
7,668 | Conagra Brands, Inc. | 273,978 | ||||||
1,344 | Ingredion, Inc. | 148,781 | ||||||
6,317 | Kraft Heinz Co. (The) | 396,834 | ||||||
2,252 | Lamb Weston Holdings, Inc. | 154,285 | ||||||
15,381 | Mondelez International, Inc., Class A | 630,620 | ||||||
|
| |||||||
1,725,305 | ||||||||
|
| |||||||
Gas Utilities (0.1%): | ||||||||
1,845 | National Fuel Gas Co. | 97,711 | ||||||
320 | WGL Holdings, Inc. | 28,400 | ||||||
|
| |||||||
126,111 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.0%): | ||||||||
14,872 | Abbott Laboratories | 907,043 | ||||||
944 | Align Technology, Inc.* | 322,980 | ||||||
6,560 | Baxter International, Inc. | 484,390 | ||||||
16,061 | Boston Scientific Corp.* | 525,195 | ||||||
5,898 | Hologic, Inc.* | 234,446 | ||||||
1,296 | Intuitive Surgical, Inc.* | 620,110 | ||||||
16,811 | Medtronic plc | 1,439,190 | ||||||
2,146 | ResMed, Inc. | 222,283 | ||||||
462 | Teleflex, Inc. | 123,913 | ||||||
|
| |||||||
4,879,550 | ||||||||
|
| |||||||
Health Care Providers & Services (3.2%): | ||||||||
4,130 | Aetna, Inc. | 757,855 | ||||||
2,962 | Anthem, Inc. | 705,045 | ||||||
8,196 | CVS Health Corp. | 527,413 | ||||||
6,066 | Express Scripts Holding Co.* | 468,356 | ||||||
3,695 | HCA Healthcare, Inc. | 379,107 | ||||||
3,309 | Patterson Cos., Inc. | 75,015 | ||||||
2,140 | Quest Diagnostics, Inc. | 235,272 | ||||||
8,436 | UnitedHealth Group, Inc. | 2,069,688 | ||||||
1,342 | Universal Health Services, Inc., Class B | 149,552 | ||||||
|
| |||||||
5,367,303 | ||||||||
|
| |||||||
Health Care Technology (0.0%): | ||||||||
884 | Veeva Systems, Inc., Class A* | 67,944 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.6%): | ||||||||
681 | Domino’s Pizza, Inc. | 192,158 | ||||||
1,619 | Hilton Grand Vacations, Inc.* | 56,179 | ||||||
4,308 | Hilton Worldwide Holdings, Inc. | 341,021 | ||||||
1,210 | Las Vegas Sands Corp. | 92,396 | ||||||
7,968 | McDonald’s Corp. | 1,248,506 | ||||||
1,457 | Melco Resorts & Entertainment, Ltd., ADR | 40,796 | ||||||
7,611 | MGM Resorts International | 220,947 |
Continued
3
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
1,742 | Restaurant Brands International, Inc. | $ | 105,090 | |||||
804 | Vail Resorts, Inc. | 220,449 | ||||||
8,092 | Wendy’s Co. (The) | 139,021 | ||||||
|
| |||||||
2,656,563 | ||||||||
|
| |||||||
Household Durables (0.4%): | ||||||||
6,147 | Newell Brands, Inc. | 158,531 | ||||||
54 | NVR, Inc.* | 160,399 | ||||||
5,462 | Toll Brothers, Inc. | 202,040 | ||||||
431 | Tupperware Brands Corp. | 17,774 | ||||||
1,070 | Whirlpool Corp. | 156,466 | ||||||
|
| |||||||
695,210 | ||||||||
|
| |||||||
Household Products (1.4%): | ||||||||
11,311 | Colgate-Palmolive Co. | 733,066 | ||||||
20,610 | Procter & Gamble Co. (The) | 1,608,817 | ||||||
|
| |||||||
2,341,883 | ||||||||
|
| |||||||
Industrial Conglomerates (1.9%): | ||||||||
5,229 | 3M Co., Class C | 1,028,649 | ||||||
67,187 | General Electric Co. | 914,415 | ||||||
8,340 | Honeywell International, Inc. | 1,201,377 | ||||||
|
| |||||||
3,144,441 | ||||||||
|
| |||||||
Insurance (2.1%): | ||||||||
11,603 | Aflac, Inc. | 499,160 | ||||||
5,165 | Allstate Corp. (The) | 471,410 | ||||||
3,024 | American Financial Group, Inc. | 324,566 | ||||||
9,220 | American International Group, Inc. | 488,844 | ||||||
3,493 | Aon plc | 479,135 | ||||||
9,771 | Arch Capital Group, Ltd.* | 258,541 | ||||||
5,626 | Arthur J. Gallagher & Co. | 367,265 | ||||||
2,467 | FNF Group | 92,809 | ||||||
4,674 | Lincoln National Corp. | 290,957 | ||||||
3,473 | XL Group, Ltd. | 194,314 | ||||||
|
| |||||||
3,467,001 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (4.3%): | ||||||||
2,932 | Amazon.com, Inc.* | 4,983,813 | ||||||
387 | Booking Holdings, Inc.* | 784,484 | ||||||
3,249 | Netflix, Inc.* | 1,271,756 | ||||||
|
| |||||||
7,040,053 | ||||||||
|
| |||||||
Internet Software & Services (5.7%): | ||||||||
1,233 | Alphabet, Inc., Class A* | 1,392,291 | ||||||
3,294 | Alphabet, Inc., Class C* | 3,674,951 | ||||||
330 | Baidu, Inc., ADR* | 80,190 | ||||||
8,672 | eBay, Inc.* | 314,447 | ||||||
18,309 | Facebook, Inc., Class A* | 3,557,805 | ||||||
148 | MercadoLibre, Inc. | 44,242 | ||||||
2,013 | VeriSign, Inc.* | 276,626 | ||||||
739 | Zillow Group, Inc., Class C* | 43,645 | ||||||
|
| |||||||
9,384,197 | ||||||||
|
| |||||||
IT Services (3.8%): | ||||||||
4,072 | Automatic Data Processing, Inc. | 546,218 | ||||||
630 | Black Knight, Inc.* | 33,737 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
IT Services, continued | ||||||||
1,762 | Broadridge Financial Solutions, Inc. | $ | 202,806 | |||||
6,209 | Cognizant Technology Solutions Corp., Class A | 490,449 | ||||||
4,624 | Fidelity National Information Services, Inc. | 490,283 | ||||||
456 | FleetCor Technologies, Inc.* | 96,056 | ||||||
7,549 | International Business Machines Corp. | 1,054,595 | ||||||
3,883 | Paychex, Inc. | 265,403 | ||||||
9,833 | PayPal Holdings, Inc.* | 818,794 | ||||||
16,404 | Visa, Inc., Class A | 2,172,710 | ||||||
7,660 | Western Union Co. | 155,728 | ||||||
|
| |||||||
6,326,779 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
8,159 | Mattel, Inc. | 133,971 | ||||||
707 | Polaris Industries, Inc. | 86,381 | ||||||
|
| |||||||
220,352 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.2%): | ||||||||
1,428 | Illumina, Inc.* | 398,826 | ||||||
|
| |||||||
Machinery (1.6%): | ||||||||
5,574 | Caterpillar, Inc. | 756,225 | ||||||
2,209 | Cummins, Inc. | 293,797 | ||||||
3,344 | Deere & Co. | 467,491 | ||||||
2,575 | Parker Hannifin Corp. | 401,314 | ||||||
3,649 | Pentair plc | 153,550 | ||||||
1,135 | Snap-On, Inc. | 182,417 | ||||||
2,737 | Stanley Black & Decker, Inc. | 363,501 | ||||||
1,307 | Timken Co. | 56,920 | ||||||
|
| |||||||
2,675,215 | ||||||||
|
| |||||||
Media (2.0%): | ||||||||
37,052 | Comcast Corp., Class A | 1,215,676 | ||||||
2,082 | Liberty Broadband Corp., Class C* | 157,649 | ||||||
3,673 | Liberty Global plc, Series C* | 97,739 | ||||||
2,023 | Liberty Latin America, Ltd.* | 39,206 | ||||||
3,810 | News Corp., Class B | 60,389 | ||||||
3,212 | Omnicom Group, Inc. | 244,979 | ||||||
31,938 | Sirius XM Holdings, Inc. | 216,220 | ||||||
13,018 | Walt Disney Co. (The) | 1,364,416 | ||||||
|
| |||||||
3,396,274 | ||||||||
|
| |||||||
Metals & Mining (0.2%): | ||||||||
3,477 | Southern Copper Corp. | 162,967 | ||||||
3,813 | Steel Dynamics, Inc. | 175,208 | ||||||
1,126 | Worthington Industries, Inc. | 47,258 | ||||||
|
| |||||||
385,433 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.3%): | ||||||||
12,137 | AGNC Investment Corp. | 225,627 | ||||||
23,250 | Annaly Capital Management, Inc. | 239,242 | ||||||
|
| |||||||
464,869 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
2,245 | Nordstrom, Inc. | 116,246 | ||||||
7,247 | Target Corp. | 551,642 | ||||||
|
| |||||||
667,888 | ||||||||
|
|
Continued
4
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Multi-Utilities (1.4%): | ||||||||
7,604 | Ameren Corp. | $ | 462,703 | |||||
11,577 | CenterPoint Energy, Inc. | 320,799 | ||||||
5,288 | Consolidated Edison, Inc. | 412,358 | ||||||
8,480 | Public Service Enterprise Group, Inc. | 459,107 | ||||||
10,725 | WEC Energy Group, Inc. | 693,372 | ||||||
|
| |||||||
2,348,339 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.2%): | ||||||||
2,550 | Cheniere Energy, Inc.* | 166,235 | ||||||
15,205 | Chevron Corp. | 1,922,368 | ||||||
4,000 | Concho Resources, Inc.* | 553,400 | ||||||
13,755 | ConocoPhillips Co. | 957,623 | ||||||
5,024 | Continental Resources, Inc.* | 325,354 | ||||||
31,601 | Exxon Mobil Corp. | 2,614,350 | ||||||
9,492 | Gulfport Energy Corp.* | 119,314 | ||||||
1,132 | HollyFrontier Corp. | 77,463 | ||||||
9,095 | Occidental Petroleum Corp. | 761,070 | ||||||
4,715 | ONEOK, Inc. | 329,248 | ||||||
6,139 | Phillips 66 | 689,471 | ||||||
|
| |||||||
8,515,896 | ||||||||
|
| |||||||
Personal Products (0.0%): | ||||||||
1,400 | Herbalife, Ltd.* | 75,208 | ||||||
|
| |||||||
Pharmaceuticals (4.4%): | ||||||||
3,566 | Allergan plc | 594,524 | ||||||
12,561 | Bristol-Myers Squibb Co. | 695,126 | ||||||
7,583 | Eli Lilly & Co. | 647,057 | ||||||
682 | Jazz Pharmaceuticals plc* | 117,509 | ||||||
19,867 | Johnson & Johnson Co. | 2,410,661 | ||||||
20,473 | Merck & Co., Inc. | 1,242,711 | ||||||
44,316 | Pfizer, Inc. | 1,607,784 | ||||||
|
| |||||||
7,315,372 | ||||||||
|
| |||||||
Professional Services (0.4%): | ||||||||
1,079 | Dun & Bradstreet Corp. | 132,339 | ||||||
777 | ManpowerGroup, Inc. | 66,869 | ||||||
3,775 | Verisk Analytics, Inc.* | 406,341 | ||||||
|
| |||||||
605,549 | ||||||||
|
| |||||||
Road & Rail (0.9%): | ||||||||
2,956 | Avis Budget Group, Inc.* | 96,070 | ||||||
1,290 | Canadian Pacific Railway, Ltd. | 236,096 | ||||||
11,516 | CSX Corp. | 734,490 | ||||||
3,223 | Hertz Global Holdings, Inc.* | 49,441 | ||||||
2,146 | Old Dominion Freight Line, Inc. | 319,668 | ||||||
|
| |||||||
1,435,765 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.2%): | ||||||||
11,512 | Advanced Micro Devices, Inc.* | 172,565 | ||||||
4,633 | Analog Devices, Inc. | 444,397 | ||||||
13,839 | Applied Materials, Inc. | 639,223 | ||||||
34,540 | Intel Corp. | 1,716,984 | ||||||
4,221 | Microchip Technology, Inc. | 383,900 | ||||||
7,990 | Micron Technology, Inc.* | 418,996 | ||||||
4,633 | NVIDIA Corp. | 1,097,558 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
11,729 | QUALCOMM, Inc. | $ | 658,231 | |||||
3,166 | Skyworks Solutions, Inc. | 305,994 | ||||||
4,347 | Teradyne, Inc. | 165,490 | ||||||
8,743 | Texas Instruments, Inc. | 963,916 | ||||||
|
| |||||||
6,967,254 | ||||||||
|
| |||||||
Software (6.2%): | ||||||||
7,408 | Activision Blizzard, Inc. | 565,379 | ||||||
4,973 | Adobe Systems, Inc.* | 1,212,466 | ||||||
1,570 | ANSYS, Inc.* | 273,463 | ||||||
7,727 | Cadence Design Systems, Inc.* | 334,656 | ||||||
912 | Check Point Software Technologies, Ltd.* | 89,084 | ||||||
727 | Dell Technologies, Inc., Class V* | 61,490 | ||||||
1,532 | Fortinet, Inc.* | 95,643 | ||||||
56,599 | Microsoft Corp. | 5,581,226 | ||||||
6,789 | Nuance Communications, Inc.* | 94,265 | ||||||
24,495 | Oracle Corp. | 1,079,250 | ||||||
1,971 | PTC, Inc.* | 184,900 | ||||||
834 | ServiceNow, Inc.* | 143,840 | ||||||
7,006 | Symantec Corp. | 144,674 | ||||||
1,144 | Take-Two Interactive Software, Inc.* | 135,404 | ||||||
1,497 | VMware, Inc., Class A* | 220,014 | ||||||
783 | Workday, Inc., Class A* | 94,837 | ||||||
|
| |||||||
10,310,591 | ||||||||
|
| |||||||
Specialty Retail (2.6%): | ||||||||
4,882 | American Eagle Outfitters, Inc. | 113,507 | ||||||
2,237 | Foot Locker, Inc. | 117,778 | ||||||
3,619 | Gap, Inc. (The) | 117,219 | ||||||
10,418 | Home Depot, Inc. (The) | 2,032,552 | ||||||
2,407 | L Brands, Inc. | 88,770 | ||||||
8,312 | Lowe’s Cos., Inc. | 794,378 | ||||||
2,075 | Tiffany & Co. | 273,070 | ||||||
7,356 | TJX Cos., Inc. (The) | 700,144 | ||||||
|
| |||||||
4,237,418 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.1%): | ||||||||
36,533 | Apple, Inc. | 6,762,624 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.5%): | ||||||||
1,664 | Lululemon Athletica, Inc.* | 207,750 | ||||||
4,291 | Michael Kors Holdings, Ltd.* | 285,781 | ||||||
13,608 | Under Armour, Inc., Class A* | 305,908 | ||||||
2,313 | Under Armour, Inc., Class C* | 48,758 | ||||||
|
| |||||||
848,197 | ||||||||
|
| |||||||
Tobacco (1.0%): | ||||||||
14,201 | Altria Group, Inc. | 806,475 | ||||||
11,045 | Philip Morris International, Inc. | 891,773 | ||||||
1,877 | Vector Group, Ltd. | 35,813 | ||||||
|
| |||||||
1,734,061 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.1%): | ||||||||
1,211 | GATX Corp. | 89,893 | ||||||
|
|
Continued
5
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Principal Amount | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Wireless Telecommunication Services (0.1%): | ||||||||
2,648 | Sprint Corp.* | $ | 14,405 | |||||
1,372 | T-Mobile US, Inc.* | 81,977 | ||||||
|
| |||||||
96,382 | ||||||||
|
| |||||||
Total Common Stocks (Cost $104,885,722) | 161,764,110 | |||||||
|
| |||||||
Purchased Options (0.5%): | ||||||||
Total Purchased Options (Cost $1,146,356) | 894,955 | |||||||
|
|
Contracts, Principal Amount | Fair Value | |||||||
Unaffiliated Investment Company (1.8%): | ||||||||
2,899,770 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(a) | $ | 2,899,770 | |||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $2,899,770) | 2,899,770 | |||||||
|
| |||||||
Total Investment Securities (Cost $108,931,848)—100.2%(b) | 165,558,835 | |||||||
Net other assets (liabilities)—(0.2)% | (353,674 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 165,205,161 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
* | Non-income producing security. |
+ | All or a portion of each common stock has been pledged as collateral for outstanding call options written. |
(a) | The rate represents the effective yield at June 30, 2018. |
(b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
6
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
At June 30, 2018, the Fund’s exchange traded options purchased were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | ||||||||||||||||||
S&P 500 Index | Put | 2425.00 USD | 7/20/18 | 118 | $ | 286,150 | $ | 26,550 | ||||||||||||||||
S&P 500 Index | Put | 2475.00 USD | 8/17/18 | 71 | 175,725 | 74,550 | ||||||||||||||||||
S&P 500 Index | Put | 2500.00 USD | 8/17/18 | 71 | 177,500 | 85,555 | ||||||||||||||||||
S&P 500 Index | Put | 2550.00 USD | 8/17/18 | 87 | 221,850 | 138,765 | ||||||||||||||||||
S&P 500 Index | Put | 2475.00 USD | 9/21/18 | 85 | 210,375 | 178,075 | ||||||||||||||||||
S&P 500 Index | Put | 2500.00 USD | 9/21/18 | 71 | 177,500 | 166,140 | ||||||||||||||||||
S&P 500 Index | Put | 2525.00 USD | 9/21/18 | 86 | 217,150 | 225,320 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total (Cost $1,146,356) |
| $ | 894,955 | |||||||||||||||||||||
|
|
At June 30, 2018, the Fund’s exchange traded options written were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | ||||||||||||||||||
S&P 500 Index | Call | 2760.00 USD | 7/13/18 | 64 | $ | 176,640 | $ | (52,160 | ) | |||||||||||||||
S&P 500 Index | Call | 2700.00 USD | 7/20/18 | 67 | 180,900 | (308,535 | ) | |||||||||||||||||
S&P 500 Index | Call | 2725.00 USD | 7/20/18 | 59 | 160,775 | (174,935 | ) | |||||||||||||||||
S&P 500 Index | Call | 2775.00 USD | 7/20/18 | 68 | 188,700 | (51,340 | ) | |||||||||||||||||
S&P 500 Index | Call | 2800.00 USD | 7/20/18 | 67 | 187,600 | (18,928 | ) | |||||||||||||||||
S&P 500 Index | Call | 2740.00 USD | 7/27/18 | 66 | 180,840 | (174,570 | ) | |||||||||||||||||
S&P 500 Index | Call | 2700.00 USD | 8/17/18 | 63 | 170,100 | (394,695 | ) | |||||||||||||||||
S&P 500 Index | Call | 2775.00 USD | 8/17/18 | 67 | 185,925 | (133,665 | ) | |||||||||||||||||
S&P 500 Index | Call | 2800.00 USD | 8/17/18 | 68 | 190,400 | (76,840 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total (Premiums $2,731,729) |
| $ | (1,385,668 | ) | ||||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
See accompanying notes to the financial statements.
7
AZL Gateway Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 108,931,848 | |||
|
| ||||
Investment securities, at value | $ | 165,558,835 | |||
Cash | 2,772 | ||||
Interest and dividends receivable | 132,599 | ||||
Receivable for investments sold | 568,431 | ||||
Receivable for capital shares issued | 484,582 | ||||
Reclaims receivable | 877 | ||||
Prepaid expenses | 1,241 | ||||
|
| ||||
Total Assets | 166,749,337 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 955 | ||||
Written Options (Premiums received $2,731,729) | 1,385,668 | ||||
Manager fees payable | 109,602 | ||||
Administration fees payable | 4,105 | ||||
Distribution fees payable | 34,251 | ||||
Custodian fees payable | 752 | ||||
Administrative and compliance services fees payable | 265 | ||||
Transfer agent fees payable | 575 | ||||
Trustee fees payable | 993 | ||||
Other accrued liabilities | 7,010 | ||||
|
| ||||
Total Liabilities | 1,544,176 | ||||
|
| ||||
Net Assets | $ | 165,205,161 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 122,824,364 | |||
Accumulated net investment income/(loss) | 2,828,264 | ||||
Accumulated net realized gains/(losses) from investment transactions | (18,420,515 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 57,973,048 | ||||
|
| ||||
Net Assets | $ | 165,205,161 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 12,440,376 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.28 | |||
|
|
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 1,708,472 | |||
Foreign withholding tax | (644 | ) | |||
|
| ||||
Total Investment Income | 1,707,828 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 692,756 | ||||
Administration fees | 27,945 | ||||
Distribution fees | 216,486 | ||||
Custodian fees | 3,004 | ||||
Administrative and compliance services fees | 1,008 | ||||
Transfer agent fees | 2,074 | ||||
Trustee fees | 3,429 | ||||
Professional fees | 3,338 | ||||
Shareholder reports | 1,795 | ||||
Other expenses | 1,328 | ||||
|
| ||||
Total expenses | 953,163 | ||||
|
| ||||
Net Investment Income/(Loss) | 754,665 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 24,242,559 | ||||
Net realized gains/(losses) on written options contracts | (8,840,701 | ) | |||
Change in net unrealized appreciation/depreciation on investments | (18,538,989 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 2,170,255 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (966,876 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (212,211 | ) | ||
|
|
See accompanying notes to the financial statements.
8
AZL Gateway Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 754,665 | $ | 2,182,398 | ||||||
Net realized gains/(losses) on investment transactions | 15,401,858 | 298,817 | ||||||||
Change in unrealized appreciation/depreciation on investments | (16,368,734 | ) | 15,856,221 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (212,211 | ) | 18,337,436 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (2,139,703 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (2,139,703 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 3,111,591 | 43,382,092 | ||||||||
Proceeds from dividends reinvested | — | 2,139,703 | ||||||||
Value of shares redeemed | (50,989,420 | ) | (27,375,086 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (47,877,829 | ) | 18,146,709 | |||||||
|
|
|
| |||||||
Change in net assets | (48,090,040 | ) | 34,344,442 | |||||||
Net Assets: | ||||||||||
Beginning of period | 213,295,201 | 178,950,759 | ||||||||
|
|
|
| |||||||
End of period | $ | 165,205,161 | $ | 213,295,201 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 2,828,264 | $ | 2,073,599 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 234,524 | 3,413,870 | ||||||||
Dividends reinvested | — | 164,340 | ||||||||
Shares redeemed | (3,809,189 | ) | (2,123,780 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,574,665 | ) | 1,454,430 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
9
AZL Gateway Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.32 | $ | 12.29 | $ | 11.96 | $ | 11.87 | $ | 11.65 | $ | 10.83 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | 0.12 | 0.17 | 0.15 | 0.13 | 0.13 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.14 | ) | 1.04 | 0.40 | 0.08 | 0.23 | 0.78 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.04 | ) | 1.16 | 0.57 | 0.23 | 0.36 | 0.91 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.24 | ) | (0.14 | ) | (0.14 | ) | (0.09 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.13 | ) | (0.24 | ) | (0.14 | ) | (0.14 | ) | (0.09 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.28 | $ | 13.32 | $ | 12.29 | $ | 11.96 | $ | 11.87 | $ | 11.65 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | (0.30 | )%(b) | 9.46 | % | 4.84 | % | 1.98 | % | 3.09 | % | 8.44 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 165,205 | $ | 213,295 | $ | 178,951 | $ | 200,708 | $ | 217,753 | $ | 212,164 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.87 | % | 1.06 | % | 1.19 | % | 1.11 | % | 1.14 | % | 1.35 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.11 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | %(e) | 1.11 | %(e) | ||||||||||||||||||
Portfolio Turnover Rate | 6 | %(b) | 24 | % | 20 | % | 5 | % | 18 | % | 16 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remitted a portion of the brokerage commission which were used to pay certain Fund expenses. The Fund ceased participation in the program in June 2014. |
See accompanying notes to the financial statements.
10
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Gateway Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
11
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2018, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts – The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts – The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
For the period ended June 30, 2018, the monthly average notional amount for written options contracts was $1.8 million. Realized gains and losses are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Written options contracts | $ | 1,385,668 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||
Equity Risk | ||||||||
Equity Contracts | Net realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | $ | (8,840,701 | ) | $2,170,255 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Gateway Investment Advisers, LLC (“Gateway”), Gateway provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
12
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Gateway Fund | 0.80 | % | 1.25 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $808 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. The Fund generally values index options at the average of the closing bid and ask quotations on the principal exchange on which the option is traded and are typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
13
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Total | ||||||||
Common Stocks+ | $ | 161,764,110 | $ | 161,764,110 | ||||||
Purchased Put Options | 894,955 | 894,955 | ||||||||
Unaffiliated Investment Company | 2,899,770 | 2,899,770 | ||||||||
|
|
|
| |||||||
Total Investment Securities | 165,558,835 | 165,558,835 | ||||||||
|
|
|
| |||||||
Other Financial Instruments:* | ||||||||||
Written Options | (1,385,668 | ) | (1,385,668 | ) | ||||||
|
|
|
| |||||||
Total Investments | $ | 164,173,167 | $ | 164,173,167 | ||||||
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as written options. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Gateway Fund | $ | 9,605,387 | $ | 64,549,602 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $107,879,731. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 58,736,972 | ||
Unrealized (depreciation) | (2,443,536 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 56,293,436 | ||
|
|
As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
14
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
CLCFs subject to expiration:
Expires 12/31/2018 | |||||
AZL Gateway Fund | $ | 10,170 |
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Gateway Fund | $ | 33,513,143 | $ | — | $ | 33,513,143 |
During the year ended June 30, 2018, the Fund utilized $2,360,419 in CLCFs to offset capital gains.
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Gateway Fund | $ | 2,139,703 | $ | — | $ | 2,139,703 |
(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL Gateway Fund | $ | 2,073,599 | $ | — | $ | (33,523,314 | ) | $ | 74,042,723 | $ | 42,593,008 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 75% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements
15
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
16
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Government Money Market Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 11 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Government Money Market Fund
(Unaudited)
As a shareholder of the AZL Government Money Market Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,000.00 | $ | 1,003.70 | $ | 4.32 | 0.87 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,000.00 | $ | 1,020.48 | $ | 4.36 | 0.87 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Government Agency Mortgages | 45.0 | % | |||
Repurchase Agreements | 33.7 | ||||
U.S. Treasury Obligations | 19.5 | ||||
|
| ||||
Total Investment Securities | 98.2 | ||||
Net other assets (liabilities) | 1.8 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages (45.0%): | ||||||||
Federal Home Loan Bank (32.0%): | ||||||||
$ | 3,385,000 | 1.86%, 7/10/18 | $ | 3,383,426 | ||||
4,190,000 | 1.85%, 7/11/18 | 4,187,849 | ||||||
13,905,000 | 1.79%, 7/18/18 | 13,892,727 | ||||||
2,510,000 | 1.84%, 7/20/18 | 2,507,569 | ||||||
7,075,000 | 1.86%, 7/25/18 | 7,066,232 | ||||||
2,555,000 | 1.90%, 8/3/18 | 2,550,562 | ||||||
4,445,000 | 1.89%, 8/8/18 | 4,436,184 | ||||||
9,500,000 | 1.74%, 8/10/18 | 9,481,749 | ||||||
960,000 | 1.93%(US0001M-15bps), 8/15/18 | 960,000 | ||||||
960,000 | 1.93%(US0001M-15bps), 8/15/18 | 960,000 | ||||||
3,845,000 | 1.94%(US0001M-15bps), 8/22/18 | 3,845,000 | ||||||
5,740,000 | 1.90%, 8/22/18 | 5,724,288 | ||||||
975,000 | 1.94%, 8/29/18 | 971,932 | ||||||
3,275,000 | 1.94%, 9/7/18 | 3,263,061 | ||||||
4,500,000 | 1.89%(US0001M-12bps), 10/3/18 | 4,500,000 | ||||||
4,405,000 | 1.94%(US0001M-13bps), 10/15/18 | 4,405,000 | ||||||
5,075,000 | 2.02%, 10/19/18 | 5,043,986 | ||||||
460,000 | 2.02%, 10/22/18 | 457,112 | ||||||
175,000 | 2.02%, 10/24/18 | 173,882 | ||||||
5,000,000 | 1.96%(US0001M-14bps), 10/26/18 | 5,000,000 | ||||||
4,465,000 | 1.91%(US0001M-15bps), 11/14/18 | 4,465,000 | ||||||
8,000,000 | 1.96%(US0001M-13bps), 11/16/18 | 8,000,000 | ||||||
12,000,000 | 2.02%(US0001M-7bps), 12/19/18 | 12,000,000 | ||||||
4,260,000 | 2.00%(US0001M-9bps), 1/25/19 | 4,260,000 | ||||||
1,140,000 | 1.94%(US0001M-7bps), 2/11/19 | 1,140,248 | ||||||
5,000,000 | 1.98%(US0001M-12bps), 2/25/19 | 5,000,000 | ||||||
1,000,000 | 1.97%(US0001M-12bps), 3/25/19 | 1,000,000 | ||||||
1,570,000 | 2.19%(US0003M-16bps), 6/12/19 | 1,569,613 | ||||||
2,310,000 | 2.17%(US0003M-16bps), 6/20/19 | 2,310,000 | ||||||
1,895,000 | 2.17%(US0003M-16bps), 6/20/19 | 1,895,000 | ||||||
7,000,000 | 2.17%(US0003M-16bps), 6/20/19 | 7,000,000 | ||||||
1,215,000 | 2.05%(US0001M-5bps), 6/28/19 | 1,215,000 | ||||||
3,470,000 | 2.02%(US0001M-8bps), 8/27/19 | 3,470,000 | ||||||
5,000,000 | 1.99%(US0001M-6bps), 9/11/19 | 5,000,000 | ||||||
2,015,000 | 2.19%(US0003M-14bps), 12/19/19 | 2,015,000 | ||||||
2,830,000 | 2.04%(US0001M-4bps), 4/17/20 | 2,830,000 | ||||||
|
| |||||||
145,980,420 | ||||||||
|
| |||||||
Federal Farm Credit Bank (8.8%): | ||||||||
410,000 | 1.54%, 8/10/18 | 409,308 | ||||||
2,975,000 | 1.95%, 9/10/18 | 2,963,617 | ||||||
4,480,000 | 1.94%, 9/19/18 | 4,460,786 | ||||||
1,921,000 | 2.03%, 11/14/18 | 1,919,254 | ||||||
6,860,000 | 2.07%, 11/19/18 | 6,804,920 | ||||||
1,555,000 | 2.18%, 12/24/18 | 1,538,655 | ||||||
2,360,000 | 2.17%, 1/4/19 | 2,333,766 | ||||||
4,660,000 | 2.17%, 1/16/19 | 4,604,875 | ||||||
2,600,000 | 2.26%, 3/11/19 | 2,559,436 | ||||||
2,600,000 | 2.28%, 3/19/19 | 2,557,965 | ||||||
700,000 | 2.26%, 4/12/19 | 687,698 | ||||||
2,305,000 | 1.96%(US0001M-8bps), 7/30/19 | 2,303,471 | ||||||
5,305,000 | 1.98%(US0001M-5bps), 2/7/20 | 5,304,913 | ||||||
865,000 | 1.96%(USBMMY3M+5bps), 4/30/20 | 864,970 | ||||||
|
| |||||||
39,313,634 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation (4.2%): | ||||||||
$ | 8,105,000 | 1.80%, 7/26/18 | $ | 8,094,925 | ||||
3,390,000 | 1.90%, 8/20/18 | 3,381,101 | ||||||
3,210,000 | 1.63%, 10/12/18 | 3,203,249 | ||||||
4,470,000 | 1.98%(US0001M-10bps), 8/8/19 | 4,467,552 | ||||||
|
| |||||||
19,146,827 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $204,440,881) | 204,440,881 | |||||||
|
| |||||||
U.S. Treasury Obligations (19.5%): | ||||||||
U.S. Treasury Bills (17.9%) | ||||||||
9,290,000 | 1.64%, 7/19/18 | 9,282,568 | �� | |||||
8,000,000 | 1.66%, 8/2/18 | 7,988,444 | ||||||
3,200,000 | 1.69%, 8/9/18 | 3,194,220 | ||||||
4,900,000 | 1.86%, 8/23/18 | 4,886,871 | ||||||
30,000,000 | 2.00%, 9/20/18 | 29,868,374 | ||||||
12,000,000 | 1.94%, 9/27/18 | 11,944,413 | ||||||
5,715,000 | 2.03%, 10/25/18 | 5,678,429 | ||||||
7,805,000 | 2.14%, 12/27/18 | 7,724,085 | ||||||
|
| |||||||
80,567,404 | ||||||||
|
| |||||||
U.S. Treasury Notes (1.6%) | ||||||||
7,130,000 | 1.43%, 7/31/18 | 7,127,985 | ||||||
210,000 | 2.19%, 1/31/19 | 208,711 | ||||||
210,000 | 2.19%, 1/31/19 | 208,862 | ||||||
|
| |||||||
7,545,558 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $88,112,962) | 88,112,962 | |||||||
|
| |||||||
Repurchase Agreements (33.7%): | ||||||||
16,000,000 | Bank of Montreal, 2.10%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $16,002,800, Collateralized by U.S. Government Agency Obligations, 0.00% — 4.50%, 10/11/18 — 7/1/56, fair value of $16,420,146) | 16,000,000 | ||||||
20,000,000 | Bank of Nova Scotia, 2.10%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $20,003,500, Collateralized by U.S. Treasury Obligations, 0.13% — 2.75%, 4/15/20 — 5/15/46, fair value of $20,403,622) | 20,000,000 | ||||||
15,000,000 | BNP Paribas, 2.12%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $15,002,650, Collateralized by U.S. Government Agency Obligations, 0.00% — 4.50%, 10/25/18 — 4/20/48, fair value of $15,381,729) | 15,000,000 | ||||||
5,000,000 | Citigroup Global Markets, 2.12%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $5,000,883, Collateralized by U.S. Government Agency Obligations, 0.00% — 3.50%, 2/23/38 —12/20/47, fair value of $5,100,001) | 5,000,000 | ||||||
2,500,000 | HSBC Securities (USA), Inc., 1.94%, 7/3/18, (Purchased on 6/29/18, proceeds at maturity $2500,808, Collateralized by a U.S. Treasury Note, 0.38%, 1/15/27, fair value of $2,552,347) | 2,500,000 | ||||||
12,000,000 | HSBC Securities (USA), Inc., 2.11%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $12,002,110, Collateralized by a U.S. Treasury Bill, 0.00%, 6/20/19, fair value of $12,241,430) | 12,000,000 | ||||||
2,000,000 | HSBC Securities (USA), Inc., 1.91%, 7/3/18, (Purchased on 6/29/18, proceeds at maturity $2,000,743 Collateralized by a U.S. Treasury Note, 0.38%, 1/15/27, fair value of $2,042,886) | 2,000,000 |
Continued
2
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Repurchase Agreements, continued | ||||||||
$ | 5,000,000 | Mistubishi UFJ Securities USA, Inc., 2.08%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $5,000,867, Collateralized by U.S. Treasury Obligations, 0.00% — 3.88%, 2/28/19 —5/15/45, fair value of $5,100,030) | $ | 5,000,000 | ||||
20,000,000 | Mizuho Securities USA, Inc., 2.12%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $20,003,533, Collateralized by U.S. Treasury Bond, 3.13%, 8/15/44, fair value of $20,400,018) | 20,000,000 | ||||||
5,000,000 | Natixis S.A., 2.12%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $5,000,883, Collateralized by U.S. Government Agency Obligations, 0.00% — 4.00%, 1/31/19 -11/15/47, fair value of $5,148,702) | 5,000,000 | ||||||
25,000,000 | Natixis S.A., 2.10%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $25,004,375, Collateralized by U.S. Treasury Notes, 1.44%,- 2.00%, 1/31/20 — 6/30/22, fair value of $25,500,027) | 25,000,000 |
Principal Amount | Fair Value | |||||||
Repurchase Agreements, continued | ||||||||
$ | 15,000,000 | Toronto Dominion Bank NY, 2.12%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $15,002,650, Collateralized by a U.S. Government Agency Obligation, 3.50%, 7/1/46, fair value of $15,450,000) | $ | 15,000,000 | ||||
10,000,000 | Toronto Dominion Bank NY, 2.10%, 7/2/18, (Purchased on 6/29/18, proceeds at maturity $10,001,750, Collateralized by a U.S. Treasury Note, 1.63%, 7/31/20, fair value of $10,200,070) | 10,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements (Cost $152,500,000) | 152,500,000 | |||||||
|
| |||||||
Total Investment Securities (Cost $445,053,843) — 98.2%(a) | 445,053,843 | |||||||
Net other assets (liabilities) — 1.8% | 7,934,613 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 452,988,456 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
LIBOR—London Interbank Offered Rate
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USBMMY3M—3 Month Treasury Bill Rate
(a) | Aggregate cost for federal income tax and financial reporting purposes is substantially the same. |
See accompanying notes to the financial statements.
3
AZL Government Money Market Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 292,553,843 | |||
|
| ||||
Investment securities, at value | $ | 292,553,843 | |||
Repurchase agreements, at value/cost | 152,500,000 | ||||
Cash | 57,149 | ||||
Interest and dividends receivable | 225,268 | ||||
Receivable for capital shares issued | 377,638 | ||||
Receivable for investments sold | 7,985,000 | ||||
Prepaid expenses | 2,930 | ||||
|
| ||||
Total Assets | 453,701,828 | ||||
|
| ||||
Liabilities: | |||||
Distributions payable | 377,639 | ||||
Manager fees payable | 210,847 | ||||
Administration fees payable | 10,313 | ||||
Distribution fees payable | 92,556 | ||||
Custodian fees payable | 555 | ||||
Administrative and compliance services fees payable | 546 | ||||
Transfer agent fees payable | 539 | ||||
Trustee fees payable | 2,554 | ||||
Other accrued liabilities | 17,823 | ||||
|
| ||||
Total Liabilities | 713,372 | ||||
|
| ||||
Net Assets | $ | 452,988,456 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 452,987,260 | |||
Accumulated net realized gains/(losses) from investment transactions | 1,196 | ||||
|
| ||||
Net Assets | $ | 452,988,456 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 452,987,382 | ||||
Net Asset Value (offering and redemption price per share) | $ | 1.00 | |||
|
|
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Interest | $ | 3,770,780 | |||
|
| ||||
Total Investment Income | 3,770,780 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 818,167 | ||||
Administration fees | 60,896 | ||||
Distribution fees | 584,406 | ||||
Custodian fees | 3,074 | ||||
Administrative and compliance services fees | 3,530 | ||||
Transfer agent fees | 2,816 | ||||
Trustee fees | 11,585 | ||||
Professional fees | 11,500 | ||||
Shareholder reports | 6,857 | ||||
Recoupment of prior expenses reimbursed by the manager | 526,182 | ||||
Other expenses | 4,749 | ||||
|
| ||||
Total expenses | 2,033,762 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,737,018 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | (214 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (214 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 1,736,804 | |||
|
|
See accompanying notes to the financial statements.
4
AZL Government Money Market Fund
Statements of Changes in Net Assets
For the Six Months Ended | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,737,018 | $ | 221,270 | ||||||
Net realized gains/(losses) on investment transactions | (214 | ) | 1,823 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 1,736,804 | 223,093 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | (1,737,018 | ) | (221,270 | ) | ||||||
From net realized gains | — | (33,260 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | (1,737,018 | ) | (254,530 | ) | ||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 160,670,676 | 314,529,729 | ||||||||
Proceeds from dividends reinvested | 1,737,017 | 254,530 | ||||||||
Value of shares redeemed | (200,051,155 | ) | (487,124,200 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (37,643,462 | ) | (172,339,941 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (37,643,676 | ) | (172,371,378 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 490,632,132 | 663,003,510 | ||||||||
|
|
|
| |||||||
End of period | $ | 452,988,456 | $ | 490,632,132 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 160,670,675 | 314,529,729 | ||||||||
Dividends reinvested | 1,737,017 | 254,530 | ||||||||
Shares redeemed | (200,051,155 | ) | (487,124,842 | ) | ||||||
|
|
|
| |||||||
Change in shares | (37,643,463 | ) | (172,340,583 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL Government Money Market Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | — | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (a) | — | (a) | — | — | — | — | ||||||||||||||||||||||
Net Realized Gains | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 0.37 | %(c) | 0.05 | % | 0.01 | % | 0.01 | % | 0.01 | % | — | |||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 452,988 | $ | 490,632 | $ | 663,004 | $ | 687,635 | $ | 700,335 | $ | 806,642 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.74 | % | 0.04 | % | — | — | — | — | ||||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.87 | % | 0.87 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.87 | % | 0.87 | % | 0.44 | % | 0.26 | % | 0.20 | % | 0.22 | % |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
6
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Government Money Market Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below. Investments of the Fund are valued, in accordance with Rule 2a-7 of the 1940 Act, at amortized cost, which approximates fair value. Under the amortized cost method, discounts or premiums are amortized on a constant basis to the maturity of the security.
Repurchase Agreements
The Fund may invest in repurchase agreements with financial institutions such as member banks of the Federal Reserve System or from registered broker/dealers that the adviser deems creditworthy under guidelines approved by the Board, subject to the seller’s agreement to repurchase such securities at a mutually agreed-upon date and price. The repurchase price generally equals the price paid by the Fund plus interest negotiated on the basis of current short-term rates. The seller under a repurchase agreement is required to maintain the value of collateral held pursuant to the agreement at not less than the repurchase price (including accrued interest). Securities subject to repurchase agreements are held by the Fund’s custodian, another qualified sub-custodian, or in the Federal Reserve book-entry system. Master Repurchase Agreements (“MRA”) permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset receivables under the MRA with collateral posted by the counterparty and create one net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts.
Dividends to Shareholders
Dividends from net investment income are declared daily and paid monthly from the Fund. The net realized gains, if any, are declared and paid at least annually by the Fund. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL Government Money Market Fund
Notes to the Financial Statements, continued
June 30, 2018 (Unaudited)
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Advisors, LLC (“BlackRock Advisors”), BlackRock Advisors provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Government Money Market Fund | 0.35 | % | 0.87 | % |
The Manager has voluntarily agreed to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily net investment income for the Fund of 0.00%. The Distributor may waive its Rule 12b-1 fees. The amount waived, reimbursed, or paid by the Manager and/or the Distributor will be repaid to the Manager and/or the Distributor subject to the following limitations:
1. The repayments will not cause the Fund’s net investment income to fall below 0.00%.
2. The repayments must be made no later than three years after the end of the fiscal year in which the waiver, reimbursement, or payment took place.
3. Any expense recovery paid by the Fund will not cause its expense ratio to exceed 0.87%.
The ability of the Manager and/or Distributor to receive such payments could negatively affect the Fund’s future yield. Amounts waived under this agreement during the period ended June 30, 2018 are reflected on the Statement of Operations as “Expenses voluntarily waived/reimbursed by the Manager.”
Any amounts waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2018, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2018 | Expires 12/31/2019 | Total | |||||||||||||
AZL Government Money Market Fund | $ | 2,615,420 | $ | 1,440,270 | $ | 4,055,690 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers in addition to the amounts disclosed above.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $2,184 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate
8
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 2 | Total | ||||||||
U.S. Government Agency Mortgages | $ | 204,440,881 | $ | 204,440,881 | ||||||
U.S. Treasury Obligations | 88,112,962 | 88,112,962 | ||||||||
Repurchase Agreements | 152,500,000 | 152,500,000 | ||||||||
|
|
|
| |||||||
Total Investments | $ | 445,053,843 | $ | 445,053,843 | ||||||
|
|
|
|
5. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Government Money Market Fund | $ | 254,530 | $ | — | $ | 254,530 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL Government Money Market Fund | $ | 1,410 | $ | — | $ | — | $ | — | $ | 1,410 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
6. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.
7. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017.
9
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
8. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements
10
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
11
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® International Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 14 |
Page 14 |
Statements of Changes in Net Assets Page 15 |
Page 16 |
Notes to the Financial Statements Page 17 |
Page 23 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL International Index Fund
(Unaudited)
As a shareholder of the AZL International Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense 1/1/18 - 6/30/18 | |||||||||||||||||
AZL International Index Fund, Class 1 | $ | 1,000.00 | $ | 973.20 | $ | 2.25 | 0.46 | % | ||||||||||||
AZL International Index Fund, Class 2 | $ | 1,000.00 | $ | 972.30 | $ | 3.47 | 0.71 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense 1/1/18 - 6/30/18 | |||||||||||||||||
AZL International Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.53 | $ | 2.31 | 0.46 | % | ||||||||||||
AZL International Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.29 | $ | 3.56 | 0.71 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Japan | 23.7 | % | |||
United Kingdom | 16.7 | ||||
France | 10.0 | ||||
Germany | 9.4 | ||||
Switzerland | 8.2 | ||||
Australia | 6.8 | ||||
Netherlands | 4.2 | ||||
Hong Kong | 3.3 | ||||
Spain | 3.0 | ||||
Sweden | 2.5 | ||||
All other countries | 10.6 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | �� | 98.4 | |||
Rights | —^ | ||||
Securities Held as Collateral for Securities on Loan | 1.5 | ||||
Money Market | 0.1 | ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | ^ | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
1
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (97.9%): | ||||||||
Aerospace & Defense (1.4%): | ||||||||
391,641 | BAE Systems plc | $ | 3,341,506 | |||||
321 | Dassault Aviation SA | 610,766 | ||||||
3,310 | Elbit Systems, Ltd. | 390,117 | ||||||
71,506 | European Aeronautic Defence & Space Co. NV | 8,356,841 | ||||||
46,044 | Finmeccanica SpA | 454,595 | ||||||
93,381 | Meggitt plc | 607,663 | ||||||
6,330 | MTU Aero Engines AG | 1,215,679 | ||||||
208,436 | Rolls-Royce Holdings plc | 2,716,171 | ||||||
40,615 | Safran SA | 4,926,508 | ||||||
180,000 | Singapore Technologies Engineering, Ltd. | 433,797 | ||||||
12,844 | Thales SA | 1,653,528 | ||||||
|
| |||||||
24,707,171 | ||||||||
|
| |||||||
Air Freight & Logistics (0.3%): | ||||||||
102,392 | Bollore, Inc. | 475,855 | ||||||
120,538 | Deutsche Post AG | 3,935,285 | ||||||
110,220 | Royal Mail plc | 734,384 | ||||||
11,800 | SG Holdings Co., Ltd. | 258,709 | ||||||
37,800 | Yamato Holdings Co., Ltd. | 1,113,140 | ||||||
|
| |||||||
6,517,373 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
13,400 | All Nippon Airways Co., Ltd. | 491,630 | ||||||
29,257 | Deutsche Lufthansa AG, Registered Shares | 703,501 | ||||||
19,944 | easyJet plc | 438,797 | ||||||
82,030 | International Consolidated Airlines Group SA | 719,506 | ||||||
14,470 | Japan Airlines Co., Ltd. | 512,846 | ||||||
69,400 | Singapore Airlines, Ltd. | 543,357 | ||||||
|
| |||||||
3,409,637 | ||||||||
|
| |||||||
Auto Components (1.2%): | ||||||||
19,900 | Aisin Sieki Co., Ltd. | 906,071 | ||||||
74,700 | Bridgestone Corp. | 2,919,034 | ||||||
20,958 | Compagnie Generale des Establissements Michelin SCA, Class B | 2,548,399 | ||||||
13,392 | Continental AG | 3,060,704 | ||||||
53,600 | Denso Corp. | 2,607,803 | ||||||
8,952 | Faurecia | 636,978 | ||||||
13,700 | Koito Manufacturing Co., Ltd. | 903,938 | ||||||
98,000 | Minth Group, Ltd. | 410,578 | ||||||
19,700 | NGK Spark Plug Co., Ltd. | 561,211 | ||||||
12,900 | NOK Corp. | 249,398 | ||||||
14,129 | Nokian Renkaat OYJ | 556,852 | ||||||
49,051 | Pirelli & C SpA* | 409,073 | ||||||
17,721 | Schaeffler AG | 230,417 | ||||||
18,000 | Stanley Electric Co., Ltd. | 612,193 | ||||||
91,800 | Sumitomo Electric Industries, Ltd. | 1,365,634 | ||||||
19,400 | Sumitomo Rubber Industries, Ltd. | 307,936 | ||||||
7,200 | Toyoda Gosei Co., Ltd. | 182,299 | ||||||
19,300 | Toyota Industries Corp. | 1,080,559 | ||||||
29,175 | Valeo SA | 1,592,329 | ||||||
14,700 | Yokohama Rubber Co., Ltd. (The) | 305,127 | ||||||
|
| |||||||
21,446,533 | ||||||||
|
| |||||||
Automobiles (3.1%): | ||||||||
40,307 | Bayerische Motoren Werke AG (BMW) | 3,655,675 | ||||||
111,512 | Daimler AG, Registered Shares | 7,173,515 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
14,952 | Ferrari NV | $ | 2,029,010 | |||||
131,003 | Fiat Chrysler Automobiles NV | 2,493,569 | ||||||
74,900 | Fuji Heavy Industries, Ltd. | 2,179,349 | ||||||
199,900 | Honda Motor Co., Ltd. | 5,862,354 | ||||||
68,700 | Isuzu Motors, Ltd. | 911,333 | ||||||
70,600 | Mazda Motor Corp. | 864,712 | ||||||
79,200 | Mitsubishi Motors Corp. | 630,651 | ||||||
282,600 | Nissan Motor Co., Ltd. | 2,746,524 | ||||||
73,661 | PSA Peugeot Citroen SA | 1,679,576 | ||||||
23,400 | Renault SA^ | 1,986,034 | ||||||
41,200 | Suzuki Motor Corp. | 2,272,400 | ||||||
280,366 | Toyota Motor Corp. | 18,126,394 | ||||||
4,071 | Volkswagen AG | 673,229 | ||||||
33,300 | Yamaha Motor Co., Ltd. | 836,087 | ||||||
|
| |||||||
54,120,412 | ||||||||
|
| |||||||
Banks (11.4%): | ||||||||
53,263 | ABN AMRO Group NV^ | 1,378,401 | ||||||
107,633 | AIB Group plc | 583,486 | ||||||
13,500 | Aozora Bank, Ltd. | 513,436 | ||||||
357,595 | Australia & New Zealand Banking Group, Ltd. | 7,504,467 | ||||||
823,752 | Banco Bilbao Vizcaya Argentaria SA | 5,817,668 | ||||||
696,512 | Banco de Sabadell SA | 1,162,158 | ||||||
1,979,442 | Banco Santander SA | 10,566,287 | ||||||
131,342 | Bank Hapoalim BM | 891,749 | ||||||
186,368 | Bank Leumi Le-Israel Corp. | 1,104,619 | ||||||
153,800 | Bank of East Asia, Ltd. (The) | 611,959 | ||||||
118,291 | Bank of Ireland Group plc | 921,950 | ||||||
6,800 | Bank of Kyoto, Ltd. (The) | 314,438 | ||||||
51,449 | Bank of Queensland, Ltd. | 387,545 | ||||||
158,620 | Bankia SA | 591,379 | ||||||
80,402 | Bankinter SA | 782,029 | ||||||
2,107,607 | Barclays plc | 5,254,467 | ||||||
60,506 | Bendigo & Adelaide Bank, Ltd. | 488,225 | ||||||
138,041 | BNP Paribas SA | 8,555,717 | ||||||
450,500 | BOC Hong Kong Holdings, Ltd. | 2,112,280 | ||||||
84,000 | Chiba Bank, Ltd. (The) | 591,928 | ||||||
38,803 | Chuo Mitsui Trust Holdings, Inc. | 1,537,342 | ||||||
128,007 | Commerzbank AG* | 1,226,398 | ||||||
215,099 | Commonwealth Bank of Australia | 11,645,031 | ||||||
134,200 | Concordia Financial Group, Ltd. | 682,230 | ||||||
138,591 | Credit Agricole SA | 1,847,396 | ||||||
453,146 | Criteria Caixacorp SA | 1,957,325 | ||||||
91,238 | Danske Bank A/S | 2,852,017 | ||||||
218,500 | DBS Group Holdings, Ltd. | 4,243,698 | ||||||
118,972 | DnB NOR ASA | 2,321,543 | ||||||
36,152 | Erste Group Bank AG | 1,506,978 | ||||||
86,000 | Fukuoka Financial Group, Inc. | 431,880 | ||||||
93,100 | Hang Seng Bank, Ltd. | 2,317,007 | ||||||
2,453,894 | HSBC Holdings plc | 23,005,123 | ||||||
478,855 | ING Groep NV | 6,870,695 | ||||||
105,038 | Intesa Sanpaolo | 317,618 | ||||||
1,669,386 | Intesa Sanpaolo SpA | 4,831,678 | ||||||
45,700 | Japan Post Bank Co., Ltd. | 531,341 | ||||||
30,538 | KBC Group NV | 2,353,822 | ||||||
8,863,474 | Lloyds Banking Group plc | 7,372,377 |
Continued
2
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
101,160 | Mebuki Financial Group, Inc. | $ | 339,377 | |||||
79,541 | Mediobanca SpA | 737,045 | ||||||
1,451,500 | Mitsubishi UFJ Financial Group, Inc. | 8,233,701 | ||||||
15,515 | Mizrahi Tefahot Bank, Ltd. | 285,737 | ||||||
2,936,339 | Mizuho Financial Group, Inc. | 4,940,998 | ||||||
333,453 | National Australia Bank, Ltd. | 6,786,201 | ||||||
114,848 | Natixis | 813,095 | ||||||
369,774 | Nordea Bank AB | 3,558,893 | ||||||
382,899 | Oversea-Chinese Banking Corp., Ltd. | 3,261,478 | ||||||
17,372 | Raiffeisen International Bank-Holding AG | 532,093 | ||||||
256,487 | Resona Holdings, Inc. | 1,370,666 | ||||||
586,733 | Royal Bank of Scotland Group plc* | 1,982,055 | ||||||
83,400 | Seven Bank, Ltd. | 255,070 | ||||||
20,000 | Shinsei Bank, Ltd. | 307,417 | ||||||
60,900 | Shizuoka Bank, Ltd. (The) | 546,671 | ||||||
199,577 | Skandinaviska Enskilda Banken AB, Class A | 1,895,525 | ||||||
93,413 | Societe Generale | 3,933,102 | ||||||
343,633 | Standard Chartered plc | 3,139,212 | ||||||
163,569 | Sumitomo Mitsui Financial Group, Inc. | 6,339,468 | ||||||
24,500 | Suruga Bank, Ltd. | 218,948 | ||||||
185,910 | Svenska Handelsbanken AB, Class A | 2,064,256 | ||||||
109,635 | Swedbank AB, Class A | 2,345,402 | ||||||
248,620 | Unicredit SpA | 4,134,598 | ||||||
162,773 | United Overseas Bank, Ltd. | 3,206,358 | ||||||
417,455 | Westpac Banking Corp. | 9,094,752 | ||||||
21,000 | Yamaguchi Financial Group, Inc.^ | 236,093 | ||||||
|
| |||||||
198,543,898 | ||||||||
|
| |||||||
Beverages (2.5%): | ||||||||
92,759 | Anheuser-Busch InBev NV | 9,356,684 | ||||||
44,500 | Asahi Breweries, Ltd. | 2,277,316 | ||||||
13,489 | Carlsberg A/S, Class B | 1,588,465 | ||||||
66,117 | Coca-Cola Amatil, Ltd. | 449,817 | ||||||
14,800 | Coca-Cola Bottlers Japan Holdings, Inc. | 591,025 | ||||||
25,898 | Coca-Cola European Partners plc | 1,051,318 | ||||||
24,775 | Coca-Cola HBC AG | 827,297 | ||||||
76,768 | Davide Campari — Milano SpA | 630,857 | ||||||
303,746 | Diageo plc | 10,901,146 | ||||||
14,555 | Heineken Holding NV | 1,392,674 | ||||||
31,315 | Heineken NV | 3,139,423 | ||||||
100,900 | Kirin Holdings Co., Ltd. | 2,697,500 | ||||||
25,849 | Pernod Ricard SA^ | 4,218,603 | ||||||
2,993 | Remy Cointreau SA | 387,444 | ||||||
17,300 | Suntory Beverage & Food, Ltd. | 738,584 | ||||||
86,769 | Treasury Wine Estates, Ltd. | 1,120,383 | ||||||
|
| |||||||
41,368,536 | ||||||||
|
| |||||||
Biotechnology (1.0%): | ||||||||
55,058 | CSL, Ltd. | 7,869,612 | ||||||
7,548 | Genmab A/S* | 1,164,311 | ||||||
38,394 | Grifols SA | 1,151,390 | ||||||
112,258 | Shire plc | 6,311,952 | ||||||
|
| |||||||
16,497,265 | ||||||||
|
| |||||||
Building Products (0.7%): | ||||||||
23,400 | Asahi Glass Co., Ltd. | 910,157 | ||||||
122,018 | Assa Abloy AB, Class B | 2,597,657 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
61,571 | Compagnie de Saint-Gobain SA | $ | 2,745,691 | |||||
30,300 | Daikin Industries, Ltd. | 3,624,432 | ||||||
4,509 | Geberit AG, Registered Shares | 1,937,870 | ||||||
33,800 | Lixil Group Corp. | 675,624 | ||||||
17,300 | TOTO, Ltd. | 799,432 | ||||||
|
| |||||||
13,290,863 | ||||||||
|
| |||||||
Capital Markets (2.2%): | ||||||||
121,299 | 3i Group plc | 1,440,864 | ||||||
6,908 | Amundi SA | 477,670 | ||||||
22,992 | ASX, Ltd. | 1,099,675 | ||||||
313,435 | Credit Suisse Group AG | 4,705,787 | ||||||
190,300 | Daiwa Securities Group, Inc. | 1,104,294 | ||||||
240,770 | Deutsche Bank AG, Registered Shares | 2,603,673 | ||||||
23,482 | Deutsche Boerse AG | 3,128,404 | ||||||
34,899 | Hargreaves Lansdown plc | 907,574 | ||||||
143,393 | Hong Kong Exchanges & Clearing, Ltd. | 4,296,667 | ||||||
81,868 | Investec plc | 580,341 | ||||||
65,900 | Japan Exchange Group, Inc. | 1,223,977 | ||||||
27,246 | Julius Baer Group, Ltd. | 1,601,272 | ||||||
37,988 | London Stock Exchange Group plc | 2,237,716 | ||||||
39,364 | Macquarie Group, Ltd. | 3,617,240 | ||||||
424,500 | Nomura Holdings, Inc. | 2,055,216 | ||||||
2,156 | Partners Group Holding AG | 1,582,085 | ||||||
200,158 | Quilter plc* | 382,747 | ||||||
24,390 | SBI Holdings, Inc. | 626,826 | ||||||
15,596 | Schroders plc | 649,694 | ||||||
94,500 | Singapore Exchange, Ltd. | 496,507 | ||||||
472,583 | UBS Group AG | 7,273,662 | ||||||
|
| |||||||
42,091,891 | ||||||||
|
| |||||||
Chemicals (3.6%): | ||||||||
52,130 | Air Liquide SA | 6,546,227 | ||||||
16,500 | Air Water, Inc. | 302,556 | ||||||
30,665 | AkzoNobel NV | 2,612,772 | ||||||
8,525 | Arkema SA | 1,007,223 | ||||||
153,700 | Asahi Kasei Corp. | 1,951,133 | ||||||
112,700 | BASF SE | 10,772,710 | ||||||
12,328 | Christian Hansen Holding A/S | 1,137,582 | ||||||
24,423 | Clariant AG | 585,049 | ||||||
23,590 | Covestro AG | 2,103,271 | ||||||
15,955 | Croda International plc | 1,010,644 | ||||||
37,400 | Daicel Chemical Industries, Ltd. | 413,387 | ||||||
1,002 | EMS-Chemie Holding AG | 643,479 | ||||||
19,549 | Evonik Industries AG | 669,168 | ||||||
4,367 | Frutarom Industries, Ltd. | 429,796 | ||||||
8,204 | Fuchs Petrolub AG | 404,318 | ||||||
1,124 | Givaudan SA, Registered Shares | 2,548,663 | ||||||
11,300 | Hitachi Chemical Co., Ltd. | 227,670 | ||||||
203,908 | Incitec Pivot, Ltd. | 549,867 | ||||||
75,847 | Israel Chemicals, Ltd. | 347,970 | ||||||
24,687 | Johnson Matthey plc | 1,177,222 | ||||||
26,100 | JSR Corp. | 443,087 | ||||||
23,056 | K+S AG, Registered Shares^ | 568,951 | ||||||
30,000 | Kaneka Corp. | 268,632 | ||||||
21,700 | Kansai Paint Co., Ltd. | 450,024 |
Continued
3
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
22,086 | Koninklijke DSM NV | $ | 2,217,537 | |||||
39,200 | Kuraray Co., Ltd. | 539,268 | ||||||
11,649 | Lanxess AG | 907,740 | ||||||
23,018 | Linde AG | 5,492,410 | ||||||
157,000 | Mitsubishi Chemical Holdings Corp. | 1,312,405 | ||||||
22,800 | Mitsubishi Gas Chemical Co., Inc. | 515,782 | ||||||
22,900 | Mitsui Chemicals, Inc. | 607,977 | ||||||
19,600 | Nippon Paint Holdings Co., Ltd. | 842,444 | ||||||
13,800 | Nissan Chemical Industries, Ltd. | 643,021 | ||||||
19,900 | Nitto Denko Corp. | 1,503,662 | ||||||
27,529 | Novozymes A/S, Class B | 1,394,030 | ||||||
45,774 | Orica, Ltd. | 602,371 | ||||||
45,000 | Shin-Etsu Chemical Co., Ltd. | 3,992,484 | ||||||
15,600 | Sika AG | 2,150,653 | ||||||
8,720 | Solvay SA | 1,097,647 | ||||||
188,000 | Sumitomo Chemical Co., Ltd. | 1,064,112 | ||||||
14,995 | Symrise AG | 1,314,413 | ||||||
18,300 | Taiyo Nippon Sanso Corp. | 262,053 | ||||||
25,200 | Teijin, Ltd. | 461,845 | ||||||
178,400 | Toray Industries, Inc. | 1,404,534 | ||||||
34,300 | Tosoh Corp. | 530,868 | ||||||
25,304 | Umicore SA | 1,445,249 | ||||||
22,846 | Yara International ASA | 946,142 | ||||||
|
| |||||||
68,420,048 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
33,762 | Babcock International Group plc | 364,032 | ||||||
193,689 | Brambles, Ltd. | 1,274,437 | ||||||
34,000 | Dai Nippon Printing Co., Ltd. | 760,096 | ||||||
27,464 | Edenred | 866,672 | ||||||
189,889 | G4S plc | 669,778 | ||||||
20,973 | ISS A/S | 720,365 | ||||||
13,800 | Park24 Co., Ltd. | 375,618 | ||||||
25,600 | SECOM Co., Ltd. | 1,963,821 | ||||||
37,221 | Securitas AB, Class B | 612,304 | ||||||
3,751 | Societe BIC SA^ | 347,655 | ||||||
9,500 | Sohgo Security Services Co., Ltd. | 447,265 | ||||||
61,000 | Toppan Printing Co., Ltd. | 477,556 | ||||||
|
| |||||||
8,879,599 | ||||||||
|
| |||||||
Communications Equipment (0.5%): | ||||||||
690,573 | Nokia OYJ | 3,961,288 | ||||||
374,027 | Telefonaktiebolaget LM Ericsson, Class B | 2,879,712 | ||||||
|
| |||||||
6,841,000 | ||||||||
|
| |||||||
Construction & Engineering (0.8%): | ||||||||
31,231 | ACS Actividades de Construccion y Servicios SA^ | 1,263,192 | ||||||
27,320 | Bouygues SA | 1,176,003 | ||||||
11,842 | Cimic Group, Ltd. | 370,377 | ||||||
9,614 | Eiffage SA | 1,045,006 | ||||||
61,892 | Ferrovial SA | 1,268,724 | ||||||
2,435 | Hochtief AG | 439,923 | ||||||
23,600 | JGC Corp. | 474,984 | ||||||
112,000 | Kajima Corp. | 866,558 | ||||||
83,300 | Obayashi Corp. | 866,074 | ||||||
67,700 | Shimizu Corp. | 700,512 | ||||||
40,197 | Skanska AB, Class B | 730,140 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
26,200 | TAISEI Corp. | $ | 1,443,716 | |||||
61,754 | Vinci SA | 5,930,690 | ||||||
|
| |||||||
16,575,899 | ||||||||
|
| |||||||
Construction Materials (0.5%): | ||||||||
151,866 | Boral, Ltd. | 732,708 | ||||||
104,598 | CRH plc | 3,696,349 | ||||||
116,627 | Fletcher Building, Ltd. | 548,443 | ||||||
17,913 | HeidelbergCement AG | 1,507,775 | ||||||
4,174 | Imerys SA | 336,268 | ||||||
53,069 | James Hardie Industries SE | 893,092 | ||||||
59,539 | LafargeHolcim, Ltd., Registered Shares | 2,904,259 | ||||||
14,000 | Taiheiyo Cement Corp. | 460,217 | ||||||
|
| |||||||
11,079,111 | ||||||||
|
| |||||||
Consumer Finance (0.0%): | ||||||||
53,700 | ACOM Co., Ltd. | 206,303 | ||||||
13,000 | Aeon Credit Service Co., Ltd. | 276,030 | ||||||
21,100 | Credit Saison Co., Ltd. | 331,714 | ||||||
|
| |||||||
814,047 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
140,990 | Amcor, Ltd. | 1,505,600 | ||||||
27,630 | Smurfit Kappa Group plc | 1,111,676 | ||||||
23,200 | Toyo Seikan Kaisha, Ltd. | 407,200 | ||||||
|
| |||||||
3,024,476 | ||||||||
|
| |||||||
Distributors (0.0%): | ||||||||
13,588 | Jardine Cycle & Carriage, Ltd. | 316,771 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%): | ||||||||
9,400 | Benesse Holdings, Inc. | 333,297 | ||||||
|
| |||||||
Diversified Financial Services (0.6%): | ||||||||
339,548 | AMP, Ltd. | 893,683 | ||||||
5,200 | Century Tokyo Leasing Corp. | 294,556 | ||||||
69,162 | Challenger, Ltd. | 607,965 | ||||||
5,337 | Eurazeo Se | 404,339 | ||||||
12,905 | EXOR NV | 868,108 | ||||||
10,102 | Groupe Bruxelles Lambert SA | 1,064,406 | ||||||
22,562 | Industrivarden AB, Class C | 437,069 | ||||||
55,450 | Investor AB, Class B | 2,256,502 | ||||||
28,149 | Kinnevik AB | 963,419 | ||||||
10,702 | L E Lundbergforetagen AB | 328,609 | ||||||
52,300 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 321,062 | ||||||
161,200 | ORIX Corp. | 2,546,264 | ||||||
4,243 | Pargesa Holding SA | 360,024 | ||||||
3,280 | Wendel | 451,358 | ||||||
|
| |||||||
11,797,364 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.2%): | ||||||||
17,673 | Belgacom SA | 398,583 | ||||||
272,655 | Bezeq Israeli Telecommunication Corp., Ltd. (The) | 307,374 | ||||||
1,026,264 | BT Group plc | 2,952,352 | ||||||
411,504 | Deutsche Telekom AG, Registered Shares | 6,385,746 | ||||||
17,594 | Elisa OYJ | 814,691 | ||||||
242,872 | France Telecom SA | 4,062,342 | ||||||
488,525 | HKT Trust & HKT, Ltd. | 622,932 | ||||||
3,341 | Iliad SA | 527,485 | ||||||
409,316 | Koninklijke (Royal) KPN NV | 1,112,531 |
Continued
4
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
84,252 | Nippon Telegraph & Telephone Corp. | $ | 3,828,879 | |||||
471,000 | PCCW, Ltd. | 265,043 | ||||||
993,900 | Singapore Telecommunications, Ltd. | 2,244,193 | ||||||
3,090 | Swisscom AG, Registered Shares | 1,381,918 | ||||||
232,354 | Telecom Corp. of New Zealand, Ltd. | 586,386 | ||||||
724,011 | Telecom Italia SpA | 471,752 | ||||||
1,407,788 | Telecom Italia SpA* | 1,044,632 | ||||||
104,821 | Telefonica Deutschland Holding AG | 413,083 | ||||||
568,871 | Telefonica SA | 4,848,354 | ||||||
91,392 | Telenor ASA | 1,873,923 | ||||||
345,906 | Telia Co AB | 1,581,052 | ||||||
526,157 | Telstra Corp., Ltd. | 1,019,144 | ||||||
45,014 | TPG Telecom, Ltd.^ | 172,132 | ||||||
|
| |||||||
36,914,527 | ||||||||
|
| |||||||
Electric Utilities (1.8%): | ||||||||
193,004 | AusNet Services | 230,021 | ||||||
74,400 | Chubu Electric Power Co., Inc. | 1,115,291 | ||||||
32,100 | Chugoku Electric Power Co., Inc. (The) | 414,913 | ||||||
78,570 | CK Infrastructure Holdings, Ltd. | 581,595 | ||||||
200,000 | CLP Holdings, Ltd. | 2,145,869 | ||||||
297,895 | EDP - Energias de Portugal SA | 1,181,301 | ||||||
74,095 | Electricite de France | 1,015,599 | ||||||
40,412 | Endesa SA^ | 890,600 | ||||||
990,136 | Enel SpA | 5,485,041 | ||||||
52,390 | Fortum OYJ | 1,249,533 | ||||||
368,000 | HK Electric Investments, Ltd.^ | 350,720 | ||||||
174,000 | Hongkong Electric Holdings, Ltd. | 1,216,376 | ||||||
707,220 | Iberdrola SA | 5,462,333 | ||||||
88,700 | Kansai Electric Power Co., Inc. (The) | 1,291,950 | ||||||
51,300 | Kyushu Electric Power Co., Inc. | 573,663 | ||||||
23,504 | Orsted A/S | 1,424,061 | ||||||
52,696 | Red Electrica Corporacion SA^ | 1,072,041 | ||||||
123,725 | Scottish & Southern Energy plc | 2,210,087 | ||||||
175,152 | Terna SpA | 945,050 | ||||||
53,700 | Tohoku Electric Power Co., Inc. | 655,823 | ||||||
179,400 | Tokyo Electric Power Co., Inc. (The)* | 835,093 | ||||||
|
| |||||||
30,346,960 | ||||||||
|
| |||||||
Electrical Equipment (1.3%): | ||||||||
228,149 | ABB, Ltd. | 4,980,375 | ||||||
67,000 | Fuji Electric Holdings Co., Ltd. | 509,457 | ||||||
32,098 | Legrand SA | 2,350,800 | ||||||
5,400 | Mabuchi Motor Co., Ltd. | 256,573 | ||||||
588,117 | Melrose Industries plc | 1,650,080 | ||||||
223,800 | Mitsubishi Electric Corp. | 2,973,995 | ||||||
27,400 | Nidec Corp. | 4,105,675 | ||||||
13,146 | OSRAM Licht AG | 536,902 | ||||||
24,175 | Prysmian SpA | 600,630 | ||||||
65,878 | Schneider Electric SA | 5,479,197 | ||||||
28,762 | Siemens Gamesa Renewable Energy^ | 384,752 | ||||||
26,020 | Vestas Wind Systems A/S | 1,608,800 | ||||||
|
| |||||||
25,437,236 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.5%): | ||||||||
26,300 | ALPS Electric Co., Ltd. | 674,675 | ||||||
17,500 | Hamamatsu Photonics K.K. | 750,461 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
32,734 | Hexagon AB, Class B | $ | 1,823,768 | |||||
3,914 | Hirose Electric Co., Ltd. | 484,722 | ||||||
7,800 | Hitachi High-Technologies Corp. | 317,845 | ||||||
588,100 | Hitachi, Ltd. | 4,143,172 | ||||||
6,865 | Ingenico Group | 616,057 | ||||||
11,840 | Keyence Corp. | 6,678,505 | ||||||
39,100 | Kyocera Corp. | 2,197,232 | ||||||
22,100 | Murata Manufacturing Co., Ltd. | 3,710,666 | ||||||
9,000 | Nippon Electric Glass Co., Ltd. | 249,882 | ||||||
23,100 | Omron Corp. | 1,074,253 | ||||||
27,200 | Shimadzu Corp. | 820,194 | ||||||
16,200 | TDK Corp. | 1,652,126 | ||||||
33,500 | Venture Corp., Ltd. | 436,704 | ||||||
30,800 | Yaskawa Electric Corp. | 1,086,122 | ||||||
26,600 | Yokogawa Electric Corp. | 472,572 | ||||||
|
| |||||||
27,188,956 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
79,478 | John Wood Group plc | 655,850 | ||||||
57,915 | Tenaris SA | 1,056,060 | ||||||
|
| |||||||
1,711,910 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.5%): | ||||||||
297,482 | Ascendas Real Estate Investment Trust | 577,401 | ||||||
112,428 | British Land Co. plc | 997,039 | ||||||
277,018 | CapitaLand Commercial Trust | 337,083 | ||||||
288,500 | CapitaMall Trust | 437,793 | ||||||
180 | Daiwahouse Residential Investment Corp. | 427,173 | ||||||
123,857 | Dexus Property Group | 892,916 | ||||||
3,975 | Fonciere des Regions SA | 413,350 | ||||||
5,867 | Gecina SA | 980,942 | ||||||
222,060 | GPT Group(a) | 834,281 | ||||||
97,888 | Hammerson plc | 673,184 | ||||||
4,198 | ICADE | 393,505 | ||||||
110 | Japan Prime Realty Investment Corp. | 399,796 | ||||||
166 | Japan Real Estate Investment Corp. | 878,413 | ||||||
311 | Japan Retail Fund Investment Corp. | 561,111 | ||||||
26,817 | Klepierre | 1,008,620 | ||||||
90,248 | Land Securities Group plc | 1,135,868 | ||||||
266,000 | Link REIT (The) | 2,418,409 | ||||||
198,740 | Macquarie Goodman Group | 1,418,327 | ||||||
470,481 | Mirvac Group | 757,459 | ||||||
164 | Nippon Building Fund, Inc. | 946,225 | ||||||
208 | Nippon Prologis REIT, Inc. | 431,586 | ||||||
496 | Nomura Real Estate Master Fund, Inc. | 700,569 | ||||||
648,168 | Scentre Group | 2,111,250 | ||||||
127,104 | SERGO plc | 1,122,489 | ||||||
298,358 | Stockland Trust Group | 879,159 | ||||||
327,800 | Suntec REIT | 416,960 | ||||||
12,155 | Unibail-Rodamco-Westfield | 2,676,177 | ||||||
91,509 | Unibail-Rodamco-Westfield* | 993,275 | ||||||
367 | United Urban Investment Corp. | 570,378 | ||||||
428,169 | Vicinity Centres | 821,438 | ||||||
|
| |||||||
27,212,176 | ||||||||
|
|
Continued
5
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing (1.5%): | ||||||||
74,500 | Aeon Co., Ltd. | $ | 1,593,197 | |||||
69,391 | Carrefour SA^ | 1,119,740 | ||||||
6,499 | Casino Guichard-Perrachon SA^ | 251,875 | ||||||
7,927 | Colruyt SA | 452,035 | ||||||
41,500 | Dairy Farm International Holdings, Ltd. | 364,928 | ||||||
9,000 | FamilyMart Co., Ltd. | 946,598 | ||||||
10,881 | ICA Gruppen AB^ | 333,628 | ||||||
221,264 | J Sainsbury plc | 937,452 | ||||||
32,776 | Jeronimo Martins SGPS SA | 471,573 | ||||||
155,982 | Koninklijke Ahold Delhaize NV | 3,731,435 | ||||||
6,600 | LAWSON, Inc. | 412,302 | ||||||
22,671 | METRO AG^ | 280,106 | ||||||
91,700 | Seven & I Holdings Co., Ltd. | 3,997,488 | ||||||
8,500 | Sundrug Co., Ltd. | 343,745 | ||||||
1,184,388 | Tesco plc | 4,010,812 | ||||||
4,200 | Tsuruha Holdings, Inc. | 525,913 | ||||||
138,031 | Wesfarmers, Ltd. | 5,061,198 | ||||||
272,382 | William Morrison Supermarkets plc | 904,741 | ||||||
158,837 | Woolworths, Ltd. | 3,597,251 | ||||||
|
| |||||||
29,336,017 | ||||||||
|
| |||||||
Food Products (3.0%): | ||||||||
89,706 | A2 Milk Co., Ltd.* | 694,577 | ||||||
56,100 | Ajinomoto Co., Inc. | 1,059,518 | ||||||
42,480 | Associated British Foods plc | 1,531,343 | ||||||
270 | Barry Callebaut AG, Registered Shares | 485,035 | ||||||
8,800 | Calbee, Inc. | 330,898 | ||||||
14 | Chocoladefabriken Lindt & Spruengli AG, Registered Shares | 1,065,509 | ||||||
73,486 | Danone SA | 5,386,591 | ||||||
731,782 | Golden Agri-Resources, Ltd. | 163,686 | ||||||
19,301 | Kerry Group plc, Class A | 2,015,702 | ||||||
18,300 | Kikkoman Corp. | 922,175 | ||||||
129 | Lindt & Spruengli AG | 836,986 | ||||||
49,724 | Marine Harvest | 990,465 | ||||||
14,852 | Meiji Holdings Co., Ltd. | 1,251,910 | ||||||
381,634 | Nestle SA, Registered Shares | 29,556,815 | ||||||
11,500 | Nippon Meat Packers, Inc. | 464,510 | ||||||
23,345 | Nisshin Seifun Group, Inc. | 493,780 | ||||||
6,600 | Nissin Foods Holdings Co., Ltd. | 477,135 | ||||||
98,786 | Orkla ASA, Class A | 865,381 | ||||||
11,700 | Toyo Suisan Kaisha, Ltd. | 416,569 | ||||||
1,106,388 | WH Group, Ltd. | 894,536 | ||||||
251,500 | Wilmar International, Ltd. | 564,084 | ||||||
13,000 | Yakult Honsha Co., Ltd. | 868,006 | ||||||
18,000 | Yamazaki Baking Co., Ltd. | 470,217 | ||||||
|
| |||||||
51,805,428 | ||||||||
|
| |||||||
Gas Utilities (0.4%): | ||||||||
138,653 | APA Group | 1,009,901 | ||||||
41,856 | Gas Natural SDG SA | 1,107,423 | ||||||
1,116,525 | Hong Kong & China Gas Co., Ltd. | 2,130,674 | ||||||
46,000 | Osaka Gas Co., Ltd. | 951,789 | ||||||
10,600 | Toho Gas Co., Ltd. | 366,779 | ||||||
47,900 | Tokyo Gas Co., Ltd. | 1,271,243 | ||||||
|
| |||||||
6,837,809 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies (1.3%): | ||||||||
5,476 | bioMerieux | $ | 491,066 | |||||
7,060 | Cochlear, Ltd. | 1,049,464 | ||||||
14,462 | Coloplast A/S, Class B | 1,444,702 | ||||||
158,619 | Convatec Group plc | 444,179 | ||||||
11,400 | Cyberdyne, Inc.* | 133,212 | ||||||
25,282 | Essilor International SA Compagnie Generale d’Optique | 3,566,805 | ||||||
65,199 | Fisher & Paykel Healthcare Corp., Ltd. | 656,977 | ||||||
47,000 | HOYA Corp. | 2,669,657 | ||||||
34,400 | Olympus Co., Ltd. | 1,285,076 | ||||||
4,362 | Sartorius AG | 651,579 | ||||||
19,208 | Siemens Healthineers AG* | 792,805 | ||||||
106,478 | Smith & Nephew plc | 1,957,772 | ||||||
6,503 | Sonova Holding AG, Registered Shares | 1,167,076 | ||||||
1,291 | Straumann Holding AG, Registered Shares | 983,163 | ||||||
20,500 | Sysmex Corp. | 1,911,696 | ||||||
37,300 | Terumo Corp. | 2,131,184 | ||||||
14,502 | William Demant Holding A/S* | 583,308 | ||||||
|
| |||||||
21,919,721 | ||||||||
|
| |||||||
Health Care Providers & Services (0.7%): | ||||||||
46,897 | Al Noor Hospitals Group plc | 325,694 | ||||||
24,800 | Alfresa Holdings Corp. | 582,433 | ||||||
26,243 | Fresenius Medical Care AG & Co., KGaA | 2,648,846 | ||||||
50,637 | Fresenius SE & Co. KGaA | 4,065,639 | ||||||
227,520 | Healthscope, Ltd. | 372,044 | ||||||
20,100 | Medipal Holdings Corp. | 403,858 | ||||||
12,751 | NMC Health plc | 601,618 | ||||||
17,336 | Ramsay Health Care, Ltd. | 693,576 | ||||||
44,167 | Ryman Healthcare, Ltd. | 357,842 | ||||||
47,400 | Sonic Healthcare, Ltd. | 861,959 | ||||||
8,570 | Suzuken Co., Ltd. | 362,627 | ||||||
|
| |||||||
11,276,136 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
24,900 | M3, Inc. | 991,299 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.6%): | ||||||||
22,604 | Accor SA | 1,107,186 | ||||||
70,472 | Aristocrat Leisure, Ltd. | 1,608,842 | ||||||
21,787 | Carnival plc | 1,246,035 | ||||||
192,723 | Compass Group plc | 4,105,050 | ||||||
42,677 | Crown, Ltd. | 427,316 | ||||||
8,337 | Domino’s Pizza Enterprises, Ltd.^ | 321,930 | ||||||
6,425 | Flight Centre, Ltd. | 302,434 | ||||||
288,000 | Galaxy Entertainment Group, Ltd. | 2,210,609 | ||||||
755,757 | Genting Singapore, Ltd. | 678,995 | ||||||
69,561 | GVC Holdings plc | 963,700 | ||||||
22,316 | Intercontinental Hotels Group plc | 1,388,049 | ||||||
9,029 | McDonald’s Holdings Co., Ltd.^ | 460,388 | ||||||
30,267 | Melco Resorts & Entertainment, Ltd., ADR | 847,476 | ||||||
82,237 | Merlin Entertainments plc | 419,514 | ||||||
135,473 | MGM China Holdings, Ltd. | 313,716 | ||||||
24,500 | Oriental Land Co., Ltd. | 2,567,684 | ||||||
10,308 | Paddy Power plc | 1,155,903 | ||||||
294,332 | Sands China, Ltd. | 1,568,451 | ||||||
169,333 | Shangri-La Asia, Ltd. | 316,932 |
Continued
6
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
220,987 | SJM Holdings, Ltd. | $ | 274,586 | |||||
11,286 | Sodexo SA^ | 1,127,436 | ||||||
226,584 | Tabcorp Holdings, Ltd. | 749,833 | ||||||
55,118 | TUI AG | 1,208,805 | ||||||
21,731 | Whitbread plc | 1,135,008 | ||||||
191,600 | Wynn Macau, Ltd. | 615,287 | ||||||
|
| |||||||
27,121,165 | ||||||||
|
| |||||||
Household Durables (1.3%): | ||||||||
126,196 | Barratt Developments plc | 857,979 | ||||||
16,009 | Berkeley Group Holdings plc (The) | 799,395 | ||||||
24,800 | Casio Computer Co., Ltd. | 403,052 | ||||||
31,179 | Electrolux AB, Series B, B Shares | 709,792 | ||||||
49,568 | Husqvarna AB, Class B | 469,529 | ||||||
16,200 | Iida Group Holdings Co., Ltd. | 312,212 | ||||||
41,300 | Nikon Corp. | 655,367 | ||||||
268,800 | Panasonic Corp. | 3,611,922 | ||||||
37,977 | Persimmon plc | 1,268,965 | ||||||
3,700 | Rinnai Corp. | 325,713 | ||||||
2,674 | SEB SA | 466,242 | ||||||
47,200 | Sekisui Chemical Co., Ltd. | 803,734 | ||||||
71,500 | Sekisui House, Ltd. | 1,264,335 | ||||||
19,900 | Sharp Corp.^ | 483,643 | ||||||
154,000 | Sony Corp. | 7,902,197 | ||||||
390,409 | Taylor Wimpey plc | 921,384 | ||||||
176,500 | Techtronic Industries Co., Ltd. | 980,080 | ||||||
|
| |||||||
22,235,541 | ||||||||
|
| |||||||
Household Products (0.7%): | ||||||||
73,784 | Essity AB, Class B | 1,820,518 | ||||||
13,065 | Henkel AG & Co. KGaA | 1,453,490 | ||||||
29,300 | Lion Corp.^ | 537,171 | ||||||
81,369 | Reckitt Benckiser Group plc | 6,687,729 | ||||||
49,700 | Unicharm Corp. | 1,495,721 | ||||||
|
| |||||||
11,994,629 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.0%): | ||||||||
19,600 | Electric Power Development Co., Ltd. | 505,841 | ||||||
168,699 | Meridian Energy, Ltd. | 356,222 | ||||||
23,752 | Uniper SE | 708,027 | ||||||
|
| |||||||
1,570,090 | ||||||||
|
| |||||||
Industrial Conglomerates (1.9%): | ||||||||
335,744 | CK Hutchison Holdings, Ltd. | 3,543,515 | ||||||
10,765 | DCC plc | 979,087 | ||||||
27,300 | Jardine Matheson Holdings, Ltd. | 1,720,421 | ||||||
27,600 | Jardine Strategic Holdings, Ltd. | 1,005,498 | ||||||
10,900 | Keihan Electric Railway Co., Ltd. | 391,032 | ||||||
171,300 | Keppel Corp., Ltd. | 901,266 | ||||||
114,544 | Koninklijke Philips Electronics NV | 4,854,708 | ||||||
168,834 | NWS Holdings, Ltd. | 291,689 | ||||||
24,400 | Seibu Holdings, Inc. | 411,208 | ||||||
137,200 | SembCorp Industries, Ltd. | 276,251 | ||||||
93,809 | Siemens AG, Registered Shares | 12,395,782 | ||||||
49,896 | Smiths Group plc | 1,117,568 | ||||||
793,000 | Toshiba Corp.*^ | 2,381,016 | ||||||
|
| |||||||
30,269,041 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance (5.2%): | ||||||||
23,585 | Admiral Group plc | $ | 593,130 | |||||
220,145 | AEGON NV | 1,315,433 | ||||||
23,494 | Ageas NV | 1,184,496 | ||||||
1,480,600 | AIA Group, Ltd. | 12,818,229 | ||||||
54,307 | Allianz SE, Registered Shares+ | 11,221,007 | ||||||
143,640 | Assicurazioni Generali SpA | 2,404,981 | ||||||
488,324 | Aviva plc | 3,246,640 | ||||||
236,319 | AXA SA | 5,789,168 | ||||||
6,191 | Baloise Holding AG, Registered Shares | 900,715 | ||||||
23,730 | CNP Assurances SA | 539,170 | ||||||
131,300 | Dai-ichi Life Insurance Co., Ltd. | 2,335,787 | ||||||
165,692 | Direct Line Insurance Group plc | 749,379 | ||||||
22,933 | Gjensidige Forsikring ASA | 375,713 | ||||||
7,419 | Hannover Rueck SE | 924,901 | ||||||
288,217 | Insurance Australia Group, Ltd. | 1,825,662 | ||||||
191,700 | Japan Post Holdings Co., Ltd. | 2,099,040 | ||||||
725,337 | Legal & General Group plc | 2,545,089 | ||||||
124,272 | MAPFRE SA | 373,940 | ||||||
334,223 | Medibank Private, Ltd. | 723,479 | ||||||
57,811 | MS&AD Insurance Group Holdings, Inc. | 1,795,939 | ||||||
18,873 | Muenchener Rueckversicherungs-Gesellschaft AG | 3,999,297 | ||||||
40,725 | NKSJ Holdings, Inc. | 1,645,452 | ||||||
36,738 | NN Group NV | 1,490,550 | ||||||
100 | Old Mutual, Ltd. | 198 | ||||||
64,066 | Poste Italiane SpA | 534,852 | ||||||
318,374 | Prudential plc | 7,273,079 | ||||||
162,166 | QBE Insurance Group, Ltd. | 1,172,290 | ||||||
122,220 | RSA Insurance Group plc | 1,095,446 | ||||||
54,422 | Sampo OYJ, Class A | 2,653,621 | ||||||
21,034 | SCOR SA | 780,196 | ||||||
19,400 | Sony Financial Holdings, Inc. | 369,459 | ||||||
66,324 | St. James Place plc | 1,003,868 | ||||||
333,419 | Standard Life plc | 1,432,564 | ||||||
163,923 | Suncorp-Metway, Ltd. | 1,774,539 | ||||||
4,216 | Swiss Life Holding AG, Registered Shares | 1,466,988 | ||||||
38,287 | Swiss Re AG | 3,309,646 | ||||||
68,236 | T&D Holdings, Inc. | 1,022,469 | ||||||
82,000 | Tokio Marine Holdings, Inc. | 3,840,196 | ||||||
15,770 | Tryg A/S | 370,113 | ||||||
18,424 | Zurich Insurance Group AG | 5,467,307 | ||||||
|
| |||||||
94,464,028 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.1%): | ||||||||
110,400 | Rakuten, Inc. | 745,560 | ||||||
24,800 | Start Today Co., Ltd. | 897,954 | ||||||
13,258 | Zalando SE* | 740,439 | ||||||
|
| |||||||
2,383,953 | ||||||||
|
| |||||||
Internet Software & Services (0.2%): | ||||||||
118,034 | Auto Trader Group plc | 663,217 | ||||||
11,279 | Delivery Hero AG* | 600,221 | ||||||
14,900 | DeNA Co., Ltd. | 279,249 | ||||||
16,000 | Kakaku.com, Inc. | 360,642 | ||||||
14,595 | United Internet AG, Registered Shares | 835,614 | ||||||
179,600 | Yahoo! Japan Corp.^ | 594,861 | ||||||
|
| |||||||
3,333,804 | ||||||||
|
|
Continued
7
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services (0.7%): | ||||||||
53,421 | Amadeus IT Holding SA | $ | 4,208,776 | |||||
11,527 | Atos Origin SA | 1,570,641 | ||||||
19,541 | Capgemini SA | 2,622,820 | ||||||
54,245 | Computershare, Ltd. | 742,307 | ||||||
247,000 | Fujitsu, Ltd. | 1,496,262 | ||||||
13,846 | Nomura Research Institute, Ltd. | 670,315 | ||||||
77,000 | NTT Data Corp. | 885,785 | ||||||
7,600 | OBIC Co., Ltd. | 628,392 | ||||||
13,400 | Otsuka Corp. | 524,989 | ||||||
14,712 | Wirecard AG | 2,367,978 | ||||||
|
| |||||||
15,718,265 | ||||||||
|
| |||||||
Leisure Products (0.2%): | ||||||||
24,200 | Namco Bandai Holdings, Inc. | 997,299 | ||||||
6,300 | Sankyo Co., Ltd. | 246,464 | ||||||
23,800 | Sega Sammy Holdings, Inc. | 407,570 | ||||||
8,500 | Shimano, Inc. | 1,247,196 | ||||||
16,900 | Yamaha Corp. | 876,850 | ||||||
|
| |||||||
3,775,379 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.2%): | ||||||||
1,385 | Eurofins Scientific SE^ | 769,285 | ||||||
9,066 | Lonza Group AG, Registered Shares | 2,409,271 | ||||||
28,786 | Qiagen NV* | 1,047,991 | ||||||
|
| |||||||
4,226,547 | ||||||||
|
| |||||||
Machinery (2.6%): | ||||||||
36,984 | Alfa Laval AB | 875,144 | ||||||
19,946 | Alstom SA | 915,943 | ||||||
44,900 | AMADA Co., Ltd. | 430,876 | ||||||
9,566 | Andritz AG | 507,568 | ||||||
81,749 | Atlas Copco AB, Class A | 2,370,172 | ||||||
49,083 | Atlas Copco AB, Class B | 1,284,043 | ||||||
128,114 | CNH Industrial NV | 1,357,258 | ||||||
11,300 | Daifuku Co., Ltd. | 494,048 | ||||||
81,749 | Epiroc AB, Class A* | 858,137 | ||||||
49,083 | Epiroc AB, Class B* | 449,508 | ||||||
23,600 | FANUC Corp. | 4,679,741 | ||||||
21,387 | GEA Group AG | 720,843 | ||||||
29,600 | Hino Motors, Ltd. | 315,206 | ||||||
12,300 | Hitachi Construction Machinery Co., Ltd. | 398,871 | ||||||
7,000 | Hoshizaki Electric Co., Ltd. | 707,663 | ||||||
18,100 | IHI Corp. | 629,820 | ||||||
29,900 | JTEKT Corp. | 406,107 | ||||||
17,100 | Kawasaki Heavy Industries, Ltd. | 501,619 | ||||||
8,541 | Kion Group AG | 613,685 | ||||||
112,400 | Komatsu, Ltd. | 3,199,650 | ||||||
41,174 | Kone OYJ, Class B | 2,096,532 | ||||||
121,100 | Kubota Corp. | 1,901,929 | ||||||
10,400 | Kurita Water Industries, Ltd. | 296,347 | ||||||
28,400 | Makita Corp. | 1,270,530 | ||||||
4,681 | MAN AG | 529,669 | ||||||
13,068 | Metso Corp. OYJ | 437,367 | ||||||
46,800 | Minebea Co., Ltd. | 788,654 | ||||||
38,900 | Mitsubishi Heavy Industries, Ltd. | 1,414,282 | ||||||
15,200 | Nabtesco Corp. | 466,893 | ||||||
30,200 | NGK Insulators, Ltd. | 537,167 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
50,700 | NSK, Ltd. | $ | 522,078 | |||||
137,436 | Sandvik AB | 2,436,427 | ||||||
5,125 | Schindler Holding AG | 1,104,239 | ||||||
2,413 | Schindler Holding AG, Registered Shares | 508,231 | ||||||
46,385 | SKF AB, Class B | 862,388 | ||||||
7,000 | SMC Corp. | 2,562,208 | ||||||
13,500 | Sumitomo Heavy Industries, Ltd. | 454,311 | ||||||
15,100 | THK Co., Ltd. | 431,763 | ||||||
190,306 | Volvo AB, Class B | 3,032,322 | ||||||
53,665 | Wartsila Corp. OYJ, Class B | 1,053,290 | ||||||
27,770 | Weir Group plc (The) | 732,470 | ||||||
321,450 | Yangzijiang Shipbuilding Holdings, Ltd. | 212,678 | ||||||
|
| |||||||
45,367,677 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
445 | A.P. Moeller — Maersk A/S, Class A | 527,200 | ||||||
782 | A.P. Moeller — Maersk A/S, Class B | 972,741 | ||||||
6,505 | Kuehne & Nagel International AG, Registered Shares | 977,487 | ||||||
13,700 | Mitsui O.S.K. Lines, Ltd. | 329,059 | ||||||
22,000 | Nippon Yusen Kabushiki Kaisha | 436,194 | ||||||
|
| |||||||
3,242,681 | ||||||||
|
| |||||||
Media (1.1%): | ||||||||
6,418 | Axel Springer AG^ | 464,105 | ||||||
12,400 | Cyberagent, Inc. | 744,391 | ||||||
25,877 | Dentsu, Inc. | 1,225,130 | ||||||
23,455 | Eutelsat Communications SA | 485,716 | ||||||
30,100 | Hakuhodo DY Holdings, Inc. | 482,663 | ||||||
153,234 | Informa plc | 1,687,943 | ||||||
431,852 | ITV plc | 991,160 | ||||||
8,903 | JCDecaux SA | 297,557 | ||||||
98,012 | Pearson plc | 1,139,454 | ||||||
29,053 | ProSiebenSat.1 Media AG | 736,600 | ||||||
24,874 | Publicis Groupe SA | 1,709,159 | ||||||
6,156 | REA Group, Ltd. | 415,069 | ||||||
4,397 | RTL Group | 298,114 | ||||||
13,208 | Schibsted ASA, Class B | 372,788 | ||||||
44,292 | SES Global, Class A | 810,546 | ||||||
126,768 | Singapore Press Holdings, Ltd.^ | 241,530 | ||||||
125,562 | Sky plc | 2,421,345 | ||||||
6,267 | Telenet Group Holding NV* | 292,088 | ||||||
15,100 | Toho Co., Ltd. | 505,968 | ||||||
126,063 | Vivendi Universal SA | 3,083,734 | ||||||
158,970 | WPP plc | 2,501,103 | ||||||
|
| |||||||
20,906,163 | ||||||||
|
| |||||||
Metals & Mining (3.1%): | ||||||||
293,204 | Alumina, Ltd. | 606,829 | ||||||
129,183 | Anglo American plc^ | 2,868,326 | ||||||
50,760 | Antofagasta plc | 659,299 | ||||||
80,863 | ArcelorMittal | 2,361,251 | ||||||
257,119 | BHP Billiton plc | 5,752,781 | ||||||
394,540 | BHP Billiton, Ltd. | 9,884,233 | ||||||
69,825 | BlueScope Steel, Ltd. | 889,868 | ||||||
33,664 | Boliden AB | 1,089,689 | ||||||
187,428 | Fortescue Metals Group, Ltd. | 607,898 | ||||||
28,344 | Fresnillo plc | 427,238 |
Continued
8
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
1,415,087 | Glencore International plc | $ | 6,707,938 | |||||
29,800 | Hitachi Metals, Ltd. | 309,099 | ||||||
63,600 | JFE Holdings, Inc. | 1,199,883 | ||||||
36,000 | Kobe Steel, Ltd. | 329,137 | ||||||
7,500 | Maruichi Steel Tube, Ltd. | 253,697 | ||||||
12,800 | Mitsubishi Materials Corp. | 351,007 | ||||||
95,566 | Newcrest Mining, Ltd. | 1,548,804 | ||||||
92,548 | Nippon Steel Corp. | 1,815,406 | ||||||
162,267 | Norsk Hydro ASA | 971,862 | ||||||
11,167 | Randgold Resources, Ltd. | 858,676 | ||||||
147,590 | Rio Tinto plc | 8,138,496 | ||||||
50,206 | Rio Tinto, Ltd. | 3,116,256 | ||||||
631,697 | South32, Ltd. | 1,700,926 | ||||||
28,500 | Sumitomo Metal & Mining Co., Ltd. | 1,086,061 | ||||||
53,870 | ThyssenKrupp AG | 1,310,544 | ||||||
14,170 | Voestalpine AG | 651,871 | ||||||
|
| |||||||
55,497,075 | ||||||||
|
| |||||||
Multiline Retail (0.3%): | ||||||||
15,100 | Don Quijote Co., Ltd. | 724,579 | ||||||
80,935 | Harvey Norman Holdings, Ltd.^ | 198,657 | ||||||
44,800 | Isetan Mitsukoshi Holdings, Ltd. | 559,182 | ||||||
27,000 | J. Front Retailing Co., Ltd. | 409,963 | ||||||
206,470 | Marks & Spencer Group plc | 803,282 | ||||||
23,900 | MARUI GROUP Co., Ltd. | 503,052 | ||||||
18,198 | Next plc | 1,452,488 | ||||||
2,900 | Ryohin Keikaku Co., Ltd. | 1,020,142 | ||||||
35,000 | Takashimaya Co., Ltd. | 299,311 | ||||||
|
| |||||||
5,970,656 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
79,839 | AGL Energy, Ltd. | 1,330,423 | ||||||
681,724 | Centrica plc | 1,417,789 | ||||||
267,957 | E.ON AG | 2,862,402 | ||||||
222,350 | Engie Group | 3,402,543 | ||||||
18,217 | Innogy Se^ | 780,245 | ||||||
412,129 | National Grid plc | 4,558,733 | ||||||
65,137 | RWE AG | 1,484,494 | ||||||
47,126 | Suez Environnement Co. | 610,986 | ||||||
65,629 | Veolia Environnement SA | 1,403,930 | ||||||
|
| |||||||
17,851,545 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (6.0%): | ||||||||
13,248 | AKER BP ASA | 488,120 | ||||||
2,442,553 | BP plc | 18,594,675 | ||||||
33,229 | Caltex Australia, Ltd. | 802,374 | ||||||
22,895 | Enagas SA^ | 668,866 | ||||||
309,692 | ENI SpA | 5,749,611 | ||||||
60,935 | Galp Energia SGPS SA | 1,158,585 | ||||||
16,100 | Idemitsu Kosan Co., Ltd. | 573,181 | ||||||
125,500 | INPEX Corp. | 1,297,233 | ||||||
399,220 | JX Holdings, Inc. | 2,772,429 | ||||||
9,900 | Koninklijke Vopak NV | 456,950 | ||||||
22,716 | Lundin Petroleum AB | 723,211 | ||||||
15,800 | Neste Oil OYJ | 1,235,263 | ||||||
160,365 | Oil Search, Ltd. | 1,059,381 | ||||||
18,570 | OMV AG | 1,051,913 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
214,003 | Origin Energy, Ltd.* | $ | 1,595,899 | |||||
162,235 | Repsol SA | 3,167,804 | ||||||
563,732 | Royal Dutch Shell plc, Class A | 19,532,236 | ||||||
459,297 | Royal Dutch Shell plc, Class B | 16,425,320 | ||||||
236,820 | Santos, Ltd.* | 1,103,642 | ||||||
25,100 | Showa Shell Sekiyu K.K. | 374,076 | ||||||
277,004 | Snam SpA | 1,153,866 | ||||||
144,270 | Statoil ASA | 3,819,833 | ||||||
295,441 | Total SA | 17,964,715 | ||||||
113,953 | Woodside Petroleum, Ltd. | 2,998,209 | ||||||
|
| |||||||
104,767,392 | ||||||||
|
| |||||||
Paper & Forest Products (0.3%): | ||||||||
44,707 | Mondi plc | 1,204,058 | ||||||
108,000 | OYI Paper Co., Ltd. | 669,198 | ||||||
67,076 | Stora Enso OYJ, Registered Shares | 1,310,336 | ||||||
64,963 | UPM-Kymmene OYJ | 2,319,510 | ||||||
|
| |||||||
5,503,102 | ||||||||
|
| |||||||
Personal Products (2.1%): | ||||||||
12,539 | Beiersdorf AG | 1,423,792 | ||||||
60,300 | Kao Corp. | 4,596,521 | ||||||
6,000 | Kobayashi Pharmaceutical Co., Ltd. | 517,982 | ||||||
3,600 | KOSE Corp. | 774,403 | ||||||
31,048 | L’Oreal SA | 7,659,729 | ||||||
10,700 | POLA ORBIS HOLDINGS, Inc. | 470,263 | ||||||
46,300 | Shiseido Co., Ltd. | 3,673,872 | ||||||
189,244 | Unilever NV | 10,548,473 | ||||||
151,606 | Unilever plc | 8,384,824 | ||||||
|
| |||||||
38,049,859 | ||||||||
|
| |||||||
Pharmaceuticals (7.4%): | ||||||||
241,000 | Astellas Pharma, Inc. | 3,672,043 | ||||||
155,365 | AstraZeneca plc | 10,754,724 | ||||||
110,246 | Bayer AG, Registered Shares | 12,145,543 | ||||||
26,900 | Chugai Pharmaceutical Co., Ltd. | 1,409,166 | ||||||
69,100 | Daiichi Sankyo Co., Ltd. | 2,643,652 | ||||||
17,600 | Dainippon Sumitomo Pharma Co., Ltd. | 372,291 | ||||||
30,900 | Eisai Co., Ltd. | 2,172,704 | ||||||
608,007 | GlaxoSmithKline plc | 12,264,741 | ||||||
7,816 | H. Lundbeck A/S | 548,882 | ||||||
7,300 | Hisamitsu Pharmaceutical Co., Inc. | 615,435 | ||||||
4,528 | Ipsen SA | 709,627 | ||||||
31,100 | Kyowa Hakko Kogyo Co., Ltd. | 626,012 | ||||||
15,624 | Merck KGaA | 1,525,307 | ||||||
31,000 | Mitsubishi Tanabe Pharma Corp. | 535,362 | ||||||
272,761 | Novartis AG, Registered Shares | 20,668,506 | ||||||
216,597 | Novo Nordisk A/S, Class B | 10,005,779 | ||||||
48,300 | Ono Pharmaceutical Co., Ltd. | 1,131,243 | ||||||
14,355 | Orion OYJ, Class B | 386,122 | ||||||
47,500 | Otsuka Holdings Co., Ltd. | 2,300,556 | ||||||
14,165 | Recordati SpA | 562,022 | ||||||
86,153 | Roche Holding AG | 19,178,098 | ||||||
138,394 | Sanofi-Aventis SA | 11,080,656 | ||||||
44,400 | Santen Pharmaceutical Co., Ltd. | 772,983 | ||||||
34,300 | Shionogi & Co., Ltd. | 1,760,460 | ||||||
4,400 | Taisho Pharmaceutical Holdings Co., Ltd. | 514,217 |
Continued
9
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
86,700 | Takeda Pharmacuetical Co., Ltd. | $ | 3,661,872 | |||||
118,461 | Teva Pharmaceutical Industries, Ltd., ADR | 2,880,972 | ||||||
16,519 | UCB SA | 1,294,835 | ||||||
5,935 | Vifor Pharma AG | 947,361 | ||||||
|
| |||||||
127,141,171 | ||||||||
|
| |||||||
Professional Services (1.1%): | ||||||||
19,794 | Adecco SA, Registered Shares | 1,169,869 | ||||||
31,529 | Bureau Veritas SA | 840,670 | ||||||
112,487 | Experian plc | 2,781,371 | ||||||
20,137 | Intertek Group plc | 1,518,378 | ||||||
23,500 | Persol Holdings Co., Ltd. | 523,707 | ||||||
15,274 | Randstad Holding NV | 896,344 | ||||||
134,200 | Recruit Holdings Co., Ltd. | 3,708,600 | ||||||
129,493 | Reed Elsevier plc | 2,771,735 | ||||||
117,595 | RELX NV | 2,503,047 | ||||||
39,701 | Seek, Ltd. | 643,556 | ||||||
665 | SGS SA, Registered Shares | 1,772,339 | ||||||
7,034 | Teleperformance | 1,242,298 | ||||||
35,343 | Wolters Kluwer NV | 1,989,242 | ||||||
|
| |||||||
22,361,156 | ||||||||
|
| |||||||
Real Estate Management & Development (2.1%): | ||||||||
15,060 | AEON Mall Co., Ltd. | 270,261 | ||||||
5,827 | Azrieli Group | 289,840 | ||||||
74,028 | BGP Holdings plc*(b) | 86 | ||||||
315,100 | CapitaLand, Ltd. | 729,653 | ||||||
47,400 | City Developments, Ltd. | 381,230 | ||||||
315,244 | CK Asset Holdings, Ltd. | 2,490,873 | ||||||
9,000 | Daito Trust Construction Co., Ltd. | 1,462,823 | ||||||
68,900 | Daiwa House Industry Co., Ltd. | 2,346,261 | ||||||
42,667 | Deutsche Wohnen AG | 2,060,536 | ||||||
124,000 | Hang Lung Group, Ltd. | 347,076 | ||||||
235,000 | Hang Lung Properties, Ltd. | 482,652 | ||||||
170,597 | Henderson Land Development Co., Ltd. | 897,926 | ||||||
142,100 | Hongkong Land Holdings, Ltd. | 1,023,120 | ||||||
32,500 | Hulic Co., Ltd. | 346,063 | ||||||
73,000 | Hysan Development Co., Ltd. | 406,270 | ||||||
75,775 | Kerry Properties, Ltd. | 362,030 | ||||||
73,375 | Lend Lease Group | 1,079,083 | ||||||
145,000 | Mitsubishi Estate Co., Ltd. | 2,533,230 | ||||||
108,600 | Mitsui Fudosan Co., Ltd. | 2,618,128 | ||||||
732,623 | New World Development Co., Ltd. | 1,023,855 | ||||||
16,100 | Nomura Real Estate Holdings, Inc. | 356,938 | ||||||
388,601 | Sino Land Co., Ltd. | 630,291 | ||||||
43,000 | Sumitomo Realty & Development Co., Ltd. | 1,583,032 | ||||||
195,000 | Sun Hung Kai Properties, Ltd. | 2,925,778 | ||||||
57,964 | Swire Pacific, Ltd., Class A | 612,460 | ||||||
131,400 | Swire Properties, Ltd. | 485,653 | ||||||
8,817 | Swiss Prime Site AG | 811,406 | ||||||
24,000 | Tokyo Tatemono Co., Ltd. | 329,256 | ||||||
59,600 | Tokyu Fudosan Holdings Corp. | 419,605 | ||||||
66,296 | UOL Group, Ltd. | 369,840 | ||||||
59,055 | Vonovia SE | 2,809,639 | ||||||
164,300 | Wharf Holdings, Ltd. (The) | 526,281 | ||||||
150,300 | Wharf Real Estate Investment Co., Ltd. | 1,067,345 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
95,897 | Wheelock & Co., Ltd. | $ | 666,583 | |||||
|
| |||||||
34,745,103 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
255,233 | Aurizon Holdings, Ltd. | 820,434 | ||||||
17,700 | Central Japan Railway Co. | 3,670,344 | ||||||
292,200 | ComfortDelGro Corp., Ltd. | 503,358 | ||||||
22,490 | DSV A/S | 1,815,531 | ||||||
37,813 | East Japan Railway Co. | 3,621,954 | ||||||
30,300 | Hankyu Hanshin Holdings, Inc. | 1,217,942 | ||||||
26,800 | Keihin Electric Express Railway Co., Ltd. | 439,246 | ||||||
14,000 | Keio Corp. | 677,007 | ||||||
15,700 | Keisei Electric Railway Co., Ltd. | 538,748 | ||||||
22,000 | Kintetsu Corp. | 897,658 | ||||||
18,800 | Kyushu Railway Co. | 575,216 | ||||||
174,994 | MTR Corp., Ltd. | 964,197 | ||||||
21,400 | Nagoya Railroad Co., Ltd. | 552,474 | ||||||
9,500 | Nippon Express Co., Ltd. | 688,789 | ||||||
36,900 | Odakyu Electric Railway Co., Ltd. | 791,780 | ||||||
24,800 | Tobu Railway Co., Ltd. | 758,538 | ||||||
64,200 | Tokyu Corp. | 1,105,571 | ||||||
20,400 | West Japan Railway Co. | 1,502,828 | ||||||
|
| |||||||
21,141,615 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.4%): | ||||||||
35,900 | ASM Pacific Technology, Ltd. | 450,829 | ||||||
50,264 | ASML Holding NV | 9,912,319 | ||||||
3,400 | Disco Corp. | 579,012 | ||||||
138,319 | Infineon Technologies AG | 3,524,539 | ||||||
42,140 | NXP Semiconductors NV* | 4,604,638 | ||||||
96,600 | Renesas Electronics Corp.* | 945,298 | ||||||
11,300 | ROHM Co., Ltd. | 946,450 | ||||||
83,744 | STMicroelectronics NV | 1,860,637 | ||||||
27,200 | SUMCO Corp. | 547,810 | ||||||
19,100 | Tokyo Electron, Ltd. | 3,270,588 | ||||||
|
| |||||||
26,642,120 | ||||||||
|
| |||||||
Software (1.7%): | ||||||||
15,918 | Check Point Software Technologies, Ltd.* | 1,554,870 | ||||||
15,599 | Dassault Systemes SA | 2,182,671 | ||||||
12,400 | Konami Corp. | 630,403 | ||||||
8,800 | Line Corp.* | 361,935 | ||||||
51,306 | Micro Focus International plc | 891,995 | ||||||
50,000 | Nexon Co., Ltd.* | 725,341 | ||||||
7,396 | NICE Systems, Ltd.* | 768,165 | ||||||
13,800 | Nintendo Co., Ltd. | 4,504,429 | ||||||
5,100 | Oracle Corp. | 415,839 | ||||||
134,847 | Sage Group plc | 1,113,426 | ||||||
120,518 | SAP AG | 13,921,962 | ||||||
7,385 | Temenos Group AG | 1,117,219 | ||||||
14,300 | Trend Micro, Inc. | 814,507 | ||||||
9,595 | UbiSoft Entertainment SA* | 1,049,730 | ||||||
|
| |||||||
30,052,492 | ||||||||
|
| |||||||
Specialty Retail (0.9%): | ||||||||
3,400 | ABC-Mart, Inc. | 185,905 | ||||||
4,197 | Dufry AG, Registered Shares | 535,185 | ||||||
7,200 | Fast Retailing Co., Ltd. | 3,302,631 |
Continued
10
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
107,470 | Hennes & Mauritz AB, Class B^ | $ | 1,600,221 | |||||
2,900 | Hikari Tsushin, Inc. | 509,305 | ||||||
132,795 | Industria de Diseno Textil SA | 4,530,910 | ||||||
254,638 | Kingfisher plc | 997,595 | ||||||
10,000 | Nitori Co., Ltd. | 1,560,046 | ||||||
2,400 | Shimamura Co., Ltd. | 211,264 | ||||||
28,900 | USS Co., Ltd. | 549,445 | ||||||
69,100 | Yamada Denki Co., Ltd. | 342,666 | ||||||
|
| |||||||
14,325,173 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
29,000 | Brother Industries, Ltd. | 571,935 | ||||||
122,700 | Canon, Inc.^ | 4,019,352 | ||||||
47,300 | Fujifilm Holdings Corp. | 1,845,469 | ||||||
63,700 | Konica Minolta Holdings, Inc. | 589,905 | ||||||
33,100 | NEC Corp. | 907,875 | ||||||
85,200 | Ricoh Co., Ltd. | 780,029 | ||||||
33,400 | Seiko Epson Corp. | 578,680 | ||||||
|
| |||||||
9,293,245 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.2%): | ||||||||
23,325 | Adidas AG | 5,093,223 | ||||||
21,600 | ASICS Corp. | 364,709 | ||||||
51,287 | Burberry Group plc | 1,459,617 | ||||||
64,530 | Compagnie Financiere Richemont SA | 5,468,984 | ||||||
3,856 | Hermes International SA | 2,356,600 | ||||||
7,713 | Hugo Boss AG | 699,444 | ||||||
9,224 | Kering | 5,202,436 | ||||||
811,120 | Li & Fung, Ltd. | 296,140 | ||||||
20,664 | Luxottica Group SpA | 1,332,282 | ||||||
34,202 | LVMH Moet Hennessy Louis Vuitton SA | 11,368,470 | ||||||
21,940 | Moncler SpA | 997,933 | ||||||
14,130 | Pandora A/S | 987,670 | ||||||
1,017 | Puma SE | 593,764 | ||||||
3,708 | Swatch Group AG (The), Class B | 1,762,033 | ||||||
6,517 | Swatch Group AG (The), Registered Shares | 564,505 | ||||||
74,486 | Yue Yuen Industrial Holdings, Ltd. | 209,045 | ||||||
|
| |||||||
38,756,855 | ||||||||
|
| |||||||
Tobacco (1.3%): | ||||||||
281,261 | British American Tobacco plc | 14,202,144 | ||||||
116,149 | Imperial Tobacco Group plc, Class A | 4,324,040 | ||||||
133,900 | Japan Tobacco, Inc. | 3,740,944 | ||||||
22,378 | Swedish Match AB, Class B | 1,108,093 | ||||||
|
| |||||||
23,375,221 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.3%): | ||||||||
16,275 | AerCap Holdings NV* | 881,291 | ||||||
60,775 | Ashtead Group plc | 1,809,925 | ||||||
19,087 | Brenntag AG | 1,063,014 | ||||||
40,893 | Bunzl plc | 1,238,126 | ||||||
28,840 | Ferguson plc | 2,339,756 | ||||||
173,300 | ITOCHU Corp. | 3,137,053 | ||||||
191,900 | Marubeni Corp. | 1,462,552 | ||||||
35,000 | Misumi Group, Inc. | 1,018,912 | ||||||
165,700 | Mitsubishi Corp. | 4,599,136 | ||||||
207,800 | Mitsui & Co., Ltd. | 3,462,450 | ||||||
36,905 | Rexel SA | 530,249 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
138,000 | Sumitomo Corp. | $ | 2,265,148 | |||||
25,900 | Toyota Tsushu Corp. | 865,973 | ||||||
29,707 | Travis Perkins plc | 557,454 | ||||||
|
| |||||||
25,231,039 | ||||||||
|
| |||||||
Transportation Infrastructure (0.5%): | ||||||||
8,217 | Aena SA | 1,490,434 | ||||||
3,600 | Aeroports de Paris | 813,329 | ||||||
60,758 | Atlantia SpA | 1,793,798 | ||||||
121,970 | Auckland International Airport, Ltd. | 559,720 | ||||||
4,779 | Fraport AG | 460,824 | ||||||
57,631 | Groupe Eurotunnel SA | 790,069 | ||||||
5,100 | Japan Airport Terminal Co., Ltd. | 238,660 | ||||||
16,000 | Kamigumi Co., Ltd. | 331,733 | ||||||
96,400 | SATS, Ltd. | 353,024 | ||||||
139,052 | Sydney Airport | 736,354 | ||||||
270,467 | Transurban Group | 2,401,448 | ||||||
|
| |||||||
9,969,393 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
29,897 | Severn Trent plc | 780,191 | ||||||
80,876 | United Utilities Group plc | 814,239 | ||||||
|
| |||||||
1,594,430 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.4%): | ||||||||
7,009 | Drillisch AG | 398,842 | ||||||
220,500 | KDDI Corp. | 6,029,413 | ||||||
9,024 | Millicom International Cellular SA, SDR | 530,974 | ||||||
166,200 | NTT DoCoMo, Inc. | 4,233,468 | ||||||
100,500 | SoftBank Group Corp. | 7,212,338 | ||||||
41,756 | Tele2 AB | 490,591 | ||||||
3,281,746 | Vodafone Group plc | 7,950,775 | ||||||
|
| |||||||
26,846,401 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,404,963,514) | 1,746,777,372 | |||||||
|
| |||||||
Preferred Stocks (0.5%): | ||||||||
Automobiles (0.3%): | ||||||||
6,667 | Bayerische Motoren Werke AG (BMW), 5.89% | 531,478 | ||||||
19,381 | Porsche Automobil Holding SE, 3.23% | 1,234,359 | ||||||
23,046 | Volkswagen AG, 2.78% | 3,826,594 | ||||||
|
| |||||||
5,592,431 | ||||||||
|
| |||||||
Household Products (0.2%): | ||||||||
21,689 | Henkel AG & Co. KGaA, 1.63% | 2,775,387 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $6,572,192) | 8,367,818 | |||||||
|
| |||||||
Rights (0.0%): | ||||||||
Banks (0.0%): | ||||||||
1,669,386 | Intesa Sanpaolo SpA, Expires on 12/31/49* | — | ||||||
|
| |||||||
Construction & Engineering (0.0%): | ||||||||
31,231 | ACS Actividades de Construccion y Servicios SA, Expires on 7/09/18* | 32,165 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
162,235 | Repsol SA, Expires on 7/09/18*^ | 92,088 | ||||||
|
| |||||||
Total Rights (Cost $—) | 124,253 | |||||||
|
|
Continued
11
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (1.5%): | ||||||||
$ | 26,675,067 | AZL International Index Fund Securities Lending Collateral Account(c) | $ | 26,675,067 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 26,675,067 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.1%): | ||||||||
1,964,079 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(d) | 1,964,079 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||
Unaffiliated Investment Company, continued | ||||||
Total Unaffiliated Investment Company (Cost $1,964,079) | $ | 1,964,079 | ||||
|
| |||||
Total Investment Securities | 1,783,908,589 | |||||
Net other assets (liabilities) — 0.0% | 59,913 | |||||
|
| |||||
Net Assets — 100.0% | $ | 1,783,968,502 | ||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
Amounts shown as “—“ are either $0 or rounds to less than $1.
ADR — American Depositary Receipt
SDR — Swedish Depository Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $26,488,701. |
+ | Affiliated Securities |
(a) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.05% of the net assets of the Fund. |
(b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.00% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(d) | The rate represents the effective yield at June 30, 2018. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
12
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Australia | 6.8 | % | ||
Austria | 0.2 | % | ||
Belgium | 1.1 | % | ||
Bermuda | 0.2 | % | ||
China | — | %^ | ||
Denmark | 1.6 | % | ||
Finland | 1.0 | % | ||
France | 10.0 | % | ||
Germany | 9.4 | % | ||
Hong Kong | 3.3 | % | ||
Ireland (Republic of) | 0.9 | % | ||
Isle of Man | 0.1 | % | ||
Israel | 0.5 | % | ||
Italy | 2.2 | % | ||
Japan | 23.7 | % |
Country | Percentage | |||
Luxembourg | 0.3 | % | ||
Netherlands | 4.2 | % | ||
New Zealand | 0.2 | % | ||
Norway | 0.7 | % | ||
Portugal | 0.2 | % | ||
Singapore | 1.2 | % | ||
South Africa | — | %^ | ||
Spain | 3.0 | % | ||
Sweden | 2.5 | % | ||
Switzerland | 8.2 | % | ||
United Arab Emirates | 0.1 | % | ||
United Kingdom | 16.8 | % | ||
United States | 1.6 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
Futures Contracts
Cash of $1,194,679 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
ASX SPI 200 Index September Futures (Australian Dollar) | 9/20/18 | 26 | $ | 2,956,797 | $ | 27,849 | ||||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/21/18 | 232 | 9,186,483 | (159,250 | ) | |||||||||||
FTSE 100 Index September Futures (British Pounds) | 9/21/18 | 58 | 5,817,526 | (21,186 | ) | |||||||||||
SGX Nikkei 225 Index September Futures (Japanese Yen) | 9/13/18 | 59 | 5,926,649 | (57,932 | ) | |||||||||||
|
| |||||||||||||||
$ | (210,519 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
13
AZL International Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,432,533,656 | |||
Investments in affiliates, at cost | 7,641,196 | ||||
|
| ||||
Total Investment securities, at cost | $ | 1,440,174,852 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 1,772,687,582 | |||
Investments in affiliates, at value | 11,221,007 | ||||
|
| ||||
Total Investment securities, at value | 1,783,908,589 | ||||
Segregated cash for collateral | 1,194,679 | ||||
Interest and dividends receivable | 3,936,354 | ||||
Foreign currency, at value (cost $17,248,182) | 17,219,324 | ||||
Receivable for investments sold | 19,568 | ||||
Receivable for variation margin on futures contracts | 156,139 | ||||
Reclaims receivable | 5,565,878 | ||||
Prepaid expenses | 10,543 | ||||
|
| ||||
Total Assets | 1,812,011,074 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 12,406 | ||||
Payable for capital shares redeemed | 176,771 | ||||
Payable for collateral received on loaned securities | 26,675,067 | ||||
Payable for variation margin on futures contracts | 11,863 | ||||
Manager fees payable | 521,524 | ||||
Administration fees payable | 37,709 | ||||
Distribution fees payable | 347,300 | ||||
Custodian fees payable | 26,180 | ||||
Administrative and compliance services fees payable | 2,286 | ||||
Transfer agent fees payable | 1,178 | ||||
Trustee fees payable | 10,903 | ||||
Other accrued liabilities | 219,385 | ||||
|
| ||||
Total Liabilities | 28,042,572 | ||||
|
| ||||
Net Assets | $ | 1,783,968,502 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 1,365,126,528 | |||
Accumulated net investment income/(loss) | 72,826,920 | ||||
Accumulated net realized gains/(losses) from investment transactions | 2,553,113 | ||||
Net unrealized appreciation/(depreciation) on investments | 343,461,941 | ||||
|
| ||||
Net Assets | $ | 1,783,968,502 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 120,043,337 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 10,026,525 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.97 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 1,663,925,165 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 98,920,240 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.82 | |||
|
|
* | Includes securities on loan of $26,488,701. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 42,375,960 | |||
Dividends from affiliates | 517,999 | ||||
Income from securities lending | 475,817 | ||||
Foreign withholding tax | (5,092,773 | ) | |||
|
| ||||
Total Investment Income | 38,277,003 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 3,343,460 | ||||
Administration fees | 303,276 | ||||
Distribution fees - Class 2 | 2,228,675 | ||||
Custodian fees | 159,295 | ||||
Administrative and compliance services fees | 16,695 | ||||
Transfer agent fees | 7,220 | ||||
Trustee fees | 54,475 | ||||
Professional fees | 54,564 | ||||
Shareholder reports | 26,896 | ||||
Licensing Fees | 368,331 | ||||
Other expenses | 22,256 | ||||
|
| ||||
Total expenses | 6,585,143 | ||||
|
| ||||
Net Investment Income/(Loss) | 31,691,860 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 16,391,335 | ||||
Net realized gains/(losses) on affiliated transactions | 313,153 | ||||
Net realized gains/(losses) on futures contracts | 119,844 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (95,591,575 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (1,487,374 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (225,347 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (80,479,964 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (48,788,104 | ) | ||
|
|
See accompanying notes to the financial statements.
14
AZL International Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 31,691,860 | $ | 42,062,104 | ||||||
Net realized gains/(losses) on investment transactions | 16,824,332 | 22,133,434 | ||||||||
Change in unrealized appreciation/depreciation on investments | (97,304,296 | ) | 347,613,875 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (48,788,104 | ) | 411,809,413 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (1,715,781 | ) | |||||||
Class 2 | — | (16,020,466 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (1,426,418 | ) | |||||||
Class 2 | — | (13,973,086 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (33,135,751 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 101,489 | 364,282 | ||||||||
Proceeds from dividends reinvested | — | 3,142,199 | ||||||||
Value of shares redeemed | (9,142,642 | ) | (20,249,269 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (9,041,153 | ) | (16,742,788 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 11,087,387 | 122,065,809 | ||||||||
Proceeds from dividends reinvested | — | 29,993,552 | ||||||||
Value of shares redeemed | (164,063,102 | ) | (247,926,849 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (152,975,715 | ) | (95,867,488 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (162,016,868 | ) | (112,610,276 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (210,804,972 | ) | 266,063,386 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,994,773,474 | 1,728,710,088 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,783,968,502 | $ | 1,994,773,474 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 72,826,920 | $ | 41,135,060 | ||||||
|
|
|
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Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 8,504 | 34,123 | ||||||||
Dividends reinvested | — | 267,649 | ||||||||
Shares redeemed | (739,529 | ) | (1,769,550 | ) | ||||||
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Total Class 1 Shares | (731,025 | ) | (1,467,778 | ) | ||||||
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Class 2 | ||||||||||
Shares issued | 643,435 | 7,560,049 | ||||||||
Dividends reinvested | — | 1,815,590 | ||||||||
Shares redeemed | (9,411,801 | ) | (15,536,341 | ) | ||||||
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Total Class 2 Shares | (8,768,366 | ) | (6,160,702 | ) | ||||||
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Change in shares | (9,499,391 | ) | (7,628,480 | ) | ||||||
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See accompanying notes to the financial statements.
15
AZL International Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.30 | $ | 10.07 | $ | 10.00 | ||||||||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.32 | 0.37 | 0.12 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.65 | ) | 2.15 | (0.05 | ) | |||||||||||||||||||||||||
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Total from Investment Activities | (0.33 | ) | 2.52 | 0.07 | ||||||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | (0.13 | ) | — | ||||||||||||||||||||||||||
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Total Dividends | — | (0.29 | ) | — | ||||||||||||||||||||||||||
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Net Asset Value, End of Period | $ | 11.97 | $ | 12.30 | $ | 10.07 | ||||||||||||||||||||||||
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Total Return(a) | (2.68 | )%(b) | 25.12 | % | 0.70 | %(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 120,043 | $ | 132,265 | $ | 123,158 | ||||||||||||||||||||||||
Net Investment Income/(Loss)(c) | 3.59 | % | 2.48 | % | 1.19 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.46 | % | 0.48 | % | 0.40 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.46 | % | 0.48 | % | 0.40 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 2 | % | 8 | % | 55 | %(f) | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.30 | $ | 14.10 | $ | 14.42 | $ | 15.28 | $ | 16.57 | $ | 13.93 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.32 | 0.36 | 0.15 | 0.58 | 0.42 | 0.29 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.80 | ) | 3.12 | (0.10 | ) | (0.79 | ) | (1.43 | ) | 2.65 | ||||||||||||||||||||
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Total from Investment Activities | (0.48 | ) | 3.48 | 0.05 | (0.21 | ) | (0.99 | ) | 2.94 | |||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.37 | ) | (0.65 | ) | (0.30 | ) | (0.30 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.13 | ) | — | — | — | — | |||||||||||||||||||||||
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Total Dividends | — | (0.28 | ) | (0.37 | ) | (0.65 | ) | (0.30 | ) | (0.30 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 16.82 | $ | 17.30 | $ | 14.10 | $ | 14.42 | $ | 15.28 | $ | 16.57 | ||||||||||||||||||
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Total Return(a) | (2.77 | )%(b) | 24.77 | % | 0.37 | % | (1.39 | )% | (6.18 | )% | 21.36 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,663,920 | $ | 1,862,508 | $ | 1,605,552 | $ | 576,330 | $ | 863,302 | $ | 808,196 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 3.33 | % | 2.21 | % | 2.11 | % | 2.16 | % | 2.88 | % | 2.23 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.71 | % | 0.73 | % | 0.71 | % | 0.75 | % | 0.75 | % | 0.76 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.71 | % | 0.73 | % | 0.71 | % | 0.74 | % | 0.75 | % | 0.76 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 2 | % | 8 | % | 55 | %(f) | 13 | % | 3 | % | 2 | % |
* | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 55%. |
See accompanying notes to the financial statements.
16
AZL International Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL International Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
17
AZL International Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $49 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $48,744 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less Than | Between 30 & 90 Days | Greater Than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 13,584,768 | $ | 13,090,299 | $ | — | $ | — | $ | 26,675,067 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any Rule such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $20.2 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 27,849 | Payable for variation margin on futures contracts | $ | 238,368 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
18
AZL International Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | 119,844 | $ | (225,347 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL International Index Fund Class 1 | 0.35 | % | 0.52 | % | ||||||
AZL International Index Fund Class 2 | 0.35 | % | 0.77 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
Fair Value 12/31/2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain(Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value 6/30/2018 | Shares as of 6/30/2018 | Dividend Income | |||||||||||||||||||||||||||||||||
Allianz SE, Registered Shares | $ | 13,471,678 | $ | — | $ | (1,076,450 | ) | $ | 313,153 | $ | (1,487,374 | ) | $ | 11,221,007 | 54,307 | $ | 517,999 | |||||||||||||||||||||||
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$ | 13,471,678 | $ | — | $ | (1,076,450 | ) | $ | 313,153 | $ | (1,487,374 | ) | $ | 11,221,007 | 54,307 | $ | 517,999 | ||||||||||||||||||||||||
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Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
19
AZL International Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $8,859 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
20
AZL International Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||
Capital Markets | $ | 382,747 | $ | 41,709,144 | $ | — | $ | — | $ | 42,091,891 | |||||||||||||||
Equity Real Estate Investment Trusts | 993,275 | 26,218,901 | — | — | 27,212,176 | ||||||||||||||||||||
Hotels, Restaurants & Leisure | 847,476 | 26,273,689 | — | — | 27,121,165 | ||||||||||||||||||||
Insurance | 198 | 94,463,830 | — | — | 94,464,028 | ||||||||||||||||||||
Pharmaceuticals | 2,880,972 | 124,260,199 | — | — | 127,141,171 | ||||||||||||||||||||
Real Estate Management & Development | 1,023,120 | 33,721,897 | 86 | — | 34,745,103 | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment | 4,604,638 | 22,037,482 | — | — | 26,642,120 | ||||||||||||||||||||
Software | 1,554,870 | 28,497,622 | — | — | 30,052,492 | ||||||||||||||||||||
Trading Companies & Distributors | 881,291 | 24,349,748 | — | — | 25,231,039 | ||||||||||||||||||||
Other Common Stocks+ | — | 1,312,076,187 | — | — | 1,312,076,187 | ||||||||||||||||||||
Preferred Stocks+ | — | 8,367,818 | — | — | 8,367,818 | ||||||||||||||||||||
Rights | 124,253 | — | # | — | — | 124,253 | |||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 26,675,067 | 26,675,067 | ||||||||||||||||||||
Unaffiliated Investment Company | 1,964,079 | — | — | — | 1,964,079 | ||||||||||||||||||||
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|
| ||||||||||||||||
Total Investment Securities | 15,256,919 | 1,741,976,517 | 86 | 26,675,067 | 1,783,908,589 | ||||||||||||||||||||
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Other Financial Instruments:* | |||||||||||||||||||||||||
Futures Contracts | (210,519 | ) | — | — | — | (210,519 | ) | ||||||||||||||||||
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Total Investments | $ | 15,046,400 | $ | 1,741,976,517 | $ | 86 | $ | 26,675,067 | $ | 1,783,698,070 | |||||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2018. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL International Index Fund | $ | 31,888,450 | $ | 175,439,378 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
21
AZL International Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $1,484,243,248. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 331,910,099 | ||
Unrealized (depreciation) | (32,244,758 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 299,665,341 | ||
|
|
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL International Index Fund | $ | 17,736,247 | $ | 15,399,504 | $ | 33,135,751 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL International Index Fund | $ | 53,411,324 | $ | 19,797,865 | $ | — | $ | 394,420,889 | $ | 467,630,078 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 35% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
22
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
23
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® MetWest Total Return Bond Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 10 |
Page 10 |
Statements of Changes in Net Assets Page 11 |
Page 12 |
Notes to the Financial Statements Page 13 |
Page 20 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MetWest Total Return Bond Fund
(Unaudited)
As a shareholder of the AZL MetWest Total Return Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 1,000.00 | $ | 984.30 | $ | 4.23 | 0.86 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 1,000.00 | $ | 1,020.53 | $ | 4.31 | 0.86 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Treasury Obligations | 30.5 | % | |||
U.S. Government Agency Mortgages | 29.5 | ||||
Corporate Bonds | 25.9 | ||||
Money Markets | 9.8 | ||||
Collateralized Mortgage Obligations | 9.1 | ||||
Asset Backed Securities | 5.4 | ||||
Yankee Dollars | 3.2 | ||||
Municipal Bonds | 1.5 | ||||
Foreign Bonds | 1.2 | ||||
Securities Held as Collateral for Securities on Loan | 0.1 | ||||
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| ||||
Total Investment Securities | 116.2 | ||||
Net other assets (liabilities) | (16.2 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Asset Backed Securities (5.4%): | ||||||||
$ | 443,492 | Goal Capital Funding Trust, Class A3, Series 2005-2, 2.50%(US0003M+17bps), 5/28/30, Callable 8/25/20 @ 100 | $ | 443,078 | ||||
750,000 | Magnetite CLO, Ltd., Class 2A3, Series 2015-12A, 3.68%(US0003M+133bps), 4/15/27, Callable 7/15/18 @ 100(a) | 752,366 | ||||||
672,497 | Navient Student Loan Trust, Class A, Series 2014-2, 2.73%(US0001M+64bps), 3/25/83, Callable 10/25/33 @ 100 | 669,134 | ||||||
649,404 | Navient Student Loan Trust, Class A, Series 2014-3, 2.58%(US0001M+62bps), 3/25/83, Callable 11/25/32 @ 100 | 646,459 | ||||||
426,929 | Navient Student Loan Trust, Class A, Series 2014-4, 2.58%(US0001M+62bps), 3/25/83, Callable 12/25/32 @ 100 | 424,710 | ||||||
816,421 | Navient Student Loan Trust, Class A, Series 2016-1A, 2.79%(US0001M+70bps), 2/25/70, Callable 8/25/33 @ 100(a) | 819,466 | ||||||
965,000 | Navient Student Loan Trust, Class A3, Series 2016-2, 3.59%(US0001M+150bps), 6/25/65, Callable 5/25/30 @ 100(a) | 1,006,758 | ||||||
950,000 | Navient Student Loan Trust, Class A3, Series 2017-3A, 3.14%(US0001M+105bps), 7/26/66, Callable 10/25/33 @ 100(a) | 971,703 | ||||||
1,207,266 | Nelnet Student Loan Trust, Class A2, Series 2015-2A, 2.69%(US0001M+60bps), 9/25/47, Callable 5/25/32 @ 100(a) | 1,205,842 | ||||||
2,615,000 | SLC Student Loan Trust, Class 2A3, Series 2006-1, 2.50%(US0003M+16bps), 3/15/55, Callable 6/15/30 @ 100 | 2,524,003 | ||||||
1,277,135 | SLC Student Loan Trust, Class 2A3, Series 2008-1, 3.94%(US0003M+160bps), 12/15/32, Callable 6/15/27 @ 100 | 1,319,436 | ||||||
739,527 | SLM Student Loan Trust, Class 2A3, Series 2003-7, 2.91%(US0003M+57bps), 9/15/39, Callable 12/15/28 @ 100 | 696,017 | ||||||
940,000 | SLM Student Loan Trust, Class A6A, Series 2004-3A, 2.91%(US0003M+55bps), 10/25/64, Callable 1/25/29 @ 100(a) | 936,520 | ||||||
584,504 | SLM Student Loan Trust, Class A4, Series 2007-6, 2.74%(US0003M+38bps), 10/25/24, Callable 10/25/33 @ 100 | 585,371 | ||||||
1,220,000 | SLM Student Loan Trust, Class 2A3, Series 2008-5, 4.21%(US0003M+185bps), 7/25/73, Callable 7/25/24 @ 100 | 1,262,829 | ||||||
240,000 | SLM Student Loan Trust, Class 2A3, Series 2008-9, 4.61%(US0003M+225bps), 10/25/83, Callable 4/25/24 @ 100 | 249,584 | ||||||
1,457,656 | SLM Student Loan Trust, Class A, Series 2009-3, 2.84%(US0001M+75bps), 1/25/45, Callable 11/25/33 @ 100(a) | 1,464,981 | ||||||
848,966 | SLM Student Loan Trust, Class A3, Series 2012-1, 2.91%(US0001M+95bps), 9/25/28, Callable 10/25/25 @ 100 | 851,622 | ||||||
1,970,000 | Wachovia Student Loan Trust, Class 2A3, Series 2006-1, 2.53%(US0003M+17bps), 4/25/40, Callable 10/25/25 @ 100(a) | 1,927,870 | ||||||
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| |||||||
Total Asset Backed Securities (Cost $18,352,617) | 18,757,749 | |||||||
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Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations (9.1%): | ||||||||
$ | 17,407 | 7 WTC Depositor LLC Trust, Class A, Series 2012-7WTC, 4.08%, 3/13/31(a) | $ | 17,412 | ||||
1,388,112 | America Home Mortgage Investment Trust, Class 6A, Series 2005-1, 4.50%(US0006M+200bps), 6/25/45, Callable 7/25/18 @ 100 | 1,427,587 | ||||||
598,504 | Ameriquest Mortgage Securities, Inc., Class M2, Series 2005-R5, 2.78%(US0001M+46bps), 7/25/35, Callable 7/25/18 @ 100 | 599,719 | ||||||
288,597 | Ameriquest Mortgage Securities, Inc., Class M2, Series 2005-R5, 2.81%(US0001M+72bps), 4/25/35, Callable 7/25/18 @ 100 | 288,896 | ||||||
605,386 | Bank of America Mortgage Securities, Inc., Class 2A3, Series 2005-F, 3.93%, 7/25/35, Callable 7/25/18 @ 100(b) | 573,605 | ||||||
340,000 | Barclays Commercial Mortgages Securities, Class A2, Series 2013-TYSNC, 3.76%, 9/5/32(a) | 343,901 | ||||||
360,000 | CGRBS Commercial Mortgage Trust, Class A, Series 2013-VN05, 3.37%, 3/13/35(a) | 359,356 | ||||||
40,259 | Citigroup Mortgage Loan Trust, Inc., Class 2A3, Series 2006-WFH3, 2.33%(US0001M+24bps), 10/25/36, Callable 7/25/20 @ 100 | 40,255 | ||||||
1,274,448 | Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5, 3.82%, 4/25/37, Callable 2/25/24 @ 100(b) | 1,268,183 | ||||||
360,000 | Cityline Commercial Mortgage Trust, Class A, Series 2016-CLNE, 2.87%, 11/10/31(a)(b) | 347,685 | ||||||
390,000 | Commercial Mortgage Trust, Class A, Series 2014-277P, 3.73%, 8/10/49(a)(b) | 391,702 | ||||||
360,000 | Commercial Mortgage Trust, Class A1, Series 2013-300P, 4.35%, 8/10/30(a) | 372,868 | ||||||
365,000 | Commercial Mortgage Trust, Class A, Series 2016-787S, 3.54%, 2/10/36(a)(b) | 358,824 | ||||||
360,000 | Core Industrial Trust, Class A, Series 2015-CALW, 3.04%, 2/10/34(a) | 357,210 | ||||||
140,000 | Core Industrial Trust, Class A, Series 2015-TEXW, 3.08%, 2/10/34(a) | 139,090 | ||||||
1,120,144 | Credit Suisse Mortgage Capital Certificates, Class A2E, Series 2007-CB2, 4.17%, 2/25/37, Callable 10/25/21 @ 100(b) | 859,469 | ||||||
1,820,000 | Fannie Mae-Aces, Class A2, Series 2018-M1, 3.09%, 12/25/27(b) | 1,755,336 | ||||||
860,000 | Federal Home Loan Mortgage Corporation, Class A3, Series K151, 3.51%, 4/25/30 | 849,842 | ||||||
746,956 | First Franklin Mortgage Loan Trust, Class M1, Series 2005-FF8, 2.83%(US0001M+49bps), 9/25/35, Callable 7/25/18 @ 100 | 749,894 | ||||||
1,070,960 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AA12, 3.56%, 2/25/36, Callable 8/25/18 @ 100(b) | 874,150 | ||||||
488,442 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AR3, 3.94%, 8/25/35, Callable 7/25/18 @ 100(b) | 407,950 | ||||||
1,243,858 | First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 3.49%, 3/25/36, Callable 1/25/19 @ 100(b) | 1,157,274 |
Continued
2
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 1,065,924 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 3.50%, 4/25/36, Callable 1/25/19 @ 100(b) | $ | 1,002,389 | ||||
1,055,159 | GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1, 3.83%, 4/19/36, Callable 12/19/18 @ 100(b) | 984,585 | ||||||
854,130 | GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5, 3.95%, 9/19/35, Callable 7/19/18 @ 100(b) | 810,432 | ||||||
280,000 | GRACE Mortgage Trust, Class A, Series 2014-GRCE, 3.37%, 6/10/28(a) | 281,236 | ||||||
147,500 | GS Mortgage Securities Trust, Class A, Series 2012-ALOH, 3.55%, 4/10/34(a) | 148,644 | ||||||
1,807,419 | HarborView Mortgage Loan Trust, Class 1A1A, Series 2006-10, 2.28%(US0001M+20bps), 11/19/36, Callable 11/19/26 @ 100 | 1,588,014 | ||||||
365,000 | Liberty Street Trust, Class A, Series 2016-225L, 3.60%, 2/10/36(a) | 361,490 | ||||||
750,000 | Magnetite IX, Ltd., Class A1R, Series 2014-9A, 3.36%(US0003M+100bps), 7/25/26, Callable 7/25/18 @ 100(a) | 750,015 | ||||||
1,000,000 | Magnetite XI, Ltd., Class A1R, Series 2014-11A, 3.48%(US0003M+112bps), 1/18/27, Callable 7/18/18 @ 100(a) | 1,000,109 | ||||||
971,558 | Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4, 2.21%(US0001M+12bps), 7/25/37, Callable 1/25/22 @ 100 | 687,483 | ||||||
345,000 | Morgan Stanley Capital I Trust, Class A, Series 2014-MP, 3.47%, 8/11/33(a) | 344,425 | ||||||
1,004,751 | Morgan Stanley Remic Trust, Class 3A, Series 2014-R8, 2.21%(12MTA+75bps), 6/26/47(a) | 972,256 | ||||||
674,297 | MortgageIT Trust, Class 2A3, Series 2005-2, 3.63%(US0001M+165bps), 5/25/35, Callable 7/25/18 @ 100 | 672,156 | ||||||
748,568 | Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 5.69%, 7/25/35, Callable 7/25/18 @ 100(b) | 763,171 | ||||||
210,000 | Octagon Investment Partners 25, Class AR, Series 2015-1A, 3.16%(US0003M+80bps), 10/20/26, Callable 7/20/18 @ 100(a) | 210,000 | ||||||
385,000 | RBSCF Trust, Class A, Series 2013-GSP, 3.96%, 1/13/32(a)(b) | 390,023 | ||||||
1,583,347 | Residential Accredit Loans, Inc., Class A2, Series 2006-QA10, 2.27%(US0001M+18bps), 12/25/36, Callable 1/25/21 @ 100 | 1,498,624 | ||||||
1,050,000 | Trust Co. West, Series TCW-1143, 3.85%, 7/25/30 | 1,066,734 | ||||||
961,385 | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR6, 2.55%(US0001M+23bps), 4/25/45, Callable 7/25/18 @ 100 | 957,878 | ||||||
1,073,231 | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR8, 2.67%(US0001M+29bps), 7/25/45, Callable 7/25/18 @ 100 | 1,080,113 |
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 967,433 | WaMu Mortgage Pass-Through Certificates, Class A2, Series 2005-AR3, 3.66%, 3/25/35, Callable 11/25/18 @ 100(b) | $ | 978,446 | ||||
724,643 | Wells Fargo Mortgage Backed Securities Trust, Class 2A1, Series 2006-AR2, 3.82%, 3/25/36, Callable 7/25/18 @ 100(b) | 735,859 | ||||||
812,220 | Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 3.86%, 9/25/36, Callable 7/25/18 @ 100(b) | 813,144 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $30,956,807) | 31,637,434 | |||||||
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Corporate Bonds (25.9%): | ||||||||
Aerospace & Defense (0.3%): | ||||||||
530,000 | L3 Technologies, Inc., 4.40%, 6/15/28, Callable 3/15/28 @ 100.00 | 527,532 | ||||||
550,000 | Northrop Grumman Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100.00 | 516,705 | ||||||
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1,044,237 | ||||||||
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| |||||||
Airlines (0.7%): | ||||||||
1,279,583 | Continental Airlines 2009-2, Series A, 7.25%, 5/10/21 | 1,341,259 | ||||||
193,967 | U.S. Airways 2001-1G PTT, Class G, Series 2001, 7.08%, 9/20/22 | 204,135 | ||||||
767,321 | U.S. Airways 2010-1A PTT, Series A, 6.25%, 10/22/24 | 821,033 | ||||||
|
| |||||||
2,366,427 | ||||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
400,000 | General Motors Co., 3.50%, 10/2/18 | 400,758 | ||||||
|
| |||||||
Banks (5.5%): | ||||||||
670,000 | Bank of America Corp., Series G, 2.37%(US0003M+66bps), 7/21/21, Callable 7/21/20 @ 100.00 | 656,797 | ||||||
910,000 | Bank of America Corp., 2.74%(US0003M+37bps), 1/23/22, Callable 1/23/21 @ 100.00 | 893,815 | ||||||
735,000 | Bank of America Corp., 3.09%(US0003M+109bps), 10/1/25, Callable 10/1/24 @ 100.00 | 699,888 | ||||||
350,000 | Bank of America Corp., 3.70%(US0003M+151bps), 4/24/28, Callable 4/24/27 @ 100.00 | 337,551 | ||||||
685,000 | Bank of America Corp., Series G, 3.59%(US0003M+137bps), 7/21/28, Callable 7/21/27 @ 100.00 | 653,995 | ||||||
950,000 | Citibank NA, Series B, 3.05%, 5/1/20, Callable 4/1/20 @ 100.00 | 949,653 | ||||||
500,000 | Citigroup, Inc., 2.05%, 12/7/18 | 499,042 | ||||||
1,500,000 | Citigroup, Inc., 2.55%, 4/8/19 | 1,497,427 | ||||||
500,000 | Citigroup, Inc., 2.50%, 7/29/19 | 497,757 | ||||||
700,000 | Citigroup, Inc., 3.89%(US0003M+156bps), 1/10/28, Callable 1/10/27 @ 100.00 | 677,974 | ||||||
960,000 | JPMorgan Chase & Co., 3.22%(US0003M+116bps), 3/1/25, Callable 3/1/24 @ 100.00 | 926,138 | ||||||
750,000 | JPMorgan Chase & Co., 3.54%(US0003M+138bps), 5/1/28, Callable 5/1/27 @ 100.00 | 718,044 | ||||||
1,450,000 | JPMorgan Chase Bank NA, 2.60%(US0003M+25bps), 2/13/20, Callable 2/13/19 @ 100.00 | 1,449,621 |
Continued
3
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 1,820,000 | JPMorgan Chase Bank NA, 2.60%(US0003M+28bps), 2/1/21, Callable 2/1/20 @ 100.00 | $ | 1,803,916 | ||||
1,000,000 | JPMorgan Chase Bank NA, Series B, 3.09%(US0003M+35bps), 4/26/21, Callable 4/26/20 @ 100.00 | 997,656 | ||||||
750,000 | PNC Bank NA, 2.40%, 10/18/19, Callable 9/18/19 @ 100.00 | 744,797 | ||||||
265,000 | Wells Fargo & Co., 3.55%, 9/29/25, MTN | 256,884 | ||||||
2,110,000 | Wells Fargo & Co., 3.00%, 4/22/26 | 1,956,069 | ||||||
350,000 | Wells Fargo Bank NA, 2.15%, 12/6/19 | 346,186 | ||||||
3,000,000 | Wells Fargo Bank NA, 2.40%, 1/15/20 | 2,971,154 | ||||||
|
| |||||||
19,534,364 | ||||||||
|
| |||||||
Beverages (0.5%): | ||||||||
763,000 | Anheuser-Busch InBev NV, 4.90%, 2/1/46, Callable 8/1/45 @ 100.00 | 784,653 | ||||||
900,000 | Constellation Brands, Inc., 2.00%, 11/7/19 | 886,697 | ||||||
|
| |||||||
1,671,350 | ||||||||
|
| |||||||
Biotechnology (0.8%): | ||||||||
300,000 | AbbVie, Inc., 4.70%, 5/14/45, Callable 11/14/44 @ 100.00 | 296,751 | ||||||
300,000 | Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100.00 | 285,922 | ||||||
500,000 | Amgen, Inc., 4.56%, 6/15/48, Callable 12/15/47 @ 100.00 | 491,371 | ||||||
400,000 | Baxalta, Inc., 2.88%, 6/23/20, Callable 5/23/20 @ 100.00 | 395,448 | ||||||
660,000 | Celgene Corp., 5.00%, 8/15/45, Callable 2/15/45 @ 100.00 | 646,267 | ||||||
350,000 | Gilead Sciences, Inc., 4.60%, 9/1/35, Callable 3/1/35 @ 100.00 | 360,218 | ||||||
249,000 | Gilead Sciences, Inc., 4.75%, 3/1/46, Callable 9/1/45 @ 100.00 | 257,016 | ||||||
|
| |||||||
2,732,993 | ||||||||
|
| |||||||
Capital Markets (2.4%): | ||||||||
1,500,000 | Bank of New York Mellon, 2.30%, 9/11/19, Callable 8/11/19 @ 100.00, MTN | 1,491,881 | ||||||
335,000 | Goldman Sachs Bank USA, Series B, 3.20%, 6/5/20 | 335,975 | ||||||
1,600,000 | Goldman Sachs Group, Inc. (The), 2.63%, 1/31/19 | 1,598,712 | ||||||
570,000 | Goldman Sachs Group, Inc. (The), Series G, 7.50%, 2/15/19 | 585,745 | ||||||
900,000 | Goldman Sachs Group, Inc. (The), 2.55%, 10/23/19 | 894,486 | ||||||
400,000 | Goldman Sachs Group, Inc. (The), 3.85%, 7/8/24, Callable 4/8/24 @ 100.00 | 396,640 | ||||||
550,000 | Goldman Sachs Group, Inc. (The), 3.27%(US0003M+120bps), 9/29/25, Callable 9/29/24 @ 100.00 | 522,238 | ||||||
780,000 | Morgan Stanley, Series G, 7.30%, 5/13/19 | 808,484 | ||||||
1,200,000 | Morgan Stanley, 3.16%(US0003M+80bps), 2/14/20, Callable 2/14/19 @ 100.00 | 1,203,638 | ||||||
500,000 | Morgan Stanley, 5.50%, 7/24/20 | 522,321 | ||||||
400,000 | Morgan Stanley, 3.29%(US0003M+93bps), 7/22/22, Callable 7/22/21 @ 100.00 | 403,222 | ||||||
|
| |||||||
8,763,342 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Chemicals (0.1%): | ||||||||
$ | 180,000 | Axalta Coating Systems, 4.88%, 8/15/24, Callable 8/15/19 @ 103.66(a) | $ | 178,650 | ||||
170,000 | Valvoline, Inc., 4.38%, 8/15/25, Callable 8/15/20 @ 103.28 | 158,100 | ||||||
|
| |||||||
336,750 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
200,000 | Clean Harbors, Inc., 5.13%, 6/1/21, Callable 8/3/18 @ 101.28 | 200,750 | ||||||
110,000 | Mutlti-Color Corp., 4.88%, 11/1/25, Callable 11/1/20 @ 102.44(a) | 102,438 | ||||||
|
| |||||||
303,188 | ||||||||
|
| |||||||
Consumer Finance (0.6%): | ||||||||
500,000 | Discover Bank, 2.60%, 11/13/18, Callable 10/12/18 @ 100.00 | 499,711 | ||||||
500,000 | Ford Motor Credit Co. LLC, 2.55%, 10/5/18 | 499,686 | ||||||
200,000 | Ford Motor Credit Co. LLC, 8.13%, 1/15/20 | 214,177 | ||||||
600,000 | General Motors Financial Co., Inc., 3.10%, 1/15/19, Callable 7/15/18 @ — | 600,564 | ||||||
265,000 | General Motors FINL Co., 2.40%, 5/9/19 | 263,765 | ||||||
|
| |||||||
2,077,903 | ||||||||
|
| |||||||
Containers & Packaging (0.4%): | ||||||||
600,000 | Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100.00(a) | 569,607 | ||||||
200,000 | Ball Corp., 5.25%, 7/1/25 | 204,000 | ||||||
112,000 | Berry Global, Inc., 4.50%, 2/15/26, Callable 2/15/21 @ 102.25(a) | 104,440 | ||||||
339,188 | Beverage Packaging Holdings Luxemberg, 5.75%, 10/15/20, Callable 8/3/18 @ 101.44 | 340,460 | ||||||
87,000 | Crown Americas LLC, 4.25%, 9/30/26, Callable 3/31/26 @ 100.00 | 79,605 | ||||||
|
| |||||||
1,298,112 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
185,000 | Service Corp. International/US, 4.63%, 12/15/27, Callable 12/15/22 @ 102.31 | 174,751 | ||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
400,000 | Berkshire Hathaway Finance Corp., 4.30%, 5/15/43 | 402,943 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.3%): | ||||||||
375,000 | AT&T, Inc., 3.80%, 3/15/22 | 375,640 | ||||||
700,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100.00(a) | 660,734 | ||||||
840,000 | AT&T, Inc., 4.80%, 6/15/44, Callable 12/15/43 @ 100.00 | 762,194 | ||||||
500,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100.00(a) | 471,044 | ||||||
180,000 | Level 3 Financing, Inc., 5.25%, 3/15/26, Callable 3/15/21 @ 102.63 | 171,198 | ||||||
550,000 | Verizon Communications, Inc., 4.50%, 8/10/33 | 532,610 | ||||||
700,000 | Verizon Communications, Inc., 3.85%, 11/1/42, Callable 5/1/42 @ 100.00 | 584,551 | ||||||
800,000 | Verizon Communications, Inc., 4.86%, 8/21/46 | 764,457 | ||||||
108,000 | Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/27, Callable 1/15/22 @ 102.88(a) | 106,110 | ||||||
|
| |||||||
4,428,538 | ||||||||
|
|
Continued
4
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities (2.4%): | ||||||||
$ | 280,000 | American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44 @ 100.00(a) | $ | 307,207 | ||||
500,000 | Appalachian Power Co., Series H, 5.95%, 5/15/33 | 576,472 | ||||||
400,000 | Cleco Power LLC, 6.00%, 12/1/40 | 466,507 | ||||||
1,000,000 | Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100.00 | 986,887 | ||||||
936,000 | Duquesne Light Holdings, Inc., 6.40%, 9/15/20(a) | 989,359 | ||||||
500,000 | Entergy Texas, 7.13%, 2/1/19 | 511,514 | ||||||
1,250,000 | Florida Power & Light Co., 2.64%(US0003M+28bps), 11/6/20, Callable 7/16/18 @ 100.00 | 1,250,050 | ||||||
750,000 | Jersey Central Power & Light Co., 6.40%, 5/15/36 | 896,653 | ||||||
300,000 | Midamerican Energy Co., 4.25%, 5/1/46, Callable 11/1/45 @ 100.00 | 304,371 | ||||||
100,000 | NextEra Energy Operating Partners LP, 4.50%, 9/15/27, Callable 6/15/27 @ 100.00(a) | 93,500 | ||||||
1,500,000 | Oncor Electric Delivery Co. LLC, 4.10%, 6/1/22, Callable 3/1/22 @ 100.00 | 1,537,302 | ||||||
700,000 | Public Service Oklahoma, 4.40%, 2/1/21 | 720,674 | ||||||
|
| |||||||
8,640,496 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%): | ||||||||
100,000 | Itron, Inc., 5.00%, 1/15/26, Callable 1/15/21 @ 102.50(a) | 94,970 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.4%): | ||||||||
500,000 | Alexandria Real Estate Equities, Inc., 3.45%, 4/30/25, Callable 2/28/25 @ 100.00 | 478,401 | ||||||
590,000 | American Campus Communities Operating Partnership LP, 3.63%, 11/15/27, Callable 8/15/27 @ 100.00 | 552,692 | ||||||
295,000 | American Tower Corp., 3.00%, 6/15/23 | 282,870 | ||||||
400,000 | Crown Castle International Corp., 3.20%, 9/1/24, Callable 7/1/24 @ 100.00 | 377,508 | ||||||
105,000 | Glp Capital, LP/Finance II, 5.75%, 6/1/28 | 105,788 | ||||||
575,000 | HCP, Inc., 4.00%, 12/1/22, Callable 10/1/22 @ 100.00 | 577,391 | ||||||
875,000 | HCP, Inc., 4.25%, 11/15/23, Callable 8/15/23 @ 100.00 | 880,187 | ||||||
400,000 | HCP, Inc., 3.88%, 8/15/24, Callable 5/17/24 @ 100.00 | 391,190 | ||||||
183,000 | SBA Communications Corp., 4.00%, 10/1/22, Callable 10/1/19 @ 102.00(a) | 174,994 | ||||||
112,000 | SBA Communications Corp., 4.88%, 9/1/24, Callable 9/1/19 @ 103.66 | 107,132 | ||||||
1,150,000 | SL Green Realty Corp., 5.00%, 8/15/18, Callable 8/3/18 @ 100.00 | 1,151,712 | ||||||
500,000 | VEREIT Operating Partnership LP, 3.00%, 2/6/19, Callable 1/6/19 @ 100.00 | 499,769 | ||||||
1,500,000 | WEA Finance LLC, 2.70%, 9/17/19, Callable 8/17/19 @ 100.00(a) | 1,493,780 | ||||||
1,440,000 | Welltower, Inc., 3.75%, 3/15/23, Callable 12/15/22 @ 100.00 | 1,423,899 | ||||||
|
| |||||||
8,497,313 | ||||||||
|
| |||||||
Food & Staples Retailing (0.8%): | ||||||||
100,000 | Cumberland Farms, Inc., 6.75%, 5/1/25, Callable 5/1/20 @ 105.06(a) | 101,250 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
$ | 715,000 | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100.00 | $ | 727,653 | ||||
790,000 | Walgreens Boots Alliance, Inc., 3.80%, 11/18/24, Callable 8/18/24 @ 100.00 | 778,749 | ||||||
300,000 | Walgreens Boots Alliance, Inc., 4.80%, 11/18/44, Callable 5/18/44 @ 100.00 | 282,475 | ||||||
770,000 | Wal-Mart Stores, Inc., 3.55%, 6/26/25, Callable 4/26/25 @ 100.00 | 774,883 | ||||||
|
| |||||||
2,665,010 | ||||||||
|
| |||||||
Food Products (0.6%): | ||||||||
525,000 | General Mills, Inc., 4.20%, 4/17/28, Callable 1/17/28 @ 100.00 | 512,592 | ||||||
795,000 | Kraft Heinz Foods Co., 3.95%, 7/15/25, Callable 4/15/25 @ 100.00 | 772,743 | ||||||
650,000 | Kraft Heinz Foods Co., 4.63%, 1/30/29, Callable 10/30/28 @ 100.00 | 643,751 | ||||||
92,000 | Pilgrim’s Pride Corp., 5.88%, 9/30/27, Callable 9/30/22 @ 102.94(a) | 85,330 | ||||||
170,000 | Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a) | 164,900 | ||||||
|
| |||||||
2,179,316 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.4%): | ||||||||
130,000 | Abbott Laboratories, 2.35%, 11/22/19 | 129,239 | ||||||
360,000 | Becton Dickinson And Co., 2.40%, 6/5/20 | 353,539 | ||||||
500,000 | Becton Dickinson And Co., 3.21%(US0003M+88bps), 12/29/20, Callable 3/1/19 @ 100.00 | 500,817 | ||||||
190,000 | Hill-Rom Holdings, Inc., 5.75%, 9/1/23, Callable 9/1/18 @ 104.31(a) | 193,325 | ||||||
92,000 | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | 86,940 | ||||||
|
| |||||||
1,263,860 | ||||||||
|
| |||||||
Health Care Providers & Services (1.3%): | ||||||||
262,000 | Centene Corp., 4.75%, 1/15/25, Callable 1/15/20 @ 103.56 | 260,690 | ||||||
500,000 | Cigna Corp., 3.05%, 10/15/27, Callable 7/15/27 @ 100.00 | 450,976 | ||||||
125,000 | Community Health Systems, Inc., 6.25%, 3/31/23, Callable 3/31/20 @ 103.13 | 114,531 | ||||||
94,000 | Community Health Systems, Inc., 8.63%, 1/15/24, Callable 1/15/21 @ 104.31(a) | 94,235 | ||||||
117,000 | DaVita Healthcare Partners, Inc., 5.00%, 5/1/25, Callable 5/1/20 @ 102.50 | 110,126 | ||||||
1,000,000 | Fresenius Medical Care US Finance II, Inc., 6.50%, 9/15/18(a) | 1,006,606 | ||||||
456,000 | HCA, Inc., 6.50%, 2/15/20 | 473,385 | ||||||
194,000 | HCA, Inc., 5.25%, 4/15/25, Callable 0 @ — | 194,000 | ||||||
850,000 | Kaiser Foundation Hospitals, 3.15%, 5/1/27, Callable 2/1/27 @ 100.00 | 814,032 | ||||||
70,000 | Molina Healthcare, Inc., 5.38%, 11/15/22, Callable 8/15/22 @ 100.00 | 70,438 | ||||||
26,000 | Tenet Healthcare Corp., 4.50%, 4/1/21 | 25,740 | ||||||
206,000 | Tenet Healthcare Corp., 4.63%, 7/15/24, Callable 7/15/20 @ 102.31(a) | 195,123 |
Continued
5
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 107,000 | WellCare Health Plans, 5.25%, 4/1/25, Callable 4/1/20 @ 103.94 | $ | 106,465 | ||||
500,000 | WellPoint, Inc., 3.50%, 8/15/24, Callable 5/15/24 @ 100.00 | 487,271 | ||||||
|
| |||||||
4,403,618 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
99,000 | Change Health/ Finance, Inc., 5.75%, 3/1/25, Callable 3/1/20 @ 102.88(a) | 93,664 | ||||||
200,000 | IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.50(a) | 194,750 | ||||||
|
| |||||||
288,414 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%): | ||||||||
100,000 | MGM Growth/MGM Finance, 5.63%, 5/1/24, Callable 2/1/24 @ 100.00 | 101,250 | ||||||
|
| |||||||
Household Products (0.1%): | ||||||||
23,000 | Central Garden & Pet Co., 6.13%, 11/15/23, Callable 11/15/18 @ 104.59 | 23,776 | ||||||
158,000 | Central Garden & Pet Co., 5.13%, 2/1/28, Callable 1/1/23 @ 102.56 | 146,150 | ||||||
100,000 | Spectrum Brands, Inc., 5.75%, 7/15/25, Callable 7/15/20 @ 102.88 | 98,750 | ||||||
|
| |||||||
268,676 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
273,000 | General Electric Capital Corp., 5.88%, 1/14/38 | 309,778 | ||||||
|
| |||||||
Insurance (0.6%): | ||||||||
1,600,000 | Farmers Exchange Capital III, 5.45%(US0003M+345bps), 10/15/54, Callable 10/15/34 @ 100.00(a) | 1,612,187 | ||||||
605,000 | Protective Life Global, 2.70%, 11/25/20(a) | 596,901 | ||||||
|
| |||||||
2,209,088 | ||||||||
|
| |||||||
IT Services (0.0%): | ||||||||
163,000 | First Data Corp., 5.00%, 1/15/24, Callable 1/15/19 @ 102.50(a) | 161,778 | ||||||
|
| |||||||
Media (0.5%): | ||||||||
200,000 | Altice US Finance I Corp., 5.38%, 7/15/23, Callable 7/16/18 @ 104.03(a) | 199,000 | ||||||
196,000 | CCO Holdings LLC/Capital Corp., 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a) | �� | 183,383 | |||||
151,000 | CCO Holdings LLC/Capital Corp., 5.00%, 2/1/28, Callable 8/1/22 @ 102.50(a) | 138,165 | ||||||
200,000 | Charter Communications Operating LLC, 3.75%, 2/15/28, Callable 11/15/27 @ 100.00 | 181,132 | ||||||
500,000 | Charter Communications Operating LLC, 6.48%, 10/23/45, Callable 4/23/45 @ 100.00 | 527,017 | ||||||
175,000 | CSC Holdings, Inc., 8.63%, 2/15/19 | 180,031 | ||||||
200,000 | Dish DBS Corp., 5.88%, 7/15/22 | 188,000 | ||||||
|
| |||||||
1,596,728 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.1%): | ||||||||
350,000 | Anadarko Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100.00 | 325,936 | ||||||
100,000 | Antero Resources Corp., 5.13%, 12/1/22, Callable 8/3/18 @ 102.56 | 100,250 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 300,000 | Boardwalk Pipeline Partners LP, 4.95%, 12/15/24, Callable 9/15/24 @ 100.00 | $ | 305,417 | ||||
35,000 | Cheniere Corpus Christi Holdings LLC, 5.13%, 6/30/27, Callable 1/1/27 @ 100.00 | 34,694 | ||||||
50,000 | CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25, Callable 10/15/20 @ 104.22(a) | 48,250 | ||||||
106,000 | Diamondback Energy, Inc., 4.75%, 11/1/24, Callable 11/1/19 @ 103.56 | 103,350 | ||||||
100,000 | Endeavor Energy Resources LP, 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | 97,500 | ||||||
120,000 | Energy Transfer Equity LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100.00 | 120,000 | ||||||
700,000 | Energy Transfer Partners LP, 5.95%, 10/1/43, Callable 4/1/43 @ 100.00 | 684,367 | ||||||
400,000 | Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 | 408,744 | ||||||
275,000 | Noble Energy, Inc., 5.05%, 11/15/44, Callable 5/15/44 @ 100.00 | 274,825 | ||||||
70,000 | Parsley Energy LLC/Finan, 5.38%, 1/15/25, Callable 1/15/20 @ 104.03(a) | 69,475 | ||||||
100,000 | Parsley Energy LLC/Parsley Finance Corp., 5.63%, 10/15/27, Callable 10/15/22 @ 102.81(a) | 99,250 | ||||||
300,000 | Plains All American Pipeline LP, 4.65%, 10/15/25, Callable 7/15/25 @ 100.00 | 298,959 | ||||||
430,000 | Rockies Express Pipeline LLC, 6.85%, 7/15/18(a) | 430,343 | ||||||
350,000 | Williams Partners LP, 6.30%, 4/15/40 | 391,018 | ||||||
50,000 | WPX Energy, Inc., 5.75%, 6/1/26, Callable 6/1/21 @ 104.31 | 49,860 | ||||||
|
| |||||||
3,842,238 | ||||||||
|
| |||||||
Personal Products (0.1%): | ||||||||
89,000 | First Quality Finance Co., 4.63%, 5/15/21, Callable 8/3/18 @ 101.16(a) | 86,775 | ||||||
126,000 | First Quality Finance Co., 5.00%, 7/1/25, Callable 7/1/20 @ 103.75(a) | 115,290 | ||||||
|
| |||||||
202,065 | ||||||||
|
| |||||||
Pharmaceuticals (0.5%): | ||||||||
705,000 | Bayer US Finance II LLC, 4.38%, 12/15/28, Callable 9/15/28 @ 100.00(a) | 706,340 | ||||||
500,000 | Bayer US Finance LLC, 2.38%, 10/8/19(a) | 495,740 | ||||||
375,000 | Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20^ | 361,475 | ||||||
45,000 | Valeant Pharmaceuticals International, 9.25%, 4/1/26, Callable 4/1/22 @ 104.63(a) | 46,744 | ||||||
|
| |||||||
1,610,299 | ||||||||
|
| |||||||
Road & Rail (0.1%): | ||||||||
350,000 | Union Pacific Corp., 3.95%, 9/10/28, Callable 6/10/28 @ 100.00 | 351,671 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.2%): | ||||||||
730,000 | Broadcom CRP / Cayman Finance, 2.38%, 1/15/20 | 720,488 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
920,000 | Apple, Inc., 4.65%, 2/23/46, Callable 8/23/45 @ 100.00 | 991,117 | ||||||
700,000 | Dell International LLC, 3.48%, 6/1/19(a) | 701,762 | ||||||
|
| |||||||
1,692,879 | ||||||||
|
|
Continued
6
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Tobacco (0.2%): | ||||||||
$ | 735,000 | BAT Capital Corp., 2.76%, 8/15/22, Callable 7/15/22 @ 100.00(a) | $ | 704,788 | ||||
|
| |||||||
Trading Companies & Distributors (0.4%): | ||||||||
545,000 | Air Lease Corp., 4.75%, 3/1/20 | 556,535 | ||||||
800,000 | International Lease Finance Corp., 7.13%, 9/1/18(a) | 805,219 | ||||||
|
| |||||||
1,361,754 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.5%): | ||||||||
323,000 | Sprint Communications, Inc., 9.00%, 11/15/18(a) | 329,460 | ||||||
63,000 | Sprint Communications, Inc., 6.88%, 11/15/28 | 60,323 | ||||||
31,000 | Sprint Corp., 7.63%, 3/1/26, Callable 11/1/25 @ 100.00 | 31,620 | ||||||
447,688 | Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a) | 442,651 | ||||||
715,000 | Sprint Spectrum Co. LLC, 4.74%, 3/20/25(a) | 709,494 | ||||||
|
| |||||||
1,573,548 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $92,056,556) | 90,275,681 | |||||||
|
| |||||||
Yankee Dollars (3.2%): | ||||||||
Banks (1.0%): | ||||||||
700,000 | Cooperatieve Rabobank UA, 3.13%, 4/26/21 | 697,318 | ||||||
525,000 | Lloyds Bank plc, 3.30%, 5/7/21 | 524,068 | ||||||
365,000 | Lloyds Banking Group plc, 2.91%(US0003M+81bps), 11/7/23, Callable 11/7/22 @ 100.00 | 347,647 | ||||||
635,000 | Santander UK Group Holdings plc, 2.88%, 10/16/20 | 625,835 | ||||||
500,000 | Santander UK Group Holdings plc, 2.88%, 8/5/21 | 484,351 | ||||||
625,000 | Santander UK plc, 3.40%, 6/1/21 | 624,639 | ||||||
|
| |||||||
3,303,858 | ||||||||
|
| |||||||
Beverages (0.0%): | ||||||||
175,000 | Bacardi, Ltd., 5.30%, 5/15/48, Callable 11/15/47 @ 100.00(a) | 165,853 | ||||||
|
| |||||||
Biotechnology (0.2%): | ||||||||
600,000 | Shire Acq INV Ireland DA, 1.90%, 9/23/19 | 590,572 | ||||||
|
| |||||||
Capital Markets (0.2%): | ||||||||
610,000 | Credit Suisse GP Funding, 3.13%, 12/10/20 | 605,583 | ||||||
|
| |||||||
Containers & Packaging (0.0%): | ||||||||
185,000 | OI European Group BV, 4.00%, 3/15/23, Callable 12/15/22 @ 100.00(a) | 172,513 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.2%): | ||||||||
190,000 | Intelsat Jackson Holdings SA, 9.75%, 7/15/25, Callable 7/15/21 @ 104.88(a) | 200,450 | ||||||
400,000 | Virgin Media Secured Finance plc, 5.25%, 1/15/26, Callable 1/15/20 @ 102.63(a) | 370,000 | ||||||
|
| |||||||
570,450 | ||||||||
|
| |||||||
Food & Staples Retailing (0.1%): | ||||||||
475,000 | Alimentation Couche-Tard, Inc., 3.55%, 7/26/27, Callable 4/26/27 @ 100.00(a) | 450,278 | ||||||
|
| |||||||
Food Products (0.2%): | ||||||||
700,000 | Mondelez International Hldings Ne, 2.00%, 10/28/21, Callable 9/28/21 @ 100.00(a) | 667,841 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
255,000 | 1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 5/15/20 @ 102.13(a) | 241,613 | ||||||
|
|
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Industrial Conglomerates (0.4%): | ||||||||
$ | 1,441,000 | GE Capital International Funding, 4.42%, 11/15/35 | $ | 1,396,012 | ||||
465,000 | Siemens Financieringsmat, 1.70%, 9/15/21(a) | 443,134 | ||||||
|
| |||||||
1,839,146 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
350,000 | Shell International Finance BV, 4.38%, 5/11/45 | 358,709 | ||||||
|
| |||||||
Pharmaceuticals (0.2%): | ||||||||
628,000 | Actavis Funding SCS, 4.55%, 3/15/35, Callable 9/15/34 @ 100.00 | 594,184 | ||||||
78,000 | Valeant Pharmaceuticals International, Inc., 5.50%, 11/1/25, Callable 11/1/20 @ 102.75(a) | 76,869 | ||||||
111,000 | VRX Escrow Corp., 5.88%, 5/15/23, Callable 8/3/18 @ 102.94(a) | 104,271 | ||||||
200,000 | VRX Escrow Corp., 6.13%, 4/15/25, Callable 4/15/20 @ 103.06(a) | 184,250 | ||||||
|
| |||||||
959,574 | ||||||||
|
| |||||||
Professional Services (0.1%): | ||||||||
121,000 | IHS Markit, Ltd., 5.00%, 11/1/22, Callable 8/1/22 @ 100.00(a) | 122,059 | ||||||
104,000 | IHS Markit, Ltd., 4.00%, 3/1/26, Callable 12/1/25 @ 100.00(a) | 99,190 | ||||||
|
| |||||||
221,249 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.1%): | ||||||||
200,000 | NXP BV/NXP Funding LLC, 4.13%, 6/1/21(a) | 199,500 | ||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
530,000 | Aercap Ireland Capital, Ltd., 4.50%, 5/15/21 | 540,004 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.1%): | ||||||||
350,000 | Vodafone Group plc, 4.38%, 5/30/28 | 345,840 | ||||||
|
| |||||||
Total Yankee Dollars (Cost $11,460,031) | 11,232,583 | |||||||
|
| |||||||
Foreign Bonds (1.2%): | ||||||||
Sovereign Bond (1.2%): | ||||||||
270,000,000 | Japan Treasury Discount Bill, Series 748, 7/2/18+ | 2,439,025 | ||||||
180,000,000 | Japan Treasury Discount Bill, Series 755, 8/6/18+ | 1,626,208 | ||||||
|
| |||||||
Total Foreign Bonds (Cost $4,161,475) | 4,065,233 | |||||||
|
| |||||||
Municipal Bonds (1.5%): | ||||||||
California (0.6%): | ||||||||
615,000 | The Regents of the University of California, Build America Bonds, General Revenue Bonds, 6.27%, 5/15/31, Pre-refunded 5/15/19 @100 | 635,541 | ||||||
700,000 | Los Angeles Unified School District, Build America Bonds, GO, 5.76%, 7/1/29 | 819,336 | ||||||
800,000 | California State, Build America Bonds, GO, 7.95%, 3/1/36, Continuously Callable @100 | 862,944 | ||||||
|
| |||||||
2,317,821 | ||||||||
|
| |||||||
New York (0.9%): | ||||||||
1,125,000 | New York NY, Build America Bonds, GO, 5.05%, 10/1/24 | 1,204,650 | ||||||
775,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, 3.28%, 8/1/29, Continuously Callable @100 | 737,289 | ||||||
750,000 | New York City Municipal Finance Authority Water & Sewer System Revenue, Build America Bonds, 5.95%, 6/15/42 | 975,615 | ||||||
|
| |||||||
2,917,554 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $5,348,657) | 5,235,375 | |||||||
|
|
Continued
7
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages (29.5%): | ||||||||
Federal Home Loan Mortgage Corporation (14.2%) | ||||||||
$ | 219,965 | Class A, Series KF34, 2.36%(US0001M+36bps), 8/25/24 | $ | 220,557 | ||||
603,553 | 3.00%, 3/1/31, Pool #G18592 | 599,593 | ||||||
1,754,023 | 2.50%, 12/1/31, Pool #G18622 | 1,705,765 | ||||||
1,923,403 | 3.50%, 4/1/44, Pool #G07848 | 1,929,948 | ||||||
2,775,515 | 3.50%, 4/1/45, Pool #G60023 | 2,784,980 | ||||||
2,553,260 | 4.00%, 12/1/45, Pool #G60344 | 2,625,207 | ||||||
2,598,807 | 3.00%, 6/1/46, Pool #G08710 | 2,519,587 | ||||||
2,515,994 | 3.50%, 6/1/46, Pool #G08711 | 2,509,833 | ||||||
1,680,612 | 3.50%, 8/1/46, Pool #G08716 | 1,676,150 | ||||||
1,283,291 | 3.00%, 8/1/46, Pool #G08715 | 1,244,171 | ||||||
671,592 | 3.50%, 9/1/46, Pool #G08722 | 669,531 | ||||||
343,988 | 3.00%, 9/1/46, Pool #G08721 | 333,502 | ||||||
1,712,810 | 3.00%, 10/1/46, Pool #G08726 | 1,660,332 | ||||||
1,852,247 | 3.00%, 11/1/46, Pool #G08732 | 1,795,209 | ||||||
2,114,377 | 3.00%, 1/1/47, Pool #G08741 | 2,047,871 | ||||||
1,574,131 | 3.50%, 4/1/47, Pool #G67703 | 1,572,062 | ||||||
3,415,000 | 3.50%, 7/15/47, TBA | 3,397,074 | ||||||
2,106,587 | 3.50%, 12/1/47, Pool #G67706 | 2,103,818 | ||||||
630,128 | 3.00%, 12/1/47, Pool #G08791 | 610,322 | ||||||
1,252,042 | 3.50%, 12/1/47, Pool #G08792 | 1,246,297 | ||||||
3,434,937 | 3.50%, 1/1/48, Pool #G67707 | 3,437,344 | ||||||
3,915,623 | 3.50%, 3/1/48, Pool #G67708 | 3,907,439 | ||||||
2,159,509 | 4.00%, 3/1/48, Pool #G67711 | 2,216,177 | ||||||
1,168,183 | 3.50%, 3/1/48, Pool #G67710 | 1,164,293 | ||||||
561,477 | 4.00%, 6/1/48, Pool #G67713 | 575,277 | ||||||
3,150,000 | 4.50%, 7/15/48, TBA | 3,277,618 | ||||||
1,206,229 | Class HZ, Series 4639, 1.75%, 4/15/53 | 1,095,096 | ||||||
|
| |||||||
48,925,053 | ||||||||
|
| |||||||
Federal National Mortgage Association (10.0%) | ||||||||
938,259 | 3.43%, 10/1/20, Pool #466386 | 947,436 | ||||||
1,271,304 | 3.42%, 10/1/20, Pool #FN0009 | 1,276,755 | ||||||
1,280,075 | 3.67%, 10/1/20, Pool #AE0918 | 1,298,759 | ||||||
2,037,273 | 3.76%, 12/1/20, Pool #FN0001 | 2,072,946 | ||||||
1,245,000 | 3.06%, 5/1/22, Pool #471258 | 1,244,782 | ||||||
751,982 | 2.51%, 8/1/26, Pool #AN2270 | 714,679 | ||||||
1,358,532 | 2.97%, 5/1/27, Pool #AL6829 | 1,324,900 | ||||||
699,356 | 3.53%, 12/1/30, Pool #AN0475 | 700,565 | ||||||
725,000 | 3.17%, 5/1/31, Pool #AN6553 | 694,830 | ||||||
1,089,623 | 3.50%, 1/1/32, Pool #AB4262 | 1,105,882 | ||||||
2,380,000 | 3.00%, 7/25/33, TBA | 2,366,028 | ||||||
666,506 | 3.00%, 10/1/33, Pool #MA1676 | 662,970 | ||||||
1,407,273 | 3.50%, 4/1/43, Pool #MA1404 | 1,406,607 | ||||||
918,400 | 4.50%, 2/1/46, Pool #AL9106 | 961,192 | ||||||
1,046,432 | 4.00%, 6/1/47, Pool #MA3027 | 1,068,031 | ||||||
1,038,666 | 4.00%, 6/1/47, Pool #AS9830 | 1,060,858 | ||||||
902,390 | 4.00%, 7/1/47, Pool #AS9972 | 921,717 | ||||||
5,805,000 | 4.50%, 7/25/47, TBA | 6,044,505 | ||||||
1,072,717 | 4.00%, 8/1/47, Pool #MA3088 | 1,094,972 | ||||||
1,062,013 | 4.00%, 1/1/48, Pool #MA3239 | 1,084,874 | ||||||
3,554,020 | 3.50%, 4/1/48, Pool #MA3332 | 3,541,952 | ||||||
1,785,000 | 4.00%, 7/25/48, TBA | 1,819,811 | ||||||
1,830,000 | 3.00%, 7/25/48, TBA | 1,772,741 | ||||||
145,000 | 3.50%, 7/25/48, TBA | 144,318 | ||||||
|
| |||||||
35,332,110 | ||||||||
|
|
Shares or Principal | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association (5.3%) | ||||||||
$ | 1,050,825 | 3.50%, 3/20/46, Pool #MA3521 | $ | 1,057,187 | ||||
1,094,307 | 3.50%, 4/20/46, Pool #MA3597 | 1,100,596 | ||||||
212,828 | 3.50%, 5/20/46, Pool #MA3663 | 214,018 | ||||||
442,868 | 3.50%, 9/20/46, Pool #MA3937 | 445,073 | ||||||
2,314,382 | 3.00%, 12/20/46, Pool #MA4126 | 2,269,388 | ||||||
1,823,867 | 3.50%, 1/20/47, Pool #MA4196 | 1,832,540 | ||||||
333,489 | 5.00%, 3/20/47, Pool #MA4324 | 352,566 | ||||||
879,866 | 5.00%, 6/20/47, Pool #MA4513 | 926,218 | ||||||
408,717 | 3.50%, 6/20/47, Pool #MA4510 | 410,661 | ||||||
674,820 | 5.00%, 9/20/47, Pool #MA4722 | 708,914 | ||||||
878,009 | 4.00%, 11/20/47, Pool #MA4838 | 900,692 | ||||||
1,745,000 | 3.50%, 7/20/48, TBA | 1,751,714 | ||||||
1,780,000 | 3.00%, 7/20/48, TBA | 1,741,445 | ||||||
3,735,000 | 4.50%, 7/20/48, TBA | 3,882,098 | ||||||
870,000 | 4.00%, 7/20/48, TBA | 891,682 | ||||||
|
| |||||||
18,484,792 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $105,015,698) | 102,741,955 | |||||||
|
| |||||||
U.S. Treasury Obligations (30.5%): | ||||||||
U.S. Treasury Bills (2.1%) | ||||||||
332,000 | 1.84%, 9/13/18(c) | 330,734 | ||||||
1,545,000 | 1.90%, 10/11/18 | 1,536,640 | ||||||
4,412,000 | 1.91%, 10/18/18 | 4,386,355 | ||||||
1,048,000 | 2.03%, 10/25/18 | 1,041,505 | ||||||
|
| |||||||
7,295,234 | ||||||||
|
| |||||||
U.S. Treasury Bonds (6.3%) | ||||||||
21,290,000 | 3.13%, 5/15/48 | 21,881,297 | ||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (0.3%) | ||||||||
860,000 | 1.00%, 2/15/48 | 903,119 | ||||||
|
| |||||||
U.S. Treasury Notes (21.8%) | ||||||||
10,090,000 | 2.50%, 5/31/20 | 10,085,270 | ||||||
23,895,000 | 2.75%, 4/30/23 | 23,918,335 | ||||||
27,300,000 | 2.63%, 6/30/23 | 27,166,699 | ||||||
9,115,000 | 2.75%, 2/15/28 | 9,037,024 | ||||||
5,755,000 | 2.88%, 5/15/28 | 5,766,465 | ||||||
|
| |||||||
75,973,793 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $105,147,020) | 106,053,443 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (0.1%): | ||||||||
371,000 | AZL MetWest Total Return Bond Fund Securities Lending Collateral Account(d) | 371,000 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 371,000 | ||||||
|
| |||||||
Unaffiliated Investment Company (9.8%): | ||||||||
33,996,377 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(e) | 33,996,377 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $33,996,377) | 33,996,377 | |||||||
|
| |||||||
Total Investment Securities | 404,366,830 | |||||||
Net other assets (liabilities) — (16.2)% | (56,293,591 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 348,073,239 | ||||||
|
|
Continued
8
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2018.
12MTA—12 Month Treasury Average
GO—General Obligation
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
REMIC—Real Estate Mortgage Investment Conduit
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
US0006M—6 Month US Dollar LIBOR
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $357,619. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2018. |
(c) | All or a portion of the security has been pledged as collateral for open derivative positions. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(e) | The rate represents the effective yield at June 30, 2018. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Short Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Euro-Bobl September Futures (Euro) | 9/6/18 | 61 | $ | (9,414,477 | ) | $ | (46,181 | ) | ||||||||
|
| |||||||||||||||
$ | (46,181 | ) | ||||||||||||||
|
|
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
U.S. Treasury 2-Year Note September Futures (U.S. Dollar) | 9/28/18 | 144 | 30,503,250 | $ | 24,983 | |||||||||||
U.S. Treasury 5-Year Note September Futures (U.S. Dollar) | 9/28/18 | 250 | 28,404,297 | 136,792 | ||||||||||||
|
| |||||||||||||||
161,775 | ||||||||||||||||
|
| |||||||||||||||
Total Net Futures Contracts | $ | 115,594 | ||||||||||||||
|
|
Forward Currency Contracts
At June 30, 2018, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Short Contracts: |
| |||||||||||||||||||||||
U.S. Dollar | 2,531,337 | Japanese Yen | 270,000,000 | Bank of America | 7/2/18 | $ | 92,312 | |||||||||||||||||
U.S. Dollar | 1,647,763 | Japanese Yen | 180,000,000 | Goldman Sachs | 8/6/18 | 17,551 | ||||||||||||||||||
|
| |||||||||||||||||||||||
109,863 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||
Total Net Forward Currency Contracts | $ | 109,863 | ||||||||||||||||||||||
|
|
See accompanying notes to the financial statements.
9
AZL MetWest Total Return Bond Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 406,866,238 | |||
|
| ||||
Investment securities, at value* | $ | 404,366,830 | |||
Cash | 4,906 | ||||
Interest and dividends receivable | 1,805,049 | ||||
Unrealized appreciation on forward currency contracts | 109,863 | ||||
Receivable for capital shares issued | 12,789 | ||||
Receivable for investments sold | 775,757 | ||||
Receivable for variation margin on futures contracts | 2,468 | ||||
Prepaid expenses | 2,126 | ||||
|
| ||||
Total Assets | 407,079,788 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 57,828,765 | ||||
Payable for capital shares redeemed | 548,530 | ||||
Payable for collateral received on loaned securities | 371,000 | ||||
Payable for variation margin on futures contracts | 10,359 | ||||
Manager fees payable | 157,853 | ||||
Administration fees payable | 7,675 | ||||
Distribution fees payable | 71,751 | ||||
Custodian fees payable | 956 | ||||
Administrative and compliance services fees payable | 353 | ||||
Transfer agent fees payable | 384 | ||||
Trustee fees payable | 1,587 | ||||
Other accrued liabilities | 7,336 | ||||
|
| ||||
Total Liabilities | 59,006,549 | ||||
|
| ||||
Net Assets | $ | 348,073,239 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 345,537,727 | |||
Accumulated net investment income/(loss) | 10,673,348 | ||||
Accumulated net realized gains/(losses) from investment transactions | (5,863,858 | ) | |||
Net unrealized appreciation/(depreciation) on investments | (2,273,978 | ) | |||
|
| ||||
Net Assets | $ | 348,073,239 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 34,665,031 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.04 | |||
|
|
* | Includes securities on loan of $357,619. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Interest | $ | 5,253,527 | |||
Dividends | 73,543 | ||||
Income from securities lending | 2,132 | ||||
|
| ||||
Total Investment Income | 5,329,202 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,058,574 | ||||
Administration fees | 67,962 | ||||
Distribution fees | 441,070 | ||||
Custodian fees | 5,845 | ||||
Administrative and compliance services fees | 2,237 | ||||
Transfer agent fees | 2,299 | ||||
Trustee fees | 7,344 | ||||
Professional fees | 7,390 | ||||
Shareholder reports | 1,877 | ||||
Other expenses | 2,800 | ||||
|
| ||||
Total expenses before reductions | 1,597,398 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (88,217 | ) | |||
|
| ||||
Net expenses | 1,509,181 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,820,021 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | (3,845,228 | ) | |||
Net realized gains/(losses) on forward currency contracts | (578,924 | ) | |||
Net realized gains/(losses) on futures contracts | (762,972 | ) | |||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (4,548,054 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | 18,698 | ||||
Change in net unrealized appreciation/depreciation on futures contracts | 155,026 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (9,561,454 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (5,741,433 | ) | ||
|
|
See accompanying notes to the financial statements.
10
AZL MetWest Total Return Bond Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,820,021 | $ | 5,930,220 | ||||||
Net realized gains/(losses) on investment transactions | (5,187,124 | ) | 317,716 | |||||||
Change in unrealized appreciation/depreciation on investments | (4,374,330 | ) | 5,030,449 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (5,741,433 | ) | 11,278,385 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (5,581,130 | ) | |||||||
From net realized gains | — | (978,549 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (6,559,679 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 4,753,628 | 11,196,842 | ||||||||
Proceeds from dividends reinvested | — | 6,559,679 | ||||||||
Value of shares redeemed | (17,513,429 | ) | (15,153,280 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (12,759,801 | ) | 2,603,241 | |||||||
|
|
|
| |||||||
Change in net assets | (18,501,234 | ) | 7,321,947 | |||||||
Net Assets: | ||||||||||
Beginning of period | 366,574,473 | 359,252,526 | ||||||||
|
|
|
| |||||||
End of period | $ | 348,073,239 | $ | 366,574,473 | ||||||
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|
|
| |||||||
Accumulated net investment income/(loss) | $ | 10,673,348 | $ | 6,853,327 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 473,726 | 1,095,692 | ||||||||
Dividends reinvested | — | 642,476 | ||||||||
Shares redeemed | (1,749,754 | ) | (1,479,972 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,276,028 | ) | 258,196 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
11
AZL MetWest Total Return Bond Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | November 17, 2014 to December 31, 2014(a) | |||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.20 | $ | 10.07 | $ | 10.01 | $ | 10.07 | $ | 10.00 | |||||||||||||||
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|
|
|
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| ||||||||||||||||
Investment Activities: | |||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | 0.17 | 0.16 | 0.11 | 0.01 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.28 | ) | 0.15 | 0.07 | (0.13 | ) | 0.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from Investment Activities | (0.16 | ) | 0.32 | 0.23 | (0.02 | ) | 0.07 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends to Shareholders From: | |||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.11 | ) | (0.01 | ) | — | |||||||||||||||||
Net Realized Gains | — | (0.03 | ) | (0.06 | ) | (0.03 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Dividends | — | (0.19 | ) | (0.17 | ) | (0.04 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Period | $ | 10.04 | $ | 10.20 | $ | 10.07 | $ | 10.01 | $ | 10.07 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return(b) | (1.57 | )%(c) | 3.14 | % | 2.30 | % | (0.20 | )% | 0.70 | %(c) | |||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 348,073 | $ | 366,574 | $ | 359,253 | $ | 392,669 | $ | 415,586 | |||||||||||||||
Net Investment Income/(Loss)(d) | 2.17 | % | 1.63 | % | 1.45 | % | 1.02 | % | 0.56 | % | |||||||||||||||
Expenses Before Reductions(d)(e) | 0.91 | % | 0.91 | % | 0.91 | % | 0.89 | % | 0.91 | % | |||||||||||||||
Expenses Net of Reductions(d) | 0.86 | % | 0.86 | % | 0.86 | % | 0.84 | % | 0.86 | % | |||||||||||||||
Portfolio Turnover Rate | 107 | %(c) | 198 | % | 185 | % | 256 | % | 27 | %(c) |
(a) | For the period November 17, 2014 (commencement of operations) to December 31, 2014. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
12
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MetWest Total Return Bond Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
13
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $1 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $210 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $371,000 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2018, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2018, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the period ended June 30, 2018, the monthly average notional amount for long contracts was $6 million and the monthly average notional amount for short contracts was $6 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Futures Contracts
During the period ended June 30, 2018, the Fund did not enter into any futures contracts. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized
14
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for long contracts was $55.3 million and the monthly average notional amount for short contracts was $8.2 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Interest Rate Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts | $ | 161,775 | Payable for variation margin on futures contracts | $ | 46,181 | ||||||
Foreign Exchange Rate Risk | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 109,863 | Unrealized depreciation on forward currency contracts | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Interest Rate Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change net in unrealized appreciation/depreciation on futures contracts | $ | (762,972 | ) | $ | 155,026 | ||||
Foreign Exchange Risk | ||||||||||
Forward Currency Contracts | Net Realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | (578,924 | ) | 18,698 |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2018. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018.
As of June 30, 2018, the Fund’s derivative assets and liabilities by type are as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Futures contracts | $ | 2,849 | $ | 10,359 | ||||||
Forward currency contracts | 109,863 | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 112,712 | 10,359 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (2,849 | ) | (10,359 | ) | ||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | 109,863 | $ | — | ||||||
|
|
|
|
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of June 30, 2018:
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Derivative Assets | ||||||||||||||||||||
Bank of America | $ | 92,312 | $ | — | $ | — | $ | — | $ | 92,312 | |||||||||||||||
Goldman Sachs | 17,551 | — | — | 17,551 | |||||||||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 109,863 | $ | — | $ | — | $ | — | $ | 109,863 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
15
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Metropolitan West Asset Management, LLC (“MetWest”), MetWest provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MetWest Total Return Bond Fund | 0.60 | % | 0.91 | % |
* | The Manager voluntarily reduced the management fee to 0.55% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $1,631 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
16
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 18,757,749 | $ | — | $ | 18,757,749 | ||||||||||||
Collateralized Mortgage Obligations | — | 31,637,434 | — | 31,637,434 | ||||||||||||||||
Corporate Bonds+ | — | 90,275,681 | — | 90,275,681 | ||||||||||||||||
Yankee Dollars+ | — | 11,232,583 | — | 11,232,583 | ||||||||||||||||
Foreign Bonds | — | 4,065,233 | — | 4,065,233 | ||||||||||||||||
Municipal Bonds | — | 5,235,375 | — | 5,235,375 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 102,741,955 | — | 102,741,955 | ||||||||||||||||
U.S. Treasury Obligations | — | 106,053,443 | — | 106,053,443 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 371,000 | 371,000 | ||||||||||||||||
Unaffiliated Investment Company | 33,996,377 | — | — | 33,996,377 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 33,996,377 | 369,999,453 | 371,000 | 404,366,830 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 115,594 | — | — | 115,594 | ||||||||||||||||
Forward Currency Contracts | — | 109,863 | — | 109,863 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 34,111,971 | $ | 370,109,316 | $ | 371,000 | $ | 404,592,287 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures and forward currency contracts. Forward currency contracts are recorded in the financial statements at the unrealized gain or loss on the investment and futures contracts are presented at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
17
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MetWest Total Return Bond Fund | $ | 354,286,921 | $ | 358,541,087 |
For the period ended June 30, 2018, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL MetWest Total Return Bond Fund | $318,455,144 | $ | 326,774,497 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $407,013,787. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 2,599,196 | ||
Unrealized (depreciation) | (5,246,153 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | (2,646,957 | ) | |
|
|
As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL MetWest Total Return Bond Fund | $ | 367,165 | $ | 288,476 | $ | 655,641 |
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MetWest Total Return Bond Fund | $ | 6,146,557 | $ | 413,122 | $ | 6,559,679 |
(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.
18
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 6,944,492 | $ | — | $ | (655,640 | ) | $ | 1,988,093 | $ | 8,276,945 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 80% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
19
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
20
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Mid Cap Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 8 |
Page 8 |
Statements of Changes in Net Assets Page 9 |
Page 10 |
Notes to the Financial Statements Page 11 |
Page 17 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Mid Cap Index Fund
(Unaudited)
As a shareholder of the AZL Mid Cap Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Mid Cap Index Fund, Class 1 | $ | 1,000.00 | $ | 1,037.30 | $ | 1.57 | 0.31 | % | ||||||||||||
AZL Mid Cap Index Fund, Class 2 | $ | 1,000.00 | $ | 1,035.80 | $ | 2.83 | 0.56 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Mid Cap Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.26 | $ | 1.56 | 0.31 | % | ||||||||||||
AZL Mid Cap Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 16.0 | % | |||
Financials | 16.0 | ||||
Industrials | 14.1 | ||||
Consumer Discretionary | 12.5 | ||||
Real Estate | 9.3 | ||||
Health Care | 9.0 | ||||
Materials | 6.8 | ||||
Energy | 5.1 | ||||
Utilities | 4.7 | ||||
Consumer Staples | 3.3 | ||||
Telecommunication Services | 0.1 | ||||
|
| ||||
Total Common Stocks | 96.9 | ||||
Private Placements | 1.2 | ||||
Securities Held as Collateral for Securities on Loan | 27.3 | ||||
Money Market | 1.6 | ||||
|
| ||||
Total Investment Securities | 127.0 | ||||
Net other assets (liabilities) | (27.0 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (96.9%): | ||||||||
Aerospace & Defense (1.0%): | ||||||||
30,062 | Curtiss-Wright Corp. | $ | 3,577,979 | |||||
17,641 | Esterline Technologies Corp.* | 1,301,906 | ||||||
34,479 | KLX, Inc.* | 2,479,040 | ||||||
24,270 | Teledyne Technologies, Inc.* | 4,831,186 | ||||||
|
| |||||||
12,190,111 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
215,182 | JetBlue Airways Corp.* | 4,084,154 | ||||||
|
| |||||||
Auto Components (0.7%): | ||||||||
99,612 | Dana Holding Corp. | 2,011,166 | ||||||
60,469 | Delphi Technologies plc | 2,748,921 | ||||||
185,172 | Gentex Corp. | 4,262,660 | ||||||
|
| |||||||
9,022,747 | ||||||||
|
| |||||||
Automobiles (0.3%): | ||||||||
33,417 | Thor Industries, Inc.^ | 3,254,482 | ||||||
|
| |||||||
Banks (7.8%): | ||||||||
115,065 | Associated Banc-Corp. | 3,141,275 | ||||||
55,645 | BancorpSouth Bank^ | 1,833,503 | ||||||
28,510 | Bank of Hawaii Corp.^ | 2,378,304 | ||||||
82,598 | Bank of the Ozarks, Inc.^ | 3,720,214 | ||||||
52,211 | Cathay General Bancorp | 2,114,023 | ||||||
48,706 | Chemical Financial Corp.^ | 2,711,463 | ||||||
63,318 | Commerce Bancshares, Inc.^ | 4,097,308 | ||||||
39,397 | Cullen/Frost Bankers, Inc.^ | 4,264,330 | ||||||
98,289 | East West Bancorp, Inc. | 6,408,442 | ||||||
218,373 | F.N.B. Corp.^ | 2,930,566 | ||||||
222,334 | First Horizon National Corp.^ | 3,966,439 | ||||||
118,395 | Fulton Financial Corp.^ | 1,953,518 | ||||||
58,215 | Hancock Holding Co. | 2,715,730 | ||||||
106,596 | Home Bancshares, Inc.^ | 2,404,806 | ||||||
36,537 | International Bancshares Corp. | 1,563,784 | ||||||
57,375 | MB Financial, Inc. | 2,679,413 | ||||||
84,814 | PacWest Bancorp | 4,191,508 | ||||||
50,452 | Pinnacle Financial Partners, Inc.^ | 3,095,230 | ||||||
47,581 | Prosperity Bancshares, Inc.^ | 3,252,637 | ||||||
36,488 | Signature Bank* | 4,666,084 | ||||||
153,055 | Sterling Bancorp^ | 3,596,793 | ||||||
80,658 | Synovus Financial Corp. | 4,261,162 | ||||||
115,288 | TCF Financial Corp. | 2,838,391 | ||||||
33,833 | Texas Capital Bancshares, Inc.* | 3,095,720 | ||||||
46,431 | Trustmark Corp.^ | 1,515,044 | ||||||
30,145 | UMB Financial Corp. | 2,297,953 | ||||||
148,683 | Umpqua Holdings Corp. | 3,358,749 | ||||||
71,870 | United Bankshares, Inc.^ | 2,616,068 | ||||||
178,759 | Valley National Bancorp^ | 2,173,709 | ||||||
62,671 | Webster Financial Corp.^ | 3,992,143 | ||||||
38,267 | Wintrust Financial Corp. | 3,331,142 | ||||||
|
| |||||||
97,165,451 | ||||||||
|
| |||||||
Beverages (0.1%): | ||||||||
5,943 | Boston Beer Co., Inc. (The), Class A* | 1,781,117 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology (0.6%): | ||||||||
190,945 | Exelixis, Inc.* | $ | 4,109,137 | |||||
29,581 | United Therapeutics Corp.* | 3,347,090 | ||||||
|
| |||||||
7,456,227 | ||||||||
|
| |||||||
Building Products (0.4%): | ||||||||
25,187 | Lennox International, Inc.^ | 5,041,178 | ||||||
|
| |||||||
Capital Markets (2.9%): | ||||||||
80,995 | Eaton Vance Corp. | 4,227,129 | ||||||
27,816 | Evercore Partners, Inc., Class A | 2,933,197 | ||||||
26,494 | FactSet Research Systems, Inc.^ | 5,248,461 | ||||||
64,036 | Federated Investors, Inc., Class B^ | 1,493,320 | ||||||
48,714 | Interactive Brokers Group, Inc., Class A | 3,137,669 | ||||||
122,826 | Janus Henderson Group plc^ | 3,774,443 | ||||||
58,058 | Legg Mason, Inc. | 2,016,354 | ||||||
25,533 | MarketAxess Holdings, Inc.^ | 5,051,959 | ||||||
89,067 | SEI Investments Co. | 5,568,469 | ||||||
48,456 | Stifel Financial Corp. | 2,531,826 | ||||||
|
| |||||||
35,982,827 | ||||||||
|
| |||||||
Chemicals (2.7%): | ||||||||
42,434 | Ashland Global Holdings, Inc. | 3,317,490 | ||||||
41,676 | Cabot Corp. | 2,574,327 | ||||||
120,873 | Chemours Co. (The) | 5,361,925 | ||||||
23,890 | Minerals Technologies, Inc. | 1,800,112 | ||||||
6,288 | NewMarket Corp.^ | 2,543,496 | ||||||
113,891 | Olin Corp. | 3,270,950 | ||||||
54,563 | PolyOne Corp. | 2,358,213 | ||||||
90,903 | RPM International, Inc.^ | 5,301,463 | ||||||
26,346 | Scotts Miracle-Gro Co. (The)^ | 2,190,933 | ||||||
29,086 | Sensient Technologies Corp.^ | 2,081,103 | ||||||
133,179 | Valvoline, Inc.^ | 2,872,671 | ||||||
|
| |||||||
33,672,683 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.5%): | ||||||||
34,587 | Brink’s Co. (The) | 2,758,313 | ||||||
34,670 | Clean Harbors, Inc.* | 1,925,919 | ||||||
32,315 | Deluxe Corp.^ | 2,139,576 | ||||||
49,690 | Healthcare Services Group, Inc.^ | 2,146,111 | ||||||
40,197 | Herman Miller, Inc. | 1,362,678 | ||||||
29,174 | HNI Corp. | 1,085,273 | ||||||
23,334 | MSA Safety, Inc. | 2,247,998 | ||||||
128,953 | Pitney Bowes, Inc. | 1,105,127 | ||||||
65,478 | Rollins, Inc.^ | 3,442,833 | ||||||
|
| |||||||
18,213,828 | ||||||||
|
| |||||||
Communications Equipment (1.3%): | ||||||||
118,894 | ARRIS International plc* | 2,906,363 | ||||||
97,331 | Ciena Corp.*^ | 2,580,244 | ||||||
23,793 | InterDigital, Inc. | 1,924,854 | ||||||
42,725 | Lumentum Holdings, Inc.*^ | 2,473,778 | ||||||
54,147 | NetScout Systems, Inc.*^ | 1,608,166 | ||||||
22,752 | Plantronics, Inc. | 1,734,840 | ||||||
36,930 | ViaSat, Inc.* | 2,427,040 | ||||||
|
| |||||||
15,655,285 | ||||||||
|
|
Continued
2
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering (1.2%): | ||||||||
108,989 | Aecom Technology Corp.*^ | $ | 3,599,907 | |||||
21,031 | Dycom Industries, Inc.*^ | 1,987,640 | ||||||
39,832 | EMCOR Group, Inc. | 3,034,402 | ||||||
30,881 | Granite Construction, Inc.^ | 1,718,836 | ||||||
94,610 | KBR, Inc. | 1,695,411 | ||||||
15,304 | Valmont Industries, Inc. | 2,307,078 | ||||||
|
| |||||||
14,343,274 | ||||||||
|
| |||||||
Construction Materials (0.3%): | ||||||||
32,788 | Eagle Materials, Inc., Class A | 3,441,756 | ||||||
|
| |||||||
Consumer Finance (0.5%): | ||||||||
180,670 | Navient Corp. | 2,354,130 | ||||||
295,661 | SLM Corp.* | 3,385,319 | ||||||
|
| |||||||
5,739,449 | ||||||||
|
| |||||||
Containers & Packaging (1.1%): | ||||||||
42,324 | AptarGroup, Inc. | 3,952,216 | ||||||
61,364 | Bemis Co., Inc. | 2,590,174 | ||||||
17,679 | Greif, Inc., Class A | 935,042 | ||||||
110,043 | Owens-Illinois, Inc.* | 1,849,823 | ||||||
49,804 | Silgan Holdings, Inc. | 1,336,241 | ||||||
67,785 | Sonoco Products Co. | 3,558,713 | ||||||
|
| |||||||
14,222,209 | ||||||||
|
| |||||||
Distributors (0.3%): | ||||||||
27,494 | Pool Corp.^ | 4,165,341 | ||||||
|
| |||||||
Diversified Consumer Services (0.8%): | ||||||||
40,662 | Adtalem Global Education, Inc.* | 1,955,842 | ||||||
3,008 | Graham Holdings Co., Class B | 1,762,989 | ||||||
124,815 | Service Corp. International^ | 4,467,129 | ||||||
25,080 | Sotheby’s*^ | 1,362,847 | ||||||
|
| |||||||
9,548,807 | ||||||||
|
| |||||||
Electric Utilities (1.2%): | ||||||||
34,794 | ALLETE, Inc. | 2,693,404 | ||||||
73,473 | Hawaiian Electric Industries, Inc. | 2,520,124 | ||||||
33,975 | IDA Corp., Inc. | 3,133,854 | ||||||
135,838 | OGE Energy Corp. | 4,782,855 | ||||||
53,763 | PNM Resources, Inc. | 2,091,381 | ||||||
|
| |||||||
15,221,618 | ||||||||
|
| |||||||
Electrical Equipment (1.1%): | ||||||||
27,816 | Acuity Brands, Inc.^ | 3,223,040 | ||||||
28,711 | EnerSys | 2,142,989 | ||||||
37,255 | Hubbell, Inc. | 3,939,344 | ||||||
110,289 | nVent Electric plc* | 2,768,254 | ||||||
29,883 | Regal-Beloit Corp.^ | 2,444,429 | ||||||
|
| |||||||
14,518,056 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (4.3%): | ||||||||
59,156 | Arrow Electronics, Inc.* | 4,453,264 | ||||||
79,966 | Avnet, Inc.^ | 3,429,742 | ||||||
27,649 | Belden, Inc.^ | 1,689,907 | ||||||
117,829 | Cognex Corp.^ | 5,256,352 | ||||||
16,957 | Coherent, Inc.*^ | 2,652,414 | ||||||
116,545 | Jabil, Inc. | 3,223,635 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
126,965 | Keysight Technologies, Inc.* | $ | 7,494,743 | |||||
16,944 | Littlelfuse, Inc. | 3,866,282 | ||||||
73,409 | National Instruments Corp. | 3,081,710 | ||||||
19,738 | SYNNEX Corp. | 1,904,914 | ||||||
23,836 | Tech Data Corp.* | 1,957,412 | ||||||
169,395 | Trimble Navigation, Ltd.* | 5,562,931 | ||||||
74,425 | VeriFone Systems, Inc.* | 1,698,379 | ||||||
89,045 | Vishay Intertechnology, Inc. | 2,065,844 | ||||||
36,272 | Zebra Technologies Corp., Class A* | 5,195,964 | ||||||
|
| |||||||
53,533,493 | ||||||||
|
| |||||||
Energy Equipment & Services (2.0%): | ||||||||
52,958 | Apergy Corp.* | 2,210,997 | ||||||
29,967 | Core Laboratories NV | 3,782,135 | ||||||
43,734 | Diamond Offshore Drilling, Inc.*^ | 912,291 | ||||||
25,608 | Dril-Quip, Inc.*^ | 1,316,251 | ||||||
299,394 | Ensco plc, Class A, ADR | 2,173,600 | ||||||
123,401 | McDermott International, Inc.*^ | 2,424,830 | ||||||
241,180 | Nabors Industries, Ltd.^ | 1,545,964 | ||||||
66,212 | Oceaneering International, Inc.^ | 1,685,758 | ||||||
149,661 | Patterson-UTI Energy, Inc. | 2,693,897 | ||||||
78,539 | Rowan Cos. plc, Class A*^ | 1,273,903 | ||||||
103,773 | Superior Energy Services, Inc.* | 1,010,749 | ||||||
298,122 | Transocean, Ltd.*^ | 4,006,760 | ||||||
|
| |||||||
25,037,135 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (8.8%): | ||||||||
93,042 | American Campus Communities, Inc. | 3,989,641 | ||||||
63,171 | Camden Property Trust | 5,756,772 | ||||||
79,754 | Corecivic, Inc. | 1,905,323 | ||||||
23,458 | Coresite Realty Corp. | 2,599,616 | ||||||
68,343 | Corporate Office Properties Trust^ | 1,981,264 | ||||||
283,804 | Cousins Properties, Inc.^ | 2,750,061 | ||||||
67,388 | Cyrusone, Inc.^ | 3,932,764 | ||||||
64,031 | DCT Industrial Trust, Inc. | 4,272,789 | ||||||
108,508 | Douglas Emmett, Inc. | 4,359,850 | ||||||
52,049 | Education Realty Trust, Inc. | 2,160,034 | ||||||
44,202 | EPR Properties^ | 2,863,848 | ||||||
85,441 | First Industrial Realty Trust, Inc. | 2,848,603 | ||||||
83,675 | Geo Group, Inc. (The) | 2,304,410 | ||||||
84,316 | Healthcare Realty Trust, Inc. | 2,451,909 | ||||||
70,553 | Highwoods Properties, Inc. | 3,579,154 | ||||||
111,651 | Hospitality Properties Trust | 3,194,335 | ||||||
62,991 | JBG SMITH Properties | 2,297,282 | ||||||
67,326 | Kilroy Realty Corp. | 5,092,538 | ||||||
57,149 | Lamar Advertising Co., Class A^ | 3,903,848 | ||||||
75,064 | LaSalle Hotel Properties | 2,569,441 | ||||||
100,664 | Liberty Property Trust | 4,462,434 | ||||||
31,764 | Life Storage, Inc. | 3,090,955 | ||||||
60,715 | Mack-Cali Realty Corp. | 1,231,300 | ||||||
246,391 | Medical Properties Trust, Inc.^ | 3,459,330 | ||||||
103,812 | National Retail Properties, Inc.^ | 4,563,575 | ||||||
135,140 | Omega Healthcare Investors, Inc.^ | 4,189,340 | ||||||
41,250 | Potlatch Corp. | 2,097,563 |
Continued
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
63,276 | Quality Care Properties* | $ | 1,361,067 | |||||
88,047 | Rayonier, Inc. | 3,406,538 | ||||||
120,238 | Sabra Health Care REIT, Inc. | 2,612,772 | ||||||
161,434 | Senior Housing Properties Trust | 2,920,341 | ||||||
63,689 | Tanger Factory Outlet Centers, Inc.^ | 1,496,055 | ||||||
41,726 | Taubman Centers, Inc. | 2,451,820 | ||||||
112,837 | Uniti Group, Inc.^ | 2,260,125 | ||||||
71,419 | Urban Edge Properties | 1,633,353 | ||||||
80,623 | Weingarten Realty Investors | 2,483,995 | ||||||
|
| |||||||
108,534,045 | ||||||||
|
| |||||||
Food & Staples Retailing (0.5%): | ||||||||
25,699 | Casey’s General Stores, Inc. | 2,700,451 | ||||||
83,458 | Sprouts Farmers Market, Inc.*^ | 1,841,918 | ||||||
33,982 | United Natural Foods, Inc.*^ | 1,449,672 | ||||||
|
| |||||||
5,992,041 | ||||||||
|
| |||||||
Food Products (2.1%): | ||||||||
126,765 | Flowers Foods, Inc.^ | 2,640,515 | ||||||
70,071 | Hain Celestial Group, Inc.* | 2,088,116 | ||||||
49,140 | Ingredion, Inc. | 5,439,798 | ||||||
99,368 | Lamb Weston Holding, Inc. | 6,807,701 | ||||||
13,135 | Lancaster Colony Corp.^ | 1,818,147 | ||||||
45,783 | Post Holdings, Inc.*^ | 3,938,254 | ||||||
13,549 | Sanderson Farms, Inc.^ | 1,424,677 | ||||||
13,249 | Tootsie Roll Industries, Inc.^ | 408,732 | ||||||
38,086 | TreeHouse Foods, Inc.*^ | 1,999,896 | ||||||
|
| |||||||
26,565,836 | ||||||||
|
| |||||||
Gas Utilities (2.2%): | ||||||||
75,278 | Atmos Energy Corp. | 6,785,559 | ||||||
58,572 | National Fuel Gas Co.^ | 3,101,973 | ||||||
59,079 | New Jersey Resources Corp.^ | 2,643,785 | ||||||
35,768 | ONE Gas, Inc. | 2,673,300 | ||||||
32,980 | Southwest Gas Corp.^ | 2,515,385 | ||||||
117,529 | UGI Corp. | 6,119,735 | ||||||
35,057 | WGL Holdings, Inc. | 3,111,309 | ||||||
|
| |||||||
26,951,046 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.8%): | ||||||||
23,964 | Cantel Medical Corp. | 2,357,099 | ||||||
49,767 | Globus Medical, Inc., Class A* | 2,511,243 | ||||||
35,411 | Haemonetics Corp.* | 3,175,658 | ||||||
32,260 | Halyard Health, Inc.* | 1,846,885 | ||||||
45,093 | Hill-Rom Holdings, Inc. | 3,938,423 | ||||||
10,348 | ICU Medical, Inc.* | 3,038,690 | ||||||
47,945 | Integra LifeSciences Holdings Corp.*^ | 3,088,137 | ||||||
29,663 | LivaNova plc* | 2,960,961 | ||||||
32,396 | Masimo Corp.* | 3,163,469 | ||||||
34,559 | NuVasive, Inc.*^ | 1,801,215 | ||||||
57,568 | STERIS plc | 6,045,215 | ||||||
30,948 | Teleflex, Inc. | 8,300,564 | ||||||
49,892 | West Pharmaceutical Services, Inc.^ | 4,953,777 | ||||||
|
| |||||||
47,181,336 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services (2.3%): | ||||||||
56,052 | Acadia Healthcare Co., Inc.*^ | $ | 2,293,087 | |||||
10,793 | Chemed Corp. | 3,473,295 | ||||||
67,137 | Encompass Health Corp. | 4,546,518 | ||||||
26,277 | LifePoint Hospitals, Inc.*^ | 1,282,318 | ||||||
64,219 | MEDNAX, Inc.* | 2,779,398 | ||||||
32,363 | Molina Healthcare, Inc.*^ | 3,169,632 | ||||||
54,986 | Patterson Cos., Inc.^ | 1,246,533 | ||||||
55,531 | Tenet Healthcare Corp.*^ | 1,864,176 | ||||||
30,031 | WellCare Health Plans, Inc.* | 7,394,833 | ||||||
|
| |||||||
28,049,790 | ||||||||
|
| |||||||
Health Care Technology (0.4%): | ||||||||
122,030 | Allscripts Healthcare Solutions, Inc.* | 1,464,360 | ||||||
40,404 | Medidata Solutions, Inc.*^ | 3,254,946 | ||||||
|
| |||||||
4,719,306 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.6%): | ||||||||
56,393 | Boyd Gaming Corp.^ | 1,954,581 | ||||||
29,583 | Brinker International, Inc.^ | 1,408,151 | ||||||
28,729 | Cheesecake Factory, Inc. (The)^ | 1,581,819 | ||||||
7,654 | Churchill Downs, Inc. | 2,269,411 | ||||||
16,417 | Cracker Barrel Old Country Store, Inc.^ | 2,564,500 | ||||||
28,727 | Domino’s Pizza, Inc. | 8,105,897 | ||||||
56,392 | Dunkin’ Brands Group, Inc.^ | 3,894,995 | ||||||
71,208 | Ilg, Inc. | 2,352,000 | ||||||
16,300 | International Speedway Corp., Class A | 728,610 | ||||||
19,472 | Jack in the Box, Inc. | 1,657,457 | ||||||
15,778 | Papa John’s International, Inc. | 800,260 | ||||||
36,438 | Scientific Games Corp., Class A* | 1,790,928 | ||||||
53,059 | Six Flags Entertainment Corp.^ | 3,716,783 | ||||||
44,839 | Texas Roadhouse, Inc.^ | 2,937,403 | ||||||
121,200 | Wendy’s Co. (The)^ | 2,082,216 | ||||||
67,628 | Wyndham Hotels & Resorts, Inc. | 3,978,555 | ||||||
67,628 | Wyndham Worldwide Corp. | 2,993,892 | ||||||
|
| |||||||
44,817,458 | ||||||||
|
| |||||||
Household Durables (1.4%): | ||||||||
18,193 | Helen of Troy, Ltd.* | 1,791,101 | ||||||
56,937 | KB Home | 1,550,964 | ||||||
2,285 | NVR, Inc.* | 6,787,250 | ||||||
31,144 | Tempur Sealy International, Inc.*^ | 1,496,469 | ||||||
96,412 | Toll Brothers, Inc. | 3,566,280 | ||||||
103,995 | TRI Pointe Homes, Inc.*^ | 1,701,358 | ||||||
34,479 | Tupperware Brands Corp.^ | 1,421,914 | ||||||
|
| |||||||
18,315,336 | ||||||||
|
| |||||||
Household Products (0.2%): | ||||||||
40,249 | Energizer Holdings, Inc.^ | 2,534,077 | ||||||
|
| |||||||
Industrial Conglomerates (0.4%): | ||||||||
41,336 | Carlisle Cos., Inc.^ | 4,477,102 | ||||||
|
| |||||||
Insurance (4.3%): | ||||||||
10,379 | Alleghany Corp. | 5,967,614 | ||||||
47,320 | American Financial Group, Inc. | 5,078,856 | ||||||
40,124 | Aspen Insurance Holdings, Ltd. | 1,633,047 |
Continued
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
156,103 | Brown & Brown, Inc. | $ | 4,328,736 | |||||
111,881 | CNO Financial Group, Inc. | 2,130,214 | ||||||
74,677 | First American Financial Corp. | 3,862,294 | ||||||
335,615 | Genworth Financial, Inc., Class A* | 1,510,268 | ||||||
29,008 | Hanover Insurance Group, Inc. (The) | 3,468,196 | ||||||
32,977 | Kemper Corp.^ | 2,494,710 | ||||||
24,630 | Mercury General Corp.^ | 1,122,143 | ||||||
169,050 | Old Republic International Corp. | 3,365,786 | ||||||
29,857 | Primerica, Inc. | 2,973,757 | ||||||
43,834 | Reinsurance Group of America, Inc. | 5,850,962 | ||||||
27,485 | RenaissanceRe Holdings, Ltd. | 3,306,995 | ||||||
65,563 | W.R. Berkley Corp.^ | 4,747,417 | ||||||
|
| |||||||
51,840,995 | ||||||||
|
| |||||||
Internet Software & Services (1.1%): | ||||||||
49,241 | Cars.com, Inc.*^ | 1,397,952 | ||||||
163,736 | Dropbox, Inc.* | 5,187,410 | ||||||
33,125 | j2 Global, Inc.^ | 2,868,956 | ||||||
35,357 | LogMeIn, Inc.^ | 3,650,610 | ||||||
|
| |||||||
13,104,928 | ||||||||
|
| |||||||
IT Services (3.1%): | ||||||||
52,192 | Acxiom Corp.* | 1,563,150 | ||||||
61,804 | Convergys Corp. | 1,510,490 | ||||||
55,622 | CoreLogic, Inc.* | 2,886,782 | ||||||
52,418 | Jack Henry & Associates, Inc.^ | 6,833,211 | ||||||
96,909 | Leidos Holdings, Inc. | 5,717,631 | ||||||
44,575 | Maximus, Inc. | 2,768,553 | ||||||
97,595 | Perspecta, Inc. | 2,005,577 | ||||||
171,864 | Sabre Corp. | 4,234,729 | ||||||
28,844 | Science Applications International Corp. | 2,334,345 | ||||||
82,279 | Teradata Corp.*^ | 3,303,502 | ||||||
27,194 | WEX, Inc.* | 5,179,913 | ||||||
|
| |||||||
38,337,883 | ||||||||
|
| |||||||
Leisure Products (0.7%): | ||||||||
59,055 | Brunswick Corp. | 3,807,866 | ||||||
39,886 | Polaris Industries, Inc.^ | 4,873,272 | ||||||
|
| |||||||
8,681,138 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.3%): | ||||||||
13,760 | Bio-Rad Laboratories, Inc., Class A* | 3,970,310 | ||||||
25,511 | Bio-Techne Corp. | 3,774,352 | ||||||
32,549 | Charles River Laboratories International, Inc.* | 3,653,951 | ||||||
34,388 | PRA Health Sciences, Inc.* | 3,210,464 | ||||||
37,999 | Syneos Health, Inc.*^ | 1,782,153 | ||||||
|
| |||||||
16,391,230 | ||||||||
|
| |||||||
Machinery (4.8%): | ||||||||
45,099 | AGCO Corp. | 2,738,411 | ||||||
34,621 | Crane Co. | 2,774,181 | ||||||
88,390 | Donaldson Co., Inc.^ | 3,988,157 | ||||||
114,296 | Graco, Inc.^ | 5,168,465 | ||||||
52,063 | IDEX Corp. | 7,105,557 | ||||||
59,347 | ITT, Inc. | 3,102,068 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
55,006 | Kennametal, Inc.^ | $ | 1,974,715 | |||||
42,005 | Lincoln Electric Holdings, Inc.^ | 3,686,359 | ||||||
34,721 | Nordson Corp. | 4,458,524 | ||||||
50,336 | OshKosh Corp. | 3,539,628 | ||||||
49,245 | Terex Corp. | 2,077,647 | ||||||
46,225 | Timken Co. | 2,013,099 | ||||||
72,304 | Toro Co. | 4,356,316 | ||||||
101,721 | Trinity Industries, Inc. | 3,484,961 | ||||||
58,207 | Wabtec Corp.^ | 5,738,046 | ||||||
37,659 | Woodward, Inc. | 2,894,471 | ||||||
|
| |||||||
59,100,605 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
36,671 | Kirby Corp.*^ | 3,065,696 | ||||||
|
| |||||||
Media (1.5%): | ||||||||
31,010 | AMC Networks, Inc., Class A*^ | 1,928,822 | ||||||
3,165 | Cable One, Inc.^ | 2,320,863 | ||||||
72,540 | Cinemark Holdings, Inc.^ | 2,544,703 | ||||||
30,689 | John Wiley & Sons, Inc., Class A | 1,914,994 | ||||||
92,341 | Live Nation, Inc.*^ | 4,485,001 | ||||||
26,734 | Meredith Corp.^ | 1,363,434 | ||||||
86,313 | New York Times Co. (The), Class A^ | 2,235,507 | ||||||
145,509 | Tegna, Inc. | 1,578,773 | ||||||
|
| |||||||
18,372,097 | ||||||||
|
| |||||||
Metals & Mining (2.3%): | ||||||||
84,753 | Allegheny Technologies, Inc.*^ | 2,128,995 | ||||||
31,642 | Carpenter Technology Corp.^ | 1,663,420 | ||||||
80,189 | Commercial Metals Co. | 1,692,790 | ||||||
22,781 | Compass Minerals International, Inc.^ | 1,497,851 | ||||||
49,116 | Reliance Steel & Aluminum Co. | 4,299,615 | ||||||
44,549 | Royal Gold, Inc. | 4,135,929 | ||||||
160,235 | Steel Dynamics, Inc. | 7,362,798 | ||||||
120,111 | United States Steel Corp. | 4,173,857 | ||||||
29,493 | Worthington Industries, Inc. | 1,237,821 | ||||||
|
| |||||||
28,193,076 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
28,336 | Big Lots, Inc.^ | 1,183,878 | ||||||
13,471 | Dillard’s, Inc., Class A^ | 1,273,010 | ||||||
33,837 | Ollie’s Bargain Outlet Holdings, Inc.*^ | 2,453,182 | ||||||
|
| |||||||
4,910,070 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
36,749 | Black Hills Corp.^ | 2,249,406 | ||||||
133,102 | MDU Resources Group, Inc. | 3,817,365 | ||||||
34,354 | NorthWestern Corp. | 1,966,767 | ||||||
56,524 | Vectren Corp. | 4,038,640 | ||||||
|
| |||||||
12,072,178 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.1%): | ||||||||
150,940 | Callon Petroleum Co.*^ | 1,621,096 | ||||||
620,894 | Chesapeake Energy Corp.*^ | 3,253,485 | ||||||
133,467 | CNX Resources Corp.* | 2,373,043 | ||||||
66,314 | Energen Corp.* | 4,828,985 |
Continued
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
105,395 | Gulfport Energy Corp.* | $ | 1,324,815 | |||||
69,743 | Matador Resources Co.*^ | 2,095,777 | ||||||
110,762 | Murphy Oil Corp.^ | 3,740,433 | ||||||
181,502 | Oasis Petroleum, Inc.* | 2,354,081 | ||||||
76,227 | PBF Energy, Inc., Class A | 3,196,198 | ||||||
162,470 | QEP Resources, Inc.* | 1,991,882 | ||||||
154,208 | Range Resources Corp. | 2,579,900 | ||||||
69,241 | SM Energy Co.^ | 1,778,801 | ||||||
344,661 | Southwestern Energy Co.*^ | 1,826,703 | ||||||
46,804 | World Fuel Services Corp. | 955,270 | ||||||
271,866 | WPX Energy, Inc.* | 4,901,744 | ||||||
|
| |||||||
38,822,213 | ||||||||
|
| |||||||
Paper & Forest Products (0.4%): | ||||||||
43,046 | Domtar Corp. | 2,055,016 | ||||||
98,947 | Louisiana-Pacific Corp. | 2,693,337 | ||||||
|
| |||||||
4,748,353 | ||||||||
|
| |||||||
Personal Products (0.4%): | ||||||||
36,395 | Edgewell Personal Care Co.*^ | 1,836,492 | ||||||
37,981 | Nu Skin Enterprises, Inc., Class A | 2,969,734 | ||||||
|
| |||||||
4,806,226 | ||||||||
|
| |||||||
Pharmaceuticals (0.6%): | ||||||||
64,182 | Akorn, Inc.* | 1,064,779 | ||||||
90,786 | Catalent, Inc.* | 3,803,025 | ||||||
56,257 | Mallinckrodt plc*^ | 1,049,756 | ||||||
35,618 | Prestige Brands Holdings, Inc.*^ | 1,367,019 | ||||||
|
| |||||||
7,284,579 | ||||||||
|
| |||||||
Professional Services (0.6%): | ||||||||
25,225 | Dun & Bradstreet Corp. | 3,093,846 | ||||||
44,618 | Manpower, Inc. | 3,839,825 | ||||||
|
| |||||||
6,933,671 | ||||||||
|
| |||||||
Real Estate Management & Development (0.5%): | ||||||||
45,614 | Alexander & Baldwin, Inc. | 1,071,929 | ||||||
30,918 | Jones Lang LaSalle, Inc. | 5,132,079 | ||||||
|
| |||||||
6,204,008 | ||||||||
|
| |||||||
Road & Rail (1.8%): | ||||||||
48,910 | Avis Budget Group, Inc.* | $ | 1,589,575 | |||||
40,878 | Genesee & Wyoming, Inc., Class A* | 3,324,199 | ||||||
87,435 | Knight-Swift Transportation Holdings, Inc.^ | 3,340,891 | ||||||
28,340 | Landstar System, Inc. | 3,094,728 | ||||||
46,343 | Old Dominion Freight Line, Inc. | 6,903,253 | ||||||
36,253 | Ryder System, Inc. | 2,605,141 | ||||||
30,025 | Werner Enterprises, Inc.^ | 1,127,439 | ||||||
|
| |||||||
21,985,226 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.6%): | ||||||||
41,731 | Cirrus Logic, Inc.*^ | 1,599,549 | ||||||
68,263 | Cree, Inc.*^ | 2,837,693 | ||||||
243,644 | Cypress Semiconductor Corp. | 3,795,974 | ||||||
55,643 | First Solar, Inc.*^ | 2,930,160 | ||||||
87,888 | Integrated Device Technology, Inc.*^ | 2,801,869 | ||||||
37,135 | MKS Instruments, Inc. | 3,553,820 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
26,405 | Monolithic Power Systems, Inc.^ | $ | 3,529,556 | |||||
29,362 | Silicon Laboratories, Inc.* | 2,924,455 | ||||||
23,597 | Synaptics, Inc.*^ | 1,188,581 | ||||||
130,010 | Teradyne, Inc.^ | 4,949,481 | ||||||
73,485 | Versum Materials, Inc. | 2,729,968 | ||||||
|
| |||||||
32,841,106 | ||||||||
|
| |||||||
Software (3.4%): | ||||||||
79,598 | ACI Worldwide, Inc.*^ | 1,963,683 | ||||||
32,933 | Blackbaud, Inc.^ | 3,373,986 | ||||||
84,028 | CDK Global, Inc. | 5,466,021 | ||||||
28,736 | CommVault Systems, Inc.* | 1,892,266 | ||||||
20,286 | Fair Isaac Corp.* | 3,921,690 | ||||||
98,117 | Fortinet, Inc.* | 6,125,444 | ||||||
45,836 | Manhattan Associates, Inc.*^ | 2,154,750 | ||||||
78,429 | PTC, Inc.* | 7,357,425 | ||||||
24,144 | Tyler Technologies, Inc.* | 5,362,382 | ||||||
19,739 | Ultimate Software Group, Inc. (The)*^ | 5,079,042 | ||||||
|
| |||||||
42,696,689 | ||||||||
|
| |||||||
Specialty Retail (2.1%): | ||||||||
42,440 | Aaron’s, Inc.^ | 1,844,018 | ||||||
113,617 | American Eagle Outfitters, Inc.^ | 2,641,595 | ||||||
40,248 | AutoNation, Inc.*^ | 1,955,248 | ||||||
96,031 | Bed Bath & Beyond, Inc.^ | 1,913,418 | ||||||
52,913 | Dick’s Sporting Goods, Inc.^ | 1,865,183 | ||||||
37,720 | Five Below, Inc.*^ | 3,685,621 | ||||||
74,582 | Michaels Cos., Inc. (The)*^ | 1,429,737 | ||||||
21,237 | Murphy U.S.A., Inc.*^ | 1,577,697 | ||||||
84,409 | Sally Beauty Holdings, Inc.*^ | 1,353,076 | ||||||
40,085 | Signet Jewelers, Ltd.^ | 2,234,739 | ||||||
54,787 | Urban Outfitters, Inc.* | 2,440,761 | ||||||
52,223 | Williams-Sonoma, Inc.^ | 3,205,448 | ||||||
|
| |||||||
26,146,541 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.2%): | ||||||||
79,838 | NCR Corp.*^ | 2,393,543 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.7%): | ||||||||
31,919 | Carter’s, Inc. | 3,459,700 | ||||||
20,671 | Deckers Outdoor Corp.* | 2,333,549 | ||||||
92,769 | Skechers U.S.A., Inc., Class A* | 2,783,998 | ||||||
|
| |||||||
8,577,247 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.5%): | ||||||||
5,345 | LendingTree, Inc.*^ | $ | 1,142,761 | |||||
333,880 | New York Community Bancorp, Inc.^ | 3,686,036 | ||||||
58,262 | Washington Federal, Inc. | 1,905,167 | ||||||
|
| |||||||
6,733,964 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.8%): | ||||||||
25,622 | GATX Corp.^ | 1,901,921 | ||||||
31,138 | MSC Industrial Direct Co., Inc., Class A | 2,642,059 | ||||||
72,613 | NOW, Inc.*^ | 967,931 | ||||||
21,774 | Watsco, Inc.^ | 3,881,869 | ||||||
|
| |||||||
9,393,780 | ||||||||
|
|
Continued
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, | Fair Value | |||||||
Common Stocks, continued | ||||||||
Water Utilities (0.3%): | ||||||||
121,030 | Aqua America, Inc.^ | $ | 4,257,835 | |||||
|
| |||||||
Wireless Telecommunication Services (0.1%): | ||||||||
63,737 | Telephone & Data Systems, Inc. | 1,747,669 | ||||||
|
| |||||||
Total Common Stocks (Cost $954,052,631) | 1,201,071,147 | |||||||
|
| |||||||
Private Placements (1.2%): | ||||||||
Internet & Direct Marketing Retail (0.9%): | ||||||||
76,914 | Airbnb, Inc., Series D, 0.00%(a)(b) | 11,715,541 | ||||||
|
| |||||||
Internet Software & Services (0.1%): | ||||||||
116,948 | SurveyMonkey, 0.00%*(a)(b) | 939,092 | ||||||
|
| |||||||
Software (0.2%): | ||||||||
229,712 | Palantir Technologies, Inc., Series G, 0.00%*(a)(b) | 1,327,736 | ||||||
67,672 | Palantir Technologies, Inc., Series H, 0.00%(a)(b) | 391,144 | ||||||
67,672 | Palantir Technologies, Inc., Series H1, 0.00%(a)(b) | 391,144 | ||||||
|
| |||||||
2,110,024 | ||||||||
|
| |||||||
Total Private Placements (Cost $6,233,173) | 14,764,657 | |||||||
|
|
Contracts, Shares, | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (27.3%): | ||||||||
$ | 338,154,566 | AZL Mid Cap Index Fund Securities Lending Collateral Account(c) | $ | 338,154,566 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 338,154,566 | ||||||
|
| |||||||
Unaffiliated Investment Company (1.6%): | ||||||||
19,733,018 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(d) | 19,733,018 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $19,733,018) | 19,733,018 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,318,173,388) — 127.0%(e) | 1,573,723,388 | |||||||
Net other assets (liabilities) — (27.0)% | (334,098,464 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,239,624,924 | ||||||
|
| |||||||
Percentages indicated are based on net assets as of June 30, 2018. |
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $330,216,683. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 1.19% of the net assets of the fund. |
(b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 1.19% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(d) | The rate represents the effective yield at June 30, 2018. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $834,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P MidCap 400 E-Mini September Futures (U.S Dollar) | 9/21/18 | 127 | $ | 24,842,470 | $ | (458,468 | ) | |||||||||
|
| |||||||||||||||
$ | (458,468 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 1,318,173,388 | |||
|
| ||||
Investment securities, at value* | $ | 1,573,723,388 | |||
Segregated cash for collateral | 834,000 | ||||
Interest and dividends receivable | 1,260,438 | ||||
Receivable for investments sold | 7,744,784 | ||||
Receivable for variation margin on futures contracts | 22,000 | ||||
Reclaims receivable | 8,248 | ||||
Prepaid expenses | 7,212 | ||||
|
| ||||
Total Assets | 1,583,600,070 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 4,109,972 | ||||
Payable for capital shares redeemed | 713,780 | ||||
Payable for collateral received on loaned securities | 338,154,566 | ||||
Payable for variation margin on futures contracts | 4,405 | ||||
Manager fees payable | 260,602 | ||||
Administration fees payable | 29,325 | ||||
Distribution fees payable | 249,105 | ||||
Custodian fees payable | 13,433 | ||||
Administrative and compliance services fees payable | 7,507 | ||||
Transfer agent fees payable | 4,121 | ||||
Trustee fees payable | 33,074 | ||||
Other accrued liabilities | 395,256 | ||||
|
| ||||
Total Liabilities | 343,975,146 | ||||
|
| ||||
Net Assets | $ | 1,239,624,924 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 814,362,855 | |||
Accumulated net investment income/(loss) | 19,659,307 | ||||
Accumulated net realized gains/(losses) from investment transactions | 150,510,905 | ||||
Net unrealized appreciation/(depreciation) on investments | 255,091,857 | ||||
|
| ||||
Net Assets | $ | 1,239,624,924 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 54,903,140 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,703,914 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.67 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 1,184,721,784 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 48,762,524 | ||||
Net Asset Value (offering and redemption price per share) | $ | 24.30 | |||
|
|
* | Includes securities on loan of $330,216,683. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 9,974,665 | |||
Interest | 1,933 | ||||
Income from securities lending | 514,406 | ||||
Foreign withholding tax | (5,009 | ) | |||
|
| ||||
Total Investment Income | 10,485,995 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,560,148 | ||||
Administration fees | 161,669 | ||||
Distribution fees — Class 2 | 1,491,793 | ||||
Custodian fees | 17,505 | ||||
Administrative and compliance services fees | 9,092 | ||||
Transfer agent fees | 5,495 | ||||
Trustee fees | 29,743 | ||||
Professional fees | 30,455 | ||||
Shareholder reports | 15,907 | ||||
Other expenses | 131,563 | ||||
|
| ||||
Total expenses | 3,453,370 | ||||
|
| ||||
Net Investment Income/(Loss) | 7,032,625 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 57,730,089 | ||||
Net realized gains/(losses) on futures contracts | 427,373 | ||||
Change in net unrealized appreciation/depreciation on investments | (20,388,936 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (412,765 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 37,355,761 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 44,388,386 | |||
|
|
See accompanying notes to the financial statements.
8
AZL Mid Cap Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 7,032,625 | $ | 12,543,746 | ||||||
Net realized gains/(losses) on investment transactions | 58,157,462 | 99,059,290 | ||||||||
Change in unrealized appreciation/depreciation on investments | (20,801,701 | ) | 69,166,076 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 44,388,386 | 180,769,112 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (548,121 | ) | |||||||
Class 2 | — | (5,176,959 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (5,404,193 | ) | |||||||
Class 2 | — | (56,722,231 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (67,851,504 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 417 | 141,112 | ||||||||
Proceeds from dividends reinvested | — | 5,952,314 | ||||||||
Value of shares redeemed | (2,902,300 | ) | (6,813,790 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (2,901,883 | ) | (720,364 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 31,785,612 | 74,869,811 | ||||||||
Proceeds from dividends reinvested | — | 61,899,190 | ||||||||
Value of shares redeemed | (98,345,590 | ) | (261,118,646 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (66,559,978 | ) | (124,349,645 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (69,461,861 | ) | (125,070,009 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (25,073,475 | ) | (12,152,401 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 1,264,698,399 | 1,276,850,800 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,239,624,924 | $ | 1,264,698,399 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 19,659,307 | $ | 12,626,682 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 36 | 12,884 | ||||||||
Dividends reinvested | — | 568,511 | ||||||||
Shares redeemed | (252,814 | ) | (605,288 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (252,778 | ) | (23,893 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 1,325,132 | 3,334,698 | ||||||||
Dividends reinvested | — | 2,835,510 | ||||||||
Shares redeemed | (4,122,457 | ) | (11,596,024 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (2,797,325 | ) | (5,425,816 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,050,103 | ) | (5,449,709 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
9
AZL Mid Cap Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.25 | $ | 10.90 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.14 | 0.25 | 0.12 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.28 | 1.41 | 0.78 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total from Investment Activities | 0.42 | 1.66 | 0.90 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.12 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | (1.19 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Dividends | — | (1.31 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 11.67 | $ | 11.25 | $ | 10.90 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return(a) | 3.73 | %(b) | 16.08 | % | 9.00 | %(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 54,903 | $ | 55,764 | $ | 54,300 | ||||||||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.36 | % | 1.27 | % | 1.26 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.31 | % | 0.31 | % | 0.31 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.31 | % | 0.31 | % | 0.31 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 8 | % | 21 | % | 86 | %(f) | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 23.45 | $ | 21.45 | $ | 21.10 | $ | 23.49 | $ | 22.43 | $ | 17.27 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.14 | 0.24 | 0.13 | 0.30 | 0.19 | 0.14 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.71 | 3.06 | 3.67 | (0.91 | ) | 1.85 | 5.47 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.85 | 3.30 | 3.80 | (0.61 | ) | 2.04 | 5.61 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.11 | ) | (0.24 | ) | (0.27 | ) | (0.16 | ) | (0.14 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.19 | ) | (3.21 | ) | (1.51 | ) | (0.82 | ) | (0.31 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.30 | ) | (3.45 | ) | (1.78 | ) | (0.98 | ) | (0.45 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 24.30 | $ | 23.45 | $ | 21.45 | $ | 21.10 | $ | 23.49 | $ | 22.43 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 3.58 | %(b) | 15.80 | % | 19.52 | % | (2.67 | )% | 9.21 | % | 32.71 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,184,722 | $ | 1,208,935 | $ | 1,222,550 | $ | 406,092 | $ | 554,440 | $ | 492,994 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.12 | % | 1.02 | % | 1.14 | % | 0.95 | % | 0.88 | % | 0.86 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.56 | % | 0.56 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.58 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.56 | % | 0.56 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.58 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 8 | % | 21 | % | 86 | %(f) | 26 | % | 13 | % | 12 | % |
* | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 86%. |
See accompanying notes to the financial statements.
10
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Mid Cap Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
11
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $293 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $50,845 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $338,154,566 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $23.8 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 458,468 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | 427,373 | $ | (412,765 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Mid Cap Index Fund Class 1 | 0.25 | % | 0.46 | % | ||||||
AZL Mid Cap Index Fund Class 2 | 0.25 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $5,703 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
13
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Common Stocks+ | $ | 1,195,883,737 | $ | 5,187,410 | $ | — | $ | — | $ | 1,201,071,147 | |||||||||||||||
Private Placements | — | — | 14,764,657 | — | 14,764,657 | ||||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 338,154,566 | 338,154,566 | ||||||||||||||||||||
Unaffiliated Investment Company | 19,733,018 | — | — | — | 19,733,018 | ||||||||||||||||||||
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Total Investment Securities | 1,215,616,755 | 5,187,410 | 14,764,657 | 338,154,566 | 1,573,723,388 | ||||||||||||||||||||
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Other Financial Instruments:* | |||||||||||||||||||||||||
Futures Contracts | (458,468 | ) | — | — | — | (458,468 | ) | ||||||||||||||||||
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Total Investments | $ | 1,215,158,287 | $ | 5,187,410 | $ | 14,764,657 | $ | 338,154,566 | $ | 1,573,264,920 | |||||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Mid Cap Index Fund | $ | 100,044,748 | $ | 161,789,788 |
14
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2018 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Airbnb, Inc., Series D | 4/16/14 | $ | 3,131,402 | $ | 76,914 | $ | 11,715,541 | 0.95 | % | ||||||||||||||||
Palantir Technologies, Inc., Series H1 | 10/25/13 | 237,529 | 67,672 | 391,144 | 0.03 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series H | 10/25/13 | 237,529 | 67,672 | 391,144 | 0.03 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series G | 7/19/12 | 702,919 | 229,712 | 1,327,736 | 0.11 | % | |||||||||||||||||||
SurveyMonkey | 11/25/14 | 1,923,795 | 116,948 | 939,092 | 0.08 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $1,323,128,568. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 285,713,102 | ||
Unrealized (depreciation) | (35,118,282 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 250,594,820 | ||
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As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Mid Cap Index Fund | $ | 5,725,080 | $ | 62,126,424 | $ | 67,851,504 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Mid Cap Index Fund | $ | 34,345,973 | $ | 77,554,982 | $ | — | $ | 268,972,728 | $ | 380,873,683 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
15
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.
10. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
16
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
17
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Moderate Index Strategy Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 3 |
Page 3 |
Statements of Changes in Net Assets Page 4 |
Page 5 |
Notes to the Financial Statements Page 6 |
Page 10 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Moderate Index Strategy Fund
(Unaudited)
As a shareholder of the AZL Moderate Index Strategy Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 1,000.00 | $ | 1,003.80 | $ | 0.35 | 0.07 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 1,000.00 | $ | 1,024.43 | $ | 0.35 | 0.07 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Affiliated Investment Companies | 100.1 | % | |||
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Total Investment Securities | 100.1 | ||||
Net other assets (liabilities) | (0.1 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL Moderate Index Strategy Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Affiliated Investment Companies (100.1%): | ||||||||
25,916,449 | AZL Enhanced Bond Index Fund | $ | 277,046,839 | |||||
6,000,309 | AZL International Index Fund, Class 2 | 100,925,195 | ||||||
2,544,955 | AZL Mid Cap Index Fund, Class 2 | 61,842,406 | ||||||
1,909,131 | AZL Small Cap Stock Index Fund, Class 2 | 31,004,282 | ||||||
13,078,427 | AZL S&P 500 Index Fund, Class 2 | 215,924,829 | ||||||
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Total Affiliated Investment Companies (Cost $615,629,483) | 686,743,551 | |||||||
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Total Investment Securities (Cost $615,629,483) — 100.1%(a) | 686,743,551 | |||||||
Net other assets (liabilities) — (0.1)% | (369,035 | ) | ||||||
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Net Assets — 100.0% | $ | 686,374,516 | ||||||
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Percentages indicated are based on net assets as of June 30, 2018.
(a) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
2
AZL Moderate Index Strategy Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investments in affiliates, at cost | $ | 615,629,483 | |||
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Investments in affiliates, at value | $ | 686,743,551 | |||
Foreign currency, at value (cost $23,352) | 23,352 | ||||
Receivable for investments sold | 369,085 | ||||
Reclaims receivable | 162,802 | ||||
Prepaid expenses | 4,301 | ||||
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Total Assets | 687,303,091 | ||||
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Liabilities: | |||||
Cash overdraft | 392,437 | ||||
Payable for capital shares redeemed | 474,070 | ||||
Manager fees payable | 28,609 | ||||
Administration fees payable | 156 | ||||
Custodian fees payable | 987 | ||||
Administrative and compliance services fees payable | 1,011 | ||||
Transfer agent fees payable | 590 | ||||
Trustee fees payable | 4,621 | ||||
Other accrued liabilities | 26,094 | ||||
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Total Liabilities | 928,575 | ||||
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Net Assets | $ | 686,374,516 | |||
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Net Assets Consist of: | |||||
Capital | $ | 574,016,781 | |||
Accumulated net investment income/(loss) | 6,314,848 | ||||
Accumulated net realized gains/(losses) from investment transactions | 34,926,879 | ||||
Net unrealized appreciation/(depreciation) on investments | 71,116,008 | ||||
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Net Assets | $ | 686,374,516 | |||
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Shares of beneficial interest (unlimited number of shares authorized, no par value) | 51,414,019 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.35 | |||
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For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 34 | |||
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Total Investment Income | 34 | ||||
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Expenses: | |||||
Manager fees | 1,417,624 | ||||
Administration fees | 26,668 | ||||
Custodian fees | 3,856 | ||||
Administrative and compliance services fees | 4,679 | ||||
Transfer agent fees | 2,564 | ||||
Trustee fees | 15,307 | ||||
Professional fees | 15,434 | ||||
Shareholder reports | 7,123 | ||||
Other expenses | 6,312 | ||||
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Total expenses before reductions | 1,499,567 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (1,240,416 | ) | |||
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Net expenses | 259,151 | ||||
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Net Investment Income/(Loss) | (259,117 | ) | |||
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Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 940 | ||||
Net realized gains/(losses) on affiliated transactions | 8,863,748 | ||||
Change in net unrealized appreciation/depreciation on investments | (3,122 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (6,150,411 | ) | |||
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Net Realized/Unrealized Gains/(Losses) on Investments | 2,711,155 | ||||
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Change in Net Assets Resulting From Operations | $ | 2,452,038 | |||
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See accompanying notes to the financial statements.
3
AZL Moderate Index Strategy Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (259,117 | ) | $ | 5,606,970 | |||||
Net realized gains/(losses) on investment transactions | 8,864,688 | 27,056,194 | ||||||||
Change in unrealized appreciation/depreciation on investments | (6,153,533 | ) | 58,697,181 | |||||||
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Change in net assets resulting from operations | 2,452,038 | 91,360,345 | ||||||||
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Distributions to Shareholders: | ||||||||||
From net investment income | — | (15,250,038 | ) | |||||||
From net realized gains | — | (164,931,095 | ) | |||||||
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Change in net assets resulting from distributions to shareholders | — | (180,181,133 | ) | |||||||
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Capital Transactions: | ||||||||||
Proceeds from shares issued | 2,483,365 | 26,825,246 | ||||||||
Proceeds from dividends reinvested | — | 180,181,133 | ||||||||
Value of shares redeemed | (59,520,161 | ) | (98,159,965 | ) | ||||||
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Change in net assets resulting from capital transactions | (57,036,796 | ) | 108,846,414 | |||||||
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Change in net assets | (54,584,758 | ) | 20,025,626 | |||||||
Net Assets: | ||||||||||
Beginning of period | 740,959,274 | 720,933,648 | ||||||||
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End of period | $ | 686,374,516 | $ | 740,959,274 | ||||||
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Accumulated net investment income/(loss) | $ | 6,314,848 | $ | 6,573,965 | ||||||
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Share Transactions: | ||||||||||
Shares issued | 184,872 | 1,705,435 | ||||||||
Dividends reinvested | — | 14,076,651 | ||||||||
Shares redeemed | (4,462,676 | ) | (6,481,019 | ) | ||||||
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Change in shares | (4,277,804 | ) | 9,301,067 | |||||||
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See accompanying notes to the financial statements.
4
AZL Moderate Index Strategy Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.30 | $ | 15.54 | $ | 15.03 | $ | 16.50 | $ | 15.73 | $ | 12.73 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | — | (a) | 0.12 | 0.32 | 0.19 | 0.23 | 0.11 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.05 | 1.78 | 1.00 | (0.61 | ) | 1.10 | 3.02 | |||||||||||||||||||||||
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Total from Investment Activities | 0.05 | 1.90 | 1.32 | (0.42 | ) | 1.33 | 3.13 | |||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.35 | ) | (0.30 | ) | (0.36 | ) | (0.13 | ) | (0.13 | ) | |||||||||||||||||||
Net Realized Gains | — | (3.79 | ) | (0.51 | ) | (0.69 | ) | (0.43 | ) | — | ||||||||||||||||||||
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Total Dividends | — | (4.14 | ) | (0.81 | ) | (1.05 | ) | (0.56 | ) | (0.13 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 13.35 | $ | 13.30 | $ | 15.54 | $ | 15.03 | $ | 16.50 | $ | 15.73 | ||||||||||||||||||
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Total Return(b) | 0.38 | %(c) | 13.30 | % | 8.91 | % | (2.47 | )% | 8.50 | % | 24.67 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 686,375 | $ | 740,959 | $ | 720,934 | $ | 1,282,506 | $ | 1,317,095 | $ | 1,072,014 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | (0.07 | )% | 0.77 | % | 1.25 | % | 1.22 | % | 1.57 | % | 1.20 | % | ||||||||||||||||||
Expenses Before Reductions*(d)(e) | 0.42 | % | 0.43 | % | 0.96 | % | 1.05 | % | 1.05 | % | 1.06 | % | ||||||||||||||||||
Expenses Net of Reductions*(d) | 0.07 | % | 0.08 | % | 0.83 | % | 0.96 | % | 0.96 | % | 0.97 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d) | 0.07 | % | 0.08 | % | 0.83 | % | 0.96 | % | 0.96 | %(f) | 0.97 | %(f) | ||||||||||||||||||
Portfolio Turnover Rate | — | (c)(g) | 7 | %(h) | 190 | % | 117 | % | 119 | % | 52 | % |
* | The expense ratios exclude the impact of fees/expenses paid by each underlying fund. |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remitted a portion of the brokerage commission which were used to pay certain Fund expenses. The Fund ceased participation in the program in June 2014. |
(g) | Represents less than 0.5%. |
(h) | The Fund’s purchases and sales of securities and, accordingly, portfolio turnover ratio decreased during 2017 as a result of a change in the Fund’s investment strategy which became effective October 14, 2016. |
See accompanying notes to the financial statements.
5
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Moderate Index Strategy Fund (the “Fund”), and 22 are presented in separate reports. The Fund is a “fund of funds,” which means that the Fund invests primarily in other mutual funds. Underlying Funds invest in stock, bonds, and other securities and reflect varying amounts of potential investment risk and reward. The Underlying Funds record their investments at fair value. Periodically, the Fund will adjust its asset allocation as it seeks to achieve its investment objective.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
6
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019. Expenses incurred for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.”
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Moderate Index Strategy Fund | 0.40 | % | 0.20 | % |
* | The Manager voluntarily reduced the management fee to 0.05% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
The Manager or an affiliate of the Manager serves as the investment adviser of certain underlying funds in which the Fund invests. At June 30, 2018, these underlying funds are noted as Affiliated Investment Companies in the Fund’s Schedule of Portfolio Investments. Additional information, including financial statements, about these Funds is available at www.allianzlife.com. The Manager or an affiliate of the Manager is paid a separate fee from the underlying funds for such services. A summary of the Fund’s investments in affiliated investment companies for the period ended June 30, 2018 is as follows:
Fair Value 12/31/2017 | Purchases at Cost | Proceeds from Sales | Net Realized | Net Change in Unrealized Appreciation/ Depreciation | Fair Value 6/30/2018 | Shares as of 6/30/2018 | |||||||||||||||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 294,359,436 | $ | 1,548,915 | $ | (13,447,893 | ) | $ | (286,531 | ) | $ | (5,127,088 | ) | $ | 277,046,839 | 25,916,449 | |||||||||||||||||||
AZL International Index Fund, Class 2 | 112,242,570 | — | (8,565,750 | ) | 1,733,060 | (4,484,685 | ) | 100,925,195 | 6,000,309 | ||||||||||||||||||||||||||
AZL Mid Cap Index Fund, Class 2 | 67,236,926 | — | (7,669,855 | ) | 1,434,082 | 841,253 | 61,842,406 | 2,544,955 | |||||||||||||||||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | 33,932,605 | — | (5,804,465 | ) | 1,270,168 | 1,605,974 | 31,004,282 | 1,909,131 | |||||||||||||||||||||||||||
AZL S&P 500 Index Fund, Class 2 | 233,580,884 | — | (23,383,159 | ) | 4,712,969 | 1,014,135 | 215,924,829 | 13,078,427 | |||||||||||||||||||||||||||
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$ | 741,352,421 | $ | 1,548,915 | $ | (58,871,122 | ) | $ | 8,863,748 | $ | (6,150,411 | ) | $ | 686,743,551 | 49,449,271 | |||||||||||||||||||||
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Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $7,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $3,275 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance
7
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Investments in other investment companies are valued at their published net asset value (“NAV”). Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). The investments utilizing Level 1 valuations represent investments in open-end investment companies. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Total | ||||||||
Affiliated Investment Companies | $ | 686,743,551 | $ | 686,743,551 | ||||||
|
|
|
| |||||||
Total Investments | $ | 686,743,551 | $ | 686,743,551 | ||||||
|
|
|
|
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Moderate Index Strategy Fund | $ | 1,548,915 | $ | 58,871,122 |
6. Investment Risks
Fund of Funds Risk: The Fund, as a shareholder of the underlying funds, indirectly bears its proportionate share of any investment management fees and other expenses of the underlying funds. Further due to the fees and expenses paid by the Fund, as well as small variations in the Fund’s actual allocations to the underlying funds and any futures and cash held in the Fund’s portfolio, the performance and income distributions of the Fund will not be the same as the performance and income distributions of the underlying funds.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $615,745,576. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 76,600,126 | ||
Unrealized (depreciation) | (5,602,151 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 70,997,975 | ||
|
|
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Moderate Index Strategy Fund | $ | 30,788,638 | $ | 149,392,495 | $ | 180,181,133 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
8
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Earnings/ (Deficit) | |||||||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 14,285,211 | $ | 18,424,005 | $ | — | $ | 77,196,481 | $ | 109,905,697 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 95% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
9
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
10
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Morgan Stanley Global Real Estate Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Morgan Stanley Global Real Estate Fund
(Unaudited)
As a shareholder of the AZL Morgan Stanley Global Real Estate Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 1 | $ | 1,000.00 | $ | 1,002.10 | $ | 4.87 | 0.98 | % | ||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 2 | $ | 1,000.00 | $ | 1,000.00 | $ | 6.10 | 1.23 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 1 | $ | 1,000.00 | $ | 1,019.94 | $ | 4.91 | 0.98 | % | ||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 2 | $ | 1,000.00 | $ | 1,018.70 | $ | 6.16 | 1.23 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
United States | 55.2 | % | |||
Hong Kong | 11.0 | ||||
Japan | 8.3 | ||||
United Kingdom | 5.6 | ||||
France | 4.8 | ||||
Australia | 3.7 | ||||
Germany | 2.5 | ||||
Bermuda | 1.8 | ||||
Canada | 1.6 | ||||
Singapore | 1.0 | ||||
All other countries | 3.2 | ||||
|
| ||||
Total Common Stocks | 98.7 | ||||
Securities Held as Collateral for Securities on Loan | 3.8 | ||||
Money Market | 0.7 | ||||
|
| ||||
Total Investment Securities | 103.2 | ||||
Net other assets (liabilities) | (3.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.7%): | ||||||||
Diversified Real Estate Activities (7.6%): | ||||||||
100 | City Developments, Ltd. | $ | 804 | |||||
57,883 | Henderson Land Development Co., Ltd. | 304,663 | ||||||
121,111 | Mitsubishi Estate Co., Ltd. | 2,115,876 | ||||||
90,698 | Mitsui Fudosan Co., Ltd. | 2,186,545 | ||||||
481,801 | New World Development Co., Ltd. | 673,326 | ||||||
19,331 | Sumitomo Realty & Development Co., Ltd. | 711,665 | ||||||
188,971 | Sun Hung Kai Properties, Ltd. | 2,835,321 | ||||||
23,615 | UOL Group, Ltd. | 131,740 | ||||||
218,399 | Wharf Holdings, Ltd. (The) | 699,570 | ||||||
|
| |||||||
9,659,510 | ||||||||
|
| |||||||
Diversified REITs (6.4%): | ||||||||
68 | Activia Properties, Inc. | 311,833 | ||||||
2,441 | Fonciere des Regions SA | 253,833 | ||||||
16,391 | Forest City Realty Trust, Inc., Class A | 373,879 | ||||||
5,633 | Gecina SA | 941,818 | ||||||
118,779 | GPT Group | 446,253 | ||||||
11,299 | H&R Real Estate Investment Trust | 172,945 | ||||||
95,681 | Hibernia REIT plc | 167,593 | ||||||
6,593 | Hispania Activos Inmobiliarios SA | 140,376 | ||||||
28 | Hulic REIT, Inc. | 43,391 | ||||||
4,270 | ICADE | 400,254 | ||||||
11 | Kenedix Office Investment Corp. | 68,406 | ||||||
148,448 | Land Securities Group plc | 1,868,376 | ||||||
4,585 | Liberty Property Trust | 203,253 | ||||||
55,718 | Merlin Properties Socimi SA | 809,267 | ||||||
244,401 | Mirvac Group | 393,477 | ||||||
399 | Nomura Real Estate Master Fund, Inc. | 563,563 | ||||||
126,405 | Stockland Trust Group | 372,472 | ||||||
85,764 | Suntec REIT | 109,091 | ||||||
235 | United Urban Investment Corp. | 365,228 | ||||||
|
| |||||||
8,005,308 | ||||||||
|
| |||||||
Environmental & Facilities Services (0.1%): | ||||||||
28,250 | A-Living Services Co., Ltd., Class H* | 51,711 | ||||||
10,000 | Country Garden Services Holdings Co., Ltd.*^ | 12,823 | ||||||
|
| |||||||
64,534 | ||||||||
|
| |||||||
Health Care Facilities (0.1%): | ||||||||
15,981 | Extendicare, Inc. | 88,142 | ||||||
|
| |||||||
Health Care REITs (4.2%): | ||||||||
67,668 | HCP, Inc. | 1,747,188 | ||||||
50,458 | Healthcare Realty Trust, Inc. | 1,467,319 | ||||||
20,174 | Healthcare Trust of America, Inc., Class A | 543,891 | ||||||
15,260 | Ventas, Inc. | 869,057 | ||||||
10,405 | Welltower, Inc. | 652,289 | ||||||
|
| |||||||
5,279,744 | ||||||||
|
| |||||||
Hotel & Resort REITs (2.8%): | ||||||||
30,573 | Chesapeake Lodging Trust^ | 967,330 | ||||||
77,592 | Host Hotels & Resorts, Inc. | 1,634,863 | ||||||
580 | Invincible Investment Corp. | 261,312 | ||||||
246 | Japan Hotel REIT Investment Corp. | 184,359 | ||||||
23,484 | RLJ Lodging Trust | 517,822 | ||||||
|
| |||||||
3,565,686 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines (0.1%): | ||||||||
1,530 | Hilton Worldwide Holdings, Inc. | 121,115 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial REITs (5.1%): | ||||||||
107,998 | Ascendas Real Estate Investment Trust | $ | 209,620 | |||||
26,247 | DCT Industrial Trust, Inc. | 1,751,462 | ||||||
13,090 | Duke Realty Corp. | 380,003 | ||||||
16,700 | Ec World REIT | 8,828 | ||||||
393 | GLP J-REIT | 417,354 | ||||||
110,253 | Macquarie Goodman Group | 786,831 | ||||||
39,500 | Mapletree Logistics Trust | 35,637 | ||||||
38 | Nippon Prologis REIT, Inc. | 78,847 | ||||||
32,927 | ProLogis, Inc. | 2,162,975 | ||||||
15,447 | Rexford Industrial Realty, Inc. | 484,881 | ||||||
10,958 | SERGO plc | 96,773 | ||||||
|
| |||||||
6,413,211 | ||||||||
|
| |||||||
Mortgage REITs (0.5%): | ||||||||
10,750 | Blackstone Mortgage Trust, Inc., Class A^ | 337,872 | ||||||
19,410 | Ladder Capital Corp. | 303,184 | ||||||
|
| |||||||
641,056 | ||||||||
|
| |||||||
Office REITs (20.5%): | ||||||||
3,511 | Alexandria Real Estate Equities, Inc. | 442,983 | ||||||
9,412 | Alstria Office REIT-AG | 141,404 | ||||||
54,391 | Beni Stabili SpA | 47,626 | ||||||
35,872 | Boston Properties, Inc. | 4,499,065 | ||||||
29,416 | Brandywine Realty Trust | 496,542 | ||||||
185,344 | CapitaLand Commercial Trust | 225,532 | ||||||
527,000 | Champion REIT | 350,280 | ||||||
21,936 | Columbia Property Trust, Inc. | 498,167 | ||||||
15,712 | Corporate Office Properties Trust^ | 455,491 | ||||||
35,168 | Cousins Properties, Inc. | 340,778 | ||||||
14 | Daiwa Office Investment Corp. | 80,485 | ||||||
25,497 | Derwent Valley Holdings plc | 1,044,816 | ||||||
100,500 | Dexus Property Group | 724,530 | ||||||
4,715 | Douglas Emmett, Inc. | 189,449 | ||||||
100,441 | Great Portland Estates plc | 946,243 | ||||||
271,019 | Green REIT plc | 468,323 | ||||||
10,336 | Hudson Pacific Properties, Inc. | 366,204 | ||||||
115 | Japan Real Estate Investment Corp. | 608,539 | ||||||
13,652 | JBG SMITH Properties | 497,888 | ||||||
223,921 | Keppel REIT | 181,041 | ||||||
10,316 | Kilroy Realty Corp. | 780,302 | ||||||
62,476 | Mack-Cali Realty Corp. | 1,267,013 | ||||||
149 | Nippon Building Fund, Inc. | 859,681 | ||||||
40 | ORIX JREIT, Inc. | 63,857 | ||||||
112,854 | Paramount Group, Inc. | 1,737,952 | ||||||
42,895 | SL Green Realty Corp. | 4,312,233 | ||||||
15,743 | Tier REIT, Inc. | 374,369 | ||||||
45,262 | Vornado Realty Trust | 3,345,766 | ||||||
|
| |||||||
25,346,559 | ||||||||
|
| |||||||
Real Estate Development (2.7%): | ||||||||
111,925 | China Overseas Land & Investment, Ltd. | 366,161 | ||||||
24,000 | China Resources Land, Ltd. | 80,333 | ||||||
46,500 | China Vanke Co., Ltd., Class H | 162,367 | ||||||
185,040 | CK Asset Holdings, Ltd. | 1,462,077 | ||||||
87,000 | Country Garden Holdings Co., Ltd. | 151,785 | ||||||
122,000 | Guangzhou R&F Properties Co., Ltd., Class H | 244,684 | ||||||
226,000 | Sino Land Co., Ltd. | 366,561 |
Continued
2
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Development, continued | ||||||||
58,371 | St. Modwen Properties plc | $ | 323,729 | |||||
38,650 | Urban & Civic plc | 175,879 | ||||||
|
| |||||||
3,333,576 | ||||||||
|
| |||||||
Real Estate Operating Companies (10.6%): | ||||||||
2,253 | ADO Properties SA | 122,625 | ||||||
36,230 | Atrium European Real Estate, Ltd. | 164,190 | ||||||
12,244 | Atrium Ljungberg AB, Class B | 197,550 | ||||||
2,485,087 | BGP Holdings plc*(a)(b) | 2,902 | ||||||
3,129 | Carmila SA | 87,163 | ||||||
16,090 | Castellum AB | 260,633 | ||||||
111,050 | Citycon OYJ^ | 240,301 | ||||||
2,212 | Deutsche Euroshop AG | 78,137 | ||||||
17,877 | Deutsche Wohnen AG | 863,342 | ||||||
33,361 | Entra ASA | 455,575 | ||||||
36,492 | First Capital Realty, Inc. | 573,545 | ||||||
15,953 | Grainger Trust plc | 64,792 | ||||||
312,752 | Hongkong Land Holdings, Ltd. | 2,237,478 | ||||||
37,080 | Hufvudstaden AB | 530,862 | ||||||
45,156 | Hulic Co., Ltd. | 480,826 | ||||||
179,669 | Hysan Development Co., Ltd. | 999,919 | ||||||
12,739 | Inmobiliaria Colonial SA | 140,670 | ||||||
25,443 | Kojamo Oyj* | 271,846 | ||||||
15,253 | Kungsleden AB | 105,204 | ||||||
3,144 | LEG Immobilien AG | 341,563 | ||||||
214,000 | LXB Retail Properties plc* | 62,405 | ||||||
61,964 | Norwegian Property ASA | 82,172 | ||||||
6,560 | PSP Swiss Property AG | 609,226 | ||||||
427,529 | Swire Properties, Ltd. | 1,580,141 | ||||||
31,354 | Vonovia SE | 1,491,717 | ||||||
164,710 | Wharf Real Estate Investment Co., Ltd. | 1,169,677 | ||||||
|
| |||||||
13,214,461 | ||||||||
|
| |||||||
Real Estate Services (0.1%): | ||||||||
214,800 | APAC Realty, Ltd. | 130,485 | ||||||
|
| |||||||
Residential REITs (9.9%): | ||||||||
134 | Advance Residence Investment | 343,334 | ||||||
10,882 | American Campus Communities, Inc. | 466,620 | ||||||
61,681 | American Homes 4 Rent, Class A | 1,368,085 | ||||||
12,550 | Apartment Investment & Management Co., Class A | 530,865 | ||||||
16,341 | AvalonBay Communities, Inc. | 2,808,854 | ||||||
6,448 | Boardwalk REIT^ | 224,024 | ||||||
14,625 | Camden Property Trust | 1,332,776 | ||||||
3,670 | Education Realty Trust, Inc. | 152,305 | ||||||
32,822 | Equity Residential Property Trust | 2,090,433 | ||||||
4,285 | Essex Property Trust, Inc. | 1,024,415 | ||||||
15,404 | Invitation Homes, Inc.^ | 355,216 | ||||||
10,950 | Mid-America Apartment Communities, Inc. | 1,102,337 | ||||||
13,812 | UDR, Inc. | 518,502 | ||||||
|
| |||||||
12,317,766 | ||||||||
|
| |||||||
Retail REITs (23.1%): | ||||||||
182,901 | British Land Co. plc | 1,622,012 | ||||||
66,641 | Brixmor Property Group, Inc. | 1,161,553 | ||||||
3,085 | Capital & Regional plc | 2,071 | ||||||
141,552 | CapitaMall Trust | 214,802 | ||||||
16,435 | Crombie REIT | 159,036 |
Shares or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Retail REITs, continued | ||||||||
5,215 | DDR Corp.^ | $ | 93,349 | |||||
15,475 | Eurocommercial Properties NV | 656,660 | ||||||
1,113 | Federal Realty Investment Trust | 140,850 | ||||||
125,188 | Ggp US | 2,557,591 | ||||||
59,056 | Hammerson plc | 406,133 | ||||||
289 | Japan Retail Fund Investment Corp. | 521,419 | ||||||
31,442 | Kimco Realty Corp. | 534,200 | ||||||
30,296 | Klepierre | 1,139,469 | ||||||
68,402 | Liberty International plc | 162,553 | ||||||
266,884 | Link REIT (The) | 2,426,445 | ||||||
18,904 | Macerich Co. (The)^ | 1,074,314 | ||||||
23,441 | Mercialys SA | 408,072 | ||||||
16,041 | Pennsylvania Real Estate Investment Trust^ | 176,291 | ||||||
36,249 | Regency Centers Corp. | 2,250,338 | ||||||
34,639 | RioCan REIT | 636,387 | ||||||
411,217 | Scentre Group | 1,339,441 | ||||||
11,549 | Shaftesbury plc | 142,445 | ||||||
48,529 | Simon Property Group, Inc. | 8,259,150 | ||||||
5,092 | Smart Real Estate Investment Trust | 118,265 | ||||||
9,121 | Unibail-Rodamco-Westfield | 2,008,180 | ||||||
60,920 | Unibail-Rodamco-Westfield* | 661,248 | ||||||
265,848 | Vicinity Centres | 510,027 | ||||||
|
| |||||||
29,382,301 | ||||||||
|
| |||||||
Specialized REITs (4.9%): | ||||||||
35,448 | CubeSmart | 1,142,135 | ||||||
5,555 | Digital Realty Trust, Inc. | 619,827 | ||||||
5,650 | Extra Space Storage, Inc.^ | 563,927 | ||||||
12,252 | Gaming & Leisure Properties, Inc. | 438,622 | ||||||
3,850 | Life Storage, Inc. | 374,644 | ||||||
9,692 | Public Storage, Inc. | 2,198,727 | ||||||
22,321 | QTS Realty Trust, Inc., Class A^ | 881,680 | ||||||
|
| |||||||
6,219,562 | ||||||||
|
| |||||||
Total Common Stocks (Cost $112,721,124) | 123,783,016 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (3.8%): | ||||||||
$ | 4,750,710 | AZL Morgan Stanley Global Real Estate Fund Securities Lending Collateral Account(c) | 4,750,710 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 4,750,710 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.7%): | ||||||||
913,940 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(d) | 913,940 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $913,940) | 913,940 | |||||||
|
| |||||||
Total Investment Securities | 129,447,666 | |||||||
Net other assets (liabilities) — (3.2)% | (4,005,488 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 125,442,178 | ||||||
|
|
Continued
3
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2018.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $4,638,661. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.00% of the net assets of the fund. |
(b) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.00% of the net assets of the Fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(d) | The rate represents the effective yield at June 30, 2018. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Australia | 3.5 | % | ||
Bermuda | 1.7 | % | ||
Canada | 1.5 | % | ||
China | 0.3 | % | ||
Finland | 0.4 | % | ||
France | 4.6 | % | ||
Germany | 2.3 | % | ||
Hong Kong | 10.6 | % | ||
Ireland | 0.5 | % | ||
Italy | — | %^ | ||
Japan | 7.9 | % |
Country | Percentage | |||
Jersey | 0.1 | % | ||
Netherlands | 0.5 | % | ||
Norway | 0.4 | % | ||
Singapore | 1.0 | % | ||
Spain | 0.8 | % | ||
Sweden | 0.8 | % | ||
Switzerland | 0.5 | % | ||
United Kingdom | 5.3 | % | ||
United States | 57.3 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
See accompanying notes to the financial statements.
4
AZL Morgan Stanley Global Real Estate Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 118,385,774 | |||
|
| ||||
Investment securities, at value* | $ | 129,447,666 | |||
Interest and dividends receivable | 513,988 | ||||
Foreign currency, at value (cost $192,279) | 191,372 | ||||
Receivable for investments sold | 249,554 | ||||
Reclaims receivable | 141,495 | ||||
Prepaid expenses | 770 | ||||
|
| ||||
Total Assets | 130,544,845 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 128,959 | ||||
Payable for capital shares redeemed | 85,517 | ||||
Payable for collateral received on loaned securities | 4,750,710 | ||||
Manager fees payable | 87,948 | ||||
Administration fees payable | 3,079 | ||||
Distribution fees payable | 20,970 | ||||
Custodian fees payable | 6,883 | ||||
Administrative and compliance services fees payable | 256 | ||||
Transfer agent fees payable | 1,311 | ||||
Trustee fees payable | 1,088 | ||||
Other accrued liabilities | 15,946 | ||||
|
| ||||
Total Liabilities | 5,102,667 | ||||
|
| ||||
Net Assets | $ | 125,442,178 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 106,219,589 | |||
Accumulated net investment income/(loss) | 5,392,035 | ||||
Accumulated net realized gains/(losses) from investment transactions | 2,765,441 | ||||
Net unrealized appreciation/(depreciation) on investments | 11,065,113 | ||||
|
| ||||
Net Assets | $ | 125,442,178 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 23,782,505 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 2,442,352 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.74 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 101,659,673 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 9,780,371 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.39 | |||
|
|
* | Includes securities on loan of $4,638,661. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,833,124 | |||
Income from securities lending | 24,649 | ||||
Foreign withholding tax | (163,831 | ) | |||
|
| ||||
Total Investment Income | 2,693,942 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 567,339 | ||||
Administration fees | 30,516 | ||||
Distribution fees — Class 2 | 127,753 | ||||
Custodian fees | 27,552 | ||||
Administrative and compliance services fees | 957 | ||||
Transfer agent fees | 5,114 | ||||
Trustee fees | 3,165 | ||||
Professional fees | 3,191 | ||||
Shareholder reports | 6,154 | ||||
Other expenses | 3,079 | ||||
|
| ||||
Total expenses before reductions | 774,820 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (31,520 | ) | |||
|
| ||||
Net expenses | 743,300 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,950,642 | ||||
�� |
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 342,353 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (2,495,290 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (2,152,937 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (202,295 | ) | ||
|
|
See accompanying notes to the financial statements.
5
AZL Morgan Stanley Global Real Estate Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,950,642 | $ | 3,052,930 | ||||||
Net realized gains/(losses) on investment transactions | 342,353 | 9,568,019 | ||||||||
Change in unrealized appreciation/depreciation on investments | (2,495,290 | ) | 207,580 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (202,295 | ) | 12,828,529 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (1,035,506 | ) | |||||||
Class 2 | — | (4,103,304 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (2,055,660 | ) | |||||||
Class 2 | — | (8,265,786 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (15,460,256 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 12,608 | 14,573 | ||||||||
Proceeds from dividends reinvested | — | 3,091,166 | ||||||||
Value of shares redeemed | (2,010,281 | ) | (4,020,059 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,997,673 | ) | (914,320 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 273,664 | 800,139 | ||||||||
Proceeds from dividends reinvested | — | 12,369,090 | ||||||||
Value of shares redeemed | (8,351,341 | ) | (16,544,139 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (8,077,677 | ) | (3,374,910 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (10,075,350 | ) | (4,289,230 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (10,277,645 | ) | (6,920,957 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 135,719,823 | 142,640,780 | ||||||||
|
|
|
| |||||||
End of period | $ | 125,442,178 | $ | 135,719,823 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 5,392,035 | $ | 3,441,393 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 1,335 | 1,434 | ||||||||
Dividends reinvested | — | 332,741 | ||||||||
Shares redeemed | (213,242 | ) | (397,099 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (211,907 | ) | (62,924 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 26,913 | 73,913 | ||||||||
Dividends reinvested | — | 1,245,629 | ||||||||
Shares redeemed | (830,538 | ) | (1,538,982 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (803,625 | ) | (219,440 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,015,532 | ) | (282,364 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Morgan Stanley Global Real Estate Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.72 | $ | 10.05 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.18 | 0.28 | — | ^+ | ||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.16 | ) | 0.67 | 0.05 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total from Investment Activities | 0.02 | 0.95 | 0.05 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.43 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | (0.85 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Dividends | — | (1.28 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 9.74 | $ | 9.72 | $ | 10.05 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return(a) | 0.21 | %(b) | 10.00 | % | 0.50 | %(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 23,783 | $ | 25,794 | $ | 27,302 | ||||||||||||||||||||||||
Net Investment Income/(Loss)(c) | 3.30 | % | 2.38 | % | 0.13 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.03 | % | 1.03 | % | 1.04 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.98 | % | 0.98 | % | 1.03 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 17 | % | 33 | % | 52 | % | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.39 | $ | 10.68 | $ | 10.51 | $ | 11.11 | $ | 9.86 | $ | 9.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.18 | 0.27 | 0.20 | ^ | 0.22 | 0.18 | 0.16 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.18 | ) | 0.71 | 0.13 | (0.39 | ) | 1.17 | 0.14 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | — | 0.98 | 0.33 | (0.17 | ) | 1.35 | 0.30 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.42 | ) | (0.16 | ) | (0.43 | ) | (0.10 | ) | (0.43 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.85 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.27 | ) | (0.16 | ) | (0.43 | ) | (0.10 | ) | (0.43 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.39 | $ | 10.39 | $ | 10.68 | $ | 10.51 | $ | 11.11 | $ | 9.86 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 0.00 | %(b) | 9.72 | % | 3.14 | % | (1.34 | )% | 13.77 | % | 3.02 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 101,660 | $ | 109,926 | $ | 115,339 | $ | 159,821 | $ | 187,892 | $ | 181,795 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 3.05 | % | 2.17 | % | 1.84 | % | 1.70 | % | 1.67 | % | 1.43 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.28 | % | 1.28 | % | 1.29 | % | 1.29 | % | 1.29 | % | 1.29 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.23 | % | 1.23 | % | 1.29 | % | 1.29 | % | 1.28 | % | 1.29 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 17 | % | 33 | % | 52 | % | 25 | % | 32 | % | 29 | % |
* | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
^ | Average shares method used in calculations. |
+ | Represents less than $0.005 |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
7
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Morgan Stanley Global Real Estate Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $11 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,382 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less than 30 Days | Between 30 & 90 Days | Greater than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 4,506,933 | $ | 243,777 | $ | — | $ | — | $ | 4,750,710 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Morgan Stanley Investment Management Inc. (“MSIM”), MSIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Morgan Stanley Global Real Estate Fund Class 1 | 0.90 | % | 1.10 | % | ||||||
AZL Morgan Stanley Global Real Estate Fund Class 2 | 0.90 | % | 1.35 | % |
* | The Manager voluntarily reduced the management fee to 0.85% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
9
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $581 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
10
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||
Diversified Real Estate Activities | $ | — | $ | 9,659,510 | $ | — | $ | — | $ | 9,659,510 | |||||||||||||||
Diversified REITs | 750,077 | 7,255,231 | — | — | 8,005,308 | ||||||||||||||||||||
Environmental & Facilities Services | 12,823 | 51,711 | — | — | 64,534 | ||||||||||||||||||||
Hotel & Resort REITs | 3,120,015 | 445,671 | — | — | 3,565,686 | ||||||||||||||||||||
Industrial REITs | 4,779,321 | 1,633,890 | — | — | 6,413,211 | ||||||||||||||||||||
Office REITs | 19,604,202 | 5,742,357 | — | — | 25,346,559 | ||||||||||||||||||||
Real Estate Development | — | 3,333,576 | — | — | 3,333,576 | ||||||||||||||||||||
Real Estate Operating Companies | 907,796 | 12,303,763 | 2,902 | — | 13,214,461 | ||||||||||||||||||||
Real Estate Services | — | 130,485 | — | — | 130,485 | ||||||||||||||||||||
Residential REITs | 11,974,432 | 343,334 | — | — | 12,317,766 | ||||||||||||||||||||
Retail REITs | 19,830,752 | 9,551,549 | — | — | 29,382,301 | ||||||||||||||||||||
Other Common Stocks+ | 12,349,619 | — | — | — | 12,349,619 | ||||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 4,750,710 | 4,750,710 | ||||||||||||||||||||
Unaffiliated Investment Company | 913,940 | — | — | — | 913,940 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Investments | $ | 74,242,977 | $ | 50,451,077 | $ | 2,902 | $ | 4,750,710 | $ | 129,447,666 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 22,050,762 | $ | 30,125,051 |
6. Investment Risks
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Real Estate Investments Risk: The performance of REITs depends on the strength of real estate markets, REIT management and property management which can be affected by many factors, including national and regional economic conditions.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $123,230,043. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 8,969,954 | ||
Unrealized (depreciation) | (2,752,331 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 6,217,623 | ||
|
|
11
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 5,138,810 | $ | 10,321,446 | $ | 15,460,256 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ | |||||||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 4,751,343 | $ | 6,622,033 | $ | — | $ | 8,051,508 | $ | 19,424,884 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 95% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
13
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® MSCI Emerging Markets Equity Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 14 |
Page 14 |
Statements of Changes in Net Assets Page 15 |
Page 16 |
Notes to the Financial Statements Page 17 |
Page 23 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MSCI Emerging Markets Equity Index Fund
(Unaudited)
As a shareholder of the AZL MSCI Emerging Markets Equity Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 928.20 | $ | 3.16 | 0.66 | % | ||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 927.00 | $ | 4.35 | 0.91 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 1,021.54 | $ | 3.31 | 0.66 | % | ||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 1,020.30 | $ | 4.56 | 0.91 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 27.7 | % | |||
Financials | 22.9 | ||||
Consumer Discretionary | 9.4 | ||||
Materials | 7.5 | ||||
Energy | 7.3 | ||||
Consumer Staples | 6.7 | ||||
Industrials | 4.7 | ||||
Telecommunication Services | 4.3 | ||||
Health Care | 3.1 | ||||
Real Estate | 3.0 | ||||
Utilities | 1.9 | ||||
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| ||||
Total Common Stocks and Preferred Stocks | 98.5 | ||||
Right | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 1.1 | ||||
Money Market | 0.6 | ||||
|
| ||||
Total Investment Securities | 100.2 | ||||
Net other assets (liabilities) | (0.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (96.6%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
14,149 | Aselsan Elektronik Sanayi Ve Ticaret AS | $ | 71,278 | |||||
139,000 | AviChina Industry & Technology Co., Ltd. | 82,483 | ||||||
44,263 | Embraer SA | 276,430 | ||||||
4,418 | Korea Aerospace Industries, Ltd.* | 163,120 | ||||||
|
| |||||||
593,311 | ||||||||
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| |||||||
Air Freight & Logistics (0.0%): | ||||||||
936 | Hyundai Glovis Co., Ltd. | 96,884 | ||||||
92,000 | Sinotrans, Ltd. | 48,304 | ||||||
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| |||||||
145,188 | ||||||||
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| |||||||
Airlines (0.2%): | ||||||||
126,000 | Air China, Ltd. | 120,677 | ||||||
89,500 | AirAsia Berhad | 66,290 | ||||||
188,000 | China Airlines, Ltd.* | 58,771 | ||||||
39,299 | China Eastern Airlines Corp., Ltd. | 39,142 | ||||||
126,000 | China Southern Airlines Co., Ltd., Class H | 98,211 | ||||||
144,200 | Eva Airways Corp. | 69,735 | ||||||
3,195 | Korean Air Lines Co., Ltd. | 80,915 | ||||||
17,509 | Latam Airlines Group SA | 172,974 | ||||||
38,206 | Turk Hava Yollari Anonim Ortakligi* | 112,584 | ||||||
|
| |||||||
819,299 | ||||||||
|
| |||||||
Auto Components (0.5%): | ||||||||
14,500 | Bharat Forge, Ltd. | 129,582 | ||||||
396 | Bosch, Ltd. | 101,131 | ||||||
93,000 | Cheng Shin Rubber Industry Co., Ltd. | 139,798 | ||||||
182,000 | China First Capital Group, Ltd.* | 115,918 | ||||||
37,200 | Fuyao Glass Industry Group Co., Ltd., Class H | 125,574 | ||||||
4,033 | Hankook Tire Co., Ltd. | 152,031 | ||||||
9,599 | Hanon Systems | 91,222 | ||||||
3,942 | Hyundai Mobis Co., Ltd. | 749,089 | ||||||
34,367 | Motherson Sumi Systems, Ltd. | 142,608 | ||||||
45,000 | Nexteer Automotive Group, Ltd. | 66,139 | ||||||
|
| |||||||
1,813,092 | ||||||||
|
| |||||||
Automobiles (2.0%): | ||||||||
91,500 | Baic Motor Corp., Ltd. | 87,122 | ||||||
4,334 | Bajaj Auto, Ltd. | 177,684 | ||||||
182,000 | Brilliance China Automotive Holdings, Ltd. | 327,348 | ||||||
41,500 | BYD Co., Ltd., Class H^ | 250,467 | ||||||
188,000 | Dongfeng Motor Corp., Series H | 198,522 | ||||||
5,291 | Ford Otomotiv Sanayi AS | 70,527 | ||||||
301,000 | Geely Automobile Holdings, Ltd. | 772,483 | ||||||
203,000 | Great Wall Motor Co.^ | 154,516 | ||||||
179,200 | Guangzhou Automobile Group Co., Ltd. | 173,947 | ||||||
2,718 | Hero MotoCorp, Ltd. | 137,723 | ||||||
8,619 | Hyundai Motor Co. | 969,819 | ||||||
1,672 | Hyundai Motor Co., Ltd. | 123,318 | ||||||
15,517 | Kia Motors Corp. | 429,219 | ||||||
45,251 | Mahindra & Mahindra, Ltd. | 591,510 | ||||||
6,334 | Maruti Suzuki India, Ltd. | 815,382 | ||||||
1,170,300 | PT Astra International Tbk | 537,950 | ||||||
7,500 | SAIC Motor Corp., Ltd.* | 39,548 | ||||||
89,282 | Tata Motors, Ltd.* | 350,376 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
8,708 | Tofas Turk Otomobil Fabrikasi AS | $ | 45,593 | |||||
32,400 | UMW Holdings Berhad | 47,871 | ||||||
|
| |||||||
6,300,925 | ||||||||
|
| |||||||
Banks (14.8%): | ||||||||
126,709 | Abu Dhabi Commercial Bank | 243,646 | ||||||
119,900 | Agricultural Bank of China, Ltd. | 62,168 | ||||||
1,591,000 | Agricultural Bank of China, Ltd. | 738,930 | ||||||
99,644 | Akbank T.A.S. | 162,708 | ||||||
6,260 | Alior Bank SA* | 111,116 | ||||||
71,600 | Alliance Financial Group Berhad | 71,535 | ||||||
86,256 | Alpha Bank SA* | 192,744 | ||||||
89,500 | AMMB Holdings Berhad | 83,022 | ||||||
107,546 | Axis Bank, Ltd. | 801,211 | ||||||
63,132 | Banco Bradesco SA | 394,269 | ||||||
1,469,318 | Banco de Chile | 227,299 | ||||||
2,595 | Banco de Credito e Inversiones | 172,837 | ||||||
47,979 | Banco do Brasil SA | 352,259 | ||||||
25,431 | Banco Santander Brasil SA | 191,963 | ||||||
4,100,296 | Banco Santander Chile | 321,295 | ||||||
113,116 | Banco Santander Mexico SA, Class B | 152,337 | ||||||
28,297 | Bancolombia SA | 345,061 | ||||||
13,323 | Bancolombia SA | 160,645 | ||||||
16,800 | Bangkok Bank Public Co., Ltd. | 100,624 | ||||||
2,261 | Bank Handlowy w Warszawie SA | 42,656 | ||||||
41,982 | Bank Millennium SA* | 89,883 | ||||||
4,696,000 | Bank of China, Ltd. | 2,314,017 | ||||||
568,000 | Bank of Communications Co., Ltd., Class H | 432,950 | ||||||
59,366 | Bank of the Philippine Islands | 98,427 | ||||||
10,434 | Bank Pekao SA | 313,727 | ||||||
2,138 | Bank Zachodni WBK SA | 189,942 | ||||||
43,053 | Barclays Africa Group, Ltd. | 501,876 | ||||||
121,514 | BDO Unibank, Inc. | 285,209 | ||||||
15,481 | BNK Financial Group, Inc. | 129,764 | ||||||
2,266 | Capitec Bank Holdings, Ltd. | 143,354 | ||||||
281,100 | Chang Hwa Commercial Bank | 163,329 | ||||||
565,000 | China Citic Bank Co., Ltd. | 351,285 | ||||||
5,538,000 | China Construction Bank | 5,078,327 | ||||||
32,600 | China Construction Bank Corp. | 32,205 | ||||||
890,000 | China Development Financial Holding Corp. | 325,298 | ||||||
136,000 | China Everbright Bank Co., Series H | 58,151 | ||||||
68,200 | China Everbright Bank Co., Ltd. | 37,604 | ||||||
237,500 | China Merchants Bank Co., Ltd.* | 868,387 | ||||||
14,100 | China Merchants Bank Co., Ltd.* | 56,061 | ||||||
385,800 | China Minsheng Banking Corp., Ltd. | 274,353 | ||||||
1,062,000 | Chinatrust Financial Holding Co., Ltd. | 764,123 | ||||||
174,000 | Chongqing Rural Commercial Bank Co., Ltd. | 103,277 | ||||||
263,800 | CIMB Group Holdings Berhad | 356,146 | ||||||
12,087 | Commercial Bank of Qatar Qsc (The) | 126,478 | ||||||
71,877 | Commercial International Bank Egypt SAE | 343,784 | ||||||
3,909 | Credicorp, Ltd. | 879,994 | ||||||
12,002 | DGB Financial Group, Inc. | 110,286 | ||||||
114,022 | Dubai Islamic Bank | 150,796 |
Continued
2
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
568,459 | E.Sun Financial Holding Co., Ltd. | $ | 396,094 | |||||
128,606 | Eurobank Ergasias SA* | 134,232 | ||||||
553,600 | First Financial Holdings Co., Ltd. | 374,012 | ||||||
140,140 | Grupo Aval Acciones y Valores | 58,845 | ||||||
151,055 | Grupo Financiero Banorte SAB de C.V. | 888,429 | ||||||
136,092 | Grupo Financiero Inbursa SAB de C.V., Class O | 191,230 | ||||||
42,000 | Habib Bank, Ltd. | 57,588 | ||||||
17,004 | Hana Financial Holdings Group, Inc. | 652,988 | ||||||
36,900 | Hong Leong Bank Berhad | 166,064 | ||||||
15,800 | Hong Leong Financial Group Berhad | 70,345 | ||||||
432,450 | Hua Nan Financial Holdings Co., Ltd. | 251,697 | ||||||
142,505 | ICICI Bank, Ltd. | 573,226 | ||||||
4,112,000 | Industrial & Commercial Bank of China | 3,054,716 | ||||||
23,500 | Industrial Bank Co., Ltd. | 50,978 | ||||||
15,412 | Industrial Bank of Korea (IBK) | 212,763 | ||||||
10,639,682 | Itau Corpbanca | 103,987 | ||||||
264,347 | Itausa — Investimentos Itau SA | 626,928 | ||||||
38,800 | Kasikornbank Public Co., Ltd. | 226,792 | ||||||
65,700 | Kasikornbank Public Co., Ltd. | 384,027 | ||||||
22,854 | KB Financial Group, Inc. | 1,081,635 | ||||||
4,645 | Komercni Banka AS | 195,497 | ||||||
238,400 | Krung Thai Bank | 120,236 | ||||||
223,701 | Malayan Banking Berhad | 498,310 | ||||||
23,698 | Masraf Al Rayan | 227,405 | ||||||
1,057 | mBank SA | 112,736 | ||||||
10,500 | MCB Bank, Ltd. | 17,113 | ||||||
670,000 | Mega Financial Holdings Co., Ltd. | 590,873 | ||||||
55,091 | Metropolitan Bank & Trust | 75,630 | ||||||
22,732 | Moneta Money Bank A/S | 78,053 | ||||||
91,369 | National Bank of Abu Dhabi | 302,324 | ||||||
252,981 | National Bank of Greece SA* | 77,612 | ||||||
13,038 | Nedcor, Ltd. | 237,153 | ||||||
12,873 | OTP Bank Nyrt | 466,909 | ||||||
17,620 | Piraeus Bank SA* | 59,993 | ||||||
137,000 | Postal Savings Bank of China Co., Ltd.* | 88,699 | ||||||
50,210 | Powszechna Kasa Oszczednosci Bank Polski SA* | 493,690 | ||||||
553,900 | PT Bank Central Asia Tbk | 829,086 | ||||||
229,000 | PT Bank Danamon Indonesia Tbk | 101,842 | ||||||
1,104,600 | PT Bank Mandiri Tbk | 525,167 | ||||||
458,800 | PT Bank Negara Indonesia Tbk | 224,670 | ||||||
3,045,100 | PT Bank Rakyat Indonesia Tbk | 601,066 | ||||||
170,500 | Public Bank Berhad | 985,681 | ||||||
5,089 | Qatar Islamic Bank | 162,231 | ||||||
25,126 | Qatar National Bank | 1,049,180 | ||||||
56,400 | RHB Capital Berhad | 76,187 | ||||||
152,903 | Sberbank of Russia, ADR | 2,194,922 | ||||||
7,820 | Security Bank Corp. | 29,259 | ||||||
29,200 | Shanghai Pudong Development Bank Co., Ltd.* | 42,079 | ||||||
24,467 | Shinhan Financial Group Co., Ltd. | 947,162 | ||||||
101,600 | Siam Commercial Bank Public Co., Ltd. | 363,575 | ||||||
663,530 | SinoPac Financial Holdings Co., Ltd. | 239,254 | ||||||
74,060 | Standard Bank Group, Ltd. | 1,032,291 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
102,289 | State Bank of India* | $ | 386,766 | |||||
583,529 | Taishin Financial Holding Co., Ltd. | 275,454 | ||||||
110,040 | Taiwan Business Bank | 33,957 | ||||||
487,140 | Taiwan Cooperative Financial Holding Co., Ltd. | 285,131 | ||||||
904,900 | TMB Bank PCL | 62,764 | ||||||
111,150 | Turkiye Garanti Bankasi AS | 202,271 | ||||||
43,823 | Turkiye Halk Bankasi AS* | 70,573 | ||||||
104,602 | Turkiye Is Bankasi AS, Class C | 129,491 | ||||||
51,287 | Turkiye Vakiflar Bankasi T.A.O., Class D* | 54,688 | ||||||
35,000 | United Bank, Ltd. | 48,702 | ||||||
69,455 | VTB Bank OJSC, GDR | 105,711 | ||||||
23,863 | Woori Bank | 348,579 | ||||||
102,576 | Yes Bank, Ltd. | 507,985 | ||||||
|
| |||||||
44,621,891 | ||||||||
|
| |||||||
Beverages (1.4%): | ||||||||
269,340 | Ambev SA Com Npv | 1,249,738 | ||||||
14,344 | Anadolu Efes Biracilik ve Malt Sanayii AS | 73,730 | ||||||
28,489 | Arca Continental SAB de C.V. | 174,976 | ||||||
100,000 | China Resources Enterprises, Ltd. | 483,901 | ||||||
27,619 | Coca-Cola Femsa | 155,834 | ||||||
5,282 | Coca-Cola Icecek AS | 39,022 | ||||||
10,230 | Compania Cervecerias Unidas SA | 128,174 | ||||||
18,016 | Embotelladora Andina SA | 70,310 | ||||||
117,332 | Fomento Economico Mexicano SAB de C.V. | 1,031,408 | ||||||
672 | Kweichow Moutai Co., Ltd. | 74,063 | ||||||
22,000 | Tsingtao Brewery Co., Ltd., Class H | 120,563 | ||||||
18,855 | United Spirits, Ltd.* | 182,829 | ||||||
2,700 | Wuliangye Yibin Co., Ltd.* | 30,804 | ||||||
|
| |||||||
3,815,352 | ||||||||
|
| |||||||
Biotechnology (0.7%): | ||||||||
70,000 | 3SBio, Inc. | 158,258 | ||||||
4,732 | Celltrion, Inc.* | 1,286,663 | ||||||
282 | Medy-Tox, Inc. | 193,950 | ||||||
2,955 | Sillajen, Inc.* | 194,004 | ||||||
11,000 | Taimed Biologics, Inc.* | 112,341 | ||||||
759 | Viromed Co., Ltd.* | 160,076 | ||||||
|
| |||||||
2,105,292 | ||||||||
|
| |||||||
Building Products (0.0%): | ||||||||
427 | KCC Corp. | 125,613 | ||||||
|
| |||||||
Capital Markets (1.2%): | ||||||||
122,246 | B3 SA- Brasil Bolsa Balcao | 647,983 | ||||||
492,000 | China Cinda Asset Management Co., Ltd., Class H | 157,848 | ||||||
64,000 | China Everbright, Ltd. | 117,338 | ||||||
217,500 | China Galaxy Securities Co.^ | 110,793 | ||||||
469,000 | China Huarong Asset Management Co., Ltd., Class H | 135,399 | ||||||
51,200 | China International Capital Corp., Ltd. | 90,953 | ||||||
144,500 | Citic Securities Co., Ltd. | 287,423 | ||||||
15,738 | Coronation Fund Managers, Ltd. | 66,876 | ||||||
20,961 | Daewoo Securities Co., Ltd. | 159,946 | ||||||
73,400 | Gf Securities Co., Ltd. | 106,670 | ||||||
15,400 | GF Securities Co., Ltd. | 30,823 |
Continued
3
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
30,000 | Guotai Junan Securities Co., Ltd. | $ | 66,639 | |||||
186,000 | Haitong Securities Co., Ltd. | 187,205 | ||||||
98,000 | Huatai Securities Co., Ltd., Class H | 155,397 | ||||||
15,336 | Investec, Ltd. | 107,473 | ||||||
2,765 | Korea Investment Holdings Co., Ltd. | 208,283 | ||||||
9,973 | NH Investment & Securities Co., Ltd. | 133,476 | ||||||
1,585 | Noah Holdings Limited, ADR* | 82,658 | ||||||
8,315 | Reinet Investments SCA* | 146,515 | ||||||
3,172 | Samsung Securities Co., Ltd. | 98,727 | ||||||
88,300 | Shenwan Hongyuan Group Co., Ltd. | 58,097 | ||||||
96,161 | The Moscow Exchange | 166,014 | ||||||
650,000 | Yuanta Financial Holding Co., Ltd. | 296,181 | ||||||
|
| |||||||
3,618,717 | ||||||||
|
| |||||||
Chemicals (2.2%): | ||||||||
14,973 | Asian Paints, Ltd. | 276,097 | ||||||
180,000 | Formosa Chemicals & Fibre Corp. | 716,604 | ||||||
250,000 | Formosa Plastics Corp. | 921,888 | ||||||
3,089 | Grupa Azoty SA, ADR | 35,549 | ||||||
6,038 | Hanwha Chemical Corp. | 118,218 | ||||||
1,246 | Hyosung Corp. | 149,824 | ||||||
99,500 | Indorama Ventures PCL | 164,073 | ||||||
1,295 | Kumho Petrochemical Co., Ltd. | 135,198 | ||||||
540 | LG Chem, Ltd. | 97,548 | ||||||
2,599 | LG Chem, Ltd. | 776,791 | ||||||
974 | Lotte Chemical Corp. | 303,745 | ||||||
53,509 | Mexichem SAB de C.V. | 154,635 | ||||||
284,000 | Nan Ya Plastics Corp. | 811,538 | ||||||
1,183 | OCI Co., Ltd. | 109,118 | ||||||
46,719 | Petkim Petrokimya Holding AS | 49,290 | ||||||
147,700 | Petronas Chemicals Group Berhad | 307,385 | ||||||
9,523 | Phosagro OAO, GDR | 122,405 | ||||||
4,809 | Pidilite Industries, Ltd. | 74,625 | ||||||
133,800 | PTT Global Chemical Public Co., Ltd. | 294,541 | ||||||
32,053 | Sasol, Ltd. | 1,170,865 | ||||||
240,000 | Sinopec Shanghai Petrochemical Co., Ltd. | 144,892 | ||||||
5,800 | Sociedad Quimica y Minera de Chile SA | 278,367 | ||||||
23,000 | UPL, Ltd.* | 207,550 | ||||||
|
| |||||||
7,420,746 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
168,000 | China Everbright International, Ltd. | 216,263 | ||||||
1,571 | KEPCO Plant Service & Engineering Co., Ltd. | 50,115 | ||||||
929 | S1 Corp. | 80,598 | ||||||
|
| |||||||
346,976 | ||||||||
|
| |||||||
Communications Equipment (0.0%): | ||||||||
35,000 | BYD Electronic International Co., Ltd. | 47,170 | ||||||
53,200 | ZTE Corp., Class H* | 80,649 | ||||||
|
| |||||||
127,819 | ||||||||
|
| |||||||
Construction & Engineering (0.7%): | ||||||||
255,000 | China Communications Construction Co., Ltd. | 245,029 | ||||||
116,500 | China Railway Contstruction Corp., Ltd. | 117,363 | ||||||
248,000 | China Railway Group, Ltd. | 186,440 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
37,100 | China State Construction Engineering Corp., Ltd. | $ | 30,503 | |||||
124,000 | China State Construction International Holdings, Ltd. | 126,651 | ||||||
1,453 | Daelim Industrial Co., Ltd. | 99,678 | ||||||
8,837 | Daewoo Engineering & Construct* | 46,387 | ||||||
222,100 | Dialog Group Berhad | 169,643 | ||||||
102,300 | Gamuda Berhad | 82,870 | ||||||
3,522 | GS Engineering & Construction Corp. | 144,965 | ||||||
2,359 | HDC Hyundai Development Co.* | 114,097 | ||||||
4,715 | Hyundai Engineering & Construction Co., Ltd. | 242,488 | ||||||
142,000 | IJM Corporation Berhad | 62,925 | ||||||
26,854 | Larsen & Toubro, Ltd. | 499,720 | ||||||
71,700 | Metallurgical Corp. of China, Ltd. | 35,844 | ||||||
7,696 | Samsung Engineering Co., Ltd.* | 107,898 | ||||||
59,500 | Sinopec Engineering Group Co., Ltd. | 62,030 | ||||||
309,500 | Waskita Karya Persero TBK PT | 41,476 | ||||||
|
| |||||||
2,416,007 | ||||||||
|
| |||||||
Construction Materials (1.1%): | ||||||||
41,230 | Ambuja Cements, Ltd. | 124,738 | ||||||
78,000 | Anhui Conch Cement Co., Ltd. | 443,092 | ||||||
137,000 | Asia Cement Corp. | 150,386 | ||||||
31,885 | Cementos Argos SA | 106,673 | ||||||
840,409 | Cemex SAB de C.V.* | 553,204 | ||||||
216,000 | China National Buildings Material Co., Ltd. | 212,796 | ||||||
104,000 | China Resources Cement Holdings, Ltd. | 104,679 | ||||||
20,511 | Grasim Industries, Ltd. | 301,065 | ||||||
20,102 | Grupo Argos SA | 136,290 | ||||||
126,300 | PT Indocement Tunggal Prakarsa Tbk | 120,077 | ||||||
203,800 | PT Semen Indonesia (Persero) Tbk | 101,232 | ||||||
588 | Shree Cement, Ltd. | 133,390 | ||||||
8,700 | Siam Cement PCL | 108,161 | ||||||
207,000 | Taiwan Cement Corp. | 287,365 | ||||||
5,500 | The Siam Cement Public Co., Ltd. | 68,726 | ||||||
3,201 | Titan Cement Co. SA | 81,114 | ||||||
4,996 | Ultra Tech Cement, Ltd. | 278,079 | ||||||
|
| |||||||
3,311,067 | ||||||||
|
| |||||||
Consumer Finance (0.2%): | ||||||||
10,053 | Bajaj Finance, Ltd. | 336,353 | ||||||
916,000 | Chong Sing Holdings FinTech Group, Ltd.* | 106,159 | ||||||
19,290 | Mahindra & Mahindra Financial Services | 132,024 | ||||||
16,380 | Petrobras Distribuidora SA | 76,510 | ||||||
1,382 | Samsung Card Co., Ltd. | 47,448 | ||||||
8,474 | Shriram Transport Finance | 160,678 | ||||||
|
| |||||||
859,172 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
34,843 | Klabin SA | 175,519 | ||||||
|
| |||||||
Distributors (0.0%): | ||||||||
9,121 | Imperial Holdings, Ltd. | 130,179 | ||||||
|
| |||||||
Diversified Consumer Services (0.5%): | ||||||||
87,406 | Kroton Educacional SA | 210,902 | ||||||
8,090 | New Oriental Education & Technology Group, Inc., ADR | 765,799 |
Continued
4
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services, continued | ||||||||
18,562 | TAL Education Group, ADR* | $ | 683,082 | |||||
|
| |||||||
1,659,783 | ||||||||
|
| |||||||
Diversified Financial Services (1.1%): | ||||||||
14,880 | Ayala Corp. | 256,528 | ||||||
71,000 | Chailease Holding Co., Ltd. | 232,634 | ||||||
135,000 | Far East Horizon, Ltd. | 130,778 | ||||||
192,893 | FirstRand, Ltd. | 897,470 | ||||||
405,000 | Fubon Financial Holdings Co., Ltd. | 678,307 | ||||||
12,163 | Grupo de Inversiones Suramericana SA | 156,124 | ||||||
9,452 | Grupo de Inversiones Suramericana SA | 115,325 | ||||||
4,790 | GT Capital Holdings, Inc. | 81,692 | ||||||
50,558 | Haci Omer Sabanci Holding AS | 96,956 | ||||||
783,800 | Metro Pacific Investments Corp. | 67,566 | ||||||
10,154 | PSG Group, Ltd. | 159,946 | ||||||
32,019 | Remgro, Ltd. | 476,356 | ||||||
44,396 | Rmb Holdings, Ltd. | 244,399 | ||||||
30,729 | Rural Electrification Corp., Ltd. | 46,859 | ||||||
|
| |||||||
3,640,940 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.3%): | ||||||||
23,942 | Bharti Infratel, Ltd. | 104,976 | ||||||
166,000 | China Communications Services Corp., Ltd. | 105,061 | ||||||
836,000 | China Telecom Corp., Ltd., Class H | 389,853 | ||||||
394,000 | China Unicom (Hong Kong), Ltd. | 489,225 | ||||||
223,000 | Chunghwa Telecom Co., Ltd. | 804,394 | ||||||
115,749 | Emirates Telecommunications Group Co. PJSC | 509,248 | ||||||
11,965 | Hellenic Telecommunications Organization SA (OTE) | 148,018 | ||||||
4,302 | O2 Czech Republic AS | 49,429 | ||||||
6,681 | Ooredoo Qsc | 133,455 | ||||||
45,417 | Orange Polska SA* | 56,228 | ||||||
2,846,600 | PT Telekomunikasi Indonesia Tbk | 745,880 | ||||||
173,600 | PT Tower Bersama Infrastructure Tbk | 60,420 | ||||||
27,507 | Telefonica Brasil | 325,470 | ||||||
78,100 | Telekom Malaysia Berhad | 60,086 | ||||||
18,236 | Telkom SA SOC, Ltd. | 65,236 | ||||||
681,200 | True Corp. PCL | 109,046 | ||||||
|
| |||||||
4,156,025 | ||||||||
|
| |||||||
Electric Utilities (0.8%): | ||||||||
14,284 | Centrais Eletricas Brasileiras SA* | 45,414 | ||||||
15,700 | Centrais Eletricas Brasileiras SA* | 55,588 | ||||||
11,133 | CEZ | 264,218 | ||||||
51,451 | Companhia Energetica de Minas Gerais, ADR | 95,865 | ||||||
21,000 | EDP — Energias do Brasil SA | 74,354 | ||||||
1,575,191 | ENEL Americas SA | 278,637 | ||||||
1,535,485 | ENEL Chile SA | 151,622 | ||||||
10,152 | Equatorial Energia SA | 149,018 | ||||||
5,442,678 | Federal Hydrogenerating Co. (Rushydro) | 58,472 | ||||||
2,025,679 | Inter Rao Ues PJSC | 132,280 | ||||||
18,720 | Interconexion Electrica SA ESP | 92,665 | ||||||
14,846 | Korea Electric Power Corp., Ltd. | 426,289 | ||||||
47,653 | PGE SA* | 118,780 | ||||||
79,542 | Power Grid Corp. of India, Ltd. | 216,819 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
76,751 | Tata Power Co., Ltd. | $ | 82,050 | |||||
189,100 | Tenega Nasional Berhad | 685,707 | ||||||
|
| |||||||
2,927,778 | ||||||||
|
| |||||||
Electrical Equipment (0.2%): | ||||||||
60,987 | Bharat Heavy Electricals, Ltd. | 63,840 | ||||||
3,385 | Doosan Heavy Industries & Construction Co., Ltd.* | 47,477 | ||||||
3,335 | Elswedy Cables Holding Co. | 37,330 | ||||||
17,292 | Havells India, Ltd. | 137,044 | ||||||
186,000 | Shanghai Electric Group Co., Ltd., Class H* | 62,502 | ||||||
127,000 | Teco Electric & Machinery Co., Ltd. | 95,316 | ||||||
13,900 | Xinjiang Goldwind Science & Technology Co., Ltd.* | 26,429 | ||||||
33,600 | Zhuzhou CSR Times Electric Co., Ltd. | 159,322 | ||||||
|
| |||||||
629,260 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.9%): | ||||||||
46,500 | AAC Technologies Holdings, Inc. | 650,733 | ||||||
561,000 | AU Optronics Corp. | 237,677 | ||||||
35,300 | Delta Electronics Thai PCL | 62,256 | ||||||
113,000 | Delta Electronics, Inc. | 405,487 | ||||||
7,300 | Hangzhou Hikvision Digital-A | 40,663 | ||||||
945,000 | Hon Hai Precision Industry Co., Ltd. | 2,584,541 | ||||||
514,000 | Innolux Corp. | 184,501 | ||||||
44,000 | Kingboard Chemical Holdings, Ltd. | 159,228 | ||||||
55,500 | Kingboard Laminates Holdings, Ltd. | 67,881 | ||||||
6,000 | Largan Precision Co., Ltd. | 882,104 | ||||||
13,562 | LG Display Co., Ltd. | 222,229 | ||||||
1,006 | LG Innotek Co., Ltd. | 130,033 | ||||||
3,394 | Samsung Electro-Mechanics Co., Ltd., Series L | 451,328 | ||||||
3,322 | Samsung SDI Co., Ltd. | 637,524 | ||||||
43,500 | Sunny Optical Technology Group Co., Ltd. | 799,889 | ||||||
100,000 | Synnex Technology International Corp. | 151,015 | ||||||
18,000 | Walsin Technology Corp.* | 245,703 | ||||||
88,000 | WPG Holdings, Ltd. | 124,618 | ||||||
12,000 | Yageo Corp. | 442,387 | ||||||
26,000 | Zhen Ding Technology Holding, Ltd. | 57,433 | ||||||
|
| |||||||
8,537,230 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%): | ||||||||
94,000 | China Oilfield Services, Ltd. | 88,192 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.4%): | ||||||||
131,506 | Emlak Konut Gayrimenkul Yatiirim | 58,136 | ||||||
195,844 | Fibra UNO Amdinistracion SA | 285,547 | ||||||
65,874 | Fortress REIT, Ltd., Class A | 73,983 | ||||||
60,832 | Fortress REIT, Ltd., Class B^ | 66,796 | ||||||
155,303 | Growthpoint Properties, Ltd. | 302,434 | ||||||
16,836 | Hyprop Investments, Ltd. | 125,464 | ||||||
312,282 | Redefine Properties, Ltd. | 238,879 | ||||||
20,451 | Resilient REIT, Ltd. | 83,886 | ||||||
|
| |||||||
1,235,125 | ||||||||
|
| |||||||
Food & Staples Retailing (1.8%): | ||||||||
27,300 | Atacadao Distribuicao Comercio E Industria, Ltd. | 104,832 | ||||||
6,021 | Avenue Supermarts, Ltd.* | 130,451 | ||||||
536 | BGF Retail Co., Ltd. | 93,840 |
Continued
5
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
19,836 | Bid Corp., Ltd. | $ | 398,197 | |||||
10,714 | BIM Birlesik Magazalar AS | 156,691 | ||||||
69,490 | Cencosud SA | 171,892 | ||||||
12,218 | Clicks Group, Ltd. | 174,921 | ||||||
297,500 | CP All PCL | 659,815 | ||||||
2,473 | Dongsuh Companies, Inc. | 57,961 | ||||||
1,280 | E-Mart Co., Ltd. | 292,142 | ||||||
1,911 | GS Retail Co., Ltd. | 75,340 | ||||||
21,576 | Magnit OJSC, Registered Shares, GDR | 387,646 | ||||||
25,356 | Pickn Pay Stores, Ltd. | 138,780 | ||||||
34,000 | President Chain Store Corp. | 384,949 | ||||||
13,924 | Raia Drogasil SA | 235,396 | ||||||
25,193 | Shoprite Holdings, Ltd. | 404,177 | ||||||
154,500 | Sun Art Retail Group, Ltd. | 201,255 | ||||||
12,481 | The Spar Group, Ltd. | 168,659 | ||||||
302,843 | Wal-Mart de Mexico SAB de C.V. | 799,528 | ||||||
6,120 | X5 Retail Group NV, Registered Shares, GDR | 161,991 | ||||||
|
| |||||||
5,198,463 | ||||||||
|
| |||||||
Food Products (1.7%): | ||||||||
28,774 | BRF-Brasil Foods SA* | 133,586 | ||||||
1,983 | Britannia Industries, Ltd. | 179,766 | ||||||
182,700 | Charoen Pokphand Foods Public Co., Ltd. | 133,515 | ||||||
280,000 | China Huishan Dairy Holdings Co., Ltd.*(a) | — | ||||||
167,000 | China Mengniu Dairy Co., Ltd. | 563,244 | ||||||
453 | CJ CheilJedang Corp. | 143,166 | ||||||
95,000 | Dali Foods Group Co., Ltd. | 73,204 | ||||||
87,700 | Felda Global Ventures Holdings | 32,736 | ||||||
3,700 | Foshan Haitian Flavouring & Food Co., Ltd. | 40,968 | ||||||
16,400 | Genting Plantations Berhad | 38,345 | ||||||
13,566 | Gruma, SAB de C.V., Class B | 165,726 | ||||||
91,351 | Grupo Bimbo SAB de C.V., Series A | 178,096 | ||||||
128,600 | IOI Corp. Berhad | 144,595 | ||||||
54,024 | JBS SA | 128,263 | ||||||
25,700 | Kuala Lumpur Kepong Berhad | 153,773 | ||||||
1,592 | Lotte Confectionery Co., Ltd.* | 81,793 | ||||||
7,200 | M Dias Branco SA | 68,953 | ||||||
1,480 | Nestle India, Ltd. | 211,840 | ||||||
4,000 | Nestle Malaysia Berhad | 145,854 | ||||||
1,487 | Orion Corp. | 198,610 | ||||||
84 | Ottogi Corp. | 64,751 | ||||||
8,845 | Pioneer Foods, Ltd. | 72,212 | ||||||
25,900 | PPB Group Berhad | 126,113 | ||||||
341,800 | PT Charoen Pokphand Indonesia Tbk | 87,686 | ||||||
161,400 | PT Indofood CBP Sukses Makmur Tbk | 99,607 | ||||||
244,500 | PT Indofood Sukses Makmur Tbk | 113,424 | ||||||
136,900 | Sime Darby Plantation Berhad | 180,579 | ||||||
17,000 | Standard Foods Corp. | 34,387 | ||||||
128,100 | Thai Union Frozen Products PCL | 61,081 | ||||||
10,199 | Tiger Brands, Ltd. | 246,721 | ||||||
124,000 | Tingyi (Caymen Is) Holding Corp. | 287,490 | ||||||
10,652 | Ulker Biskuvi Sanayi AS* | 41,794 | ||||||
67,000 | Uni-President China Holdings, Ltd. | 86,032 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
288,000 | Uni-President Enterprises Corp. | $ | 730,511 | |||||
56,770 | Universal Robina Corp. | 128,749 | ||||||
321,000 | Want Want China Holdings, Ltd. | 283,608 | ||||||
|
| |||||||
5,460,778 | ||||||||
|
| |||||||
Gas Utilities (0.5%): | ||||||||
105,800 | China Gas Holdings, Ltd. | 425,006 | ||||||
62,000 | China Resources Gas Group, Ltd. | 267,983 | ||||||
46,000 | ENN Energy Holdings, Ltd. | 451,752 | ||||||
37,734 | GAIL India, Ltd. | 187,486 | ||||||
32,977 | Infraestructura Energetica Nova, SAB de C.V. | 147,832 | ||||||
1,962 | Korea Gas Corp.* | 112,943 | ||||||
39,100 | Petronas Gas Berhad | 167,187 | ||||||
755,000 | PT Perusahaan Gas Negara Tbk | 104,742 | ||||||
|
| |||||||
1,864,931 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
65,400 | Hartalega Holdings Berhad | 96,989 | ||||||
132,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 93,290 | ||||||
32,400 | Top Glove Corp. Berhad | 97,137 | ||||||
|
| |||||||
287,416 | ||||||||
|
| |||||||
Health Care Providers & Services (0.5%): | ||||||||
236,200 | Bangkok Dusit Medical Services Public Co., Ltd. | 178,090 | ||||||
24,700 | Bumrungrad Hospital PCL | 124,184 | ||||||
1,982 | Celltrion Healthcare Co., Ltd.* | 196,857 | ||||||
123,600 | IHH Healthcare Berhad | 186,620 | ||||||
86,850 | Life Healthcare Group Holdings Pte, Ltd. | 157,528 | ||||||
65,752 | Netcare, Ltd. | 132,386 | ||||||
18,400 | OdontoPrev SA | 62,679 | ||||||
43,100 | Shanghai Pharmaceuticals Holding Co., Ltd. | 118,366 | ||||||
9,200 | Shanghai Pharmaceuticals Holding Co., Ltd. | 33,144 | ||||||
70,800 | Sinopharm Group Co., Series H | 284,020 | ||||||
|
| |||||||
1,473,874 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
244,000 | Alibaba Health Information Technology, Ltd.* | 234,266 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.6%): | ||||||||
130,000 | Genting Berhard | 270,523 | ||||||
183,000 | Genting Malaysia Berhad | 220,811 | ||||||
7,624 | Huazhu Group, Ltd., ADR | 320,132 | ||||||
29,670 | Jollibee Foods Corp. | 146,252 | ||||||
6,104 | Kangwon Land, Inc. | 143,145 | ||||||
140,800 | Minor International PCL | 137,850 | ||||||
15,544 | OPAP SA | 174,171 | ||||||
21,414 | Yum China Holdings, Inc. | 823,582 | ||||||
|
| |||||||
2,236,466 | ||||||||
|
| |||||||
Household Durables (0.4%): | ||||||||
16,369 | Arcelik AS | 54,361 | ||||||
3,126 | Coway Co., Ltd. | 242,856 | ||||||
83,000 | Haier Electronics Group Co., Ltd. | 283,690 | ||||||
811 | Hanssem Co., Ltd. | 76,375 | ||||||
6,402 | LG Electronics, Inc. | 475,362 |
Continued
6
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
5,100 | Midea Group Co., Ltd.-A | $ | 40,003 | |||||
10,000 | Nien Made Enterprise Co., Ltd. | 85,381 | ||||||
|
| |||||||
1,258,028 | ||||||||
|
| |||||||
Household Products (0.4%): | ||||||||
39,027 | Hindustan Unilever, Ltd. | 934,483 | ||||||
78,482 | Kimberl- Clark de Mexico SAB de C.V.^ | 132,691 | ||||||
92,100 | PT Unilever Indonesia Tbk | 296,124 | ||||||
|
| |||||||
1,363,298 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.4%): | ||||||||
107,100 | Aboitiz Power Corp. | 69,729 | ||||||
545,000 | Cgn Power Co., Ltd., Class H^ | 140,444 | ||||||
179,000 | China Longyuan Power Group Corp. | 143,579 | ||||||
41,500 | China National Nuclear Power Co., Ltd. | 35,256 | ||||||
108,000 | China Resources Power Holdings Co. | 189,341 | ||||||
23,400 | China Yangtze Power Co., Ltd. | 56,981 | ||||||
546,185 | Colbun SA | 112,769 | ||||||
8,800 | Electricity Genera PCL | 59,481 | ||||||
11,300 | Engie Brasil Energia SA | 99,178 | ||||||
28,900 | Glow Energy PCL | 82,648 | ||||||
294,000 | Huaneng Power International, Inc., Class H | 194,247 | ||||||
276,000 | Huaneng Renewables Corp., Ltd. | 91,420 | ||||||
97,251 | NTPC, Ltd. | 226,644 | ||||||
|
| |||||||
1,501,717 | ||||||||
|
| |||||||
Industrial Conglomerates (1.6%): | ||||||||
141,120 | Aboitiz Equity Ventures, Inc. | 144,149 | ||||||
175,934 | Alfa SAB de C.V., Class A | 204,328 | ||||||
254,400 | Alliance Global Group, Inc.* | 55,381 | ||||||
27,500 | Beijing Enterprises Holdings, Ltd. | 133,734 | ||||||
19,341 | Bidvest Group, Ltd. | 277,596 | ||||||
342,000 | Citic, Ltd. | 479,433 | ||||||
875 | CJ Corp. | 111,405 | ||||||
275,700 | DMCI Holdings, Inc. | 54,244 | ||||||
170,000 | Far Eastern New Century Corp. | 161,012 | ||||||
170,500 | Fosun International, Ltd. | 318,471 | ||||||
34,601 | Grupo Carso SAB de C.V. | 117,088 | ||||||
2,013 | Hanwha Corp. | 56,973 | ||||||
41,000 | Hap Seng Consolidated Berhad | 99,470 | ||||||
10,392 | Industries Qatar Q.S.C. | 305,474 | ||||||
184,960 | JG Summit Holdings, Inc. | 173,298 | ||||||
45,810 | KOC Holdings AS | 141,677 | ||||||
5,535 | LG Corp. | 357,710 | ||||||
4,535 | Samsung C&T Corp. | 473,532 | ||||||
33,000 | Shanghai Industrial Holdings, Ltd. | 76,735 | ||||||
4,930 | Siemens, Ltd. | 70,506 | ||||||
169,500 | Sime Darby Berhad | 102,747 | ||||||
1,821 | SK C&C Co., Ltd. | 422,687 | ||||||
14,470 | SM Investments Corp. | 237,217 | ||||||
54,505 | Turkiye Sise ve Cam Fabrikalari AS | 50,189 | ||||||
|
| |||||||
4,625,056 | ||||||||
|
| |||||||
Insurance (3.6%): | ||||||||
2,533 | Bajaj Finserv, Ltd. | 214,763 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
38,177 | BB Seguridade Participacoes SA | $ | 242,363 | |||||
476,000 | Cathay Financial Holding Co., Ltd. | 839,223 | ||||||
148,240 | China Life Insurance Co., Ltd. | 156,014 | ||||||
451,000 | China Life Insurance Co., Ltd. | 1,157,893 | ||||||
159,000 | China Pacific Insurance Group Co., Ltd., Class H | 610,684 | ||||||
97,600 | China Taiping Insurance Holdings Co., Ltd. | 301,548 | ||||||
20,876 | Discovery, Ltd. | 224,405 | ||||||
3,216 | Dongbu Insurance Co., Ltd. | 170,224 | ||||||
15,390 | Hanwha Life Insurance Co., Ltd. | 73,021 | ||||||
3,593 | Hyundai Marine & Fire Insurance Co., Ltd. | 108,571 | ||||||
7,924 | Liberty Holding, Ltd. | 67,048 | ||||||
50,823 | MMI Holdings, Ltd. | 65,351 | ||||||
52,100 | New China Life Insurance Co., Ltd. | 214,526 | ||||||
270,000 | Old Mutual, Ltd. | 547,287 | ||||||
432,000 | People’s Insurance Co. Group of China, Ltd. | 201,288 | ||||||
414,000 | Picc Property & Casuality Co., Ltd., Class H | 443,029 | ||||||
302,000 | Ping An Insurance Group Co. of China, Ltd. | 2,759,807 | ||||||
7,400 | Ping An Insurance Group Co. of China, Ltd. | 65,019 | ||||||
7,800 | Porto Seguro SA | 81,442 | ||||||
34,570 | Powszechny Zaklad Ubezpieczen SA | 358,555 | ||||||
12,775 | Qatar Insurance Co. | 124,588 | ||||||
32,924 | Rand Merchant Investment Holdings, Ltd. | 89,938 | ||||||
1,921 | Samsung Fire & Marine Insurance Co., Ltd. | 454,954 | ||||||
3,971 | Samsung Life Insurance Co., Ltd. | 350,243 | ||||||
89,871 | Sanlam, Ltd. | 456,039 | ||||||
479,000 | Shin Kong Financial Holdings Co., Ltd. | 184,384 | ||||||
14,112 | Sul America SA | 67,519 | ||||||
|
| |||||||
10,629,726 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (1.0%): | ||||||||
22,810 | Ctrip.com International, ADR*^ | 1,086,440 | ||||||
41,759 | JD.com, Inc., ADR* | 1,626,513 | ||||||
26,040 | Vipshop Holdings, Ltd., ADR* | 282,534 | ||||||
|
| |||||||
2,995,487 | ||||||||
|
| |||||||
Internet Software & Services (12.1%): | ||||||||
5,708 | 58.com, Inc., ADR* | 395,793 | ||||||
67,480 | Alibaba Group Holding, Ltd., ADR* | 12,519,564 | ||||||
3,201 | Autohome, Inc., ADR | 323,301 | ||||||
16,121 | Baidu, Inc., ADR* | 3,917,403 | ||||||
8,600 | China Literature, Ltd.* | 80,293 | ||||||
2,326 | Daum Kakao Corp. | 238,646 | ||||||
10,823 | Fang Holdings, Ltd., ADR* | 41,993 | ||||||
6,605 | Momo, Inc., ADR* | 287,318 | ||||||
4,624 | NetEase, Inc., ADR | 1,168,346 | ||||||
1,613 | NHN Corp. | 1,102,423 | ||||||
3,755 | SINA Corp.* | 318,011 | ||||||
332,500 | Tencent Holdings, Ltd. | 16,558,311 | ||||||
2,651 | Weibo Corp., ADR*^ | 235,303 | ||||||
2,646 | YY, Inc., ADR* | 265,844 | ||||||
|
| |||||||
37,452,549 | ||||||||
|
| |||||||
IT Services (1.6%): | ||||||||
76,993 | Cielo SA | 328,835 |
Continued
7
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
3,318 | Gds Holdings, Ltd., ADR*^ | $ | 133,019 | |||||
33,870 | HCL Technologies, Ltd. | 456,961 | ||||||
101,619 | Infosys, Ltd. | 1,949,870 | ||||||
2,007 | Samsung SDS Co., Ltd. | 360,548 | ||||||
54,820 | Tata Consultancy Services, Ltd. | 1,475,419 | ||||||
29,797 | Tech Mahindra, Ltd. | 284,856 | ||||||
68,000 | Travelsky Technology, Ltd., Series H | 197,329 | ||||||
29,140 | Vakrangee, Ltd. | 28,428 | ||||||
67,360 | Wipro, Ltd. | 257,802 | ||||||
|
| |||||||
5,473,067 | ||||||||
|
| |||||||
Leisure Products (0.0%): | ||||||||
18,000 | Giant Manufacturing Co., Ltd. | 76,091 | ||||||
1,750 | HLB, Inc.* | 152,770 | ||||||
|
| |||||||
228,861 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.2%): | ||||||||
44,000 | Genscript Biotech Corp.* | 120,827 | ||||||
958 | Samsung Biologics Co., Ltd.* | 358,231 | ||||||
28,000 | Wuxi Biologics Cayman, Inc.*^ | 310,469 | ||||||
|
| |||||||
789,527 | ||||||||
|
| |||||||
Machinery (0.7%): | ||||||||
8,000 | AirTac International Group | 113,640 | ||||||
78,790 | Ashok Leyland, Ltd. | 144,551 | ||||||
98,500 | China Conch Venture Holdings, Ltd. | 359,969 | ||||||
241,000 | CRRC Corp., Ltd., Class H | 186,067 | ||||||
2,340 | Doosan Bobcat, Inc. | 67,138 | ||||||
757 | Eicher Motors, Ltd. | 315,655 | ||||||
44,000 | Haitian International Holdings, Ltd. | 103,569 | ||||||
12,300 | Hiwin Technologies Corp. | 145,028 | ||||||
2,166 | Hyundai Heavy Industries Co.* | 197,934 | ||||||
21,696 | Samsung Heavy Industries Co., Ltd., Class R* | 138,797 | ||||||
35,500 | Sinotruk Hong Kong, Ltd.* | 58,365 | ||||||
49,176 | WEG SA | 204,445 | ||||||
132,000 | Weichai Power Co., Ltd., Class H | 181,662 | ||||||
|
| |||||||
2,216,820 | ||||||||
|
| |||||||
Marine (0.0%): | ||||||||
102,000 | Cosco Shipping Holdings Co., Ltd.* | 46,385 | ||||||
135,893 | Evergreen Marine Corp. (Taiwan), Ltd.* | 57,899 | ||||||
70,400 | MISC Berhad | 103,242 | ||||||
|
| |||||||
207,526 | ||||||||
|
| |||||||
Media (2.6%): | ||||||||
860,000 | Alibaba Pictures Group, Ltd.*^ | 93,952 | ||||||
108,100 | Astro Malaysia Holdings Berhad | 42,552 | ||||||
4,891 | Cheil Worldwide, Inc. | 90,489 | ||||||
1,345 | CJ E&M Corp. | 138,438 | ||||||
13,280 | Cyfrowy Polsat SA | 82,058 | ||||||
142,187 | Grupo Televisa SAB | 539,445 | ||||||
25,540 | Naspers, Ltd. | 6,476,267 | ||||||
404,000 | PT Surya Citra Media Tbk | 57,993 | ||||||
30,612 | ZEE Entertainment Enterprises, Ltd. | 242,953 | ||||||
|
| |||||||
7,764,147 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining (3.4%): | ||||||||
151,500 | Alrosa PAO | $ | 241,188 | |||||
288,000 | Aluminum Corp. of China, Ltd.* | 126,282 | ||||||
58,000 | Angang Steel Co., Ltd. | 51,938 | ||||||
3,733 | Anglo American Platinum, Ltd. | 97,721 | ||||||
24,740 | AngloGold Ashanti, Ltd. | 202,059 | ||||||
210,000 | China Molybdenum Co., Ltd. | 100,617 | ||||||
672,000 | China Steel Corp. | 522,226 | ||||||
9,240 | Cia de Minas Buenaventura SA, ADR | 125,941 | ||||||
43,200 | Companhia Siderurgica Nacional SA (CSN)* | 87,515 | ||||||
81,505 | Eregli Demir ve Celik Fabrikalari T.A.S. | 180,919 | ||||||
53,673 | Gold Fields | 191,318 | ||||||
202,642 | Grupo Mexico SAB de C.V., Series B | 574,486 | ||||||
65,477 | Hindalco Industries, Ltd. | 219,824 | ||||||
5,176 | Hyundai Steel Co. | 244,135 | ||||||
9,186 | Industrias Penoles SAB de C.V. | 164,974 | ||||||
3,202 | Jastrzebska Spolka Weglowa SA* | 65,238 | ||||||
86,000 | Jiangxi Copper Co., Ltd. | 109,009 | ||||||
47,699 | JSW Steel, Ltd. | 227,212 | ||||||
8,941 | KGHM Polska Miedz SA | 209,765 | ||||||
530 | Korea Zinc Co. | 183,483 | ||||||
4,432 | Kumba Iron Ore, Ltd. | 94,575 | ||||||
153,767 | Magnitogorsk Iron & Steel Works PJSC | 103,997 | ||||||
3,650 | MMC Norilsk Nickel PJSC | 662,225 | ||||||
132,000 | MMG, Ltd.* | 91,612 | ||||||
77,152 | Novolipetsk Steel PJSC | 186,465 | ||||||
1,838 | Polyus PJSC | 122,988 | ||||||
4,414 | POSCO | 1,304,214 | ||||||
90,100 | Press Metal Aluminium Holdings Berhad | 97,048 | ||||||
11,606 | Severstal | 171,682 | ||||||
5,033 | Southern Copper Corp.^ | 235,897 | ||||||
20,514 | Tata Steel, Ltd. | 169,708 | ||||||
185,218 | Vale SA | 2,360,274 | ||||||
74,604 | Vedanta, Ltd. | 255,539 | ||||||
398,000 | Zijin Mining Group Co., Ltd. | 150,955 | ||||||
|
| |||||||
9,933,029 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
12,985 | El Puerto de Liverpool SAb de C.V.^ | 83,101 | ||||||
753 | Hyundai Department Store Co., Ltd. | 77,970 | ||||||
44,035 | Lojas Renner SA | 328,871 | ||||||
691 | Lotte Shopping Co., Ltd. | 130,095 | ||||||
4,232 | Magazine Luiza SA | 139,246 | ||||||
141,900 | PT Matahari Department Store Tbk | 87,004 | ||||||
34,100 | Robinson Department Store Public Co., Ltd. | 57,632 | ||||||
41,065 | S.A.C.I. Falabella | 376,629 | ||||||
425 | Shinsegae Department Store Co. | 152,907 | ||||||
55,062 | Woolworths Holdings, Ltd. | 222,350 | ||||||
|
| |||||||
1,655,805 | ||||||||
|
| |||||||
Multi-Utilities (0.0%): | ||||||||
1,773 | Qatar Electricity & Water Co. | 91,555 | ||||||
236,964 | YTL Corporation Berhad | 66,212 | ||||||
|
| |||||||
157,767 | ||||||||
|
|
Continued
8
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels (7.3%): | ||||||||
133,700 | Banpu Public Co., Ltd. | $ | 78,747 | |||||
48,027 | Bharat Pertoleum Corp., Ltd. | 261,574 | ||||||
1,546,000 | China Petroleum & Chemical Corp., Class H | 1,387,752 | ||||||
204,000 | China Shenhua Energy Co., Ltd. | 480,343 | ||||||
1,078,000 | CNOOC, Ltd. | 1,846,984 | ||||||
43,889 | Coal India, Ltd. | 169,250 | ||||||
8,335 | Cosan sa industria e Comercio | 76,531 | ||||||
299,839 | Ecopetrol SA | 309,640 | ||||||
22,578 | Empresas Copec SA | 345,813 | ||||||
79,400 | Energy Absolute Public Co., Ltd. | 78,320 | ||||||
13,204 | Exxaro Resources, Ltd. | 121,088 | ||||||
69,000 | Formosa Petrochemical Corp. | 276,745 | ||||||
614,709 | Gazprom PJSC | 1,379,341 | ||||||
6,397 | Grupa Lotos SA | 97,220 | ||||||
3,320 | GS Holdings | 161,935 | ||||||
41,744 | Hindustan Petroleum Corp., Ltd. | 157,877 | ||||||
80,362 | Indian Oil Corp., Ltd. | 182,857 | ||||||
31,200 | Inner Mongolia Yitai Coal Co., Ltd.* | 42,399 | ||||||
541,600 | IRPC PCL | 94,730 | ||||||
206,000 | Kunlun Energy Co., Ltd. | 179,891 | ||||||
24,795 | LUKOIL PJSC | 1,715,785 | ||||||
20,032 | MOL Hungarian Oil & Gas plc | 193,706 | ||||||
5,532 | NovaTek OAO, Registered Shares, GDR | 819,431 | ||||||
46,100 | Oil & Gas Development Co., Ltd. | 59,107 | ||||||
69,904 | Oil & Natural Gas Corp., Ltd. | 161,275 | ||||||
1,290,000 | PetroChina Co., Ltd., Class H | 982,157 | ||||||
226,132 | Petroleo Brasileiro SA* | 1,001,983 | ||||||
174,685 | Petroleo Brasileiro SA | 874,552 | ||||||
15,500 | Petronas Dagangan Berhad | 94,970 | ||||||
30,962 | Petronet LNG, Ltd. | 98,992 | ||||||
17,997 | Polski Koncern Naftowy Orlen SA | 403,572 | ||||||
93,495 | Polskie Gornictwo Naftowe i Gazownictwo SA | 142,525 | ||||||
996,300 | PT Adaro Energy Tbk | 124,224 | ||||||
100,500 | PT United Tractors Tbk | 221,187 | ||||||
82,500 | PTT Exploration & Production PCL | 349,377 | ||||||
670,000 | PTT PCL | 969,613 | ||||||
165,589 | Reliance Industries, Ltd. | 2,348,128 | ||||||
64,921 | Rosneft Oil Co., Registered Shares, GDR | 402,236 | ||||||
3,893 | SK Energy Co., Ltd. | 704,934 | ||||||
2,674 | S-Oil Corp. | 262,422 | ||||||
382,361 | Surgutneftegas OJSC | 173,330 | ||||||
479,800 | Surgutneftegas Prefernce | 241,512 | ||||||
88,374 | Tatneft PJSC | 949,890 | ||||||
58,300 | Thai Oil Public Co., Ltd. | 136,707 | ||||||
7,686 | Tupras-Turkiye Petrol Rafine | 180,777 | ||||||
21,790 | Ultrapar Participacoes SA | 258,106 | ||||||
130,000 | Yanzhou Coal Mining Co. | 169,116 | ||||||
|
| |||||||
21,768,651 | ||||||||
|
| |||||||
Paper & Forest Products (0.6%): | ||||||||
71,055 | Empresas CMPC SA | 259,019 | ||||||
14,594 | Fibria Celulose SA | 271,919 | ||||||
82,000 | Lee & Man Paper Manufacturing, Ltd. | 82,566 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Paper & Forest Products, continued | ||||||||
7,306 | Mondi, Ltd. | $ | 198,039 | |||||
99,000 | Nine Dragons Paper Holdings, Ltd. | 125,929 | ||||||
148,500 | PT Indah Kiat Pulp & Paper Corp Tbk* | 192,512 | ||||||
34,838 | Sappi, Ltd. | 231,967 | ||||||
28,000 | Suzano Papel e Celulose SA | 323,138 | ||||||
|
| |||||||
1,685,089 | ||||||||
|
| |||||||
Personal Products (0.8%): | ||||||||
1,908 | Amorepacific Corp. | 551,563 | ||||||
635 | Amorepacific Corp. | 88,120 | ||||||
1,878 | Amorepacific Group | 207,939 | ||||||
33,415 | Dabur India, Ltd. | 190,815 | ||||||
13,803 | Godrej Consumer Products, Ltd. | 246,845 | ||||||
44,500 | Hengan International Group Co., Ltd. | 425,582 | ||||||
148 | LG Household & Health Care, Ltd. | 96,901 | ||||||
530 | LG Household & Health Care, Ltd. | 663,574 | ||||||
27,460 | Marico, Ltd. | 132,869 | ||||||
11,900 | Natura Cosmeticos SA | 93,081 | ||||||
|
| |||||||
2,697,289 | ||||||||
|
| |||||||
Pharmaceuticals (1.5%): | ||||||||
22,714 | Aspen Pharmacare Holdings, Ltd. | 427,880 | ||||||
13,816 | Aurobindo Pharma, Ltd. | 122,411 | ||||||
14,212 | Cadila Healthcare, Ltd.* | 78,219 | ||||||
816 | Celltrion Pharm, Inc.* | 66,306 | ||||||
85,000 | China Medical System Holdings, Ltd. | 169,094 | ||||||
284,000 | China Pharmaceutical Enterprise & Investment Corp. | 853,688 | ||||||
129,500 | China Resources Pharmaceutical | 178,786 | ||||||
120,000 | China Traditional Chinese Medicine Co., Ltd. | 103,595 | ||||||
18,014 | Cipla, Ltd. | 162,068 | ||||||
6,730 | Dr Reddy’s Laboratories, Ltd. | 219,381 | ||||||
9,570 | Glenmark Pharmaceuticals, Ltd. | 81,341 | ||||||
349 | Hanmi Pharm Co., Ltd. | 131,684 | ||||||
899 | Hanmi Science Co., Ltd. | 52,071 | ||||||
17,832 | Hypermarcas SA | 126,734 | ||||||
3,900 | Jiangsu Hengrui Medicine Co. Limited | 44,563 | ||||||
13,889 | Lupin, Ltd. | 183,084 | ||||||
58,000 | Luye Pharma Group, Ltd. | 59,223 | ||||||
5,303 | Piramal Enterprises, Ltd. | 196,241 | ||||||
1,104,900 | PT Kalbe Farma Tbk | 93,985 | ||||||
8,905 | Richter Gedeon Nyrt | 162,912 | ||||||
31,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 169,528 | ||||||
262,000 | Sihuan Pharmaceutical Holdings Group, Ltd. | 58,379 | ||||||
403,500 | Sino Biopharmaceutical, Ltd. | 615,742 | ||||||
78,000 | SSY Group, Ltd. | 86,358 | ||||||
45,727 | Sun Pharmaceutical Industries, Ltd. | 376,063 | ||||||
610 | Yuhan Corp. | 119,024 | ||||||
|
| |||||||
4,938,360 | ||||||||
|
| |||||||
Professional Services (0.0%): | ||||||||
1,403 | 51job, Inc., ADR* | 136,989 | ||||||
|
| |||||||
Real Estate Management & Development (2.6%): | ||||||||
106,000 | Agile Property Holdings, Ltd. | 180,557 | ||||||
217,681 | Aldar Properties PJSC | 119,860 |
Continued
9
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
434,100 | Ayala Land, Inc. | $ | 308,310 | |||||
10,148 | Barwa Real Estate Co. | 95,345 | ||||||
42,679 | BR Malls Participacoes SA* | 107,276 | ||||||
77,800 | Central Pattana PCL | 163,728 | ||||||
154,000 | China Evergrande Group* | 391,543 | ||||||
230,000 | China Overseas Land & Investment, Ltd. | 752,442 | ||||||
176,000 | China Resources Land, Ltd. | 589,110 | ||||||
71,800 | China Vanke Co., Ltd., Class H | 250,709 | ||||||
222,000 | CIFI Holdings Group Co., Ltd. | 140,472 | ||||||
441,000 | Country Garden Holdings Co., Ltd. | 769,394 | ||||||
120,230 | Damac Properties Dubai Co. PJSC | 67,174 | ||||||
135,116 | Emaar Malls PJSC | 78,747 | ||||||
226,194 | Emaar Properties PJSC | 303,139 | ||||||
64,021 | Ezdan Holding Group* | 144,219 | ||||||
258,000 | Franshion Properties China, Ltd. | 129,294 | ||||||
447,500 | Fullshare Holdings, Ltd. | 221,144 | ||||||
98,000 | Future Land Development Holdings, Ltd. | 88,229 | ||||||
45,000 | Greentown China Holdings, Ltd. | 60,254 | ||||||
64,800 | Guangzhou R&F Properties Co., Ltd., Class H | 129,963 | ||||||
61,000 | Highwealth Construction Corp. | 90,507 | ||||||
109,100 | IOI Properties Group Berhad | 43,192 | ||||||
56,000 | Jiayuan International Group, Ltd. | 97,034 | ||||||
116,000 | Kaisa Group Holdings, Ltd. | 49,458 | ||||||
69,500 | KWG Property Holding, Ltd. | 86,603 | ||||||
76,000 | Logan Property Holdings Co., Ltd. | 102,139 | ||||||
101,000 | Longfor Properties Co., Ltd. | 271,813 | ||||||
770,000 | Megaworld Corp. | 61,761 | ||||||
1,752 | Multiplan Empreendimentos Imobiliarios SA | 25,595 | ||||||
16,645 | NEPI Rockcastle plc | 148,559 | ||||||
570,800 | PT Bumi Serpong Damai Tbk* | 62,233 | ||||||
1,266,300 | PT Pakuwon Jati Tbk | 46,790 | ||||||
68,400 | Ruentex Development Co., Ltd.* | 78,898 | ||||||
60,100 | Shanghai Lujiazue* | 86,029 | ||||||
75,500 | Shimao Property Holdings, Ltd. | 197,169 | ||||||
169,500 | Sime Darby Property Berhad | 50,241 | ||||||
218,500 | Sino-Ocean Land Holdings, Ltd. | 126,645 | ||||||
523,100 | SM Prime Holdings, Inc. | 352,080 | ||||||
118,500 | Soho China, Ltd. | 56,227 | ||||||
137,000 | Sunac China Holdings, Ltd. | 476,611 | ||||||
302,000 | Yuexiu Property Co., Ltd. | 57,561 | ||||||
89,000 | Yuzhou Properties Co., Ltd. | 52,118 | ||||||
|
| |||||||
7,710,172 | ||||||||
|
| |||||||
Road & Rail (0.1%): | ||||||||
404,600 | BTS Group Holdings PCL | 107,527 | ||||||
400 | CJ Korea Express Co., Ltd.* | 60,242 | ||||||
5,736 | Container Corp. of India, Ltd. | 54,565 | ||||||
29,026 | Localiza Rent a Car SA | 177,152 | ||||||
56,464 | Rumo SA* | 203,999 | ||||||
|
| |||||||
603,485 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (5.4%): | ||||||||
203,465 | ASE Technology Holding Co., Ltd.* | 477,924 | ||||||
966,000 | GCL-Poly Energy Holdings, Ltd.* | 90,580 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
11,000 | Globalwafers Co., Ltd. | $ | 182,629 | |||||
436 | Hyundai Robotics Co., Ltd.* | 138,134 | ||||||
124,000 | Macronix International Co., Ltd.* | 176,149 | ||||||
87,000 | MediaTek, Inc. | 855,162 | ||||||
48,000 | Nanya Technology Corp. | 130,725 | ||||||
40,000 | Novatek Microelectronics Corp. | 180,222 | ||||||
10,000 | Phison Electronics Corp. | 78,991 | ||||||
42,000 | Powertech Technology, Inc. | 121,807 | ||||||
32,000 | Realtek Semiconductor Corp. | 116,351 | ||||||
183,800 | Semiconductor Manufacturing International Corp.* | 238,466 | ||||||
33,914 | SK Hynix, Inc. | 2,599,875 | ||||||
1,434,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 10,204,584 | ||||||
701,000 | United Microelectronics Corp. | 391,745 | ||||||
62,000 | Vanguard International Semiconductor Corp. | 141,791 | ||||||
24,000 | WIN Semiconductors Corp. | 172,409 | ||||||
201,000 | Winbond Electronics Corp. | 128,348 | ||||||
146,000 | Xinyi Solar Holdings, Ltd. | 44,737 | ||||||
|
| |||||||
16,470,629 | ||||||||
|
| |||||||
Software (0.4%): | ||||||||
4,099 | CD Projekt SA* | 176,881 | ||||||
110,000 | Kingdee International Software Group Co., Ltd. | 111,762 | ||||||
47,000 | Kingsoft Corp., Ltd. | 141,850 | ||||||
1,119 | Ncsoft Corp. | 372,158 | ||||||
1,142 | Netmarble Games Corp. | 155,788 | ||||||
281 | Pearl Abyss Corp.* | 56,810 | ||||||
|
| |||||||
1,015,249 | ||||||||
|
| |||||||
Specialty Retail (0.4%): | ||||||||
2,316 | FF Group* | 12,981 | ||||||
651,000 | GOME Electrical Appliances Holdings, Ltd.* | 66,304 | ||||||
271,400 | Home Product Center Public Co., Ltd. | 109,819 | ||||||
17,000 | Hotai Motor Co., Ltd. | 149,609 | ||||||
1,936 | Hotel Shilla Co., Ltd. | 214,278 | ||||||
5,140 | Jumbo SA | 84,690 | ||||||
15,795 | Mr.Price Group, Ltd. | 259,638 | ||||||
14,576 | The Foschini Group, Ltd. | 184,747 | ||||||
24,019 | Truworths International, Ltd. | 135,372 | ||||||
30,000 | Zhongsheng Group Holdings, Ltd. | 89,741 | ||||||
|
| |||||||
1,307,179 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.8%): | ||||||||
203,000 | Acer, Inc. | 165,585 | ||||||
18,199 | Advantech Co., Ltd. | 119,893 | ||||||
41,000 | Asustek Computer, Inc. | 374,275 | ||||||
40,000 | Catcher Technology Co., Ltd. | 446,794 | ||||||
36,180 | Chicony Electronics Co., Ltd. | 81,492 | ||||||
262,000 | Compal Electronics, Inc. | 164,858 | ||||||
59,000 | Foxconn Technology Co., Ltd. | 144,284 | ||||||
45,000 | High Tech Computer Corp.* | 83,891 | ||||||
176,000 | Inventec Corp. | 138,166 | ||||||
17,400 | Legend Holdings Corp., Class H | 52,946 | ||||||
470,000 | Lenovo Group, Ltd.^ | 253,117 | ||||||
138,000 | Lite-On Technology Corp. | 166,924 |
Continued
10
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
89,500 | Meitu, Inc.* | $ | 77,897 | |||||
42,000 | Micro-Star International Co., Ltd. | 129,638 | ||||||
112,000 | Pegatron Corp. | 230,185 | ||||||
144,000 | Quanta Computer, Inc. | 252,494 | ||||||
280,567 | Samsung Electronics Co., Ltd. | 11,716,396 | ||||||
158,217 | Wistron Corp. | 117,363 | ||||||
|
| |||||||
14,716,198 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.7%): | ||||||||
67,000 | Anta Sports Products, Ltd. | 352,480 | ||||||
1,856 | CCC SA | 102,371 | ||||||
11,220 | Eclat Textile Co., Ltd. | 133,289 | ||||||
23,000 | Feng Tay Enterprise Co., Ltd. | 115,324 | ||||||
49,000 | Formosta Taffeta Co., Ltd. | 53,665 | ||||||
81 | LPP SA | 183,391 | ||||||
120,000 | Pou Chen Corp. | 139,253 | ||||||
39,000 | Ruentex Industries, Ltd. | 79,492 | ||||||
42,000 | Shenzhou International Group | 515,013 | ||||||
18,747 | Titan Co., Ltd. | 240,219 | ||||||
|
| |||||||
1,914,497 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (1.0%): | ||||||||
92,359 | Housing Development Finance Corp., Ltd. | 2,570,909 | ||||||
15,959 | Indiabulls Housing Finance, Ltd. | 265,867 | ||||||
20,876 | LIC Housing Finance, Ltd. | 142,638 | ||||||
|
| |||||||
2,979,414 | ||||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
9,900 | British American Tobacco Malaysia Berhad | 85,209 | ||||||
197,097 | ITC, Ltd. | 765,101 | ||||||
6,899 | KT&G Corp. | 661,639 | ||||||
28,200 | PT Gudang Garam Tbk | 132,187 | ||||||
533,100 | PT Hanjaya Mandala Sampoerna TbK | 132,886 | ||||||
|
| |||||||
1,777,022 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.0%): | ||||||||
8,500 | BOC Aviation, Ltd. | 52,754 | ||||||
1,713 | Daewoo International Corp. | 32,853 | ||||||
124,300 | PT AkR Corporindo Tbk | 37,232 | ||||||
|
| |||||||
122,839 | ||||||||
|
| |||||||
Transportation Infrastructure (0.9%): | ||||||||
28,085 | Adani Ports & Special Economic Zone, Ltd. | 152,803 | ||||||
260,700 | Airports of Thailand Public Co., Ltd. | 496,075 | ||||||
476,100 | Bangkok Expressway & Metro | 106,958 | ||||||
106,000 | Beijing Capital International Airport Co., Ltd. | 111,485 | ||||||
81,228 | China Merchants Holdings International Co., Ltd. | 163,929 | ||||||
75,436 | Companhia de Concessoes Rodoviarias | 195,647 | ||||||
112,000 | Cosco Pacific, Ltd. | 92,693 | ||||||
11,337 | DP World, Ltd. | 261,040 | ||||||
10,570 | Grupo Aeroportuario de Sur | 167,955 | ||||||
23,100 | Grupo Aeroporturaio del Pacifico SAB de C.V. | 214,416 | ||||||
35,200 | International Container Terminal Services, Inc. | 50,813 | ||||||
84,000 | Jiangsu Expressway Co., Ltd., Series H | 99,755 | ||||||
54,700 | Malaysia Airports Holdings Berhad | 119,223 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Transportation Infrastructure, continued | ||||||||
15,232 | Promotora y Operadora de Infraestructura SAB de C.V. | $ | 136,367 | |||||
150,707 | PT Jasa Marga Persero Tbk | 43,891 | ||||||
43,000 | Shenzhen International Holdings, Ltd. | 88,883 | ||||||
108,000 | Taiwan High Speed Rail Corp. | 84,634 | ||||||
11,315 | TAV Havalimanlari Holding AS | 55,301 | ||||||
70,800 | Westports Holding Berhad | 59,358 | ||||||
106,000 | Zhejiang Expressway Co., Ltd. | 94,437 | ||||||
|
| |||||||
2,795,663 | ||||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
180,991 | Aguas Andinas SA, Class A | 98,938 | ||||||
328,000 | Beijing Enterprises Water Group, Ltd.^ | 178,680 | ||||||
23,502 | Cia Saneamento Basico Do Estado de Sao Paulo | 141,255 | ||||||
176,000 | Guangdong Investment, Ltd. | 278,675 | ||||||
|
| |||||||
697,548 | ||||||||
|
| |||||||
Wireless Telecommunication Services (3.0%): | ||||||||
57,400 | Advanced Info Service Public Co., Ltd. | 320,691 | ||||||
1,964,909 | America Movil SAB de C.V., Series L | 1,640,764 | ||||||
160,900 | Axiata Group Berhad | 151,468 | ||||||
79,657 | Bharti Airtel, Ltd. | 443,832 | ||||||
360,000 | China Mobile, Ltd. | 3,193,226 | ||||||
181,800 | DIGI.com Berhad | 186,513 | ||||||
8,615 | Empresa Nacional de Telecomunicaciones SA | 79,172 | ||||||
90,000 | Far EasTone Telecommunications Co., Ltd. | 232,586 | ||||||
2,300 | Globe Telecom, Inc. | 66,355 | ||||||
94,240 | Idea Cellular, Ltd.* | 81,581 | ||||||
107,200 | Maxis Berhad | 144,795 | ||||||
30,032 | Mobile TeleSystems PJSC, ADR | 265,183 | ||||||
95,770 | MTN Group, Ltd. | 753,075 | ||||||
4,845 | PLDT, Inc. | 115,799 | ||||||
1,176 | SK Telecom Co., Ltd. | 246,275 | ||||||
96,000 | Taiwan Mobile Co., Ltd. | 347,949 | ||||||
47,360 | Tim Participacoes SA | 159,618 | ||||||
64,877 | Turkcell Iletisim Hizmetleri AS | 171,338 | ||||||
35,890 | Vodacom Group, Ltd. | 320,787 | ||||||
|
| |||||||
8,921,007 | ||||||||
|
| |||||||
Total Common Stocks (Cost $234,913,406) | 298,886,382 | |||||||
|
| |||||||
Preferred Stocks (1.9%): | ||||||||
Automobiles (0.1%): | ||||||||
2,422 | Hyundai Motor Co., Ltd., 3.42% | 197,253 | ||||||
|
| |||||||
Banks (1.0%): | ||||||||
190,895 | Banco Bradesco SA, 0.65% | 1,319,269 | ||||||
185,337 | Itau Unibanco Holding SA, Series S, 0.73% | 1,920,330 | ||||||
|
| |||||||
3,239,599 | ||||||||
|
| |||||||
Chemicals (0.0%): | ||||||||
11,261 | Braskem SA, Class A, 6.24% | 146,408 | ||||||
|
| |||||||
Food & Staples Retailing (0.1%): | ||||||||
10,387 | Companhia Brasileira de Destribuicao Grupo Pao de Acucar, Series A, 0.02% | 207,579 | ||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
60,232 | Gerdau SA, 0.43% | 215,281 | ||||||
|
|
Continued
11
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Preferred Stocks, continued | ||||||||
Multiline Retail (0.1%): | ||||||||
47,082 | Lojas Americanas SA, 0.09% | $ | 201,693 | |||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
49,807 | Samsung Electronics Co., Ltd., 2.46% | 1,679,684 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $5,696,960) | 5,887,497 | |||||||
|
| |||||||
Right (0.0%): | ||||||||
Electric Utilities (0.0%): | ||||||||
178,922 | Rushydro Pjsc — Rights, Expires on 12/31/49* | — | ||||||
|
| |||||||
Total Right (Cost $—) | — | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (1.1%): | ||||||||
$ | 3,277,446 | AZL MSCI Emerging Markets Equity Index Fund Securities Lending Collateral Account(b) | $ | 3,277,446 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 3,277,446 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.6%): | ||||||||
1,941,509 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(c) | 1,941,509 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $1,941,509) | 1,941,509 | |||||||
|
| |||||||
Total Investment Securities (Cost $245,829,321) — 100.2%(d) | 309,992,834 | |||||||
Net other assets (liabilities) — (0.2)% | (569,099 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 309,423,735 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
GDR—Global Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $3,065,080. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.00% of the net assets of the fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(c) | The rate represents the effective yield at June 30, 2018. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amount shown as “-“ are $0 or round to less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Bermuda | 0.3 | % | ||
Brazil | 5.7 | % | ||
Cayman Islands | 2.3 | % | ||
Chile | 1.1 | % | ||
China | 23.1 | % | ||
Colombia | 0.5 | % | ||
Czech Republic | 0.2 | % | ||
Egypt | 0.1 | % | ||
Greece | 0.3 | % | ||
Hong Kong | 6.4 | % | ||
Hungary | 0.3 | % | ||
India | 8.5 | % | ||
Indonesia | 1.9 | % | ||
Korea, Republic Of | 0.1 | % | ||
Luxembourg | — | %^ | ||
Malaysia | 2.3 | % | ||
Mexico | 2.9 | % |
Country | Percentage | |||
Pakistan | 0.1 | % | ||
Peru | — | %^ | ||
Philippines | 0.9 | % | ||
Poland | 1.1 | % | ||
Qatar | 0.8 | % | ||
Republic of Korea (South) | 14.2 | % | ||
Romania | — | %^ | ||
Russian Federation | 3.5 | % | ||
Singapore | — | %^ | ||
South Africa | 6.3 | % | ||
Switzerland | 0.2 | % | ||
Taiwan, Province Of China | 11.4 | % | ||
Thailand | 2.1 | % | ||
Turkey | 0.7 | % | ||
United Arab Emirates | 0.7 | % | ||
United States | 2.0 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
Continued
12
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Futures Contracts
Cash of $239,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Mini MSCI Emerging Markets Index September Futures (U.S. Dollar) | 9/21/18 | 91 | $ | 4,838,015 | $ | (270,593 | ) | |||||||||
|
| |||||||||||||||
$ | (270,593 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
13
AZL MSCI Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 245,829,321 | |||
|
| ||||
Investment securities, at value* | $ | 309,992,834 | |||
Segregated cash for collateral | 239,000 | ||||
Interest and dividends receivable | 1,258,329 | ||||
Foreign currency, at value (cost $1,531,755) | 1,512,340 | ||||
Receivable for capital shares issued | 2,049 | ||||
Receivable for variation margin on futures contracts | 84,175 | ||||
Reclaims receivable | 59,728 | ||||
Prepaid expenses | 2,133 | ||||
|
| ||||
Total Assets | 313,150,588 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 41 | ||||
Payable for capital shares redeemed | 965 | ||||
Payable for securities purchased | 2 | ||||
Payable for collateral received on loaned securities | 3,277,446 | ||||
Accrued foreign taxes | 171,482 | ||||
Manager fees payable | 118,991 | ||||
Administration fees payable | 7,075 | ||||
Distribution fees payable | 61,799 | ||||
Custodian fees payable | 14,318 | ||||
Administrative and compliance services fees payable | 316 | ||||
Transfer agent fees payable | 892 | ||||
Trustee fees payable | 1,659 | ||||
Other accrued liabilities | 71,867 | ||||
|
| ||||
Total Liabilities | 3,726,853 | ||||
|
| ||||
Net Assets | $ | 309,423,735 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 221,170,974 | |||
Accumulated net investment income/(loss) | 6,867,371 | ||||
Accumulated net realized gains/(losses) from investment transactions | 17,697,568 | ||||
Net unrealized appreciation/(depreciation) on investments | 63,687,822 | ||||
|
| ||||
Net Assets | $ | 309,423,735 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 20,084,711 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 2,465,424 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8 .15 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 289,339,024 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 35,590,597 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8 .13 | |||
|
|
* | Includes securities on loan of $3,065,080. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 4,404,357 | |||
Income from securities lending | 15,123 | ||||
Foreign withholding tax | (478,329 | ) | |||
|
| ||||
Total Investment Income | 3,941,151 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,502,073 | ||||
Administration fees | 109,178 | ||||
Distribution fees — Class 2 | 413,707 | ||||
Custodian fees | 106,262 | ||||
Administrative and compliance services fees | 3,203 | ||||
Transfer agent fees | 6,369 | ||||
Trustee fees | 10,358 | ||||
Professional fees | 10,319 | ||||
Shareholder reports | 12,023 | ||||
Other expenses | 105,667 | ||||
|
| ||||
Total expenses before reductions | 2,279,159 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (706,856 | ) | |||
|
| ||||
Net expenses | 1,572,303 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,368,848 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 8,827,111 | ||||
Net realized gains/(losses) on futures contracts | (166,880 | ) | |||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (34,159,188 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (368,706 | ) | |||
Change in net unrealized appreciation/depreciation on foreign taxes | 212,142 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (25,655,521 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (23,286,673 | ) | ||
|
|
See accompanying notes to the financial statements.
14
AZL MSCI Emerging Markets Equity Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,368,848 | $ | 4,560,575 | ||||||
Net realized gains/(losses) on investment transactions | 8,660,231 | 10,471,475 | ||||||||
Change in unrealized appreciation/depreciation on investments | (34,315,752 | ) | 86,947,108 | |||||||
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Change in net assets resulting from operations | (23,286,673 | ) | 101,979,158 | |||||||
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Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (118,471 | ) | |||||||
Class 2 | — | (1,318,973 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (526,133 | ) | |||||||
Class 2 | — | (7,945,692 | ) | |||||||
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Change in net assets resulting from distributions to shareholders | — | (9,909,269 | ) | |||||||
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Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 26,130 | 226,440 | ||||||||
Proceeds from dividends reinvested | — | 644,604 | ||||||||
Value of shares redeemed | (1,288,257 | ) | (3,046,177 | ) | ||||||
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Total Class 1 Shares | (1,262,127 | ) | (2,175,133 | ) | ||||||
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Class 2 | ||||||||||
Proceeds from shares issued | 1,504,719 | 70,744,659 | ||||||||
Proceeds from dividends reinvested | — | 9,264,665 | ||||||||
Value of shares redeemed | (42,301,827 | ) | (63,012,450 | ) | ||||||
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Total Class 2 Shares | (40,797,108 | ) | 16,996,874 | |||||||
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Change in net assets resulting from capital transactions | (42,059,235 | ) | 14,821,741 | |||||||
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Change in net assets | (65,345,908 | ) | 106,891,630 | |||||||
Net Assets: | ||||||||||
Beginning of period | 374,769,643 | 267,878,013 | ||||||||
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End of period | $ | 309,423,735 | $ | 374,769,643 | ||||||
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Accumulated net investment income/(loss) | $ | 6,867,371 | $ | 4,498,523 | ||||||
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Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 2,922 | 29,685 | ||||||||
Dividends reinvested | — | 78,803 | ||||||||
Shares redeemed | (145,150 | ) | (381,076 | ) | ||||||
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Total Class 1 Shares | (142,228 | ) | (272,588 | ) | ||||||
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Class 2 | ||||||||||
Shares issued | 172,002 | 9,201,042 | ||||||||
Dividends reinvested | — | 1,132,600 | ||||||||
Shares redeemed | (4,714,369 | ) | (7,909,223 | ) | ||||||
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Total Class 2 Shares | (4,542,367 | ) | 2,424,419 | |||||||
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Change in shares | (4,684,595 | ) | 2,151,831 | |||||||
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See accompanying notes to the financial statements.
15
AZL MSCI Emerging Markets Equity Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.78 | $ | 6.60 | $ | 6.04 | $ | 7.35 | $ | 7.81 | $ | 8.05 | ||||||||||||
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Investment Activities: | ||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.08 | 0.12 | 0.06 | 0.07 | 0.10 | 0.09 | ||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.71 | ) | 2.30 | 0.56 | (1.00 | ) | (0.48 | ) | (0.25 | ) | ||||||||||||||
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Total from Investment Activities | (0.63 | ) | 2.42 | 0.62 | (0.93 | ) | (0.38 | ) | (0.16 | ) | ||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||
Net Investment Income | — | (0.04 | ) | (0.06 | ) | (0.10 | ) | (0.07 | ) | (0.08 | ) | |||||||||||||
Net Realized Gains | — | (0.20 | ) | — | (0.28 | ) | (0.01 | ) | — | |||||||||||||||
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Total Dividends | — | (0.24 | ) | (0.06 | ) | (0.38 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 8.15 | $ | 8.78 | $ | 6.60 | $ | 6.04 | $ | 7.35 | $ | 7.81 | ||||||||||||
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Total Return(a) | (7.18 | )%(b) | 36.97 | % | 10.21 | % | (12.69 | )% | (4.96 | )% | (1.96 | )% | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 20,085 | $ | 22,883 | $ | 19,006 | $ | 20,505 | $ | 26,194 | $ | 31,711 | ||||||||||||
Net Investment Income/(Loss)(c) | 1.60 | % | 1.56 | % | 1.05 | % | 0.86 | % | 1.14 | % | 1.04 | % | ||||||||||||
Expenses Before Reductions(c)(d) | 1.06 | % | 1.11 | % | 1.41 | % | 1.49 | % | 1.46 | % | 1.45 | % | ||||||||||||
Expenses Net of Reductions(c) | 0.66 | % | 0.71 | % | 1.14 | % | 1.33 | % | 1.31 | % | 1.30 | % | ||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) | 0.66 | % | 0.71 | % | 1.14 | % | 1.33 | % | 1.31 | %(e) | 1.30 | %(e) | ||||||||||||
Portfolio Turnover Rate(f) | 3 | %(b) | 19 | % | 115 | % | 45 | % | 58 | % | 49 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.77 | $ | 6.60 | $ | 6.04 | $ | 7.34 | $ | 7.80 | $ | 8.03 | ||||||||||||
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Investment Activities: | ||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.08 | 0.10 | 0.04 | 0.05 | 0.08 | 0.07 | ||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.72 | ) | 2.30 | 0.56 | (1.00 | ) | (0.48 | ) | (0.24 | ) | ||||||||||||||
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Total from Investment Activities | (0.64 | ) | 2.40 | 0.60 | (0.95 | ) | (0.40 | ) | (0.17 | ) | ||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||
Net Investment Income | — | (0.03 | ) | (0.04 | ) | (0.07 | ) | (0.05 | ) | (0.06 | ) | |||||||||||||
Net Realized Gains | — | (0.20 | ) | — | (0.28 | ) | (0.01 | ) | — | |||||||||||||||
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Total Dividends | — | (0.23 | ) | (0.04 | ) | (0.35 | ) | (0.06 | ) | (0.06 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 8.13 | $ | 8.77 | $ | 6.60 | $ | 6.04 | $ | 7.34 | $ | 7.80 | ||||||||||||
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Total Return(a) | (7.30 | )%(b) | 36.63 | % | 9.89 | % | (12.88 | )% | (5.22 | )% | (2.10 | )% | ||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 289,339 | $ | 351,886 | $ | 248,872 | $ | 172,238 | $ | 225,276 | $ | 266,951 | ||||||||||||
Net Investment Income/(Loss)(c) | 1.32 | % | 1.35 | % | 0.80 | % | 0.60 | % | 0.90 | % | 0.79 | % | ||||||||||||
Expenses Before Reductions(c)(d) | 1.31 | % | 1.36 | % | 1.64 | % | 1.74 | % | 1.71 | % | 1.70 | % | ||||||||||||
Expenses Net of Reductions(c) | 0.91 | % | 0.96 | % | 1.36 | % | 1.58 | % | 1.56 | % | 1.55 | % | ||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) | 0.91 | % | 0.96 | % | 1.36 | % | 1.58 | % | 1.56 | %(e) | 1.55 | %(e) | ||||||||||||
Portfolio Turnover Rate(f) | 3 | %(b) | 19 | % | 115 | % | 45 | % | 58 | % | 49 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remitted a portion of the brokerage commission which were used to pay certain Fund expenses. The Fund ceased participation in the program in June 2014. |
(f) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
See accompanying notes to the financial statements.
16
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MSCI Emerging Markets Equity Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities).
17
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $4 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,485 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $3,277,446 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2018, the Fund entered into forward currency contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. As of June 30, 2018, the Fund did not have forward currency contracts outstanding. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Futures Contracts
During the period ended June 30, 2018, the Fund did not enter into any futures contracts. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $4.1 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 270,593 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
18
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | (166,880 | ) | $ | (368,706 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MSCI Emerging Markets Equity Index Fund Class 1 | 0.85 | % | 0.85 | % | ||||||
AZL MSCI Emerging Markets Equity Index Fund Class 2 | 0.85 | % | 1.10 | % |
* | The Manager voluntarily reduced the management fee to 0.45% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $1,648 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings.
19
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||
Aerospace & Defense | $ | 276,430 | $ | 316,881 | $ | — | $ | — | $ | 593,311 | |||||||||||||||
Airlines | 172,974 | 646,325 | — | — | 819,299 | ||||||||||||||||||||
Banks | 7,262,300 | 37,359,591 | — | — | 44,621,891 | ||||||||||||||||||||
Beverages | 2,810,440 | 1,004,912 | — | — | 3,815,352 | ||||||||||||||||||||
Capital Markets | 730,641 | 2,888,076 | — | — | 3,618,717 | ||||||||||||||||||||
Chemicals | 433,002 | 6,987,744 | — | — | 7,420,746 | ||||||||||||||||||||
Construction & Engineering | 114,097 | 2,301,910 | — | — | 2,416,007 | ||||||||||||||||||||
Construction Materials | 796,167 | 2,514,900 | — | — | 3,311,067 | ||||||||||||||||||||
Consumer Finance | 76,510 | 782,662 | — | — | 859,172 | ||||||||||||||||||||
Containers & Packaging | 175,519 | — | — | — | 175,519 | ||||||||||||||||||||
Diversified Consumer Services | 1,659,783 | — | — | — | 1,659,783 | ||||||||||||||||||||
Diversified Financial Services | 271,449 | 3,369,491 | — | — | 3,640,940 | ||||||||||||||||||||
Diversified Telecommunication Services | 325,470 | 3,830,555 | — | — | 4,156,025 | ||||||||||||||||||||
Electric Utilities | 943,163 | 1,984,615 | — | — | 2,927,778 | ||||||||||||||||||||
Equity Real Estate Investment Trusts | 285,547 | 949,578 | — | — | 1,235,125 | ||||||||||||||||||||
Food & Staples Retailing | 1,311,648 | 3,886,815 | — | — | 5,198,463 | ||||||||||||||||||||
Food Products | 674,624 | 4,786,154 | — | # | — | 5,460,778 | |||||||||||||||||||
Gas Utilities | 147,832 | 1,717,099 | — | — | 1,864,931 | ||||||||||||||||||||
Health Care Providers & Services | 62,679 | 1,411,195 | — | — | 1,473,874 | ||||||||||||||||||||
Hotels, Restaurants & Leisure | 1,143,714 | 1,092,752 | — | — | 2,236,466 | ||||||||||||||||||||
Household Products | 132,691 | 1,230,607 | — | — | 1,363,298 | ||||||||||||||||||||
Independent Power & Renewable Electricity Producers | 211,947 | 1,289,770 | — | — | 1,501,717 | ||||||||||||||||||||
Industrial Conglomerates | 321,416 | 4,303,640 | — | — | 4,625,056 | ||||||||||||||||||||
Insurance | 938,611 | 9,691,115 | — | — | 10,629,726 |
20
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Other^ | Total | ||||||||||||||||||||
Internet & Direct Marketing Retail | $ | 2,995,487 | $ | — | $ | — | $ | — | $ | 2,995,487 | |||||||||||||||
Internet Software & Services | 19,472,876 | 17,979,673 | — | — | 37,452,549 | ||||||||||||||||||||
IT Services | 461,854 | 5,011,213 | — | — | 5,473,067 | ||||||||||||||||||||
Machinery | 204,445 | 2,012,375 | — | — | 2,216,820 | ||||||||||||||||||||
Media | 539,445 | 7,224,702 | — | — | 7,764,147 | ||||||||||||||||||||
Metals & Mining | 3,549,087 | 6,383,942 | — | — | 9,933,029 | ||||||||||||||||||||
Multiline Retail | 927,847 | 727,958 | — | — | 1,655,805 | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | 2,866,625 | 18,902,026 | — | — | 21,768,651 | ||||||||||||||||||||
Paper & Forest Products | 854,076 | 831,013 | — | — | 1,685,089 | ||||||||||||||||||||
Personal Products | 93,081 | 2,604,208 | — | — | 2,697,289 | ||||||||||||||||||||
Pharmaceuticals | 126,734 | 4,811,626 | — | — | 4,938,360 | ||||||||||||||||||||
Professional Services | 136,989 | — | — | — | 136,989 | ||||||||||||||||||||
Real Estate Management & Development | 132,871 | 7,577,301 | — | — | 7,710,172 | ||||||||||||||||||||
Road & Rail | 381,151 | 222,334 | — | — | 603,485 | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment | 477,924 | 15,992,705 | — | — | 16,470,629 | ||||||||||||||||||||
Transportation Infrastructure | 714,385 | 2,081,278 | — | — | 2,795,663 | ||||||||||||||||||||
Water Utilities | 240,193 | 457,355 | — | — | 697,548 | ||||||||||||||||||||
Wireless Telecommunication Services | 2,144,737 | 6,776,270 | — | — | 8,921,007 | ||||||||||||||||||||
Other Common Stocks+ | — | 47,345,555 | — | — | 47,345,555 | ||||||||||||||||||||
Preferred Stocks | |||||||||||||||||||||||||
Automobiles | — | 197,253 | — | — | 197,253 | ||||||||||||||||||||
Technology Hardware, Storage & Peripherals | — | 1,679,684 | — | — | 1,679,684 | ||||||||||||||||||||
Other Preferred Stocks+ | 4,010,560 | — | — | — | 4,010,560 | ||||||||||||||||||||
Right | — | — | # | — | — | — | |||||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | — | 3,277,446 | 3,277,446 | ||||||||||||||||||||
Unaffiliated Investment Company | 1,941,509 | — | — | — | 1,941,509 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Investment Securities | 63,550,530 | 243,164,858 | — | 3,277,446 | 309,992,834 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Other Financial Instruments:* | |||||||||||||||||||||||||
Futures Contracts | (270,593 | ) | — | — | — | (270,593 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Investments | $ | 63,279,937 | $ | 243,164,858 | $ | — | $ | 3,277,446 | $ | 309,722,241 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2018. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 11,028,491 | $ | 53,601,294 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
21
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $248,063,681. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 78,500,283 | ||
Unrealized (depreciation) | (16,571,130 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 61,929,153 | ||
|
|
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 1,437,444 | $ | 8,471,825 | $ | 9,909,269 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 6,718,452 | $ | 9,371,217 | $ | — | $ | 95,449,765 | $ | 111,539,434 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 80% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
22
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
23
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® MSCI Global Equity Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 21 |
Page 21 |
Statements of Changes in Net Assets Page 22 |
Page 23 |
Notes to the Financial Statements Page 24 |
Page 31 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MSCI Global Equity Index Fund
(Unaudited)
As a shareholder of the AZL MSCI Global Equity Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL MSCI Global Equity Index Fund | $ | 1,000.00 | $ | 1,003.60 | $ | 3.63 | 0.73 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL MSCI Global Equity Index Fund | $ | 1,000.00 | $ | 1,021.20 | $ | 3.66 | 0.73 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 17.8 | % | |||
Financials | 17.2 | ||||
Consumer Discretionary | 12.2 | ||||
Health Care | 11.7 | ||||
Industrials | 10.5 | ||||
Consumer Staples | 8.3 | ||||
Energy | 7.0 | ||||
Materials | 5.0 | ||||
Real Estate | 3.0 | ||||
Utilities | 2.4 | ||||
Telecommunication Services | 2.4 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 97.5 | ||||
Rights | — | ^ | |||
Money Market | 2.0 | ||||
Securities Held as Collateral for Securities on Loan | 0.8 | ||||
|
| ||||
Total Investment Securities | 100.3 | ||||
Net other assets (liabilities) | (0.3 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks (97.3%): | ||||||||
Aerospace & Defense (1.9%): | ||||||||
1,624 | Arconic, Inc. | $ | 27,624 | |||||
11,607 | BAE Systems plc | 99,032 | ||||||
2,035 | Boeing Co. (The) | 682,762 | ||||||
8,877 | Bombardier, Inc., Class B* | 35,116 | ||||||
946 | CAE, Inc. | 19,654 | ||||||
10 | Dassault Aviation SA | 19,027 | ||||||
106 | Elbit Systems, Ltd. | 12,493 | ||||||
2,089 | European Aeronautic Defence & Space Co. NV | 244,140 | ||||||
401 | Finmeccanica SpA | 3,959 | ||||||
930 | General Dynamics Corp. | 173,361 | ||||||
114 | Huntington Ingalls Industries, Inc. | 24,714 | ||||||
309 | L3 Technologies, Inc. | 59,427 | ||||||
933 | Lockheed Martin Corp. | 275,636 | ||||||
3,047 | Meggitt plc | 19,828 | ||||||
198 | MTU Aero Engines AG | 38,026 | ||||||
601 | Northrop Grumman Corp. | 184,928 | ||||||
1,037 | Raytheon Co. | 200,328 | ||||||
544 | Rockwell Collins, Inc. | 73,266 | ||||||
5,970 | Rolls-Royce Holdings plc | 77,796 | ||||||
1,190 | Safran SA | 144,344 | ||||||
6,300 | Singapore Technologies Engineering, Ltd. | 15,183 | ||||||
450 | Spirit AeroSystems Holdings, Inc., Class A | 38,660 | ||||||
960 | Textron, Inc. | 63,274 | ||||||
422 | Thales SA | 54,328 | ||||||
166 | TransDigm Group, Inc. | 57,293 | ||||||
2,750 | United Technologies Corp. | 343,833 | ||||||
|
| |||||||
2,988,032 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
3,854 | Bollore, Inc. | 17,911 | ||||||
562 | C.H. Robinson Worldwide, Inc. | 47,017 | ||||||
3,392 | Deutsche Post AG | 110,741 | ||||||
617 | Expeditors International of Washington, Inc. | 45,103 | ||||||
920 | FedEx Corp. | 208,895 | ||||||
3,442 | Royal Mail plc | 22,934 | ||||||
2,523 | United Parcel Service, Inc., Class B | 268,018 | ||||||
437 | XPO Logistics, Inc.* | 43,779 | ||||||
1,300 | Yamato Holdings Co., Ltd. | 38,283 | ||||||
|
| |||||||
802,681 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
400 | All Nippon Airways Co., Ltd. | 14,675 | ||||||
468 | American Airlines Group, Inc. | 17,765 | ||||||
624 | Delta Air Lines, Inc. | 30,913 | ||||||
966 | Deutsche Lufthansa AG, Registered Shares | 23,228 | ||||||
226 | easyJet plc | �� | 4,972 | |||||
1,222 | International Consolidated Airlines Group SA | 10,718 | ||||||
400 | Japan Airlines Co., Ltd. | 14,177 | ||||||
2,200 | Singapore Airlines, Ltd. | 17,225 | ||||||
631 | Southwest Airlines Co. | 32,106 | ||||||
239 | United Continental Holdings, Inc.* | 16,665 | ||||||
|
| |||||||
182,444 | ||||||||
|
|
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components (0.6%): | ||||||||
500 | Aisin Sieki Co., Ltd. | $ | 22,766 | |||||
998 | Aptiv plc | 91,447 | ||||||
348 | Autoliv, Inc.^ | 49,841 | ||||||
852 | BorgWarner, Inc. | 36,772 | ||||||
2,200 | Bridgestone Corp. | 85,969 | ||||||
626 | Compagnie Generale des Establissements Michelin SCA, Class B | 76,119 | ||||||
411 | Continental AG | 93,933 | ||||||
1,600 | Denso Corp. | 77,845 | ||||||
299 | Faurecia | 21,275 | ||||||
1,042 | Goodyear Tire & Rubber Co. | 24,268 | ||||||
400 | Koito Manufacturing Co., Ltd. | 26,392 | ||||||
211 | Lear Corp. | 39,206 | ||||||
1,106 | Magna International | 64,332 | ||||||
2,000 | Minth Group, Ltd. | 8,379 | ||||||
700 | NGK Spark Plug Co., Ltd. | 19,941 | ||||||
400 | NOK Corp. | 7,733 | ||||||
459 | Nokian Renkaat OYJ | 18,090 | ||||||
814 | Schaeffler AG | 10,584 | ||||||
600 | Stanley Electric Co., Ltd. | 20,406 | ||||||
2,900 | Sumitomo Electric Industries, Ltd. | 43,141 | ||||||
700 | Sumitomo Rubber Industries, Ltd. | 11,111 | ||||||
300 | Toyoda Gosei Co., Ltd. | 7,596 | ||||||
600 | Toyota Industries Corp. | 33,593 | ||||||
842 | Valeo SA | 45,955 | ||||||
300 | Yokohama Rubber Co., Ltd. (The) | 6,227 | ||||||
|
| |||||||
942,921 | ||||||||
|
| |||||||
Automobiles (1.7%): | ||||||||
1,168 | Bayerische Motoren Werke AG (BMW) | 105,933 | ||||||
3,310 | Daimler AG, Registered Shares | 212,931 | ||||||
445 | Ferrari NV | 60,387 | ||||||
3,647 | Fiat Chrysler Automobiles NV | 69,419 | ||||||
13,261 | Ford Motor Co. | 146,799 | ||||||
2,100 | Fuji Heavy Industries, Ltd. | 61,103 | ||||||
4,666 | General Motors Co. | 183,841 | ||||||
717 | Harley-Davidson, Inc. | 30,171 | ||||||
5,900 | Honda Motor Co., Ltd. | 173,026 | ||||||
1,900 | Isuzu Motors, Ltd. | 25,204 | ||||||
2,200 | Mazda Motor Corp. | 26,946 | ||||||
2,700 | Mitsubishi Motors Corp. | 21,499 | ||||||
8,100 | Nissan Motor Co., Ltd. | 78,722 | ||||||
1,902 | PSA Peugeot Citroen SA | 43,368 | ||||||
739 | Renault SA | 62,722 | ||||||
1,300 | Suzuki Motor Corp. | 71,702 | ||||||
466 | Tesla Motors, Inc.*^ | 159,815 | ||||||
8,300 | Toyota Motor Corp. | 536,618 | ||||||
130 | Volkswagen AG | 21,498 | ||||||
1,100 | Yamaha Motor Co., Ltd. | 27,619 | ||||||
|
| |||||||
2,119,323 | ||||||||
|
| |||||||
Banks (9.1%): | ||||||||
1,626 | ABN AMRO Group NV^ | 42,080 | ||||||
3,636 | AIB Group plc | 19,711 |
Continued
2
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
400 | Aozora Bank, Ltd. | $ | 15,213 | |||||
10,667 | Australia & New Zealand Banking Group, Ltd. | 223,857 | ||||||
24,410 | Banco Bilbao Vizcaya Argentaria SA | 172,393 | ||||||
21,685 | Banco de Sabadell SA | 36,182 | ||||||
58,077 | Banco Santander SA | 310,017 | ||||||
3,600 | Bank Hapoalim BM | 24,442 | ||||||
5,141 | Bank Leumi Le-Israel Corp. | 30,472 | ||||||
35,168 | Bank of America Corp. | 991,386 | ||||||
4,800 | Bank of East Asia, Ltd. (The) | 19,099 | ||||||
3,384 | Bank of Ireland Group plc | 26,375 | ||||||
2,392 | Bank of Montreal | 184,918 | ||||||
4,302 | Bank of Nova Scotia | 243,622 | ||||||
1,540 | Bank of Queensland, Ltd. | 11,600 | ||||||
4,962 | Bankia SA | 18,500 | ||||||
2,483 | Bankinter SA | 24,151 | ||||||
60,802 | Barclays plc | 151,585 | ||||||
2,879 | BB&T Corp. | 145,217 | ||||||
1,721 | Bendigo & Adelaide Bank, Ltd. | 13,887 | ||||||
4,119 | BNP Paribas SA | 255,295 | ||||||
14,500 | BOC Hong Kong Holdings, Ltd. | 67,986 | ||||||
1,592 | Canadian Imperial Bank of Commerce | 138,502 | ||||||
3,000 | Chiba Bank, Ltd. (The) | 21,140 | ||||||
1,100 | Chuo Mitsui Trust Holdings, Inc. | 43,581 | ||||||
464 | CIT Group, Inc. | 23,390 | ||||||
9,354 | Citigroup, Inc. | 625,970 | ||||||
1,764 | Citizens Financial Group, Inc. | 68,620 | ||||||
614 | Comerica, Inc. | 55,825 | ||||||
3,447 | Commerzbank AG* | 33,025 | ||||||
6,350 | Commonwealth Bank of Australia | 343,775 | ||||||
4,400 | Concordia Financial Group, Ltd. | 22,368 | ||||||
4,079 | Credit Agricole SA | 54,372 | ||||||
13,526 | Criteria Caixacorp SA | 58,424 | ||||||
2,612 | Danske Bank A/S | 81,649 | ||||||
6,900 | DBS Group Holdings, Ltd. | 134,011 | ||||||
3,558 | DnB NOR ASA | 69,429 | ||||||
589 | East West Bancorp, Inc. | 38,403 | ||||||
1,178 | Erste Group Bank AG | 49,105 | ||||||
2,490 | Fifth Third Bancorp | 71,463 | ||||||
566 | First Republic Bank | 54,783 | ||||||
3,000 | Fukuoka Financial Group, Inc. | 15,066 | ||||||
2,700 | Hang Seng Bank, Ltd. | 67,196 | ||||||
72,489 | HSBC Holdings plc | 679,579 | ||||||
4,194 | Huntington Bancshares, Inc. | 61,903 | ||||||
14,241 | ING Groep NV | 204,332 | ||||||
3,584 | Intesa Sanpaolo | 10,837 | ||||||
48,278 | Intesa Sanpaolo SpA | 139,731 | ||||||
1,600 | Japan Post Bank Co., Ltd. | 18,603 | ||||||
12,422 | JPMorgan Chase & Co. | 1,294,373 | ||||||
844 | KBC Group NV | 65,054 | ||||||
3,845 | KeyCorp | 75,131 | ||||||
258,827 | Lloyds Banking Group plc | 215,285 | ||||||
480 | M&T Bank Corp. | 81,672 | ||||||
3,600 | Mebuki Financial Group, Inc. | 12,077 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
2,255 | Mediobanca SpA | $ | 20,895 | |||||
42,500 | Mitsubishi UFJ Financial Group, Inc. | 241,084 | ||||||
89 | Mizrahi Tefahot Bank, Ltd. | 1,639 | ||||||
87,800 | Mizuho Financial Group, Inc. | 147,742 | ||||||
9,950 | National Australia Bank, Ltd. | 202,495 | ||||||
1,174 | National Bank of Canada | 56,373 | ||||||
3,360 | Natixis | 23,788 | ||||||
11,402 | Nordea Bank AB | 109,738 | ||||||
12,100 | Oversea-Chinese Banking Corp., Ltd. | 103,066 | ||||||
1,195 | People’s United Financial, Inc. | 21,618 | ||||||
1,739 | PNC Financial Services Group, Inc. | 234,939 | ||||||
556 | Raiffeisen International Bank-Holding AG | 17,030 | ||||||
4,208 | Regions Financial Corp. | 74,818 | ||||||
8,600 | Resona Holdings, Inc. | 45,958 | ||||||
5,220 | Royal Bank of Canada | 393,099 | ||||||
13,709 | Royal Bank of Scotland Group plc* | 46,311 | ||||||
400 | Shinsei Bank, Ltd. | 6,148 | ||||||
2,000 | Shizuoka Bank, Ltd. (The) | 17,953 | ||||||
207 | Signature Bank* | 26,471 | ||||||
5,465 | Skandinaviska Enskilda Banken AB, Class A | 51,905 | ||||||
2,733 | Societe Generale | 115,071 | ||||||
10,199 | Standard Chartered plc | 93,172 | ||||||
4,800 | Sumitomo Mitsui Financial Group, Inc. | 186,034 | ||||||
1,704 | SunTrust Banks, Inc. | 112,498 | ||||||
600 | Suruga Bank, Ltd. | 5,362 | ||||||
167 | SVB Financial Group* | 48,223 | ||||||
5,870 | Svenska Handelsbanken AB, Class A | 65,178 | ||||||
3,442 | Swedbank AB, Class A | 73,634 | ||||||
6,638 | Toronto-Dominion Bank (The) | 384,242 | ||||||
5,712 | U.S. Bancorp | 285,714 | ||||||
7,379 | Unicredit SpA | 122,715 | ||||||
5,004 | United Overseas Bank, Ltd. | 98,571 | ||||||
16,921 | Wells Fargo & Co. | 938,100 | ||||||
12,148 | Westpac Banking Corp. | 264,659 | ||||||
1,000 | Yamaguchi Financial Group, Inc. | 11,243 | ||||||
697 | Zions Bancorp | 36,725 | ||||||
|
| |||||||
12,640,873 | ||||||||
|
| |||||||
Beverages (1.9%): | ||||||||
2,752 | Anheuser-Busch InBev NV | 277,596 | ||||||
1,300 | Asahi Breweries, Ltd. | 66,528 | ||||||
933 | Brown-Forman Corp., Class B | 45,726 | ||||||
425 | Carlsberg A/S, Class B | 50,048 | ||||||
2,188 | Coca-Cola Amatil, Ltd. | 14,886 | ||||||
500 | Coca-Cola Bottlers Japan Holdings, Inc. | 19,967 | ||||||
14,617 | Coca-Cola Co. (The) | 641,102 | ||||||
782 | Coca-Cola European Partners plc | 31,745 | ||||||
698 | Coca-Cola HBC AG | 23,308 | ||||||
632 | Constellation Brands, Inc., Class C | 138,326 | ||||||
2,931 | Davide Campari – Milano SpA | 24,086 | ||||||
8,829 | Diageo plc | 316,864 | ||||||
673 | Dr Pepper Snapple Group, Inc. | 82,106 | ||||||
423 | Heineken Holding NV | 40,474 |
Continued
3
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
983 | Heineken NV | $ | 98,549 | |||||
3,100 | Kirin Holdings Co., Ltd. | 82,877 | ||||||
576 | Molson Coors Brewing Co., Class B | 39,191 | ||||||
1,432 | Monster Beverage Corp.* | 82,054 | ||||||
5,122 | PepsiCo, Inc. | 557,632 | ||||||
756 | Pernod Ricard SA | 123,381 | ||||||
74 | Remy Cointreau SA | 9,579 | ||||||
500 | Suntory Beverage & Food, Ltd. | 21,346 | ||||||
2,869 | Treasury Wine Estates, Ltd. | 37,045 | ||||||
|
| |||||||
2,824,416 | ||||||||
|
| |||||||
Biotechnology (1.8%): | ||||||||
5,490 | AbbVie, Inc. | 508,650 | ||||||
749 | Alexion Pharmaceuticals, Inc.* | 92,988 | ||||||
593 | Alkermes plc* | 24,408 | ||||||
336 | Alnylam Pharmaceuticals, Inc.* | 33,093 | ||||||
2,434 | Amgen, Inc. | 449,292 | ||||||
743 | Biogen Idec, Inc.* | 215,648 | ||||||
650 | BioMarin Pharmaceutical, Inc.* | 61,230 | ||||||
2,738 | Celgene Corp.* | 217,452 | ||||||
1,668 | CSL, Ltd. | 238,412 | ||||||
222 | Genmab A/S* | 34,244 | ||||||
4,729 | Gilead Sciences, Inc. | 335,002 | ||||||
1,016 | Grifols SA | 30,469 | ||||||
670 | Incyte Corp.* | 44,890 | ||||||
268 | Regeneron Pharmaceuticals, Inc.* | 92,457 | ||||||
445 | Seattle Genetics, Inc.* | 29,544 | ||||||
3,328 | Shire plc | 187,124 | ||||||
176 | United Therapeutics Corp.* | 19,914 | ||||||
921 | Vertex Pharmaceuticals, Inc.* | 156,533 | ||||||
|
| |||||||
2,771,350 | ||||||||
|
| |||||||
Building Products (0.5%): | ||||||||
583 | A.O. Smith Corp. | 34,484 | ||||||
390 | Allegion plc | 30,170 | ||||||
800 | Asahi Glass Co., Ltd. | 31,116 | ||||||
3,747 | Assa Abloy AB, Class B | 79,770 | ||||||
1,758 | Compagnie de Saint-Gobain SA | 78,396 | ||||||
900 | Daikin Industries, Ltd. | 107,657 | ||||||
607 | Fortune Brands Home & Security, Inc. | 32,590 | ||||||
133 | Geberit AG, Registered Shares | 57,161 | ||||||
3,323 | Johnson Controls International plc | 111,155 | ||||||
120 | Lennox International, Inc. | 24,018 | ||||||
1,000 | Lixil Group Corp. | 19,989 | ||||||
1,128 | Masco Corp. | 42,210 | ||||||
422 | Owens Corning, Inc. | 26,742 | ||||||
500 | TOTO, Ltd. | 23,105 | ||||||
|
| |||||||
698,563 | ||||||||
|
| |||||||
Capital Markets (2.8%): | ||||||||
3,720 | 3i Group plc | 44,188 | ||||||
210 | Affiliated Managers Group, Inc. | 31,221 | ||||||
546 | Ameriprise Financial, Inc. | 76,374 | ||||||
263 | Amundi SA | 18,186 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
768 | ASX, Ltd. | $ | 36,732 | |||||
3,703 | Bank of New York Mellon Corp. (The) | 199,703 | ||||||
424 | BlackRock, Inc., Class A+ | 211,593 | ||||||
3,035 | Brookfield Asset Management, Inc., Class A | 123,132 | ||||||
412 | CBOE Holdings, Inc. | 42,877 | ||||||
4,465 | Charles Schwab Corp. (The) | 228,162 | ||||||
879 | CI Financial Corp. | 15,801 | ||||||
1,238 | CME Group, Inc. | 202,933 | ||||||
9,333 | Credit Suisse Group AG | 140,122 | ||||||
4,000 | Daiwa Securities Group, Inc. | 23,212 | ||||||
7,107 | Deutsche Bank AG, Registered Shares | 76,855 | ||||||
686 | Deutsche Boerse AG | 91,392 | ||||||
977 | E*TRADE Financial Corp.* | 59,753 | ||||||
451 | Eaton Vance Corp. | 23,538 | ||||||
1,172 | Franklin Resources, Inc. | 37,563 | ||||||
1,322 | Goldman Sachs Group, Inc. (The) | 291,593 | ||||||
1,005 | Hargreaves Lansdown plc | 26,136 | ||||||
4,000 | Hong Kong Exchanges & Clearing, Ltd. | 119,857 | ||||||
14 | IGM Financial, Inc. | 406 | ||||||
2,080 | Intercontinental Exchange, Inc. | 152,984 | ||||||
1,642 | Invesco, Ltd. | 43,612 | ||||||
2,442 | Investec plc | 17,311 | ||||||
2,000 | Japan Exchange Group, Inc. | 37,146 | ||||||
1,211 | Jefferies Financial Group, Inc. | 27,538 | ||||||
888 | Julius Baer Group, Ltd. | 52,189 | ||||||
1,115 | London Stock Exchange Group plc | 65,680 | ||||||
1,070 | Macquarie Group, Ltd. | 98,325 | ||||||
653 | Moody’s Corp. | 111,376 | ||||||
4,936 | Morgan Stanley | 233,966 | ||||||
316 | MSCI, Inc., Class A | 52,276 | ||||||
472 | NASDAQ OMX Group, Inc. (The) | 43,079 | ||||||
11,500 | Nomura Holdings, Inc. | 55,677 | ||||||
762 | Northern Trust Corp. | 78,402 | ||||||
63 | Partners Group Holding AG | 46,230 | ||||||
5,839 | Quilter plc* | 11,165 | ||||||
514 | Raymond James Financial, Inc. | 45,926 | ||||||
913 | S&P Global, Inc. | 186,152 | ||||||
400 | SBI Holdings, Inc. | 10,280 | ||||||
529 | Schroders plc | 22,037 | ||||||
544 | SEI Investments Co. | 34,011 | ||||||
3,200 | Singapore Exchange, Ltd. | 16,813 | ||||||
1,367 | State Street Corp. | 127,254 | ||||||
924 | T. Rowe Price Group, Inc. | 107,267 | ||||||
1,046 | TD Ameritrade Holding Corp. | 57,289 | ||||||
844 | Thomson Reuters Corp. | 34,062 | ||||||
13,758 | UBS Group AG | 211,753 | ||||||
|
| |||||||
4,101,129 | ||||||||
|
| |||||||
Chemicals (2.7%): | ||||||||
1,577 | Air Liquide SA | 198,032 | ||||||
749 | Air Products & Chemicals, Inc. | 116,642 | ||||||
700 | Air Water, Inc. | 12,836 | ||||||
942 | AkzoNobel NV | 80,262 |
Continued
4
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
441 | Albemarle Corp.^ | $ | 41,600 | |||||
263 | Arkema SA | 31,073 | ||||||
4,400 | Asahi Kasei Corp. | 55,856 | ||||||
832 | Axalta Coating Systems, Ltd.* | 25,218 | ||||||
3,311 | BASF SE | 316,490 | ||||||
529 | Celanese Corp., Series A | 58,751 | ||||||
902 | CF Industries Holdings, Inc. | 40,049 | ||||||
702 | Chemours Co. (The) | 31,141 | ||||||
384 | Christian Hansen Holding A/S | 35,434 | ||||||
883 | Clariant AG | 21,152 | ||||||
606 | Covestro AG | 54,031 | ||||||
512 | Croda International plc | 32,432 | ||||||
1,000 | Daicel Chemical Industries, Ltd. | 11,053 | ||||||
8,477 | DowDuPont, Inc. | 558,803 | ||||||
519 | Eastman Chemical Co. | 51,879 | ||||||
953 | Ecolab, Inc. | 133,734 | ||||||
34 | EMS-Chemie Holding AG | 21,835 | ||||||
653 | Evonik Industries AG | 22,352 | ||||||
522 | FMC Corp. | 46,568 | ||||||
172 | Frutarom Industries, Ltd. | 16,928 | ||||||
275 | Fuchs Petrolub AG | 13,553 | ||||||
32 | Givaudan SA, Registered Shares | 72,560 | ||||||
500 | Hitachi Chemical Co., Ltd. | 10,074 | ||||||
6,485 | Incitec Pivot, Ltd. | 17,488 | ||||||
319 | International Flavor & Fragrances, Inc. | 39,543 | ||||||
3,372 | Israel Chemicals, Ltd. | 15,470 | ||||||
758 | Johnson Matthey plc | 36,146 | ||||||
800 | JSR Corp. | 13,581 | ||||||
747 | K+S AG, Registered Shares^ | 18,434 | ||||||
1,000 | Kaneka Corp. | 8,954 | ||||||
500 | Kansai Paint Co., Ltd. | 10,369 | ||||||
592 | Koninklijke DSM NV | 59,440 | ||||||
1,300 | Kuraray Co., Ltd. | 17,884 | ||||||
362 | Lanxess AG | 28,209 | ||||||
649 | Linde AG | 154,860 | ||||||
1,208 | Lyondellbasell Industries NV | 132,698 | ||||||
244 | Methanex Corp. | 17,255 | ||||||
4,700 | Mitsubishi Chemical Holdings Corp. | 39,289 | ||||||
800 | Mitsubishi Gas Chemical Co., Inc. | 18,098 | ||||||
800 | Mitsui Chemicals, Inc. | 21,239 | ||||||
1,289 | Mosaic Co. (The) | 36,156 | ||||||
600 | Nippon Paint Holdings Co., Ltd. | 25,789 | ||||||
200 | Nissan Chemical Industries, Ltd. | 9,319 | ||||||
500 | Nitto Denko Corp. | 37,780 | ||||||
899 | Novozymes A/S, Class B | 45,524 | ||||||
2,293 | Nutrien, Ltd. | 124,759 | ||||||
1,427 | Orica, Ltd. | 18,779 | ||||||
944 | PPG Industries, Inc. | 97,921 | ||||||
1,054 | Praxair, Inc. | 166,690 | ||||||
289 | Sherwin Williams Co. | 117,788 | ||||||
1,300 | Shin-Etsu Chemical Co., Ltd. | 115,339 | ||||||
420 | Sika AG | 57,902 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
249 | Solvay SA | $ | 31,343 | |||||
6,000 | Sumitomo Chemical Co., Ltd. | 33,961 | ||||||
485 | Symrise AG | 42,514 | ||||||
600 | Taiyo Nippon Sanso Corp. | 8,592 | ||||||
700 | Teijin, Ltd. | 12,829 | ||||||
5,200 | Toray Industries, Inc. | 40,939 | ||||||
1,000 | Tosoh Corp. | 15,477 | ||||||
776 | Umicore SA | 44,322 | ||||||
141 | Westlake Chemical Corp. | 15,176 | ||||||
682 | Yara International ASA | 28,244 | ||||||
|
| |||||||
3,886,438 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.3%): | ||||||||
1,000 | Babcock International Group plc | 10,782 | ||||||
5,458 | Brambles, Ltd. | 35,913 | ||||||
344 | Cintas Corp. | 63,664 | ||||||
760 | Copart, Inc.* | 42,986 | ||||||
1,000 | Dai Nippon Printing Co., Ltd. | 22,356 | ||||||
805 | Edenred | 25,404 | ||||||
6,037 | G4S plc | 21,294 | ||||||
648 | ISS A/S | 22,257 | ||||||
400 | Park24 Co., Ltd. | 10,887 | ||||||
847 | Republic Services, Inc., Class A | 57,901 | ||||||
401 | Rollins, Inc. | 21,085 | ||||||
600 | SECOM Co., Ltd. | 46,027 | ||||||
1,209 | Securitas AB, Class B | 19,889 | ||||||
109 | Societe BIC SA | 10,102 | ||||||
300 | Sohgo Security Services Co., Ltd. | 14,124 | ||||||
334 | Stericycle, Inc.* | 21,807 | ||||||
2,000 | Toppan Printing Co., Ltd. | 15,658 | ||||||
914 | Waste Connections, Inc. | 68,806 | ||||||
1,575 | Waste Management, Inc. | 128,110 | ||||||
|
| |||||||
659,052 | ||||||||
|
| |||||||
Communications Equipment (0.9%): | ||||||||
188 | Arista Networks, Inc.* | 48,408 | ||||||
17,534 | Cisco Systems, Inc. | 754,489 | ||||||
795 | CommScope Holding Co., Inc.* | 23,218 | ||||||
179 | F5 Networks, Inc.* | 30,869 | ||||||
394 | Harris Corp. | 56,949 | ||||||
1,365 | Juniper Networks, Inc. | 37,428 | ||||||
628 | Motorola Solutions, Inc. | 73,080 | ||||||
20,385 | Nokia OYJ | 116,934 | ||||||
301 | Palo Alto Networks, Inc.* | 61,846 | ||||||
10,059 | Telefonaktiebolaget LM Ericsson, Class B | 77,446 | ||||||
|
| |||||||
1,280,667 | ||||||||
|
| |||||||
Construction & Engineering (0.3%): | ||||||||
814 | ACS Actividades de Construccion y Servicios SA^ | 32,924 | ||||||
805 | Bouygues SA | 34,652 | ||||||
148 | Cimic Group, Ltd. | 4,629 | ||||||
227 | Eiffage SA | 24,674 | ||||||
1,915 | Ferrovial SA | 39,255 | ||||||
547 | Fluor Corp. | 26,683 |
Continued
5
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
89 | Hochtief AG | $ | 16,079 | |||||
481 | Jacobs Engineering Group, Inc. | 30,538 | ||||||
800 | JGC Corp. | 16,101 | ||||||
3,000 | Kajima Corp. | 23,211 | ||||||
2,600 | Obayashi Corp. | 27,032 | ||||||
2,000 | Shimizu Corp. | 20,695 | ||||||
1,213 | Skanska AB, Class B | 22,033 | ||||||
583 | SNC-Lavalin Group, Inc. | 25,751 | ||||||
800 | TAISEI Corp. | 44,083 | ||||||
1,869 | Vinci SA | 179,493 | ||||||
377 | WSP Global, Inc. | 19,852 | ||||||
|
| |||||||
587,685 | ||||||||
|
| |||||||
Construction Materials (0.4%): | ||||||||
4,102 | Boral, Ltd. | 19,791 | ||||||
3,045 | CRH plc | 107,606 | ||||||
3,025 | Fletcher Building, Ltd. | 14,225 | ||||||
529 | HeidelbergCement AG | 44,527 | ||||||
174 | Imerys SA | 14,018 | ||||||
1,726 | James Hardie Industries SE | 29,047 | ||||||
1,767 | LafargeHolcim, Ltd., Registered Shares | 86,193 | ||||||
239 | Martin Marietta Materials, Inc. | 53,376 | ||||||
500 | Taiheiyo Cement Corp. | 16,436 | ||||||
438 | Vulcan Materials Co. | 56,528 | ||||||
|
| |||||||
441,747 | ||||||||
|
| |||||||
Consumer Finance (0.4%): | ||||||||
1,300 | ACOM Co., Ltd. | 4,994 | ||||||
1,649 | Ally Financial, Inc. | 43,319 | ||||||
2,628 | American Express Co. | 257,545 | ||||||
1,759 | Capital One Financial Corp. | 161,652 | ||||||
700 | Credit Saison Co., Ltd. | 11,005 | ||||||
1,291 | Discover Financial Services | 90,899 | ||||||
2,629 | Synchrony Financial | 87,756 | ||||||
|
| |||||||
657,170 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
3,908 | Amcor, Ltd. | 41,733 | ||||||
351 | Avery Dennison Corp. | 35,837 | ||||||
1,022 | Ball Corp. | 36,332 | ||||||
545 | CCL Industries, Inc. | 26,721 | ||||||
559 | Crown Holdings, Inc.* | 25,021 | ||||||
1,337 | International Paper Co. | 69,631 | ||||||
370 | Packaging Corp. of America | 41,362 | ||||||
609 | Sealed Air Corp. | 25,852 | ||||||
820 | Smurfit Kappa Group plc | 32,992 | ||||||
600 | Toyo Seikan Kaisha, Ltd. | 10,531 | ||||||
987 | WestRock Co. | 56,279 | ||||||
|
| |||||||
402,291 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
587 | Genuine Parts Co. | 53,880 | ||||||
400 | Jardine Cycle & Carriage, Ltd. | 9,325 | ||||||
1,183 | LKQ Corp.* | 37,738 | ||||||
|
| |||||||
100,943 | ||||||||
|
|
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services (0.0%): | ||||||||
400 | Benesse Holdings, Inc. | $ | 14,183 | |||||
876 | H&R Block, Inc. | 19,955 | ||||||
|
| |||||||
34,138 | ||||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
11,633 | AMP, Ltd. | 30,618 | ||||||
4,639 | Berkshire Hathaway, Inc., Class B* | 865,869 | ||||||
2,251 | Challenger, Ltd. | 19,787 | ||||||
152 | Eurazeo Se | 11,516 | ||||||
446 | EXOR NV | 30,002 | ||||||
262 | Groupe Bruxelles Lambert SA | 27,606 | ||||||
681 | Industrivarden AB, Class C | 13,192 | ||||||
1,625 | Investor AB, Class B | 66,128 | ||||||
827 | Kinnevik AB | 28,305 | ||||||
342 | L E Lundbergforetagen AB | 10,501 | ||||||
1,300 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 7,981 | ||||||
317 | Onex Corp. | 23,269 | ||||||
4,600 | ORIX Corp. | 72,660 | ||||||
181 | Pargesa Holding SA | 15,358 | ||||||
475 | Voya Financial, Inc. | 22,325 | ||||||
105 | Wendel | 14,449 | ||||||
|
| |||||||
1,259,566 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.7%): | ||||||||
26,250 | AT&T, Inc. | 842,888 | ||||||
597 | BCE, Inc. | 24,180 | ||||||
582 | Belgacom SA | 13,126 | ||||||
6,945 | Bezeq Israeli Telecommunication Corp., Ltd. (The) | 7,829 | ||||||
30,748 | BT Group plc | 88,456 | ||||||
3,137 | CenturyLink, Inc. | 58,474 | ||||||
12,216 | Deutsche Telekom AG, Registered Shares | 189,568 | ||||||
563 | Elisa OYJ | 26,070 | ||||||
7,242 | France Telecom SA | 121,132 | ||||||
10,000 | HKT Trust & HKT, Ltd. | 12,751 | ||||||
103 | Iliad SA | 16,262 | ||||||
13,592 | Koninklijke (Royal) KPN NV | 36,943 | ||||||
2,400 | Nippon Telegraph & Telephone Corp. | 109,069 | ||||||
21,000 | PCCW, Ltd. | 11,817 | ||||||
27,900 | Singapore Telecommunications, Ltd. | 62,997 | ||||||
88 | Swisscom AG, Registered Shares | 39,356 | ||||||
6,633 | Telecom Corp. of New Zealand, Ltd. | 16,740 | ||||||
21,887 | Telecom Italia SpA | 14,261 | ||||||
41,770 | Telecom Italia SpA* | 30,995 | ||||||
3,135 | Telefonica Deutschland Holding AG | 12,355 | ||||||
16,270 | Telefonica SA | 138,665 | ||||||
2,866 | Telenor ASA | 58,765 | ||||||
10,107 | Telia Co AB | 46,197 | ||||||
16,000 | Telstra Corp., Ltd. | 30,991 | ||||||
752 | TELUS Corp. | 26,716 | ||||||
2,193 | TPG Telecom, Ltd.^ | 8,386 | ||||||
15,039 | Verizon Communications, Inc. | 756,612 | ||||||
709 | Zayo Group Holdings, Inc.* | 25,864 | ||||||
|
| |||||||
2,827,465 | ||||||||
|
|
Continued
6
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities (1.6%): | ||||||||
912 | Alliant Energy Corp. | $ | 38,596 | |||||
1,686 | American Electric Power Co., Inc. | 116,756 | ||||||
2,500 | Chubu Electric Power Co., Inc. | 37,476 | ||||||
1,100 | Chugoku Electric Power Co., Inc. (The) | 14,218 | ||||||
3,000 | CK Infrastructure Holdings, Ltd. | 22,207 | ||||||
6,500 | CLP Holdings, Ltd. | 69,740 | ||||||
2,524 | Duke Energy Corp. | 199,598 | ||||||
1,181 | Edison International | 74,722 | ||||||
9,354 | EDP – Energias de Portugal SA | 37,093 | ||||||
1,479 | Electricite de France | 20,272 | ||||||
225 | Emera, Inc. | 7,326 | ||||||
1,282 | Endesa SA^ | 28,253 | ||||||
28,886 | Enel SpA | 160,019 | ||||||
637 | Entergy Corp. | 51,463 | ||||||
567 | Evergy, Inc. | 31,837 | ||||||
1,167 | Eversource Energy | 68,398 | ||||||
3,513 | Exelon Corp. | 149,654 | ||||||
1,624 | FirstEnergy Corp. | 58,318 | ||||||
1,385 | Fortis, Inc. | 44,274 | ||||||
1,472 | Fortum OYJ | 35,108 | ||||||
7,500 | HK Electric Investments, Ltd. | 7,148 | ||||||
5,500 | Hongkong Electric Holdings, Ltd. | 38,449 | ||||||
1,223 | Hydro One, Ltd. | 18,645 | ||||||
21,400 | Iberdrola SA | 165,286 | ||||||
2,800 | Kansai Electric Power Co., Inc. (The) | 40,784 | ||||||
1,700 | Kyushu Electric Power Co., Inc. | 19,010 | ||||||
1,716 | NextEra Energy, Inc. | 286,623 | ||||||
776 | OGE Energy Corp. | 27,323 | ||||||
680 | Orsted A/S | 41,200 | ||||||
1,798 | PG&E Corp. | 76,523 | ||||||
461 | Pinnacle West Capital Corp. | 37,138 | ||||||
2,636 | PPL Corp. | 75,258 | ||||||
1,700 | Red Electrica Corporacion SA^ | 34,585 | ||||||
3,382 | Scottish & Southern Energy plc | 60,412 | ||||||
3,595 | Southern Co. (The) | 166,484 | ||||||
4,286 | Terna SpA | 23,126 | ||||||
1,800 | Tohoku Electric Power Co., Inc. | 21,983 | ||||||
5,700 | Tokyo Electric Power Co., Inc. (The)* | 26,533 | ||||||
1,952 | Xcel Energy, Inc. | 89,167 | ||||||
|
| |||||||
2,521,005 | ||||||||
|
| |||||||
Electrical Equipment (1.0%): | ||||||||
6,718 | ABB, Ltd. | 146,650 | ||||||
172 | Acuity Brands, Inc. | 19,930 | ||||||
725 | AMETEK, Inc. | 52,316 | ||||||
1,570 | Eaton Corp. plc | 117,342 | ||||||
2,284 | Emerson Electric Co. | 157,916 | ||||||
2,000 | Fuji Electric Holdings Co., Ltd. | 15,208 | ||||||
1,001 | Legrand SA | 73,311 | ||||||
200 | Mabuchi Motor Co., Ltd. | 9,503 | ||||||
17,934 | Melrose Industries plc | 50,317 | ||||||
6,500 | Mitsubishi Electric Corp. | 86,376 | ||||||
800 | Nidec Corp. | 119,873 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
350 | OSRAM Licht AG | $ | 14,295 | |||||
801 | Prysmian SpA | 19,901 | ||||||
493 | Rockwell Automation, Inc. | 81,951 | ||||||
1,955 | Schneider Electric SA | 162,601 | ||||||
672 | Sensata Technologies Holding plc* | 31,974 | ||||||
973 | Siemens Gamesa Renewable Energy^ | 13,016 | ||||||
702 | Vestas Wind Systems A/S | 43,404 | ||||||
|
| |||||||
1,215,884 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.9%): | ||||||||
700 | ALPS Electric Co., Ltd. | 17,957 | ||||||
1,094 | Amphenol Corp., Class A | 95,343 | ||||||
370 | Arrow Electronics, Inc.* | 27,854 | ||||||
523 | Avnet, Inc. | 22,431 | ||||||
593 | CDW Corp. | 47,908 | ||||||
658 | Cognex Corp. | 29,353 | ||||||
2,944 | Corning, Inc. | 80,989 | ||||||
2,085 | Flextronics International, Ltd.* | 29,419 | ||||||
543 | FLIR Systems, Inc. | 28,220 | ||||||
500 | Hamamatsu Photonics K.K. | 21,442 | ||||||
890 | Hexagon AB, Class B | 49,586 | ||||||
105 | Hirose Electric Co., Ltd. | 13,004 | ||||||
300 | Hitachi High-Technologies Corp. | 12,225 | ||||||
17,000 | Hitachi, Ltd. | 119,765 | ||||||
218 | Ingenico Group^ | 19,563 | ||||||
143 | IPG Photonics Corp.* | 31,550 | ||||||
300 | Keyence Corp. | 169,218 | ||||||
683 | Keysight Technologies, Inc.* | 40,317 | ||||||
1,200 | Kyocera Corp. | 67,434 | ||||||
600 | Murata Manufacturing Co., Ltd. | 100,742 | ||||||
400 | Nippon Electric Glass Co., Ltd. | 11,106 | ||||||
700 | Omron Corp. | 32,553 | ||||||
700 | Shimadzu Corp. | 21,108 | ||||||
500 | TDK Corp. | 50,992 | ||||||
1,254 | TE Connectivity, Ltd. | 112,935 | ||||||
771 | Trimble Navigation, Ltd.* | 25,320 | ||||||
1,000 | Venture Corp., Ltd. | 13,036 | ||||||
1,000 | Yaskawa Electric Corp. | 35,264 | ||||||
900 | Yokogawa Electric Corp. | 15,989 | ||||||
|
| |||||||
1,342,623 | ||||||||
|
| |||||||
Energy Equipment & Services (0.5%): | ||||||||
1,246 | Baker Hughes | 41,155 | ||||||
3,205 | Halliburton Co. | 144,417 | ||||||
427 | Helmerich & Payne, Inc. | 27,226 | ||||||
2,567 | John Wood Group plc | 21,183 | ||||||
1,360 | National-Oilwell Varco, Inc. | 59,024 | ||||||
5,042 | Schlumberger, Ltd. | 337,965 | ||||||
1,765 | Technipfmc plc | 56,021 | ||||||
1,915 | Tenaris SA | 34,919 | ||||||
|
| |||||||
721,910 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.2%): | ||||||||
297 | Alexandria Real Estate Equities, Inc. | 37,472 | ||||||
1,585 | American Tower Corp. | 228,508 |
Continued
7
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
9,400 | Ascendas Real Estate Investment Trust | $ | 18,246 | |||||
493 | AvalonBay Communities, Inc. | 84,742 | ||||||
518 | Boston Properties, Inc. | 64,968 | ||||||
2,984 | British Land Co. plc | 26,463 | ||||||
349 | Camden Property Trust | 31,804 | ||||||
10,600 | CapitaLand Commercial Trust | 12,898 | ||||||
10,000 | CapitaMall Trust | 15,175 | ||||||
1,476 | Crown Castle International Corp. | 159,142 | ||||||
5 | Daiwahouse Residential Investment Corp. | 11,866 | ||||||
3,890 | Dexus Property Group | 28,044 | ||||||
707 | Digital Realty Trust, Inc. | 78,887 | ||||||
1,337 | Duke Realty Corp. | 38,813 | ||||||
290 | Equinix, Inc. | 124,668 | ||||||
1,317 | Equity Residential Property Trust | 83,880 | ||||||
216 | Essex Property Trust, Inc. | 51,639 | ||||||
492 | Extra Space Storage, Inc. | 49,107 | ||||||
295 | Federal Realty Investment Trust | 37,332 | ||||||
126 | Fonciere des Regions SA | 13,102 | ||||||
158 | Gecina SA | 26,417 | ||||||
2,344 | Ggp US | 47,888 | ||||||
7,223 | GPT Group | 27,137 | ||||||
716 | H&R Real Estate Investment Trust | 10,959 | ||||||
3,070 | Hammerson plc | 21,113 | ||||||
1,803 | HCP, Inc. | 46,553 | ||||||
2,888 | Host Hotels & Resorts, Inc. | 60,850 | ||||||
90 | ICADE | 8,436 | ||||||
1,183 | Invitation Homes, Inc. | 27,280 | ||||||
957 | Iron Mountain, Inc. | 33,505 | ||||||
4 | Japan Prime Realty Investment Corp. | 14,538 | ||||||
5 | Japan Real Estate Investment Corp. | 26,458 | ||||||
11 | Japan Retail Fund Investment Corp. | 19,846 | ||||||
1,638 | Kimco Realty Corp. | 27,830 | ||||||
844 | Klepierre | 31,744 | ||||||
2,886 | Land Securities Group plc | 36,323 | ||||||
566 | Liberty Property Trust | 25,091 | ||||||
7,000 | Link REIT (The) | 63,642 | ||||||
365 | Macerich Co. (The) | 20,743 | ||||||
5,806 | Macquarie Goodman Group | 41,435 | ||||||
370 | Mid-America Apartment Communities, Inc. | 37,248 | ||||||
14,289 | Mirvac Group | 23,005 | ||||||
�� | 661 | National Retail Properties, Inc. | 29,058 | |||||
5 | Nippon Building Fund, Inc. | 28,848 | ||||||
6 | Nippon Prologis REIT, Inc. | 12,450 | ||||||
15 | Nomura Real Estate Master Fund, Inc. | 21,187 | ||||||
2,003 | ProLogis, Inc. | 131,577 | ||||||
592 | Public Storage, Inc. | 134,301 | ||||||
1,090 | Realty Income Corp. | 58,631 | ||||||
394 | Regency Centers Corp. | 24,460 | ||||||
626 | RioCan REIT | 11,501 | ||||||
397 | SBA Communications Corp.* | 65,553 | ||||||
19,896 | Scentre Group | 64,806 | ||||||
3,901 | SERGO plc | 34,451 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
1,167 | Simon Property Group, Inc. | $ | 198,611 | |||||
320 | SL Green Realty Corp. | 32,170 | ||||||
6,870 | Stockland Trust Group | 20,244 | ||||||
8,200 | Suntec REIT | 10,430 | ||||||
1,048 | UDR, Inc. | 39,342 | ||||||
371 | Unibail-Rodamco-Westfield | 81,684 | ||||||
2,404 | Unibail-Rodamco-Westfield* | 26,096 | ||||||
11 | United Urban Investment Corp. | 17,096 | ||||||
1,261 | Ventas, Inc. | 71,814 | ||||||
3,848 | VEREIT, Inc. | 28,629 | ||||||
12,778 | Vicinity Centres | 24,514 | ||||||
592 | Vornado Realty Trust | 43,761 | ||||||
1,360 | Welltower, Inc. | 85,258 | ||||||
2,695 | Weyerhaeuser Co. | 98,260 | ||||||
|
| |||||||
3,269,529 | ||||||||
|
| |||||||
Food & Staples Retailing (1.8%): | ||||||||
2,500 | Aeon Co., Ltd. | 53,463 | ||||||
1,573 | Alimentation Couche-Tard, Inc. | 68,341 | ||||||
1,572 | Carrefour SA | 25,367 | ||||||
240 | Casino Guichard-Perrachon SA^ | 9,301 | ||||||
279 | Colruyt SA | 15,910 | ||||||
1,605 | Costco Wholesale Corp. | 335,413 | ||||||
3,693 | CVS Health Corp. | 237,645 | ||||||
460 | Empire Co., Ltd., Class A | 9,235 | ||||||
300 | FamilyMart Co., Ltd. | 31,553 | ||||||
182 | ICA Gruppen AB | 5,580 | ||||||
6,388 | J Sainsbury plc | 27,065 | ||||||
1,005 | Jeronimo Martins SGPS SA | 14,460 | ||||||
4,621 | Koninklijke Ahold Delhaize NV | 110,545 | ||||||
3,059 | Kroger Co. (The) | 87,029 | ||||||
200 | LAWSON, Inc. | 12,494 | ||||||
837 | Loblaw Cos., Ltd. | 43,044 | ||||||
706 | METRO AG^ | 8,723 | ||||||
973 | Metro, Inc. | 33,080 | ||||||
2,700 | Seven & I Holdings Co., Ltd. | 117,702 | ||||||
200 | Sundrug Co., Ltd. | 8,088 | ||||||
1,705 | Sysco Corp. | 116,434 | ||||||
34,175 | Tesco plc | 115,730 | ||||||
100 | Tsuruha Holdings, Inc. | 12,522 | ||||||
3,032 | Walgreens Boots Alliance, Inc. | 181,965 | ||||||
5,391 | Wal-Mart Stores, Inc. | 461,739 | ||||||
4,032 | Wesfarmers, Ltd. | 147,842 | ||||||
218 | Weston (George), Ltd. | 17,788 | ||||||
8,734 | William Morrison Supermarkets plc | 29,011 | ||||||
4,614 | Woolworths, Ltd. | 104,495 | ||||||
|
| |||||||
2,441,564 | ||||||||
|
| |||||||
Food Products (1.6%): | ||||||||
2,687 | A2 Milk Co., Ltd.* | 20,805 | ||||||
1,500 | Ajinomoto Co., Inc. | 28,329 | ||||||
2,102 | Archer-Daniels-Midland Co. | 96,335 | ||||||
1,195 | Associated British Foods plc | 43,078 | ||||||
8 | Barry Callebaut AG, Registered Shares | 14,371 |
Continued
8
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
553 | Bunge, Ltd. | $ | 38,550 | |||||
300 | Calbee, Inc. | 11,281 | ||||||
713 | Campbell Soup Co.^ | 28,905 | ||||||
1,302 | ConAgra Foods, Inc. | 46,520 | ||||||
2,221 | Danone SA | 162,801 | ||||||
1,954 | General Mills, Inc. | 86,484 | ||||||
17,600 | Golden Agri-Resources, Ltd. | 3,937 | ||||||
554 | Hershey Co. (The) | 51,555 | ||||||
1,150 | Hormel Foods Corp.^ | 42,792 | ||||||
288 | Ingredion, Inc. | 31,882 | ||||||
436 | JM Smucker Co. (The) | 46,861 | ||||||
921 | Kellogg Co. | 64,350 | ||||||
593 | Kerry Group plc, Class A | 61,930 | ||||||
600 | Kikkoman Corp. | 30,235 | ||||||
2,157 | Kraft Heinz Co. (The) | 135,503 | ||||||
4 | Lindt & Spruengli AG | 25,953 | ||||||
1,474 | Marine Harvest | 29,361 | ||||||
472 | McCormick & Co.^ | 54,794 | ||||||
400 | Meiji Holdings Co., Ltd. | 33,716 | ||||||
5,464 | Mondelez International, Inc., Class A | 224,024 | ||||||
11,327 | Nestle SA, Registered Shares | 877,254 | ||||||
300 | Nippon Meat Packers, Inc. | 12,118 | ||||||
800 | Nisshin Seifun Group, Inc. | 16,921 | ||||||
200 | Nissin Foods Holdings Co., Ltd. | 14,459 | ||||||
3,107 | Orkla ASA, Class A | 27,218 | ||||||
790 | Saputo, Inc. | 26,233 | ||||||
300 | Toyo Suisan Kaisha, Ltd. | 10,681 | ||||||
967 | Tyson Foods, Inc., Class A | 66,578 | ||||||
23,000 | WH Group, Ltd. | 18,596 | ||||||
7,700 | Wilmar International, Ltd. | 17,270 | ||||||
300 | Yakult Honsha Co., Ltd. | 20,031 | ||||||
500 | Yamazaki Baking Co., Ltd. | 13,062 | ||||||
|
| |||||||
2,534,773 | ||||||||
|
| |||||||
Gas Utilities (0.0%): | ||||||||
4,712 | APA Group | 34,321 | ||||||
417 | Atmos Energy Corp. | 37,588 | ||||||
1,377 | Gas Natural SDG SA^ | 36,433 | ||||||
32,340 | Hong Kong & China Gas Co., Ltd. | 61,715 | ||||||
1,600 | Osaka Gas Co., Ltd. | 33,106 | ||||||
1,400 | Tokyo Gas Co., Ltd. | 37,155 | ||||||
697 | UGI Corp. | 36,293 | ||||||
|
| |||||||
276,611 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.2%): | ||||||||
6,342 | Abbott Laboratories | 386,799 | ||||||
153 | ABIOMED, Inc.* | 62,585 | ||||||
238 | Align Technology, Inc.* | 81,429 | ||||||
1,760 | Baxter International, Inc. | 129,958 | ||||||
956 | Becton, Dickinson & Co. | 229,019 | ||||||
159 | bioMerieux | 14,259 | ||||||
4,956 | Boston Scientific Corp.* | 162,061 | ||||||
157 | Cochlear, Ltd. | 23,338 | ||||||
461 | Coloplast A/S, Class B | 46,052 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
4,781 | Convatec Group plc | $ | 13,388 | |||||
192 | Cooper Cos., Inc. (The) | 45,206 | ||||||
2,300 | Danaher Corp. | 226,964 | ||||||
906 | Dentsply Sirona, Inc. | 39,656 | ||||||
747 | Edwards Lifesciences Corp.* | 108,741 | ||||||
748 | Essilor International SA Compagnie Generale d’Optique | 105,528 | ||||||
2,474 | Fisher & Paykel Healthcare Corp., Ltd. | 24,929 | ||||||
974 | Hologic, Inc.* | 38,717 | ||||||
1,500 | HOYA Corp. | 85,202 | ||||||
314 | IDEXX Laboratories, Inc.* | 68,433 | ||||||
405 | Intuitive Surgical, Inc.* | 193,784 | ||||||
4,967 | Medtronic plc | 425,225 | ||||||
1,100 | Olympus Co., Ltd. | 41,093 | ||||||
548 | ResMed, Inc. | 56,762 | ||||||
129 | Sartorius AG | 19,270 | ||||||
556 | Siemens Healthineers AG* | 22,948 | ||||||
2,963 | Smith & Nephew plc | 54,480 | ||||||
211 | Sonova Holding AG, Registered Shares | 37,867 | ||||||
39 | Straumann Holding AG, Registered Shares | 29,701 | ||||||
1,222 | Stryker Corp. | 206,347 | ||||||
600 | Sysmex Corp. | 55,952 | ||||||
137 | Teleflex, Inc. | 36,745 | ||||||
1,000 | Terumo Corp. | 57,136 | ||||||
318 | Varian Medical Systems, Inc.* | 36,163 | ||||||
646 | William Demant Holding A/S* | 25,984 | ||||||
735 | Zimmer Holdings, Inc. | 81,908 | ||||||
|
| |||||||
3,273,629 | ||||||||
|
| |||||||
Health Care Providers & Services (1.7%): | ||||||||
1,187 | Aetna, Inc. | 217,815 | ||||||
1,356 | Al Noor Hospitals Group plc | 9,417 | ||||||
700 | Alfresa Holdings Corp. | 16,440 | ||||||
588 | AmerisourceBergen Corp. | 50,139 | ||||||
940 | Anthem, Inc. | 223,748 | ||||||
1,143 | Cardinal Health, Inc. | 55,813 | ||||||
667 | Centene Corp.* | 82,181 | ||||||
901 | Cigna Corp. | 153,125 | ||||||
441 | DaVita, Inc.* | 30,623 | ||||||
2,076 | Express Scripts Holding Co.* | 160,288 | ||||||
819 | Fresenius Medical Care AG & Co., KGaA | 82,666 | ||||||
1,440 | Fresenius SE & Co. KGaA | 115,617 | ||||||
1,038 | HCA Holdings, Inc. | 106,499 | ||||||
7,247 | Healthscope, Ltd. | 11,850 | ||||||
559 | Henry Schein, Inc.* | 40,606 | ||||||
501 | Humana, Inc. | 149,113 | ||||||
366 | Laboratory Corp. of America Holdings* | 65,708 | ||||||
746 | McKesson Corp. | 99,516 | ||||||
800 | Medipal Holdings Corp. | 16,074 | ||||||
378 | NMC Health plc | 17,835 | ||||||
496 | Quest Diagnostics, Inc. | 54,530 | ||||||
1,663 | Qurate Retail, Inc.* | 35,289 | ||||||
548 | Ramsay Health Care, Ltd. | 21,924 | ||||||
947 | Ryman Healthcare, Ltd. | 7,673 |
Continued
9
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
1,491 | Sonic Healthcare, Ltd. | $ | 27,114 | |||||
3,503 | UnitedHealth Group, Inc. | 859,425 | ||||||
359 | Universal Health Services, Inc., Class B | 40,007 | ||||||
|
| |||||||
2,751,035 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
1,083 | Cerner Corp.* | 64,753 | ||||||
700 | M3, Inc. | 27,868 | ||||||
435 | Veeva Systems, Inc., Class A* | 33,434 | ||||||
|
| |||||||
126,055 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.5%): | ||||||||
683 | Accor SA | 33,455 | ||||||
929 | Aramark Holdings Corp. | 34,466 | ||||||
2,102 | Aristocrat Leisure, Ltd. | 47,987 | ||||||
1,555 | Carnival Corp., Class A | 89,117 | ||||||
720 | Carnival plc | 41,178 | ||||||
67 | Chipotle Mexican Grill, Inc.* | 28,902 | ||||||
5,948 | Compass Group plc | 126,694 | ||||||
1,460 | �� | Crown, Ltd. | 14,619 | |||||
480 | Darden Restaurants, Inc. | 51,389 | ||||||
255 | Domino’s Pizza Enterprises, Ltd.^ | 9,847 | ||||||
131 | Domino’s Pizza, Inc. | 36,964 | ||||||
207 | Flight Centre, Ltd. | 9,744 | ||||||
9,000 | Galaxy Entertainment Group, Ltd. | 69,082 | ||||||
11,400 | Genting Singapore, Ltd. | 10,242 | ||||||
1,984 | GVC Holdings plc | 27,486 | ||||||
1,039 | Hilton Worldwide Holdings, Inc. | 82,247 | ||||||
704 | Intercontinental Hotels Group plc | 43,789 | ||||||
1,404 | Las Vegas Sands Corp. | 107,209 | ||||||
1,136 | Marriott International, Inc., Class A | 143,818 | ||||||
2,876 | McDonald’s Corp. | 450,641 | ||||||
763 | Melco Resorts & Entertainment, Ltd., ADR | 21,364 | ||||||
2,822 | Merlin Entertainments plc | 14,396 | ||||||
2,400 | MGM China Holdings, Ltd. | 5,558 | ||||||
1,778 | MGM Resorts International | 51,615 | ||||||
621 | Norwegian Cruise Line Holdings, Ltd.* | 29,342 | ||||||
700 | Oriental Land Co., Ltd. | 73,362 | ||||||
308 | Paddy Power plc | 34,538 | ||||||
873 | Restaurant Brands International, Inc. | 52,666 | ||||||
578 | Royal Caribbean Cruises, Ltd. | 59,881 | ||||||
9,600 | Sands China, Ltd. | 51,157 | ||||||
10,000 | SJM Holdings, Ltd. | 12,425 | ||||||
372 | Sodexo SA | 37,161 | ||||||
5,154 | Starbucks Corp. | 251,773 | ||||||
7,935 | Tabcorp Holdings, Ltd. | 26,259 | ||||||
1,739 | TUI AG | 38,138 | ||||||
163 | Vail Resorts, Inc. | 44,693 | ||||||
710 | Whitbread plc | 37,083 | ||||||
8,000 | Wynn Macau, Ltd. | 25,690 | ||||||
321 | Wynn Resorts, Ltd. | 53,716 | ||||||
1,155 | Yum! Brands, Inc. | 90,344 | ||||||
|
| |||||||
2,470,037 | ||||||||
|
|
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables (0.7%): | ||||||||
3,899 | Barratt Developments plc | $ | 26,508 | |||||
503 | Berkeley Group Holdings plc (The) | 25,117 | ||||||
900 | Casio Computer Co., Ltd. | 14,627 | ||||||
1,387 | D.R. Horton, Inc. | 56,866 | ||||||
982 | Electrolux AB, Series B, B Shares | 22,356 | ||||||
447 | Garmin, Ltd. | 27,267 | ||||||
1,713 | Husqvarna AB, Class B | 16,226 | ||||||
600 | Iida Group Holdings Co., Ltd. | 11,563 | ||||||
538 | Leggett & Platt, Inc. | 24,016 | ||||||
1,070 | Lennar Corp., Class A | 56,175 | ||||||
254 | Mohawk Industries, Inc.* | 54,425 | ||||||
1,786 | Newell Rubbermaid, Inc. | 46,061 | ||||||
1,300 | Nikon Corp. | 20,629 | ||||||
14 | NVR, Inc.* | 41,585 | ||||||
8,200 | Panasonic Corp. | 110,185 | ||||||
822 | Persimmon plc | 27,466 | ||||||
948 | PulteGroup, Inc. | 27,255 | ||||||
100 | Rinnai Corp. | 8,803 | ||||||
92 | SEB SA | 16,041 | ||||||
1,200 | Sekisui Chemical Co., Ltd. | 20,434 | ||||||
1,900 | Sekisui House, Ltd. | 33,598 | ||||||
400 | Sharp Corp.^ | 9,721 | ||||||
4,700 | Sony Corp. | 241,171 | ||||||
13,519 | Taylor Wimpey plc | 31,906 | ||||||
5,500 | Techtronic Industries Co., Ltd. | 30,541 | ||||||
621 | Toll Brothers, Inc. | 22,971 | ||||||
255 | Whirlpool Corp. | 37,289 | ||||||
|
| |||||||
1,060,802 | ||||||||
|
| |||||||
Household Products (0.9%): | ||||||||
869 | Church & Dwight Co., Inc. | 46,196 | ||||||
426 | Clorox Co. (The) | 57,617 | ||||||
3,002 | Colgate-Palmolive Co. | 194,560 | ||||||
2,044 | Essity AB, Class B | 50,433 | ||||||
405 | Henkel AG & Co. KGaA | 45,057 | ||||||
1,250 | Kimberly-Clark Corp. | 131,675 | ||||||
1,000 | Lion Corp. | 18,333 | ||||||
9,187 | Procter & Gamble Co. (The) | 717,136 | ||||||
2,417 | Reckitt Benckiser Group plc | 198,654 | ||||||
1,600 | Unicharm Corp. | 48,152 | ||||||
|
| |||||||
1,507,813 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.0%): | ||||||||
2,498 | AES Corp. (The) | 33,498 | ||||||
500 | Electric Power Development Co., Ltd. | 12,904 | ||||||
6,653 | Meridian Energy, Ltd. | 14,048 | ||||||
787 | Uniper SE | 23,460 | ||||||
1,185 | Vistra Energy Corp.* | 28,037 | ||||||
|
| |||||||
111,947 | ||||||||
|
| |||||||
Industrial Conglomerates (1.5%): | ||||||||
2,155 | 3M Co., Class C | 423,932 | ||||||
9,500 | CK Hutchison Holdings, Ltd. | 100,265 | ||||||
232 | DCC plc | 21,101 |
Continued
10
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
31,394 | General Electric Co. | $ | 427,271 | |||||
2,680 | Honeywell International, Inc. | 386,054 | ||||||
800 | Jardine Matheson Holdings, Ltd. | 50,415 | ||||||
900 | Jardine Strategic Holdings, Ltd. | 32,788 | ||||||
400 | Keihan Electric Railway Co., Ltd. | 14,350 | ||||||
4,300 | Keppel Corp., Ltd. | 22,624 | ||||||
3,437 | Koninklijke Philips Electronics NV | 145,670 | ||||||
7,370 | NWS Holdings, Ltd. | 12,733 | ||||||
361 | Roper Industries, Inc. | 99,604 | ||||||
700 | Seibu Holdings, Inc. | 11,797 | ||||||
6,700 | SembCorp Industries, Ltd. | 13,490 | ||||||
2,780 | Siemens AG, Registered Shares | 367,345 | ||||||
1,528 | Smiths Group plc | 34,224 | ||||||
25,000 | Toshiba Corp.* | 75,063 | ||||||
|
| |||||||
2,238,726 | ||||||||
|
| |||||||
Insurance (4.1%): | ||||||||
850 | Admiral Group plc | 21,376 | ||||||
7,322 | AEGON NV | 43,751 | ||||||
2,904 | Aflac, Inc. | 124,930 | ||||||
762 | Ageas NV | 38,418 | ||||||
44,200 | AIA Group, Ltd. | 382,660 | ||||||
38 | Alleghany Corp. | 21,849 | ||||||
1,596 | Allianz SE, Registered Shares+ | 329,769 | ||||||
1,251 | Allstate Corp. (The) | 114,179 | ||||||
304 | American Financial Group, Inc. | 32,628 | ||||||
3,302 | American International Group, Inc. | 175,072 | ||||||
885 | Aon plc | 121,395 | ||||||
1,506 | Arch Capital Group, Ltd.* | 39,849 | ||||||
733 | Arthur J. Gallagher & Co. | 47,850 | ||||||
4,785 | Assicurazioni Generali SpA | 80,115 | ||||||
244 | Assurant, Inc. | 25,252 | ||||||
311 | Athene Holding, Ltd.* | 13,634 | ||||||
13,661 | Aviva plc | 90,826 | ||||||
7,004 | AXA SA | 171,579 | ||||||
387 | Axis Capital Holdings, Ltd. | 21,525 | ||||||
160 | Baloise Holding AG, Registered Shares | 23,278 | ||||||
327 | Brighthouse Financial, Inc.* | 13,103 | ||||||
1,718 | Chubb, Ltd. | 218,220 | ||||||
539 | Cincinnati Financial Corp. | 36,038 | ||||||
697 | CNP Assurances SA | 15,837 | ||||||
3,700 | Dai-ichi Life Insurance Co., Ltd. | 65,822 | ||||||
5,556 | Direct Line Insurance Group plc | 25,128 | ||||||
166 | Everest Re Group, Ltd. | 38,260 | ||||||
92 | Fairfax Financial Holdings, Ltd. | 51,558 | ||||||
928 | FNF Group | 34,911 | ||||||
727 | Gjensidige Forsikring ASA | 11,910 | ||||||
1,141 | Great-West Lifeco, Inc. | 28,054 | ||||||
228 | Hannover Rueck SE | 28,424 | ||||||
1,259 | Hartford Financial Services Group, Inc. (The) | 64,373 | ||||||
396 | Industrial Alliance Insurance & Financial Services, Inc. | 15,289 | ||||||
8,439 | Insurance Australia Group, Ltd. | 53,456 | ||||||
551 | Intact Financial Corp. | 39,088 | ||||||
6,200 | Japan Post Holdings Co., Ltd. | 67,888 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
22,081 | Legal & General Group plc | $ | 77,479 | |||||
739 | Lincoln National Corp. | 46,003 | ||||||
993 | Loews Corp. | 47,942 | ||||||
7,294 | Manulife Financial Corp. | 131,064 | ||||||
4,960 | MAPFRE SA | 14,925 | ||||||
46 | Markel Corp.* | 49,880 | ||||||
1,866 | Marsh & McLennan Cos., Inc. | 152,956 | ||||||
10,769 | Medibank Private, Ltd. | 23,311 | ||||||
3,149 | MetLife, Inc. | 137,296 | ||||||
1,600 | MS&AD Insurance Group Holdings, Inc. | 49,705 | ||||||
558 | Muenchener Rueckversicherungs-Gesellschaft AG | 118,243 | ||||||
1,200 | NKSJ Holdings, Inc. | 48,485 | ||||||
948 | NN Group NV | 38,463 | ||||||
100 | Old Mutual, Ltd. | 198 | ||||||
2,312 | Poste Italiane SpA | 19,302 | ||||||
1,383 | Power Corp. of Canada | 30,974 | ||||||
922 | Power Financial Corp. | 21,568 | ||||||
960 | Principal Financial Group, Inc. | 50,832 | ||||||
2,166 | Progressive Corp. (The) | 128,119 | ||||||
1,567 | Prudential Financial, Inc. | 146,530 | ||||||
9,367 | Prudential plc | 213,984 | ||||||
4,484 | QBE Insurance Group, Ltd. | 32,415 | ||||||
193 | Reinsurance Group of America, Inc. | 25,762 | ||||||
160 | RenaissanceRe Holdings, Ltd. | 19,251 | ||||||
4,071 | RSA Insurance Group plc | 36,488 | ||||||
1,525 | Sampo OYJ, Class A | 74,359 | ||||||
535 | SCOR SA | 19,844 | ||||||
900 | Sony Financial Holdings, Inc. | 17,140 | ||||||
1,995 | St. James Place plc | 30,196 | ||||||
10,335 | Standard Life plc | 44,405 | ||||||
2,062 | Sun Life Financial, Inc. | 82,872 | ||||||
4,547 | Suncorp-Metway, Ltd. | 49,223 | ||||||
130 | Swiss Life Holding AG, Registered Shares | 45,234 | ||||||
1,209 | Swiss Re AG | 104,510 | ||||||
2,300 | T&D Holdings, Inc. | 34,464 | ||||||
2,400 | Tokio Marine Holdings, Inc. | 112,395 | ||||||
389 | Torchmark Corp. | 31,668 | ||||||
1,006 | Travelers Cos., Inc. (The) | 123,074 | ||||||
213 | Tryg A/S | 4,999 | ||||||
930 | UnumProvident Corp. | 34,401 | ||||||
233 | W.R. Berkley Corp. | 16,872 | ||||||
435 | Willis Towers Watson plc | 65,946 | ||||||
817 | XL Group, Ltd. | 45,711 | ||||||
551 | Zurich Insurance Group AG | 163,509 | ||||||
|
| |||||||
5,489,291 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.4%): | ||||||||
1,489 | Amazon.com, Inc.* | 2,531,001 | ||||||
175 | Booking Holdings, Inc.* | 354,741 | ||||||
477 | Expedia, Inc. | 57,331 | ||||||
1,571 | Netflix, Inc.* | 614,937 | ||||||
3,700 | Rakuten, Inc. | 24,987 | ||||||
700 | Start Today Co., Ltd. | 25,346 |
Continued
11
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
466 | TripAdvisor, Inc.*^ | $ | 25,961 | |||||
340 | Zalando SE* | 18,988 | ||||||
|
| |||||||
3,653,292 | ||||||||
|
| |||||||
Internet Software & Services (3.1%): | ||||||||
597 | Akamai Technologies, Inc.* | 43,718 | ||||||
1,081 | Alphabet, Inc., Class A* | 1,220,654 | ||||||
1,140 | Alphabet, Inc., Class C* | 1,271,841 | ||||||
3,847 | Auto Trader Group plc | 21,616 | ||||||
335 | Delivery Hero AG* | 17,827 | ||||||
500 | DeNA Co., Ltd. | 9,371 | ||||||
3,535 | eBay, Inc.* | 128,179 | ||||||
8,666 | Facebook, Inc., Class A* | 1,683,977 | ||||||
543 | GoDaddy, Inc., Class A* | 38,336 | ||||||
281 | IAC/InterActiveCorp.* | 42,850 | ||||||
700 | Kakaku.com, Inc. | 15,778 | ||||||
151 | MercadoLibre, Inc. | 45,138 | ||||||
300 | Shopify, Inc., Class A* | 43,767 | ||||||
2,197 | Twitter, Inc.* | 95,943 | ||||||
475 | United Internet AG, Registered Shares | 27,196 | ||||||
322 | VeriSign, Inc.* | 44,249 | ||||||
5,500 | Yahoo! Japan Corp. | 18,217 | ||||||
443 | Zillow Group, Inc., Class C*^ | 26,164 | ||||||
|
| |||||||
4,794,821 | ||||||||
|
| |||||||
IT Services (3.1%): | ||||||||
2,258 | Accenture plc, Class C | 369,386 | ||||||
201 | Alliance Data Systems Corp. | 46,873 | ||||||
1,640 | Amadeus IT Holding SA | 129,207 | ||||||
346 | Atos Origin SA | 47,145 | ||||||
1,579 | Automatic Data Processing, Inc. | 211,807 | ||||||
403 | Broadridge Financial Solutions, Inc. | 46,385 | ||||||
584 | Capgemini SA | 78,385 | ||||||
859 | CGI Group, Inc., Class A* | 54,441 | ||||||
2,162 | Cognizant Technology Solutions Corp., Class A | 170,776 | ||||||
1,800 | Computershare, Ltd. | 24,632 | ||||||
1,004 | DXC Technology Co. | 80,932 | ||||||
1,220 | Fidelity National Information Services, Inc. | 129,357 | ||||||
1,382 | First Data Corp., Class A* | 28,925 | ||||||
1,528 | Fiserv, Inc.* | 113,210 | ||||||
294 | FleetCor Technologies, Inc.* | 61,931 | ||||||
7,000 | Fujitsu, Ltd. | 42,405 | ||||||
324 | Gartner, Inc.* | 43,060 | ||||||
604 | Global Payments, Inc. | 67,340 | ||||||
3,353 | International Business Machines Corp. | 468,414 | ||||||
261 | Jack Henry & Associates, Inc. | 34,024 | ||||||
584 | Leidos Holdings, Inc. | 34,456 | ||||||
3,385 | MasterCard, Inc., Class A | 665,221 | ||||||
440 | Nomura Research Institute, Ltd. | 21,301 | ||||||
2,500 | NTT Data Corp. | 28,759 | ||||||
200 | OBIC Co., Ltd. | 16,537 | ||||||
400 | Otsuka Corp. | 15,671 | ||||||
1,176 | Paychex, Inc. | 80,380 | ||||||
4,099 | PayPal Holdings, Inc.* | 341,324 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
546 | Perspecta, Inc. | $ | 11,220 | |||||
802 | Sabre Corp. | 19,761 | ||||||
957 | Square, Inc., Class A* | 58,989 | ||||||
647 | Total System Services, Inc. | 54,684 | ||||||
6,543 | Visa, Inc., Class A | 866,621 | ||||||
1,873 | Western Union Co. | 38,078 | ||||||
446 | Wirecard AG | 71,786 | ||||||
1,079 | Worldpay, Inc., Class A* | 88,241 | ||||||
|
| |||||||
4,661,664 | ||||||||
|
| |||||||
Leisure Products (0.2%): | ||||||||
443 | Hasbro, Inc. | 40,893 | ||||||
1,326 | Mattel, Inc.^ | 21,773 | ||||||
800 | Namco Bandai Holdings, Inc. | 32,968 | ||||||
239 | Polaris Industries, Inc. | 29,201 | ||||||
800 | Sega Sammy Holdings, Inc. | 13,700 | ||||||
200 | Shimano, Inc. | 29,346 | ||||||
600 | Yamaha Corp. | 31,131 | ||||||
|
| |||||||
199,012 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.5%): | ||||||||
1,170 | Agilent Technologies, Inc. | 72,353 | ||||||
30 | Eurofins Scientific SE | 16,663 | ||||||
529 | Illumina, Inc.* | 147,744 | ||||||
436 | IQVIA Holdings, Inc.* | 43,522 | ||||||
248 | Lonza Group AG, Registered Shares | 65,906 | ||||||
95 | Mettler-Toledo International, Inc.* | 54,970 | ||||||
839 | Qiagen NV* | 30,545 | ||||||
1,446 | Thermo Fisher Scientific, Inc. | 299,524 | ||||||
282 | Waters Corp.* | 54,592 | ||||||
|
| |||||||
785,819 | ||||||||
|
| |||||||
Machinery (1.8%): | ||||||||
264 | AGCO Corp. | 16,030 | ||||||
1,121 | Alfa Laval AB | 26,526 | ||||||
607 | Alstom SA | 27,874 | ||||||
1,300 | AMADA Co., Ltd. | 12,475 | ||||||
291 | Andritz AG | 15,440 | ||||||
2,458 | Atlas Copco AB, Class A | 71,265 | ||||||
1,444 | Atlas Copco AB, Class B | 37,776 | ||||||
2,166 | Caterpillar, Inc. | 293,862 | ||||||
4,138 | CNH Industrial NV | 43,839 | ||||||
576 | Cummins, Inc. | 76,608 | ||||||
200 | Daifuku Co., Ltd. | 8,744 | ||||||
1,118 | Deere & Co. | 156,297 | ||||||
617 | Dover Corp. | 45,164 | ||||||
2,458 | Epiroc AB, Class A* | 25,802 | ||||||
1,444 | Epiroc AB, Class B* | 13,224 | ||||||
700 | FANUC Corp. | 138,805 | ||||||
458 | Flowserve Corp. | 18,503 | ||||||
1,143 | Fortive Corp. | 88,137 | ||||||
718 | GEA Group AG | 24,200 | ||||||
1,200 | Hino Motors, Ltd. | 12,779 | ||||||
200 | Hitachi Construction Machinery Co., Ltd. | 6,486 |
Continued
12
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
200 | Hoshizaki Electric Co., Ltd. | $ | 20,219 | |||||
312 | IDEX Corp. | 42,582 | ||||||
600 | IHI Corp. | 20,878 | ||||||
1,123 | Illinois Tool Works, Inc. | 155,581 | ||||||
891 | Ingersoll-Rand plc | 79,949 | ||||||
800 | JTEKT Corp. | 10,866 | ||||||
500 | Kawasaki Heavy Industries, Ltd. | 14,667 | ||||||
282 | Kion Group AG | 20,262 | ||||||
3,300 | Komatsu, Ltd. | 93,940 | ||||||
1,019 | Kone OYJ, Class B | 51,886 | ||||||
3,700 | Kubota Corp. | 58,110 | ||||||
500 | Kurita Water Industries, Ltd. | 14,247 | ||||||
800 | Makita Corp. | 35,790 | ||||||
156 | MAN AG | 17,652 | ||||||
472 | Metso Corp. OYJ | 15,797 | ||||||
139 | Middleby Corp. (The)*^ | 14,514 | ||||||
1,400 | Minebea Co., Ltd. | 23,592 | ||||||
1,100 | Mitsubishi Heavy Industries, Ltd. | 39,993 | ||||||
400 | Nabtesco Corp. | 12,287 | ||||||
1,000 | NGK Insulators, Ltd. | 17,787 | ||||||
1,100 | NSK, Ltd. | 11,327 | ||||||
1,294 | PACCAR, Inc. | 80,176 | ||||||
468 | Parker Hannifin Corp. | 72,938 | ||||||
670 | Pentair plc | 28,194 | ||||||
4,220 | Sandvik AB | 74,812 | ||||||
141 | Schindler Holding AG | 30,380 | ||||||
31 | Schindler Holding AG, Registered Shares | 6,529 | ||||||
1,203 | SKF AB, Class B | 22,366 | ||||||
200 | SMC Corp. | 73,206 | ||||||
234 | Snap-On, Inc. | 37,608 | ||||||
529 | Stanley Black & Decker, Inc. | 70,256 | ||||||
400 | Sumitomo Heavy Industries, Ltd. | 13,461 | ||||||
600 | THK Co., Ltd. | 17,156 | ||||||
5,811 | Volvo AB, Class B | 92,593 | ||||||
210 | WABCO Holdings, Inc.* | 24,574 | ||||||
356 | Wabtec Corp.^ | 35,094 | ||||||
1,776 | Wartsila Corp. OYJ, Class B | 34,858 | ||||||
830 | Weir Group plc (The) | 21,892 | ||||||
704 | Xylem, Inc. | 47,436 | ||||||
|
| |||||||
2,715,291 | ||||||||
|
| |||||||
Marine (0.0%): | ||||||||
17 | A.P. Moeller – Maersk A/S, Class A | 20,140 | ||||||
16 | A.P. Moeller – Maersk A/S, Class B | 19,903 | ||||||
180 | Kuehne & Nagel International AG, Registered Shares | 27,048 | ||||||
500 | Mitsui O.S.K. Lines, Ltd. | 12,010 | ||||||
600 | Nippon Yusen Kabushiki Kaisha | 11,896 | ||||||
|
| |||||||
90,997 | ||||||||
|
| |||||||
Media (1.7%): | ||||||||
64 | Axel Springer AG | 4,628 | ||||||
1,226 | CBS Corp., Class B | 68,926 | ||||||
608 | Charter Communications, Inc., Class A* | 178,272 | ||||||
16,778 | Comcast Corp., Class A | 550,486 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
400 | Cyberagent, Inc. | $ | 24,013 | |||||
800 | Dentsu, Inc. | 37,875 | ||||||
679 | Discovery Communications, Inc., Class A*^ | 18,673 | ||||||
1,175 | Discovery Communications, Inc., Class C* | 29,963 | ||||||
890 | DISH Network Corp., Class A* | 29,913 | ||||||
678 | Eutelsat Communications SA | 14,040 | ||||||
1,100 | Hakuhodo DY Holdings, Inc. | 17,639 | ||||||
4,548 | Informa plc | 50,098 | ||||||
1,539 | Interpublic Group of Cos., Inc. (The) | 36,074 | ||||||
13,978 | ITV plc | 32,081 | ||||||
403 | JCDecaux SA | 13,469 | ||||||
423 | Liberty Broadband Corp., Class C* | 32,030 | ||||||
1,786 | Liberty Global plc, Series C* | 47,525 | ||||||
692 | Liberty Global plc, Class A* | 19,058 | ||||||
765 | Liberty Media Group, Class C* | 28,404 | ||||||
369 | Liberty SiriusXM Group, Class A* | 16,623 | ||||||
619 | Liberty SiriusXM Group, Class C* | 28,078 | ||||||
548 | Live Nation, Inc.*^ | 26,616 | ||||||
1,432 | News Corp., Class A | 22,196 | ||||||
762 | Omnicom Group, Inc. | 58,118 | ||||||
3,164 | Pearson plc^ | 36,784 | ||||||
854 | ProSiebenSat.1 Media AG | 21,652 | ||||||
762 | Publicis Groupe SA | 52,359 | ||||||
117 | REA Group, Ltd. | 7,889 | ||||||
170 | RTL Group | 11,526 | ||||||
534 | Schibsted ASA, Class B | 15,072 | ||||||
1,431 | SES Global, Class A | 26,187 | ||||||
1,248 | Shaw Communications, Inc., Class B | 25,425 | ||||||
1,500 | Singapore Press Holdings, Ltd.^ | 2,858 | ||||||
4,637 | Sirius XM Holdings, Inc.^ | 31,392 | ||||||
3,978 | Sky plc | 76,712 | ||||||
227 | Telenet Group Holding NV* | 10,580 | ||||||
400 | Toho Co., Ltd. | 13,403 | ||||||
3,860 | Twenty-First Century Fox, Inc. | 191,803 | ||||||
1,543 | Twenty-First Century Fox, Inc., Class B | 76,024 | ||||||
1,259 | Viacom, Inc., Class B | 37,971 | ||||||
3,773 | Vivendi Universal SA | 92,295 | ||||||
5,473 | Walt Disney Co. (The) | 573,625 | ||||||
4,388 | WPP plc | 69,037 | ||||||
|
| |||||||
2,757,392 | ||||||||
|
| |||||||
Metals & Mining (1.6%): | ||||||||
908 | Agnico Eagle Mines, Ltd. | 41,632 | ||||||
10,099 | Alumina, Ltd. | 20,901 | ||||||
3,834 | Anglo American plc^ | 85,129 | ||||||
1,249 | Antofagasta plc | 16,223 | ||||||
2,233 | ArcelorMittal | 65,206 | ||||||
4,195 | Barrick Gold Corp. | 55,114 | ||||||
7,636 | BHP Billiton plc | 170,848 | ||||||
11,411 | BHP Billiton, Ltd. | 285,875 | ||||||
1,801 | BlueScope Steel, Ltd. | 22,952 | ||||||
1,073 | Boliden AB | 34,733 | ||||||
2,679 | First Quantum Minerals, Ltd. | 39,477 |
Continued
13
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
6,052 | Fortescue Metals Group, Ltd. | $ | 19,629 | |||||
599 | Franco-Nevada Corp. | 43,723 | ||||||
5,129 | Freeport-McMoRan Copper & Gold, Inc. | 88,526 | ||||||
837 | Fresnillo plc | 12,616 | ||||||
42,000 | Glencore International plc | 199,093 | ||||||
3,385 | Goldcorp, Inc. | 46,481 | ||||||
1,100 | Hitachi Metals, Ltd. | 11,410 | ||||||
2,000 | JFE Holdings, Inc. | 37,732 | ||||||
4,800 | Kinross Gold Corp.* | 18,075 | ||||||
1,500 | Kobe Steel, Ltd. | 13,714 | ||||||
1,942 | Lundin Mining Corp. | 10,800 | ||||||
100 | Maruichi Steel Tube, Ltd. | 3,383 | ||||||
400 | Mitsubishi Materials Corp. | 10,969 | ||||||
2,928 | Newcrest Mining, Ltd. | 47,453 | ||||||
1,887 | Newmont Mining Corp. | 71,159 | ||||||
2,700 | Nippon Steel Corp. | 52,963 | ||||||
5,187 | Norsk Hydro ASA | 31,066 | ||||||
1,228 | Nucor Corp. | 76,750 | ||||||
380 | Randgold Resources, Ltd. | 29,220 | ||||||
4,351 | Rio Tinto plc | 239,925 | ||||||
1,410 | Rio Tinto, Ltd. | 87,518 | ||||||
18,228 | South32, Ltd. | 49,081 | ||||||
839 | Steel Dynamics, Inc. | 38,552 | ||||||
1,000 | Sumitomo Metal & Mining Co., Ltd. | 38,107 | ||||||
1,869 | Teck Cominco, Ltd., Class B | 47,617 | ||||||
1,419 | ThyssenKrupp AG | 34,521 | ||||||
3,978 | Turquoise Hill Resources, Ltd.* | 11,258 | ||||||
415 | Voestalpine AG | 19,091 | ||||||
1,722 | Wheaton Precious Metals Corp. | 38,016 | ||||||
|
| |||||||
2,266,538 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%): | ||||||||
1,279 | Agnc Investment Corp. | 23,777 | ||||||
3,700 | Annaly Capital Management, Inc. | 38,073 | ||||||
|
| |||||||
61,850 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
218 | Canadian Tire Corp., Class A | 28,459 | ||||||
966 | Dollar General Corp. | 95,247 | ||||||
839 | Dollar Tree, Inc.* | 71,315 | ||||||
1,161 | Dollarama, Inc. | 45,009 | ||||||
400 | Don Quijote Co., Ltd. | 19,194 | ||||||
3,176 | Harvey Norman Holdings, Ltd.^ | 7,796 | ||||||
1,300 | Isetan Mitsukoshi Holdings, Ltd. | 16,226 | ||||||
900 | J. Front Retailing Co., Ltd. | 13,665 | ||||||
602 | Kohl’s Corp. | 43,886 | ||||||
1,213 | Macy’s, Inc. | 45,403 | ||||||
6,217 | Marks & Spencer Group plc^ | 24,188 | ||||||
900 | MARUI GROUP Co., Ltd. | 18,943 | ||||||
458 | Next plc | 36,555 | ||||||
511 | Nordstrom, Inc. | 26,460 | ||||||
100 | Ryohin Keikaku Co., Ltd. | 35,178 | ||||||
1,000 | Takashimaya Co., Ltd. | 8,552 | ||||||
1,906 | Target Corp. | 145,084 | ||||||
|
| |||||||
681,160 | ||||||||
|
|
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Multi-Utilities (0.8%): | ||||||||
2,649 | AGL Energy, Ltd. | $ | 44,142 | |||||
854 | Ameren Corp. | 51,966 | ||||||
348 | Atco, Ltd. | 10,743 | ||||||
463 | Canadian Utilities, Ltd., Class A | 11,694 | ||||||
1,567 | CenterPoint Energy, Inc. | 43,422 | ||||||
19,614 | Centrica plc | 40,791 | ||||||
1,140 | CMS Energy Corp. | 53,899 | ||||||
1,123 | Consolidated Edison, Inc. | 87,572 | ||||||
2,399 | Dominion Energy, Inc. | 163,563 | ||||||
601 | DTE Energy Co. | 62,282 | ||||||
7,903 | E.ON AG | 84,422 | ||||||
6,854 | Engie Group | 104,885 | ||||||
573 | Innogy Se^ | 24,542 | ||||||
12,089 | National Grid plc | 133,722 | ||||||
1,299 | NiSource, Inc. | 34,138 | ||||||
1,833 | Public Service Enterprise Group, Inc. | 99,238 | ||||||
1,932 | RWE AG | 44,031 | ||||||
563 | SCANA Corp. | 21,687 | ||||||
801 | Sempra Energy | 93,004 | ||||||
1,255 | Suez Environnement Co. | 16,271 | ||||||
1,772 | Veolia Environnement SA | 37,906 | ||||||
1,085 | WEC Energy Group, Inc. | 70,145 | ||||||
|
| |||||||
1,334,065 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (6.5%): | ||||||||
608 | AltaGas, Ltd. | 12,558 | ||||||
1,954 | Anadarko Petroleum Corp. | 143,131 | ||||||
478 | Andeavor | 62,704 | ||||||
597 | Antero Resources Corp.* | 12,746 | ||||||
1,421 | Apache Corp.^ | 66,432 | ||||||
1,724 | ARC Resources, Ltd. | 17,811 | ||||||
71,792 | BP plc | 546,538 | ||||||
1,817 | Cabot Oil & Gas Corp. | 43,245 | ||||||
1,032 | Caltex Australia, Ltd. | 24,919 | ||||||
1,442 | Cameco Corp. | 16,225 | ||||||
4,486 | Canadian Natural Resources, Ltd. | 161,932 | ||||||
3,747 | Cenovus Energy, Inc. | 38,910 | ||||||
783 | Cheniere Energy, Inc.* | 51,044 | ||||||
6,914 | Chevron Corp. | 874,136 | ||||||
378 | Cimarex Energy Co. | 38,458 | ||||||
543 | Concho Resources, Inc.* | 75,124 | ||||||
4,275 | ConocoPhillips Co. | 297,626 | ||||||
370 | Continental Resources, Inc.* | 23,961 | ||||||
1,848 | Crescent Point Energy Corp. | 13,581 | ||||||
1,592 | Devon Energy Corp. | 69,984 | ||||||
351 | Diamondback Energy, Inc. | 46,181 | ||||||
595 | Enagas SA^ | 17,383 | ||||||
6,358 | Enbridge, Inc. | 227,330 | ||||||
2,919 | EnCana Corp. | 38,128 | ||||||
9,027 | ENI SpA | 167,591 | ||||||
2,099 | EOG Resources, Inc. | 261,179 | ||||||
809 | EQT Corp. | 44,641 | ||||||
15,339 | Exxon Mobil Corp. | 1,268,994 |
Continued
14
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
1,927 | Galp Energia SGPS SA | $ | 36,639 | |||||
1,008 | Hess Corp. | 67,425 | ||||||
657 | HollyFrontier Corp. | 44,959 | ||||||
1,272 | Husky Energy, Inc. | 19,828 | ||||||
500 | Idemitsu Kosan Co., Ltd. | 17,801 | ||||||
1,189 | Imperial Oil, Ltd. | 39,528 | ||||||
3,800 | INPEX Corp. | 39,279 | ||||||
1,260 | Inter Pipeline, Ltd. | 23,618 | ||||||
10,850 | JX Holdings, Inc. | 75,348 | ||||||
705 | Keyera Corp. | 19,619 | ||||||
7,394 | Kinder Morgan, Inc. | 130,652 | ||||||
290 | Koninklijke Vopak NV | 13,385 | ||||||
750 | Lundin Petroleum AB | 23,878 | ||||||
3,305 | Marathon Oil Corp. | 68,942 | ||||||
1,783 | Marathon Petroleum Corp. | 125,095 | ||||||
521 | Neste Oil OYJ | 40,732 | ||||||
781 | Newfield Exploration Co.* | 23,625 | ||||||
1,657 | Noble Energy, Inc. | 58,459 | ||||||
2,819 | Occidental Petroleum Corp. | 235,894 | ||||||
5,352 | Oil Search, Ltd. | 35,356 | ||||||
488 | OMV AG | 27,643 | ||||||
1,461 | ONEOK, Inc. | 102,022 | ||||||
6,801 | Origin Energy, Ltd.* | 50,718 | ||||||
686 | Parsley Energy, Inc., Class A* | 20,772 | ||||||
1,654 | Pembina Pipelines Corp. | 57,289 | ||||||
1,601 | Phillips 66 | 179,808 | ||||||
637 | Pioneer Natural Resources Co. | 120,546 | ||||||
369 | Plains GP Holdings, LP-CL A | 8,823 | ||||||
775 | Prairiesky Royalty, Ltd. | 15,300 | ||||||
4,496 | Repsol SA | 87,789 | ||||||
16,422 | Royal Dutch Shell plc, Class A | 568,990 | ||||||
13,653 | Royal Dutch Shell plc, Class B | 488,257 | ||||||
6,196 | Santos, Ltd.* | 28,875 | ||||||
1,158 | Seven Generations Energy* | 12,765 | ||||||
200 | Showa Shell Sekiyu K.K. | 2,981 | ||||||
6,928 | Snam SpA | 28,859 | ||||||
3,996 | Statoil ASA | 105,802 | ||||||
6,096 | Suncor Energy, Inc. | 248,106 | ||||||
749 | Targa Resources Corp. | 37,068 | ||||||
8,721 | Total SA | 530,293 | ||||||
813 | Tourmaline Oil Corp. | 14,528 | ||||||
3,348 | TransCanada Corp. | 144,871 | ||||||
1,536 | Valero Energy Corp. | 170,235 | ||||||
444 | Vermilion Energy, Inc. | 16,014 | ||||||
2,850 | Williams Cos., Inc. (The) | 77,264 | ||||||
3,349 | Woodside Petroleum, Ltd. | 88,115 | ||||||
|
| |||||||
9,036,287 | ||||||||
|
| |||||||
Paper & Forest Products (0.1%): | ||||||||
1,393 | Mondi plc | 37,517 | ||||||
3,000 | OYI Paper Co., Ltd. | 18,589 | ||||||
2,017 | Stora Enso OYJ, Registered Shares | 39,402 | ||||||
2,008 | UPM-Kymmene OYJ | 71,696 | ||||||
123 | West Fraser Timber Co., Ltd. | 8,467 | ||||||
|
| |||||||
175,671 | ||||||||
|
|
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Personal Products (0.9%): | ||||||||
347 | Beiersdorf AG | $ | 39,402 | |||||
1,897 | Coty, Inc., Class A | 26,748 | ||||||
801 | Estee Lauder Co., Inc. (The), Class A | 114,294 | ||||||
1,800 | Kao Corp. | 137,210 | ||||||
200 | Kobayashi Pharmaceutical Co., Ltd. | 17,266 | ||||||
100 | KOSE Corp. | 21,511 | ||||||
919 | L’Oreal SA | 226,723 | ||||||
400 | POLA ORBIS HOLDINGS, Inc. | 17,580 | ||||||
1,300 | Shiseido Co., Ltd. | 103,154 | ||||||
5,617 | Unilever NV | 313,092 | ||||||
4,427 | Unilever plc | 244,843 | ||||||
|
| |||||||
1,261,823 | ||||||||
|
| |||||||
Pharmaceuticals (5.4%): | ||||||||
1,176 | Allergan plc | 196,063 | ||||||
7,200 | Astellas Pharma, Inc. | 109,704 | ||||||
4,586 | AstraZeneca plc | 317,454 | ||||||
3,219 | Bayer AG, Registered Shares | 354,629 | ||||||
5,828 | Bristol-Myers Squibb Co. | 322,522 | ||||||
700 | Chugai Pharmaceutical Co., Ltd. | 36,670 | ||||||
2,200 | Daiichi Sankyo Co., Ltd. | 84,168 | ||||||
700 | Dainippon Sumitomo Pharma Co., Ltd. | 14,807 | ||||||
1,000 | Eisai Co., Ltd. | 70,314 | ||||||
3,538 | Eli Lilly & Co. | 301,898 | ||||||
18,079 | GlaxoSmithKline plc | 364,690 | ||||||
268 | H. Lundbeck A/S | 18,820 | ||||||
200 | Hisamitsu Pharmaceutical Co., Inc. | 16,861 | ||||||
154 | Ipsen SA | 24,135 | ||||||
237 | Jazz Pharmaceuticals plc* | 40,836 | ||||||
9,692 | Johnson & Johnson Co. | 1,176,026 | ||||||
1,000 | Kyowa Hakko Kogyo Co., Ltd. | 20,129 | ||||||
9,813 | Merck & Co., Inc. | 595,649 | ||||||
442 | Merck KGaA | 43,151 | ||||||
900 | Mitsubishi Tanabe Pharma Corp. | 15,543 | ||||||
1,673 | Mylan NV* | 60,462 | ||||||
586 | Nektar Therapeutics* | 28,614 | ||||||
8,076 | Novartis AG, Registered Shares | 611,959 | ||||||
6,429 | Novo Nordisk A/S, Class B | 296,991 | ||||||
1,600 | Ono Pharmaceutical Co., Ltd. | 37,474 | ||||||
411 | Orion OYJ, Class B | 11,055 | ||||||
1,500 | Otsuka Holdings Co., Ltd. | 72,649 | ||||||
384 | Perrigo Co. plc | 27,997 | ||||||
21,604 | Pfizer, Inc. | 783,793 | ||||||
427 | Recordati SpA | 16,942 | ||||||
2,554 | Roche Holding AG | 568,533 | ||||||
4,107 | Sanofi-Aventis SA | 328,831 | ||||||
1,400 | Santen Pharmaceutical Co., Ltd. | 24,373 | ||||||
1,000 | Shionogi & Co., Ltd. | 51,325 | ||||||
100 | Taisho Pharmaceutical Holdings Co., Ltd. | 11,687 | ||||||
2,600 | Takeda Pharmacuetical Co., Ltd. | 109,815 | ||||||
3,121 | Teva Pharmaceutical Industries, Ltd., ADR | 75,903 | ||||||
502 | UCB SA | 39,349 | ||||||
1,267 | Valeant Pharmaceuticals International, Inc.* | 29,494 |
Continued
15
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
160 | Vifor Pharma AG | $ | 25,540 | |||||
1,745 | Zoetis, Inc. | 148,657 | ||||||
|
| |||||||
7,485,512 | ||||||||
|
| |||||||
Professional Services (0.8%): | ||||||||
535 | Adecco SA, Registered Shares | 31,620 | ||||||
996 | Bureau Veritas SA | 26,557 | ||||||
129 | CoStar Group, Inc.* | 53,229 | ||||||
425 | Equifax, Inc. | 53,172 | ||||||
3,578 | Experian plc | 88,470 | ||||||
1,548 | IHS Markit, Ltd.* | 79,861 | ||||||
627 | Intertek Group plc | 47,277 | ||||||
282 | Manpower, Inc. | 24,269 | ||||||
1,123 | Nielsen Holdings plc | 34,734 | ||||||
400 | Persol Holdings Co., Ltd. | 8,914 | ||||||
465 | Randstad Holding NV | 27,288 | ||||||
3,900 | Recruit Holdings Co., Ltd. | 107,776 | ||||||
3,885 | Reed Elsevier plc | 83,157 | ||||||
3,214 | RELX NV | 68,411 | ||||||
509 | Robert Half International, Inc. | 33,136 | ||||||
1,229 | Seek, Ltd. | 19,922 | ||||||
16 | SGS SA, Registered Shares | 42,642 | ||||||
220 | Teleperformance | 38,855 | ||||||
587 | TransUnion | 42,053 | ||||||
574 | Verisk Analytics, Inc.* | 61,785 | ||||||
1,061 | Wolters Kluwer NV | 59,717 | ||||||
|
| |||||||
1,032,845 | ||||||||
|
| |||||||
Real Estate Management & Development (0.8%): | ||||||||
165 | Azrieli Group | 8,207 | ||||||
10,400 | CapitaLand, Ltd. | 24,082 | ||||||
1,177 | CBRE Group, Inc., Class A* | 56,190 | ||||||
2,000 | City Developments, Ltd. | 16,086 | ||||||
10,000 | CK Asset Holdings, Ltd. | 79,014 | ||||||
200 | Daito Trust Construction Co., Ltd. | 32,507 | ||||||
2,000 | Daiwa House Industry Co., Ltd. | 68,106 | ||||||
1,352 | Deutsche Wohnen AG | 65,293 | ||||||
760 | First Capital Realty, Inc. | 11,945 | ||||||
4,000 | Hang Lung Group, Ltd. | 11,196 | ||||||
8,000 | Hang Lung Properties, Ltd. | 16,431 | ||||||
4,840 | Henderson Land Development Co., Ltd. | 25,475 | ||||||
5,100 | Hongkong Land Holdings, Ltd. | 36,486 | ||||||
1,400 | Hulic Co., Ltd. | 14,907 | ||||||
3,000 | Hysan Development Co., Ltd. | 16,696 | ||||||
178 | Jones Lang LaSalle, Inc. | 29,546 | ||||||
2,148 | Lend Lease Group | 31,589 | ||||||
4,300 | �� | Mitsubishi Estate Co., Ltd. | 75,123 | |||||
3,300 | Mitsui Fudosan Co., Ltd. | 79,557 | ||||||
22,308 | New World Development Co., Ltd. | 31,176 | ||||||
700 | Nomura Real Estate Holdings, Inc. | 15,519 | ||||||
12,117 | Sino Land Co., Ltd. | 19,653 | ||||||
1,000 | Sumitomo Realty & Development Co., Ltd. | 36,815 | ||||||
5,000 | Sun Hung Kai Properties, Ltd. | 75,020 | ||||||
2,000 | Swire Pacific, Ltd., Class A | 21,132 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
4,800 | Swire Properties, Ltd. | $ | 17,741 | |||||
150 | Swiss Prime Site AG | 13,804 | ||||||
900 | Tokyo Tatemono Co., Ltd. | 12,347 | ||||||
2,200 | Tokyu Fudosan Holdings Corp. | 15,489 | ||||||
669 | UOL Group, Ltd. | 3,732 | ||||||
1,727 | Vonovia SE | 82,165 | ||||||
5,000 | Wharf Holdings, Ltd. (The) | 16,016 | ||||||
5,000 | Wharf Real Estate Investment Co., Ltd. | 35,507 | ||||||
3,000 | Wheelock & Co., Ltd. | 20,853 | ||||||
|
| |||||||
1,115,405 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
39 | AMERCO, Inc. | 13,890 | ||||||
7,972 | Aurizon Holdings, Ltd. | 25,626 | ||||||
2,748 | Canadian National Railway Co. | 224,794 | ||||||
565 | Canadian Pacific Railway, Ltd., Class 1 | 103,553 | ||||||
500 | Central Japan Railway Co. | 103,682 | ||||||
2,100 | ComfortDelGro Corp., Ltd. | 3,618 | ||||||
3,031 | CSX Corp. | 193,317 | ||||||
737 | DSV A/S | 59,495 | ||||||
1,100 | East Japan Railway Co. | 105,365 | ||||||
900 | Hankyu Hanshin Holdings, Inc. | 36,176 | ||||||
302 | J.B. Hunt Transport Services, Inc. | 36,708 | ||||||
358 | Kansas City Southern | 37,934 | ||||||
1,000 | Keihin Electric Express Railway Co., Ltd. | 16,390 | ||||||
400 | Keio Corp. | 19,343 | ||||||
500 | Keisei Electric Railway Co., Ltd. | 17,158 | ||||||
700 | Kintetsu Corp. | 28,562 | ||||||
564 | Knight-Swift Transportation Holdings, Inc.^ | 21,550 | ||||||
700 | Kyushu Railway Co. | 21,418 | ||||||
4,000 | MTR Corp., Ltd. | 22,040 | ||||||
600 | Nagoya Railroad Co., Ltd. | 15,490 | ||||||
300 | Nippon Express Co., Ltd. | 21,751 | ||||||
1,028 | Norfolk Southern Corp. | 155,094 | ||||||
1,100 | Odakyu Electric Railway Co., Ltd. | 23,603 | ||||||
235 | Old Dominion Freight Line, Inc. | 35,006 | ||||||
600 | Tobu Railway Co., Ltd. | 18,352 | ||||||
2,000 | Tokyu Corp. | 34,441 | ||||||
2,869 | Union Pacific Corp. | 406,480 | ||||||
400 | West Japan Railway Co. | 29,467 | ||||||
|
| |||||||
1,830,303 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.8%): | ||||||||
3,346 | Advanced Micro Devices, Inc.* | 50,157 | ||||||
1,383 | Analog Devices, Inc. | 132,657 | ||||||
3,872 | Applied Materials, Inc. | 178,848 | ||||||
1,300 | ASM Pacific Technology, Ltd. | 16,325 | ||||||
1,426 | ASML Holding NV | 281,214 | ||||||
1,477 | Broadcom, Inc. | 358,379 | ||||||
100 | Disco Corp. | 17,030 | ||||||
4,265 | Infineon Technologies AG | 108,677 | ||||||
17,023 | Intel Corp. | 846,212 | ||||||
552 | KLA-Tencor Corp. | 56,597 | ||||||
570 | Lam Research Corp. | 98,525 |
Continued
16
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
1,673 | Marvell Technology Group, Ltd. | $ | 35,869 | |||||
990 | Maxim Integrated Products, Inc. | 58,073 | ||||||
875 | Microchip Technology, Inc. | 79,581 | ||||||
4,027 | Micron Technology, Inc.* | 211,176 | ||||||
2,095 | NVIDIA Corp. | 496,306 | ||||||
1,282 | NXP Semiconductors NV* | 140,084 | ||||||
1,556 | ON Semiconductor Corp.* | 34,598 | ||||||
500 | Qorvo, Inc.* | 40,085 | ||||||
5,406 | QUALCOMM, Inc. | 303,385 | ||||||
2,000 | Renesas Electronics Corp.* | 19,571 | ||||||
300 | ROHM Co., Ltd. | 25,127 | ||||||
677 | Skyworks Solutions, Inc. | 65,432 | ||||||
2,267 | STMicroelectronics NV | 50,369 | ||||||
900 | SUMCO Corp. | 18,126 | ||||||
3,551 | Texas Instruments, Inc. | 391,498 | ||||||
600 | Tokyo Electron, Ltd. | 102,741 | ||||||
962 | Xilinx, Inc. | 62,780 | ||||||
|
| |||||||
4,279,422 | ||||||||
|
| |||||||
Software (4.2%): | ||||||||
2,642 | Activision Blizzard, Inc. | 201,637 | ||||||
1,789 | Adobe Systems, Inc.* | 436,176 | ||||||
262 | ANSYS, Inc.* | 45,635 | ||||||
712 | Autodesk, Inc.* | 93,336 | ||||||
1,224 | CA, Inc. | 43,636 | ||||||
993 | Cadence Design Systems, Inc.* | 43,007 | ||||||
520 | CDK Global, Inc. | 33,826 | ||||||
506 | Check Point Software Technologies, Ltd.* | 49,426 | ||||||
508 | Citrix Systems, Inc.* | 53,259 | ||||||
76 | Constellation Software, Inc. | 58,947 | ||||||
497 | Dassault Systemes SA | 69,542 | ||||||
728 | Dell Technologies, Inc., Class V* | 61,574 | ||||||
1,092 | Electronic Arts, Inc.* | 153,994 | ||||||
566 | Fortinet, Inc.* | 35,335 | ||||||
847 | Intuit, Inc. | 173,046 | ||||||
400 | Konami Corp. | 20,336 | ||||||
200 | Line Corp.* | 8,226 | ||||||
1,745 | Micro Focus International plc | 30,338 | ||||||
26,479 | Microsoft Corp. | 2,611,094 | ||||||
1,400 | Nexon Co., Ltd.* | 20,310 | ||||||
187 | NICE Systems, Ltd.* | 19,422 | ||||||
400 | Nintendo Co., Ltd. | 130,563 | ||||||
946 | Open Text Corp. | 33,299 | ||||||
200 | Oracle Corp. | 16,307 | ||||||
11,293 | Oracle Corp. | 497,570 | ||||||
606 | Red Hat, Inc.* | 81,428 | ||||||
4,174 | Sage Group plc | 34,465 | ||||||
2,484 | Salesforce.com, Inc.* | 338,818 | ||||||
3,629 | SAP AG | 419,214 | ||||||
648 | ServiceNow, Inc.* | 111,761 | ||||||
515 | Splunk, Inc.* | 51,042 | ||||||
708 | SS&C Technologies Holdings, Inc. | 36,745 | ||||||
2,450 | Symantec Corp. | 50,593 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
523 | Synopsys, Inc.* | $ | 44,753 | |||||
402 | Take-Two Interactive Software, Inc.* | 47,581 | ||||||
219 | Temenos Group AG | 33,131 | ||||||
400 | Trend Micro, Inc. | 22,783 | ||||||
274 | UbiSoft Entertainment SA* | 29,977 | ||||||
242 | VMware, Inc., Class A* | 35,567 | ||||||
462 | Workday, Inc., Class A* | 55,957 | ||||||
|
| |||||||
6,333,656 | ||||||||
|
| |||||||
Specialty Retail (1.5%): | ||||||||
200 | ABC-Mart, Inc. | 10,936 | ||||||
290 | Advance Auto Parts, Inc. | 39,353 | ||||||
96 | AutoZone, Inc.* | 64,409 | ||||||
918 | Best Buy Co., Inc. | 68,464 | ||||||
633 | CarMax, Inc.* | 46,127 | ||||||
133 | Dufry AG, Registered Shares | 16,960 | ||||||
200 | Fast Retailing Co., Ltd. | 91,739 | ||||||
935 | Gap, Inc. (The) | 30,285 | ||||||
2,995 | Hennes & Mauritz AB, Class B | 44,595 | ||||||
100 | Hikari Tsushin, Inc. | 17,562 | ||||||
4,249 | Home Depot, Inc. (The) | 828,979 | ||||||
4,055 | Industria de Diseno Textil SA | 138,355 | ||||||
6,987 | Kingfisher plc | 27,373 | ||||||
983 | L Brands, Inc. | 36,253 | ||||||
3,049 | Lowe’s Cos., Inc. | 291,393 | ||||||
300 | Nitori Co., Ltd. | 46,801 | ||||||
301 | O’Reilly Automotive, Inc.* | 82,345 | ||||||
1,358 | Ross Stores, Inc. | 115,091 | ||||||
100 | Shimamura Co., Ltd. | 8,803 | ||||||
407 | Tiffany & Co. | 53,561 | ||||||
2,279 | TJX Cos., Inc. (The) | 216,915 | ||||||
522 | Tractor Supply Co. | 39,928 | ||||||
204 | Ulta Salon, Cosmetics & Fragrance, Inc.* | 47,626 | ||||||
800 | USS Co., Ltd. | 15,210 | ||||||
2,400 | Yamada Denki Co., Ltd. | 11,902 | ||||||
|
| |||||||
2,390,965 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.8%): | ||||||||
18,367 | Apple, Inc. | 3,399,915 | ||||||
1,801 | BlackBerry, Ltd.* | 17,373 | ||||||
900 | Brother Industries, Ltd. | 17,750 | ||||||
3,700 | Canon, Inc. | 121,203 | ||||||
1,400 | Fujifilm Holdings Corp. | 54,623 | ||||||
5,819 | Hewlett Packard Enterprise Co. | 85,016 | ||||||
5,859 | HP, Inc. | 132,941 | ||||||
1,800 | Konica Minolta Holdings, Inc. | 16,669 | ||||||
1,000 | NEC Corp. | 27,428 | ||||||
871 | NetApp, Inc. | 68,400 | ||||||
2,600 | Ricoh Co., Ltd. | 23,804 | ||||||
1,045 | Seagate Technology plc | 59,011 | ||||||
1,100 | Seiko Epson Corp. | 19,058 | ||||||
1,045 | Western Digital Corp. | 80,893 | ||||||
809 | Xerox Corp. | 19,416 | ||||||
|
| |||||||
4,143,500 | ||||||||
|
|
Continued
17
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods (1.3%): | ||||||||
672 | Adidas AG | $ | 146,737 | |||||
600 | ASICS Corp. | 10,131 | ||||||
1,443 | Burberry Group plc | 41,067 | ||||||
1,836 | Compagnie Financiere Richemont SA | 155,603 | ||||||
860 | Gildan Activewear, Inc. | 24,227 | ||||||
1,456 | Hanesbrands, Inc.^ | 32,061 | ||||||
113 | Hermes International SA | 69,060 | ||||||
262 | Hugo Boss AG | 23,759 | ||||||
261 | Kering | 147,207 | ||||||
26,000 | Li & Fung, Ltd. | 9,493 | ||||||
356 | Lululemon Athletica, Inc.* | 44,446 | ||||||
696 | Luxottica Group SpA | 44,873 | ||||||
1,023 | LVMH Moet Hennessy Louis Vuitton SA | 340,037 | ||||||
583 | Michael Kors Holdings, Ltd.* | 38,828 | ||||||
651 | Moncler SpA | 29,611 | ||||||
4,724 | Nike, Inc., Class C | 376,408 | ||||||
370 | Pandora A/S | 25,863 | ||||||
21 | Puma SE | 12,261 | ||||||
273 | PVH Corp. | 40,874 | ||||||
224 | Ralph Lauren Corp. | 28,161 | ||||||
120 | Swatch Group AG (The), Class B | 57,024 | ||||||
210 | Swatch Group AG (The), Registered Shares | 18,190 | ||||||
1,086 | Tapestry, Inc. | 50,727 | ||||||
731 | Under Armour, Inc., Class A*^ | 16,433 | ||||||
702 | Under Armour, Inc., Class C*^ | 14,798 | ||||||
1,151 | VF Corp. | 93,830 | ||||||
3,000 | Yue Yuen Industrial Holdings, Ltd. | 8,419 | ||||||
|
| |||||||
1,900,128 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%): | ||||||||
1,773 | New York Community Bancorp, Inc. | 19,574 | ||||||
|
| |||||||
Tobacco (1.1%): | ||||||||
6,856 | Altria Group, Inc. | 389,352 | ||||||
8,306 | British American Tobacco plc | 419,408 | ||||||
3,343 | Imperial Tobacco Group plc, Class A | 124,454 | ||||||
4,100 | Japan Tobacco, Inc. | 114,547 | ||||||
5,662 | Philip Morris International, Inc. | 457,150 | ||||||
583 | Swedish Match AB, Class B | 28,868 | ||||||
|
| |||||||
1,533,779 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.5%): | ||||||||
368 | AerCap Holdings NV* | 19,927 | ||||||
1,738 | Ashtead Group plc | 51,759 | ||||||
606 | Brenntag AG | 33,750 | ||||||
1,312 | Bunzl plc | 39,724 | ||||||
1,131 | Fastenal Co. | 54,435 | ||||||
788 | Ferguson plc | 63,930 | ||||||
660 | Finning International, Inc. | 16,293 | ||||||
409 | HD Supply Holdings, Inc.* | 17,542 | ||||||
5,100 | ITOCHU Corp. | 92,320 | ||||||
6,400 | Marubeni Corp. | 48,777 | ||||||
1,200 | Misumi Group, Inc. | 34,934 | ||||||
4,900 | Mitsubishi Corp. | 136,003 | ||||||
6,100 | Mitsui & Co., Ltd. | 101,641 |
| Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
1,153 | Rexel SA | $ | 16,566 | |||||
4,100 | Sumitomo Corp. | 67,298 | ||||||
800 | Toyota Tsushu Corp. | 26,748 | ||||||
958 | Travis Perkins plc | 17,977 | ||||||
331 | United Rentals, Inc.* | 48,862 | ||||||
172 | W.W. Grainger, Inc. | 53,045 | ||||||
|
| |||||||
941,531 | ||||||||
|
| |||||||
Transportation Infrastructure (0.1%): | ||||||||
222 | Aena SA | 40,267 | ||||||
121 | Aeroports de Paris | 27,337 | ||||||
1,608 | Atlantia SpA | 47,474 | ||||||
3,464 | Auckland International Airport, Ltd. | 15,896 | ||||||
182 | Fraport AG | 17,550 | ||||||
1,770 | Groupe Eurotunnel SA | 24,265 | ||||||
100 | Japan Airport Terminal Co., Ltd. | 4,680 | ||||||
500 | Kamigumi Co., Ltd. | 10,366 | ||||||
3,000 | SATS, Ltd. | 10,986 | ||||||
4,299 | Sydney Airport^ | 22,766 | ||||||
8,363 | Transurban Group | 74,254 | ||||||
|
| |||||||
295,841 | ||||||||
|
| |||||||
Water Utilities (0.0%): | ||||||||
703 | American Water Works Co., Inc. | 60,022 | ||||||
930 | Severn Trent plc | 24,269 | ||||||
2,680 | United Utilities Group plc | 26,982 | ||||||
|
| |||||||
111,273 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.7%): | ||||||||
111 | Drillisch AG | 6,316 | ||||||
6,300 | KDDI Corp. | 172,269 | ||||||
285 | Millicom International Cellular SA, SDR | 16,769 | ||||||
5,200 | NTT DoCoMo, Inc. | 132,455 | ||||||
1,431 | Rogers Communications, Inc. | 67,974 | ||||||
3,000 | SoftBank Group Corp. | 215,294 | ||||||
3,079 | Sprint Corp.* | 16,750 | ||||||
1,473 | Tele2 AB | 17,306 | ||||||
1,053 | T-Mobile US, Inc.* | 62,917 | ||||||
98,375 | Vodafone Group plc | 238,336 | ||||||
|
| |||||||
946,386 | ||||||||
|
| |||||||
Total Common Stocks (Cost $116,246,866) | 144,397,930 | |||||||
|
| |||||||
Preferred Stocks (0.2%): | ||||||||
Automobiles (0.1%): | ||||||||
239 | Bayerische Motoren Werke AG (BMW), 5.89% | 19,053 | ||||||
513 | Porsche Automobil Holding SE, 3.23% | 32,673 | ||||||
677 | Volkswagen AG, 2.78% | 112,409 | ||||||
|
| |||||||
164,135 | ||||||||
|
| |||||||
Household Products (0.1%): | ||||||||
598 | Henkel AG & Co. KGaA, 1.63% | 76,522 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $211,493) | 240,657 | |||||||
|
| |||||||
Rights (0.0%): | ||||||||
Banks (0.0%): | ||||||||
48,278 | Intesa Sanpaolo SpA, Expires on 12/31/49* | — | ||||||
|
|
Continued
18
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
| Fair Value | |||||||
Rights, continued | ||||||||
Construction & Engineering (0.0%): | ||||||||
814 | ACS Actividades de Construccion y Servicios SA, Expires on 7/09/18* | $ | 838 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%): | ||||||||
4,496 | Repsol SA, Expires on 7/09/18*^ | 2,552 | ||||||
|
| |||||||
Total Rights (Cost $—) | 3,390 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (0.8%): | ||||||||
$ | 1,181,147 | AZL MSCI Global Equity Index Fund Securities Lending Collateral Account(a) | $ | 1,181,147 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,181,147 | ||||||
|
| |||||||
Unaffiliated Investment Company (2.0%): | ||||||||
3,039,976 | Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(b) | 3,039,976 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $3,039,976) | 3,039,976 | |||||||
|
| |||||||
Total Investment Securities (Cost $120,679,482) —100.3%(c) | 148,863,100 | |||||||
Net other assets (liabilities) — (0.3)% | (408,528 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 148,454,572 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
SDR—Swedish Depository Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $1,149,973. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(b) | The rate represents the effective yield at June 30, 2018. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2018:
Country | Percentage | |||
Argentina | — | %^ | ||
Australia | 2.4 | % | ||
Austria | 0.1 | % | ||
Belgium | 0.4 | % | ||
Bermuda | 0.3 | % | ||
Canada | 3.4 | % | ||
China | — | %^ | ||
Denmark | 0.6 | % | ||
Finland | 0.4 | % | ||
France | 3.5 | % | ||
Germany | 3.3 | % | ||
Hong Kong | 1.2 | % | ||
Ireland (Republic of) | 0.9 | % | ||
Isle of Man | — | %^ | ||
Israel | 0.2 | % | ||
Italy | 0.8 | % | ||
Japan | 8.3 | % |
Country | Percentage | |||
Liberia | — | %^ | ||
Luxembourg | 0.1 | % | ||
Netherlands | 1.8 | % | ||
New Zealand | 0.1 | % | ||
Norway | 0.3 | % | ||
Panama | 0.1 | % | ||
Portugal | 0.1 | % | ||
Singapore | 0.5 | % | ||
South Africa | — | %^ | ||
Spain | 1.1 | % | ||
Sweden | 0.9 | % | ||
Switzerland | 3.1 | % | ||
United Arab Emirates | — | %^ | ||
United Kingdom | 6.0 | % | ||
United States | 60.1 | % | ||
|
| |||
100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
Continued
19
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Futures Contracts
Cash of $56,904 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/21/18 | 15 | $ | 593,162 | $ | (954 | ) | |||||||||
FTSE 100 Index September Futures (British Pounds) | 9/21/18 | 4 | 399,808 | 1,273 | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/21/18 | 17 | 2,338,391 | (25,031 | ) | |||||||||||
SGX Nikkei 225 Index September Futures (Japanese Yen) | 9/13/18 | 4 | 404,078 | (1,985 | ) | |||||||||||
|
| |||||||||||||||
$ | (26,697 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
20
AZL MSCI Global Equity Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 120,285,460 | |||
|
| ||||
Investments in affiliates, at cost | 394,022 | ||||
|
| ||||
Total Investment securities, at cost | $ | 120,679,482 | |||
|
| ||||
Investment securities, at value* | $ | 148,321,738 | |||
Investments in affiliates, at value | 541,362 | ||||
|
| ||||
Total Investment securities, at value | 148,863,100 | ||||
Cash | 541 | ||||
Segregated cash for collateral | 56,904 | ||||
Interest and dividends receivable | 200,446 | ||||
Foreign currency, at value (cost $433,254) | 433,223 | ||||
Receivable for capital shares issued | 6,836 | ||||
Receivable for investments sold | 1,476 | ||||
Receivable for variation margin on futures contracts | 5,411 | ||||
Reclaims receivable | 165,408 | ||||
Prepaid expenses | 765 | ||||
|
| ||||
Total Assets | 149,734,110 | ||||
|
| ||||
Liabilities: | |||||
Payable for collateral received on loaned securities | 1,181,147 | ||||
Payable for variation margin on futures contracts | 11,738 | ||||
Manager fees payable | 37,883 | ||||
Administration fees payable | 3,652 | ||||
Distribution fees payable | 30,551 | ||||
Custodian fees payable | 1,000 | ||||
Administrative and compliance services fees payable | 69 | ||||
Transfer agent fees payable | 162 | ||||
Trustee fees payable | 320 | ||||
Other accrued liabilities | 13,016 | ||||
|
| ||||
Total Liabilities | 1,279,538 | ||||
|
| ||||
Net Assets | $ | 148,454,572 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 128,808,406 | |||
Accumulated net investment income/(loss) | 3,975,311 | ||||
Accumulated net realized gains/(losses) from investment transactions | (12,487,380 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 28,158,235 | ||||
|
| ||||
Net Assets | $ | 148,454,572 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 13,182,696 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.26 | |||
|
|
* | Includes securities on loan of $1,149,973. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,181,602 | |||
Dividends from affiliates | 18,079 | ||||
Income from securities lending | 17,401 | ||||
Foreign withholding tax | (153,065 | ) | |||
|
| ||||
Total Investment Income | 2,064,017 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 527,389 | ||||
Administration fees | 69,586 | ||||
Distribution fees | 188,353 | ||||
Custodian fees | 11,947 | ||||
Administrative and compliance services fees | 873 | ||||
Transfer agent fees | 1,994 | ||||
Trustee fees | 2,841 | ||||
Professional fees | 2,890 | ||||
Shareholder reports | 756 | ||||
Dividends on securities sold short | 24 | ||||
Other expenses | 34,005 | ||||
|
| ||||
Total expenses before reductions | 840,658 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (293,830 | ) | |||
|
| ||||
Net expenses | 546,828 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,517,189 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 1,831,742 | ||||
Net realized gains/(losses) on affiliated transactions | 13,485 | ||||
Net realized gains/(losses) on futures contracts | 21,346 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (2,573,558 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (54,175 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (28,059 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (789,219 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 727,970 | |||
|
|
See accompanying notes to the financial statements.
21
AZL MSCI Global Equity Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,517,189 | $ | 2,450,062 | ||||||
Net realized gains/(losses) on investment transactions | 1,866,573 | 3,695,437 | ||||||||
Change in unrealized appreciation/depreciation on investments | (2,655,792 | ) | 23,997,673 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 727,970 | 30,143,172 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (2,867,182 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (2,867,182 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 3,412,666 | 4,875,791 | ||||||||
Proceeds from dividends reinvested | — | 2,867,182 | ||||||||
Value of shares redeemed | (9,543,329 | ) | (28,427,058 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (6,130,663 | ) | (20,684,085 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (5,402,693 | ) | 6,591,905 | |||||||
Net Assets: | ||||||||||
Beginning of period | 153,857,265 | 147,265,360 | ||||||||
|
|
|
| |||||||
End of period | $ | 148,454,572 | $ | 153,857,265 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 3,975,311 | $ | 2,458,122 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 302,886 | 455,901 | ||||||||
Dividends reinvested | — | 271,257 | ||||||||
Shares redeemed | (833,118 | ) | (2,742,092 | ) | ||||||
|
|
|
| |||||||
Change in shares | (530,232 | ) | (2,014,934 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
22
AZL MSCI Global Equity Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.22 | $ | 9.36 | $ | 9.71 | $ | 11.51 | $ | 12.88 | $ | 11.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | 0.20 | 0.20 | 0.23 | 0.28 | 0.25 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.08 | ) | 1.86 | (0.30 | ) | (1.66 | ) | (0.89 | ) | 1.11 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.04 | 2.06 | (0.10 | ) | (1.43 | ) | (0.61 | ) | 1.36 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.20 | ) | (0.25 | ) | (0.31 | ) | (0.25 | ) | (0.22 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | (0.06 | ) | (0.51 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.20 | ) | (0.25 | ) | (0.37 | ) | (0.76 | ) | (0.22 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 11.26 | $ | 11.22 | $ | 9.36 | $ | 9.71 | $ | 11.51 | $ | 12.88 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 0.36 | %(b) | 22.18 | % | (0.93 | )% | (12.57 | )% | (5.26 | )% | 11.66 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 148,455 | $ | 153,857 | $ | 147,265 | $ | 117,211 | $ | 147,054 | $ | 151,096 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 2.01 | % | 1.62 | % | 2.75 | % | 1.80 | % | 2.35 | % | 2.10 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.12 | % | 1.16 | % | 1.20 | % | 1.24 | % | 1.24 | % | 1.23 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.73 | % | 0.77 | % | 1.10 | % | 1.24 | % | 1.24 | % | 1.22 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) | 0.73 | % | 0.77 | % | 1.10 | % | 1.24 | % | 1.24 | %(e) | 1.23 | %(e) | ||||||||||||||||||
Portfolio Turnover Rate | 1 | %(b) | 4 | % | 135 | %(f) | 50 | % | 20 | % | 24 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remitted a portion of the brokerage commission which were used to pay certain Fund expenses. The Fund ceased participation in the program in June 2014. |
(f) | Effective October 14, 2016, the investment strategy of the Fund changed. Costs of purchases and proceeds from sales of portfolio securities associated with the changes in investment strategy contributed to higher portfolio turnover rate for the period ended December 31, 2016 as compared to prior years. |
See accompanying notes to the financial statements.
23
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a ��Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MSCI Global Equity Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
24
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $2 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,336 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less than 30 Days | Between 30 & 90 Days | Greater than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 1,045,951 | $ | 135,196 | $ | — | $ | — | $ | 1,181,147 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund did not enter into any futures contracts. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $1.4 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 1,273 | Payable for variation on futures contracts | $ | 27,970 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
25
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | 21,346 | $ | (28,059 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MSCI Global Equity Index Fund | 0.70 | % | 0.80 | % |
* | The Manager voluntarily reduced the management fee to 0.31% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
At June 30, 2018, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2017 | Purchases at Cost | Proceeds from Sales | Net Realized | Net Change in Unrealized Appreciation/ Depreciation | Fair Value 6/30/2018 | Shares as of 6/30/2018 | Dividend Income | |||||||||||||||||||||||||||||||||
Allianz SE, Registered Shares | $ | 380,574 | $ | — | $ | (14,535 | ) | $ | 4,437 | $ | (40,707 | ) | $ | 329,769 | 1,596 | $ | 15,556 | |||||||||||||||||||||||
BlackRock Inc., Class A | 239,389 | — | (23,376 | ) | 9,048 | (13,468 | ) | 211,593 | 424 | 2,523 | ||||||||||||||||||||||||||||||
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$ | 619,963 | $ | — | $ | (37,911 | ) | $ | 13,485 | $ | (54,175 | ) | $ | 541,362 | 2,020 | $ | 18,079 | ||||||||||||||||||||||||
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Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
26
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $693 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Aerospace & Defense | $ | 2,259,876 | $ | 728,156 | $ | — | $ | 2,988,032 | ||||||||||||
Air Freight & Logistics | 612,812 | 189,869 | — | 802,681 | ||||||||||||||||
Airlines | 97,449 | 84,995 | — | 182,444 | ||||||||||||||||
Auto Components | 305,866 | 637,055 | — | 942,921 | ||||||||||||||||
Automobiles | 520,626 | 1,598,697 | — | 2,119,323 | ||||||||||||||||
Banks | 6,767,998 | 5,872,875 | — | 12,640,873 | ||||||||||||||||
Beverages | 1,586,137 | 1,238,279 | — | 2,824,416 | ||||||||||||||||
Biotechnology | 2,281,101 | 490,249 | — | 2,771,350 | ||||||||||||||||
Building Products | 301,369 | 397,194 | — | 698,563 | ||||||||||||||||
Capital Markets | 2,891,008 | 1,210,121 | — | 4,101,129 | ||||||||||||||||
Chemicals | 1,852,371 | 2,034,067 | — | 3,886,438 | ||||||||||||||||
Commercial Services & Supplies | 404,359 | 254,693 | — | 659,052 | ||||||||||||||||
Communications Equipment | 1,086,287 | 194,380 | — | 1,280,667 | ||||||||||||||||
Construction & Engineering | 102,824 | 484,861 | — | 587,685 | ||||||||||||||||
Construction Materials | 109,904 | 331,843 | — | 441,747 | ||||||||||||||||
Consumer Finance | 641,171 | 15,999 | — | 657,170 |
27
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Containers & Packaging | $ | 317,035 | $ | 85,256 | $ | — | $ | 402,291 | ||||||||||||
Distributors | 91,618 | 9,325 | — | 100,943 | ||||||||||||||||
Diversified Consumer Services | 19,955 | 14,183 | — | 34,138 | ||||||||||||||||
Diversified Financial Services | 911,463 | 348,103 | — | 1,259,566 | ||||||||||||||||
Diversified Telecommunication Services | 1,734,734 | 1,092,731 | — | 2,827,465 | ||||||||||||||||
Electric Utilities | 1,618,103 | 902,902 | — | 2,521,005 | ||||||||||||||||
Electrical Equipment | 461,429 | 754,455 | — | 1,215,884 | ||||||||||||||||
Electronic Equipment, Instruments & Components | 571,639 | 770,984 | — | 1,342,623 | ||||||||||||||||
Energy Equipment & Services | 665,808 | 56,102 | — | 721,910 | ||||||||||||||||
Equity Real Estate Investment Trusts | 2,487,931 | 781,598 | — | 3,269,529 | ||||||||||||||||
Food & Staples Retailing | 1,591,713 | 849,851 | — | 2,441,564 | ||||||||||||||||
Food Products | 1,041,366 | 1,493,407 | — | 2,534,773 | ||||||||||||||||
Gas Utilities | 73,881 | 202,730 | — | 276,611 | ||||||||||||||||
Health Care Equipment & Supplies | 2,616,502 | 657,127 | — | 3,273,629 | ||||||||||||||||
Health Care Providers & Services | 2,424,425 | 326,610 | — | 2,751,035 | ||||||||||||||||
Health Care Technology | 98,187 | 27,868 | — | 126,055 | ||||||||||||||||
Hotels, Restaurants & Leisure | 1,680,147 | 789,890 | — | 2,470,037 | ||||||||||||||||
Household Durables | 393,910 | 666,892 | — | 1,060,802 | ||||||||||||||||
Household Products | 1,147,184 | 360,629 | — | 1,507,813 | ||||||||||||||||
Independent Power & Renewable Electricity Producers | 61,535 | 50,412 | — | 111,947 | ||||||||||||||||
Industrial Conglomerates | 1,336,861 | 901,865 | — | 2,238,726 | ||||||||||||||||
Insurance | 2,665,976 | 2,823,315 | — | 5,489,291 | ||||||||||||||||
Internet & Direct Marketing Retail | 3,583,971 | 69,321 | — | 3,653,292 | ||||||||||||||||
Internet Software & Services | 4,684,816 | 110,005 | — | 4,794,821 | ||||||||||||||||
IT Services | 4,185,836 | 475,828 | — | 4,661,664 | ||||||||||||||||
Leisure Products | 91,867 | 107,145 | — | 199,012 | ||||||||||||||||
Life Sciences Tools & Services | 672,705 | 113,114 | — | 785,819 | ||||||||||||||||
Machinery | 1,383,503 | 1,331,788 | — | 2,715,291 | ||||||||||||||||
Marine | — | 90,997 | — | 90,997 | ||||||||||||||||
Media | 2,127,195 | 630,197 | — | 2,757,392 | ||||||||||||||||
Metals & Mining | 627,180 | 1,639,358 | — | 2,266,538 | ||||||||||||||||
Mortgage Real Estate Investment Trusts | 61,850 | — | — | 61,850 | ||||||||||||||||
Multiline Retail | 500,863 | 180,297 | — | 681,160 | ||||||||||||||||
Multi-Utilities | 803,353 | 530,712 | — | 1,334,065 | ||||||||||||||||
Oil, Gas & Consumable Fuels | 5,989,116 | 3,047,171 | — | 9,036,287 | ||||||||||||||||
Paper & Forest Products | 8,467 | 167,204 | — | 175,671 | ||||||||||||||||
Personal Products | 141,042 | 1,120,781 | — | 1,261,823 | ||||||||||||||||
Pharmaceuticals | 3,787,914 | 3,697,598 | — | 7,485,512 | ||||||||||||||||
Professional Services | 382,239 | 650,606 | — | 1,032,845 | ||||||||||||||||
Real Estate Management & Development | 97,681 | 1,017,724 | — | 1,115,405 | ||||||||||||||||
Road & Rail | 1,228,326 | 601,977 | — | 1,830,303 | ||||||||||||||||
Semiconductors & Semiconductor Equipment | 3,640,242 | 639,180 | — | 4,279,422 | ||||||||||||||||
Software | 5,479,042 | 854,614 | — | 6,333,656 | ||||||||||||||||
Specialty Retail | 1,960,729 | 430,236 | — | 2,390,965 | ||||||||||||||||
Technology Hardware, Storage & Peripherals | 3,862,965 | 280,535 | — | 4,143,500 | ||||||||||||||||
Textiles, Apparel & Luxury Goods | 760,793 | 1,139,335 | — | 1,900,128 | ||||||||||||||||
Thrifts & Mortgage Finance | 19,574 | — | — | 19,574 | ||||||||||||||||
Tobacco | 846,502 | 687,277 | — | 1,533,779 | ||||||||||||||||
Trading Companies & Distributors | 210,104 | 731,427 | — | 941,531 | ||||||||||||||||
Transportation Infrastructure | — | 295,841 | — | 295,841 | ||||||||||||||||
Water Utilities | 60,022 | 51,251 | — | 111,273 | ||||||||||||||||
Wireless Telecommunication Services | 147,641 | 798,745 | — | 946,386 | ||||||||||||||||
Preferred Stocks | ||||||||||||||||||||
Automobiles | — | 164,135 | — | 164,135 | ||||||||||||||||
Household Products | — | 76,522 | — | 76,522 | ||||||||||||||||
Rights | 3,390 | — | # | — | 3,390 | |||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 1,181,147 | 1,181,147 | ||||||||||||||||
Unaffiliated Investment Company | 3,039,976 | — | — | 3,039,976 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 96,221,464 | 51,460,489 | 1,181,147 | 148,863,100 | ||||||||||||||||
|
|
|
|
|
|
|
|
28
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | $ | (26,697 | ) | $ | — | $ | — | $ | (26,697 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 96,194,767 | $ | 51,460,489 | $ | 1,181,147 | $ | 148,836,403 | ||||||||||||
|
|
|
|
|
|
|
|
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2018. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MSCI Global Equity Index Fund | $ | 1,192,761 | $ | 8,879,296 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $121,169,228. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 31,263,266 | ||
Unrealized (depreciation) | (3,569,394 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 27,693,872 | ||
|
|
As of the end of its latest tax year ended December 31, 2017, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the table below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
29
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL MSCI Global Equity Index Fund | $ | 8,501,767 | $ | 5,502,957 | $ | 14,004,724 |
During the latest tax year end, December 31, 2017, the Fund utilized $3,600,641 in CLCFs to offset capital gains.
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MSCI Global Equity Index Fund | $ | 2,867,182 | $ | — | $ | 2,867,182 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL MSCI Global Equity Index Fund | $ | 2,629,235 | $ | — | $ | (14,004,724 | ) | $ | 30,293,685 | $ | 18,918,196 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
30
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
31
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Russell 1000 Growth Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 9 |
Page 9 |
Statements of Changes in Net Assets Page 10 |
Page 11 |
Notes to the Financial Statements Page 12 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Russell 1000 Growth Index Fund
(Unaudited)
As a shareholder of the AZL Russell 1000 Growth Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | $ | 1,000.00 | $ | 1,070.70 | $ | 2.26 | 0.44 | % | ||||||||||||
AZL Russell 1000 Growth Index Fund, Class 2 | $ | 1,000.00 | $ | 1,069.00 | $ | 3.54 | 0.69 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.64 | $ | 2.21 | 0.44 | % | ||||||||||||
AZL Russell 1000 Growth Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.40 | $ | 3.46 | 0.69 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 41.2 | % | |||
Consumer Discretionary | 17.7 | ||||
Health Care | 13.1 | ||||
Industrials | 11.6 | ||||
Consumer Staples | 5.5 | ||||
Financials | 4.4 | ||||
Real Estate | 2.2 | ||||
Materials | 1.8 | ||||
Energy | 1.0 | ||||
Telecommunication Services | 0.2 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 98.7 | ||||
Securities Held as Collateral for Securities on Loan | 12.0 | ||||
Money Market | 1.2 | ||||
|
| ||||
Total Investment Securities | 111.9 | ||||
Net other assets (liabilities) | (11.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.3%): | ||||||||
Aerospace & Defense (3.3%): | ||||||||
43,634 | Boeing Co. (The) | $ | 14,639,644 | |||||
7,867 | BWX Technologies, Inc. | 490,271 | ||||||
266 | Curtiss-Wright Corp. | 31,659 | ||||||
9,250 | General Dynamics Corp. | 1,724,293 | ||||||
3,111 | HEICO Corp.^ | 226,903 | ||||||
6,103 | HEICO Corp., Class A | 371,947 | ||||||
1,534 | Hexcel Corp.^ | 101,827 | ||||||
2,961 | Huntington Ingalls Industries, Inc. | 641,915 | ||||||
17,980 | Lockheed Martin Corp. | 5,311,832 | ||||||
12,843 | Northrop Grumman Corp. | 3,951,792 | ||||||
22,786 | Raytheon Co. | 4,401,800 | ||||||
1,765 | Rockwell Collins, Inc. | 237,710 | ||||||
8,966 | Spirit AeroSystems Holdings, Inc., Class A | 770,269 | ||||||
3,384 | Textron, Inc. | 223,039 | ||||||
3,845 | TransDigm Group, Inc.^ | 1,327,063 | ||||||
|
| |||||||
34,451,964 | ||||||||
|
| |||||||
Air Freight & Logistics (1.3%): | ||||||||
10,965 | C.H. Robinson Worldwide, Inc.^ | 917,332 | ||||||
13,800 | Expeditors International of Washington, Inc. | 1,008,780 | ||||||
19,650 | FedEx Corp. | 4,461,729 | ||||||
54,842 | United Parcel Service, Inc., Class B | 5,825,865 | ||||||
9,442 | XPO Logistics, Inc.*^ | 945,900 | ||||||
|
| |||||||
13,159,606 | ||||||||
|
| |||||||
Airlines (0.2%): | ||||||||
12,787 | Delta Air Lines, Inc. | 633,468 | ||||||
30,079 | Southwest Airlines Co. | 1,530,420 | ||||||
|
| |||||||
2,163,888 | ||||||||
|
| |||||||
Auto Components (0.3%): | ||||||||
18,233 | Aptiv plc | 1,670,690 | ||||||
14,678 | Gentex Corp.^ | 337,888 | ||||||
563 | Lear Corp. | 104,611 | ||||||
1,485 | Visteon Corp.* | 191,921 | ||||||
|
| |||||||
2,305,110 | ||||||||
|
| |||||||
Automobiles (0.4%): | ||||||||
10,754 | Tesla Motors, Inc.*^ | 3,688,084 | ||||||
3,287 | Thor Industries, Inc.^ | 320,121 | ||||||
|
| |||||||
4,008,205 | ||||||||
|
| |||||||
Banks (0.2%): | ||||||||
789 | Comerica, Inc. | 71,736 | ||||||
868 | East West Bancorp, Inc. | 56,594 | ||||||
2,554 | Pinnacle Financial Partners, Inc.^ | 156,688 | ||||||
2,685 | Signature Bank* | 343,358 | ||||||
3,226 | SVB Financial Group* | 931,539 | ||||||
692 | Synovus Financial Corp. | 36,558 | ||||||
2,487 | Texas Capital Bancshares, Inc.* | 227,561 | ||||||
4,692 | Western Alliance Bancorp* | 265,614 | ||||||
|
| |||||||
2,089,648 | ||||||||
|
| |||||||
Beverages (2.8%): | ||||||||
4,169 | Brown-Forman Corp., Class A | 203,697 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
22,330 | Brown-Forman Corp., Class B^ | $ | 1,094,393 | |||||
235,713 | Coca-Cola Co. (The) | 10,338,372 | ||||||
12,464 | Constellation Brands, Inc., Class C | 2,727,996 | ||||||
14,220 | Dr Pepper Snapple Group, Inc. | 1,734,840 | ||||||
32,263 | Monster Beverage Corp.* | 1,848,670 | ||||||
99,796 | PepsiCo, Inc. | 10,864,791 | ||||||
|
| |||||||
28,812,759 | ||||||||
|
| |||||||
Biotechnology (4.9%): | ||||||||
126,138 | AbbVie, Inc. | 11,686,685 | ||||||
3,754 | Agios Pharmaceuticals, Inc.*^ | 316,199 | ||||||
14,100 | Alexion Pharmaceuticals, Inc.* | 1,750,515 | ||||||
12,198 | Alkermes plc*^ | 502,070 | ||||||
6,268 | Alnylam Pharmaceuticals, Inc.*^ | 617,335 | ||||||
49,452 | Amgen, Inc. | 9,128,345 | ||||||
15,869 | Biogen Idec, Inc.* | 4,605,819 | ||||||
14,007 | BioMarin Pharmaceutical, Inc.* | 1,319,459 | ||||||
2,733 | Bluebird Bio, Inc.*^ | 428,944 | ||||||
57,428 | Celgene Corp.* | 4,560,932 | ||||||
9,492 | Exact Sciences Corp.*^ | 567,527 | ||||||
23,252 | Exelixis, Inc.* | 500,383 | ||||||
76,584 | Gilead Sciences, Inc. | 5,425,211 | ||||||
13,921 | Incyte Corp.* | 932,707 | ||||||
9,900 | Ionis Pharmaceuticals, Inc.*^ | 412,533 | ||||||
7,070 | Neurocrine Biosciences, Inc.*^ | 694,557 | ||||||
6,325 | Regeneron Pharmaceuticals, Inc.* | 2,182,062 | ||||||
3,601 | Sage Therapeutics, Inc.*^ | 563,665 | ||||||
4,908 | Sarepta Therapeutics, Inc.*^ | 648,739 | ||||||
8,500 | Seattle Genetics, Inc.*^ | 564,315 | ||||||
2,884 | Tesaro, Inc.*^ | 128,251 | ||||||
20,252 | Vertex Pharmaceuticals, Inc.* | 3,442,030 | ||||||
|
| |||||||
50,978,283 | ||||||||
|
| |||||||
Building Products (0.2%): | ||||||||
11,277 | A.O. Smith Corp.^ | 667,035 | ||||||
6,249 | Allegion plc^ | 483,423 | ||||||
3,564 | Armstrong World Industries, Inc.* | 225,245 | ||||||
4,828 | Fortune Brands Home & Security, Inc.^ | 259,215 | ||||||
2,763 | Lennox International, Inc.^ | 553,014 | ||||||
16,705 | Masco Corp. | 625,101 | ||||||
|
| |||||||
2,813,033 | ||||||||
|
| |||||||
Capital Markets (2.3%): | ||||||||
1,869 | Ameriprise Financial, Inc. | 261,436 | ||||||
8,198 | CBOE Holdings, Inc. | 853,166 | ||||||
95,382 | Charles Schwab Corp. (The)^ | 4,874,021 | ||||||
2,426 | CME Group, Inc. | 397,670 | ||||||
4,741 | E*TRADE Financial Corp.* | 289,960 | ||||||
9,134 | Eaton Vance Corp.^ | 476,703 | ||||||
3,176 | Evercore Partners, Inc., Class A | 334,909 | ||||||
3,004 | FactSet Research Systems, Inc.^ | 595,092 | ||||||
5,063 | Interactive Brokers Group, Inc., Class A | 326,108 | ||||||
23,434 | Intercontinental Exchange, Inc. | 1,723,571 | ||||||
8,389 | Lazard, Ltd., Class A | 410,306 |
Continued
2
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
7,005 | LPL Financial Holdings, Inc. | $ | 459,108 | |||||
2,904 | MarketAxess Holdings, Inc.^ | 574,585 | ||||||
13,231 | Moody’s Corp. | 2,256,679 | ||||||
1,508 | Morningstar, Inc. | 193,401 | ||||||
6,990 | MSCI, Inc., Class A | 1,156,356 | ||||||
4,608 | Northern Trust Corp. | 474,117 | ||||||
3,069 | Raymond James Financial, Inc.^ | 274,215 | ||||||
19,953 | S&P Global, Inc. | 4,068,217 | ||||||
10,572 | SEI Investments Co. | 660,961 | ||||||
1,804 | State Street Corp. | 167,934 | ||||||
17,405 | T. Rowe Price Group, Inc.^ | 2,020,546 | ||||||
22,354 | TD Ameritrade Holding Corp. | 1,224,329 | ||||||
3,093 | Virtu Financial, Inc.^ | 82,119 | ||||||
|
| |||||||
24,155,509 | ||||||||
|
| |||||||
Chemicals (1.1%): | ||||||||
6,864 | Axalta Coating Systems, Ltd.* | 208,048 | ||||||
6,816 | Celanese Corp., Series A | 756,985 | ||||||
14,271 | Chemours Co. (The) | 633,062 | ||||||
9,168 | Ecolab, Inc.^ | 1,286,545 | ||||||
4,341 | FMC Corp.^ | 387,261 | ||||||
2,657 | International Flavor & Fragrances, Inc. | 329,362 | ||||||
12,163 | Lyondellbasell Industries NV | 1,336,106 | ||||||
589 | NewMarket Corp.^ | 238,251 | ||||||
7,902 | Platform Speciality Products Corp.*^ | 91,663 | ||||||
1,313 | PPG Industries, Inc.^ | 136,197 | ||||||
20,373 | Praxair, Inc. | 3,221,989 | ||||||
2,200 | RPM International, Inc.^ | 128,304 | ||||||
1,577 | Scotts Miracle-Gro Co. (The)^ | 131,143 | ||||||
6,610 | Sherwin Williams Co. | 2,694,038 | ||||||
3,934 | W.R. Grace & Co. | 288,402 | ||||||
2,661 | Westlake Chemical Corp.^ | 286,403 | ||||||
|
| |||||||
12,153,759 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
6,925 | Cintas Corp. | 1,281,610 | ||||||
16,075 | Copart, Inc.*^ | 909,202 | ||||||
10,133 | KAR Auction Services, Inc.^ | 555,288 | ||||||
1,091 | Republic Services, Inc., Class A | 74,581 | ||||||
7,638 | Rollins, Inc.^ | 401,606 | ||||||
28,993 | Waste Management, Inc. | 2,358,291 | ||||||
|
| |||||||
5,580,578 | ||||||||
|
| |||||||
Communications Equipment (0.5%): | ||||||||
4,513 | Arista Networks, Inc.* | 1,162,052 | ||||||
4,847 | F5 Networks, Inc.* | 835,865 | ||||||
9,401 | Harris Corp. | 1,358,821 | ||||||
1,453 | Motorola Solutions, Inc.^ | 169,086 | ||||||
7,033 | Palo Alto Networks, Inc.* | 1,445,070 | ||||||
1,524 | Ubiquiti Networks, Inc.*^ | 129,113 | ||||||
|
| |||||||
5,100,007 | ||||||||
|
| |||||||
Construction & Engineering (0.0%): | ||||||||
3,467 | Quanta Services, Inc.* | 115,798 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction Materials (0.3%): | ||||||||
3,267 | Eagle Materials, Inc., Class A | $ | 342,937 | |||||
4,570 | Martin Marietta Materials, Inc.^ | 1,020,618 | ||||||
9,802 | Vulcan Materials Co.^ | 1,265,046 | ||||||
|
| |||||||
2,628,601 | ||||||||
|
| |||||||
Consumer Finance (0.6%): | ||||||||
38,358 | American Express Co. | 3,759,083 | ||||||
2,951 | Capital One Financial Corp. | 271,197 | ||||||
820 | Credit Acceptance Corp.*^ | 289,788 | ||||||
12,627 | Discover Financial Services | 889,067 | ||||||
619 | Onemain Holdings, Inc.* | 20,607 | ||||||
1,162 | Santander Consumer USA Holdings, Inc. | 22,183 | ||||||
20,833 | Synchrony Financial | 695,406 | ||||||
|
| |||||||
5,947,331 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
6,949 | Avery Dennison Corp. | 709,493 | ||||||
5,269 | Berry Global Group, Inc.* | 242,058 | ||||||
10,207 | Crown Holdings, Inc.* | 456,865 | ||||||
4,357 | Graphic Packaging Holding Co. | 63,220 | ||||||
3,766 | International Paper Co. | 196,133 | ||||||
7,408 | Packaging Corp. of America | 828,140 | ||||||
6,806 | Sealed Air Corp.^ | 288,915 | ||||||
2,226 | Silgan Holdings, Inc.^ | 59,724 | ||||||
|
| |||||||
2,844,548 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
4,068 | LKQ Corp.* | 129,769 | ||||||
3,113 | Pool Corp.^ | 471,620 | ||||||
|
| |||||||
601,389 | ||||||||
|
| |||||||
Diversified Consumer Services (0.2%): | ||||||||
3,850 | Bright Horizons Family Solutions, Inc.* | 394,702 | ||||||
3,717 | Grand Canyon Education, Inc.* | 414,854 | ||||||
3,208 | H&R Block, Inc. | 73,078 | ||||||
6,621 | Service Corp. International^ | 236,966 | ||||||
10,744 | ServiceMaster Global Holdings, Inc.* | 638,946 | ||||||
|
| |||||||
1,758,546 | ||||||||
|
| |||||||
Diversified Financial Services (0.4%): | ||||||||
19,380 | Berkshire Hathaway, Inc., Class B* | 3,617,277 | ||||||
1,058 | Voya Financial, Inc.^ | 49,726 | ||||||
|
| |||||||
3,667,003 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.1%): | ||||||||
15,757 | Zayo Group Holdings, Inc.* | 574,815 | ||||||
|
| |||||||
Electrical Equipment (0.5%): | ||||||||
3,489 | AMETEK, Inc. | 251,766 | ||||||
35,333 | Emerson Electric Co. | 2,442,924 | ||||||
2,928 | Hubbell, Inc. | 309,607 | ||||||
9,931 | Rockwell Automation, Inc. | 1,650,830 | ||||||
7,296 | Sensata Technologies Holding plc*^ | 347,144 | ||||||
|
| |||||||
5,002,271 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.6%): | ||||||||
23,406 | Amphenol Corp., Class A | 2,039,833 | ||||||
11,749 | CDW Corp. | 949,202 |
Continued
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
13,099 | Cognex Corp.^ | $ | 584,346 | |||||
1,409 | Coherent, Inc.*^ | 220,396 | ||||||
1,009 | FLIR Systems, Inc. | 52,438 | ||||||
2,859 | IPG Photonics Corp.*^ | 630,781 | ||||||
1,585 | Littlelfuse, Inc. | 361,665 | ||||||
7,096 | National Instruments Corp. | 297,890 | ||||||
3,371 | Universal Display Corp.^ | 289,906 | ||||||
4,184 | Zebra Technologies Corp., Class A* | 599,358 | ||||||
|
| |||||||
6,025,815 | ||||||||
|
| |||||||
Energy Equipment & Services (0.3%): | ||||||||
69,278 | Halliburton Co. | 3,121,667 | ||||||
1,711 | RPC, Inc.^ | 24,929 | ||||||
|
| |||||||
3,146,596 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.1%): | ||||||||
630 | Alexandria Real Estate Equities, Inc. | 79,487 | ||||||
34,825 | American Tower Corp. | 5,020,719 | ||||||
3,331 | Colony Capital, Inc.^ | 20,785 | ||||||
2,700 | Coresite Realty Corp.^ | 299,214 | ||||||
24,808 | Crown Castle International Corp. | 2,674,799 | ||||||
6,289 | Equinix, Inc. | 2,703,578 | ||||||
6,685 | Equity Lifestyle Properties, Inc. | 614,352 | ||||||
8,386 | Extra Space Storage, Inc.^ | 837,007 | ||||||
5,672 | Gaming & Leisure Properties, Inc. | 203,058 | ||||||
1,534 | Hudson Pacific Properties, Inc. | 54,350 | ||||||
5,975 | Lamar Advertising Co., Class A^ | 408,152 | ||||||
222 | Life Storage, Inc. | 21,603 | ||||||
1,247 | Omega Healthcare Investors, Inc.^ | 38,657 | ||||||
11,772 | Public Storage, Inc.^ | 2,670,596 | ||||||
9,039 | SBA Communications Corp.* | 1,492,520 | ||||||
22,444 | Simon Property Group, Inc. | 3,819,744 | ||||||
4,678 | Taubman Centers, Inc.^ | 274,879 | ||||||
|
| |||||||
21,233,500 | ||||||||
|
| |||||||
Food & Staples Retailing (1.0%): | ||||||||
34,694 | Costco Wholesale Corp. | 7,250,352 | ||||||
10,600 | Sprouts Farmers Market, Inc.*^ | 233,942 | ||||||
37,787 | Sysco Corp. | 2,580,474 | ||||||
978 | US Foods Holding Corp.* | 36,988 | ||||||
|
| |||||||
�� | 10,101,756 | |||||||
|
| |||||||
Food Products (0.2%): | ||||||||
9,677 | Campbell Soup Co.^ | 392,306 | ||||||
2,425 | General Mills, Inc.^ | 107,331 | ||||||
10,104 | Hershey Co. (The)^ | 940,277 | ||||||
9,871 | Kellogg Co.^ | 689,687 | ||||||
596 | McCormick & Co.^ | 69,190 | ||||||
2,992 | Post Holdings, Inc.*^ | 257,372 | ||||||
|
| |||||||
2,456,163 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.4%): | ||||||||
3,349 | ABIOMED, Inc.* | 1,369,908 | ||||||
6,290 | Align Technology, Inc.* | 2,152,061 | ||||||
4,423 | Baxter International, Inc. | 326,594 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
1,933 | Becton, Dickinson & Co.^ | $ | 463,069 | |||||
84,207 | Boston Scientific Corp.* | 2,753,569 | ||||||
2,913 | Cantel Medical Corp. | 286,523 | ||||||
621 | Cooper Cos., Inc. (The)^ | 146,214 | ||||||
6,926 | Dexcom, Inc.*^ | 657,831 | ||||||
16,662 | Edwards Lifesciences Corp.* | 2,425,487 | ||||||
3,434 | Hill-Rom Holdings, Inc. | 299,926 | ||||||
1,232 | ICU Medical, Inc.* | 361,777 | ||||||
6,810 | IDEXX Laboratories, Inc.* | 1,484,171 | ||||||
4,627 | Insulet Corp.*^ | 396,534 | ||||||
4,431 | Integra LifeSciences Holdings Corp.* | 285,401 | ||||||
8,921 | Intuitive Surgical, Inc.* | 4,268,520 | ||||||
3,561 | Masimo Corp.* | 347,732 | ||||||
2,426 | Penumbra, Inc.*^ | 335,152 | ||||||
11,147 | ResMed, Inc.^ | 1,154,606 | ||||||
27,115 | Stryker Corp.^ | 4,578,640 | ||||||
689 | Teleflex, Inc. | 184,797 | ||||||
7,252 | Varian Medical Systems, Inc.*^ | 824,697 | ||||||
1,354 | West Pharmaceutical Services, Inc.^ | 134,439 | ||||||
|
| |||||||
25,237,648 | ||||||||
|
| |||||||
Health Care Providers & Services (3.1%): | ||||||||
9,243 | Aetna, Inc. | 1,696,091 | ||||||
12,693 | AmerisourceBergen Corp. | 1,082,332 | ||||||
14,265 | Centene Corp.* | 1,757,591 | ||||||
1,230 | Chemed Corp. | 395,826 | ||||||
7,494 | Cigna Corp. | 1,273,605 | ||||||
5,589 | DaVita, Inc.* | 388,100 | ||||||
7,758 | Encompass Health Corp. | 525,372 | ||||||
1,866 | Envision Healthcare Corp.*^ | 82,123 | ||||||
3,660 | Express Scripts Holding Co.* | 282,589 | ||||||
15,677 | HCA Holdings, Inc. | 1,608,460 | ||||||
1,799 | Henry Schein, Inc.*^ | 130,679 | ||||||
10,388 | Humana, Inc.^ | 3,091,780 | ||||||
490 | Laboratory Corp. of America Holdings* | 87,970 | ||||||
2,021 | McKesson Corp. | 269,601 | ||||||
4,119 | Molina Healthcare, Inc.*^ | 403,415 | ||||||
1,223 | Premier, Inc., Class A*^ | 44,493 | ||||||
75,999 | UnitedHealth Group, Inc. | 18,645,594 | ||||||
3,079 | WellCare Health Plans, Inc.* | 758,173 | ||||||
|
| |||||||
32,523,794 | ||||||||
|
| |||||||
Health Care Technology (0.2%): | ||||||||
3,169 | athenahealth, Inc.* | 504,315 | ||||||
11,261 | Cerner Corp.* | 673,295 | ||||||
9,519 | Veeva Systems, Inc., Class A*^ | 731,630 | ||||||
|
| |||||||
1,909,240 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (2.0%): | ||||||||
1,932 | Chipotle Mexican Grill, Inc.*^ | 833,407 | ||||||
2,629 | Choice Hotels International, Inc.^ | 198,752 | ||||||
4,956 | Darden Restaurants, Inc. | 530,589 | ||||||
3,344 | Domino’s Pizza, Inc. | 943,576 | ||||||
6,703 | Dunkin’ Brands Group, Inc.^ | 462,976 |
Continued
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
9,119 | Extended Stay America, Inc. | $ | 197,062 | |||||
7,648 | Hilton Grand Vacations* | 265,386 | ||||||
22,129 | Hilton Worldwide Holdings, Inc. | 1,751,732 | ||||||
17,408 | Las Vegas Sands Corp. | 1,329,275 | ||||||
23,254 | Marriott International, Inc., Class A | 2,943,957 | ||||||
12,134 | McDonald’s Corp. | 1,901,277 | ||||||
3,676 | MGM Resorts International | 106,714 | ||||||
5,646 | Six Flags Entertainment Corp.^ | 395,502 | ||||||
106,640 | Starbucks Corp. | 5,209,365 | ||||||
3,180 | Vail Resorts, Inc. | 871,924 | ||||||
14,763 | Wendy’s Co. (The)^ | 253,628 | ||||||
7,841 | Wyndham Hotels & Resorts, Inc. | 461,286 | ||||||
7,934 | Wyndham Worldwide Corp. | 351,238 | ||||||
8,163 | Wynn Resorts, Ltd. | 1,365,996 | ||||||
2,488 | Yum China Holdings, Inc.^ | 95,688 | ||||||
7,503 | Yum! Brands, Inc. | 586,885 | ||||||
|
| |||||||
21,056,215 | ||||||||
|
| |||||||
Household Durables (0.3%): | ||||||||
16,058 | D.R. Horton, Inc. | 658,378 | ||||||
12,105 | Lennar Corp., Class A^ | 635,513 | ||||||
551 | Lennar Corp., Class B | 23,522 | ||||||
251 | NVR, Inc.* | 745,558 | ||||||
6,524 | PulteGroup, Inc.^ | 187,565 | ||||||
3,661 | Tempur Sealy International, Inc.*^ | 175,911 | ||||||
5,653 | Toll Brothers, Inc. | 209,104 | ||||||
|
| |||||||
2,635,551 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
16,484 | Church & Dwight Co., Inc.^ | 876,289 | ||||||
8,950 | Clorox Co. (The)^ | 1,210,488 | ||||||
12,560 | Colgate-Palmolive Co. | 814,014 | ||||||
2,705 | Energizer Holdings, Inc.^ | 170,307 | ||||||
24,030 | Kimberly-Clark Corp.^ | 2,531,320 | ||||||
|
| |||||||
5,602,418 | ||||||||
|
| |||||||
Industrial Conglomerates (1.3%): | ||||||||
38,260 | 3M Co., Class C | 7,526,507 | ||||||
36,734 | Honeywell International, Inc. | 5,291,533 | ||||||
1,526 | Roper Industries, Inc. | 421,039 | ||||||
|
| |||||||
13,239,079 | ||||||||
|
| |||||||
Insurance (0.9%): | ||||||||
131 | Alleghany Corp. | 75,321 | ||||||
10,258 | American International Group, Inc. | 543,879 | ||||||
19,357 | Aon plc | 2,655,200 | ||||||
3,705 | Arch Capital Group, Ltd.* | 98,034 | ||||||
684 | Axis Capital Holdings, Ltd. | 38,044 | ||||||
970 | Brown & Brown, Inc. | 26,898 | ||||||
1,547 | Erie Indemnity Co., Class A^ | 181,401 | ||||||
1,261 | Everest Re Group, Ltd. | 290,636 | ||||||
93 | Markel Corp.* | 100,845 | ||||||
18,879 | Marsh & McLennan Cos., Inc. | 1,547,512 | ||||||
46,017 | Progressive Corp. (The) | 2,721,905 | ||||||
320 | RenaissanceRe Holdings, Ltd. | 38,502 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
4,153 | Travelers Cos., Inc. (The) | $ | 508,078 | |||||
855 | Validus Holdings, Ltd. | 57,798 | ||||||
7,153 | XL Group, Ltd. | 400,210 | ||||||
|
| |||||||
9,284,263 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (7.5%): | ||||||||
32,294 | Amazon.com, Inc.* | 54,893,342 | ||||||
3,821 | Booking Holdings, Inc.* | 7,745,511 | ||||||
9,559 | Expedia, Inc.^ | 1,148,896 | ||||||
33,097 | Netflix, Inc.* | 12,955,159 | ||||||
8,254 | TripAdvisor, Inc.*^ | 459,830 | ||||||
4,444 | Wayfair, Inc., Class A*^ | 527,769 | ||||||
|
| |||||||
77,730,507 | ||||||||
|
| |||||||
Internet Software & Services (9.6%): | ||||||||
4,277 | 2u, Inc.*^ | 357,386 | ||||||
12,326 | Akamai Technologies, Inc.* | 902,633 | ||||||
23,732 | Alphabet, Inc., Class A* | 26,797,936 | ||||||
24,184 | Alphabet, Inc., Class C* | 26,980,879 | ||||||
1,982 | DocuSign, Inc.*^ | 104,947 | ||||||
16,092 | eBay, Inc.* | 583,496 | ||||||
188,891 | Facebook, Inc., Class A* | 36,705,298 | ||||||
11,886 | GoDaddy, Inc., Class A* | 839,152 | ||||||
7,157 | GrubHub, Inc.*^ | 750,841 | ||||||
5,910 | IAC/InterActiveCorp.* | 901,216 | ||||||
2,690 | LogMeIn, Inc.^ | 277,743 | ||||||
4,096 | Match Group, Inc.*^ | 158,679 | ||||||
8,440 | Nutanix, Inc., Class A*^ | 435,251 | ||||||
6,796 | Okta, Inc.*^ | 342,315 | ||||||
5,676 | Twilio, Inc., Series A* | 317,970 | ||||||
56,156 | Twitter, Inc.* | 2,452,332 | ||||||
8,349 | VeriSign, Inc.* | 1,147,319 | ||||||
3,186 | Zillow Group, Inc., Class A*^ | 190,364 | ||||||
6,563 | Zillow Group, Inc., Class C*^ | 387,611 | ||||||
|
| |||||||
100,633,368 | ||||||||
|
| |||||||
IT Services (8.1%): | ||||||||
51,055 | Accenture plc, Class C^ | 8,352,087 | ||||||
3,823 | Alliance Data Systems Corp. | 891,524 | ||||||
34,979 | Automatic Data Processing, Inc. | 4,692,083 | ||||||
11,241 | Black Knight, Inc.*^ | 601,956 | ||||||
10,647 | Booz Allen Hamilton Holding Corp. | 465,593 | ||||||
9,316 | Broadridge Financial Solutions, Inc. | 1,072,272 | ||||||
41,811 | Cognizant Technology Solutions Corp., Class A^ | 3,302,651 | ||||||
4,030 | CoreLogic, Inc.* | 209,157 | ||||||
4,012 | Epam Systems, Inc.* | 498,812 | ||||||
1,975 | Euronet Worldwide, Inc.*^ | 165,446 | ||||||
2,267 | Fidelity National Information Services, Inc. | 240,370 | ||||||
38,046 | First Data Corp., Class A* | 796,303 | ||||||
32,490 | Fiserv, Inc.* | 2,407,184 | ||||||
7,062 | FleetCor Technologies, Inc.* | 1,487,610 | ||||||
7,025 | Gartner, Inc.*^ | 933,623 | ||||||
4,270 | Genpact, Ltd. | 123,531 | ||||||
12,607 | Global Payments, Inc. | 1,405,554 |
Continued
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
52,451 | International Business Machines Corp. | $ | 7,327,405 | |||||
6,093 | Jack Henry & Associates, Inc.^ | 794,283 | ||||||
72,977 | MasterCard, Inc., Class A | 14,341,440 | ||||||
25,441 | Paychex, Inc. | 1,738,892 | ||||||
94,361 | PayPal Holdings, Inc.* | 7,857,440 | ||||||
15,271 | Sabre Corp. | 376,277 | ||||||
22,702 | Square, Inc., Class A*^ | 1,399,351 | ||||||
2,579 | Switch, Inc., Class A^ | 31,386 | ||||||
6,780 | Teradata Corp.*^ | 272,217 | ||||||
14,283 | Total System Services, Inc. | 1,207,199 | ||||||
142,017 | Visa, Inc., Class A^ | 18,810,152 | ||||||
10,335 | Western Union Co.^ | 210,111 | ||||||
3,270 | WEX, Inc.* | 622,870 | ||||||
2,103 | Worldpay, Inc., Class A* | 171,983 | ||||||
|
| |||||||
82,806,762 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
679 | Brunswick Corp. | 43,782 | ||||||
7,090 | Hasbro, Inc.^ | 654,479 | ||||||
6,282 | Mattel, Inc.^ | 103,150 | ||||||
4,713 | Polaris Industries, Inc.^ | 575,834 | ||||||
|
| |||||||
1,377,245 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.7%): | ||||||||
2,953 | Bio-Techne Corp. | 436,896 | ||||||
3,284 | Bruker Corp. | 95,367 | ||||||
2,709 | Charles River Laboratories International, Inc.* | 304,112 | ||||||
11,650 | Illumina, Inc.* | 3,253,729 | ||||||
1,973 | Mettler-Toledo International, Inc.* | 1,141,637 | ||||||
4,003 | PRA Health Sciences, Inc.* | 373,720 | ||||||
1,906 | Thermo Fisher Scientific, Inc. | 394,809 | ||||||
5,723 | Waters Corp.*^ | 1,107,916 | ||||||
|
| |||||||
7,108,186 | ||||||||
|
| |||||||
Machinery (2.2%): | ||||||||
9,688 | Allison Transmission Holdings, Inc.^ | 392,267 | ||||||
42,361 | Caterpillar, Inc. | 5,747,117 | ||||||
4,366 | Cummins, Inc. | 580,678 | ||||||
25,693 | Deere & Co.^ | 3,591,881 | ||||||
9,555 | Donaldson Co., Inc.^ | 431,122 | ||||||
22,403 | Fortive Corp. | 1,727,495 | ||||||
2,807 | Gardner Denver Holdings, Inc.* | 82,498 | ||||||
13,114 | Graco, Inc.^ | 593,015 | ||||||
5,701 | IDEX Corp. | 778,072 | ||||||
26,777 | Illinois Tool Works, Inc. | 3,709,686 | ||||||
10,611 | Ingersoll-Rand plc | 952,125 | ||||||
4,962 | Lincoln Electric Holdings, Inc.^ | 435,465 | ||||||
2,551 | Middleby Corp. (The)*^ | 266,375 | ||||||
4,327 | Nordson Corp.^ | 555,630 | ||||||
1,910 | Parker Hannifin Corp. | 297,674 | ||||||
8,301 | Toro Co. | 500,135 | ||||||
4,227 | WABCO Holdings, Inc.* | 494,644 | ||||||
2,450 | Wabtec Corp.^ | 241,521 | ||||||
10,597 | Welbilt, Inc.*^ | 236,419 | ||||||
7,936 | Xylem, Inc.^ | 534,728 | ||||||
|
| |||||||
22,148,547 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media (1.5%): | ||||||||
3,661 | AMC Networks, Inc., Class A*^ | $ | 227,714 | |||||
339 | Cable One, Inc.^ | 248,585 | ||||||
26,140 | CBS Corp., Class B | 1,469,591 | ||||||
10,019 | Charter Communications, Inc., Class A* | 2,937,671 | ||||||
3,172 | Interpublic Group of Cos., Inc. (The)^ | 74,352 | ||||||
191 | Lions Gate Entertainment Corp., Class A^ | 4,741 | ||||||
704 | Lions Gate Entertainment Corp., Class B^ | 16,515 | ||||||
10,942 | Live Nation, Inc.*^ | 531,453 | ||||||
109 | Madison Square Garden Co. (The), Class A* | 33,811 | ||||||
11,841 | Omnicom Group, Inc.^ | 903,113 | ||||||
101,089 | Sirius XM Holdings, Inc.^ | 684,373 | ||||||
84,784 | Walt Disney Co. (The) | 8,886,210 | ||||||
|
| |||||||
16,018,129 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
2,126 | Royal Gold, Inc.^ | 197,378 | ||||||
6,527 | Southern Copper Corp.^ | 305,920 | ||||||
2,720 | Steel Dynamics, Inc. | 124,984 | ||||||
|
| |||||||
628,282 | ||||||||
|
| |||||||
Multiline Retail (0.3%): | ||||||||
21,321 | Dollar General Corp. | 2,102,251 | ||||||
3,169 | Dollar Tree, Inc.* | 269,365 | ||||||
9,304 | Nordstrom, Inc.^ | 481,761 | ||||||
|
| |||||||
2,853,377 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.7%): | ||||||||
13,729 | Anadarko Petroleum Corp. | 1,005,649 | ||||||
10,162 | Antero Resources Corp.*^ | 216,959 | ||||||
1,890 | Apache Corp.^ | 88,358 | ||||||
26,007 | Cabot Oil & Gas Corp. | 618,967 | ||||||
11,527 | Cheniere Energy, Inc.* | 751,445 | ||||||
952 | Cimarex Energy Co.^ | 96,856 | ||||||
3,346 | Continental Resources, Inc.*^ | 216,687 | ||||||
2,037 | Diamondback Energy, Inc.^ | 268,008 | ||||||
5,189 | EOG Resources, Inc. | 645,667 | ||||||
3,559 | Kosmos Energy LLC* | 29,433 | ||||||
5,806 | Newfield Exploration Co.* | 175,632 | ||||||
13,509 | ONEOK, Inc.^ | 943,333 | ||||||
14,220 | Parsley Energy, Inc., Class A* | 430,582 | ||||||
7,401 | Pioneer Natural Resources Co. | 1,400,565 | ||||||
6,287 | RSP Permian, Inc.* | 276,754 | ||||||
|
| |||||||
7,164,895 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
17,297 | Estee Lauder Co., Inc. (The), Class A | 2,468,109 | ||||||
1,657 | Herbalife, Ltd.* | 89,014 | ||||||
1,339 | Nu Skin Enterprises, Inc., Class A | 104,696 | ||||||
|
| |||||||
2,661,819 | ||||||||
|
| |||||||
Pharmaceuticals (1.8%): | ||||||||
69,100 | Bristol-Myers Squibb Co. | 3,823,994 | ||||||
2,444 | Catalent, Inc.* | 102,379 | ||||||
47,194 | Eli Lilly & Co. | 4,027,064 | ||||||
4,279 | Jazz Pharmaceuticals plc* | 737,272 |
Continued
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
38,375 | Johnson & Johnson Co. | $ | 4,656,422 | |||||
14,318 | Merck & Co., Inc. | 869,103 | ||||||
12,387 | Nektar Therapeutics*^ | 604,857 | ||||||
38,467 | Zoetis, Inc. | 3,277,004 | ||||||
|
| |||||||
18,098,095 | ||||||||
|
| |||||||
Professional Services (0.5%): | ||||||||
2,838 | CoStar Group, Inc.* | 1,171,044 | ||||||
1,291 | Dun & Bradstreet Corp. | 158,341 | ||||||
2,575 | Equifax, Inc. | 322,158 | ||||||
9,524 | Robert Half International, Inc.^ | 620,012 | ||||||
14,592 | TransUnion | 1,045,371 | ||||||
12,721 | Verisk Analytics, Inc.*^ | 1,369,289 | ||||||
|
| |||||||
4,686,215 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
12,126 | CBRE Group, Inc., Class A*^ | 578,895 | ||||||
1,242 | Howard Hughes Corp. (The)*^ | 164,565 | ||||||
|
| |||||||
743,460 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
31,043 | CSX Corp. | 1,979,923 | ||||||
976 | Genesee & Wyoming, Inc., Class A* | 79,368 | ||||||
6,906 | J.B. Hunt Transport Services, Inc.^ | 839,424 | ||||||
3,318 | Landstar System, Inc. | 362,326 | ||||||
5,220 | Old Dominion Freight Line, Inc.^ | 777,571 | ||||||
724 | Schneider National, Inc. | 19,917 | ||||||
56,238 | Union Pacific Corp.^ | 7,967,800 | ||||||
|
| |||||||
12,026,329 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.4%): | ||||||||
72,073 | Advanced Micro Devices, Inc.*^ | 1,080,374 | ||||||
4,678 | Analog Devices, Inc. | 448,714 | ||||||
83,372 | Applied Materials, Inc. | 3,850,953 | ||||||
20,520 | Broadcom, Inc. | 4,978,973 | ||||||
5,393 | Cavium, Inc.* | 466,495 | ||||||
19,502 | Cypress Semiconductor Corp.^ | 303,841 | ||||||
12,369 | KLA-Tencor Corp. | 1,268,194 | ||||||
13,013 | Lam Research Corp.^ | 2,249,297 | ||||||
22,072 | Maxim Integrated Products, Inc. | 1,294,744 | ||||||
18,251 | Microchip Technology, Inc.^ | 1,659,928 | ||||||
71,963 | Micron Technology, Inc.* | 3,773,740 | ||||||
4,279 | MKS Instruments, Inc. | 409,500 | ||||||
3,206 | Monolithic Power Systems, Inc. | 428,546 | ||||||
46,232 | NVIDIA Corp. | 10,952,360 | ||||||
1,457 | NXP Semiconductors NV* | 159,206 | ||||||
33,580 | ON Semiconductor Corp.* | 746,651 | ||||||
10,215 | Skyworks Solutions, Inc. | 987,280 | ||||||
2,456 | Teradyne, Inc.^ | 93,500 | ||||||
77,800 | Texas Instruments, Inc. | 8,577,450 | ||||||
8,560 | Versum Materials, Inc. | 318,004 | ||||||
20,196 | Xilinx, Inc. | 1,317,991 | ||||||
|
| |||||||
45,365,741 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software (10.4%): | ||||||||
59,792 | Activision Blizzard, Inc. | $ | 4,563,325 | |||||
39,049 | Adobe Systems, Inc.* | 9,520,537 | ||||||
6,607 | ANSYS, Inc.* | 1,150,807 | ||||||
5,345 | Aspen Technology, Inc.* | 495,695 | ||||||
7,291 | Atlassian Corp. plc, Class A*^ | 455,833 | ||||||
14,620 | Autodesk, Inc.* | 1,916,536 | ||||||
22,144 | Cadence Design Systems, Inc.* | 959,057 | ||||||
10,419 | CDK Global, Inc. | 677,756 | ||||||
1,856 | Ceridian HCM Holding, Inc.* | 61,601 | ||||||
10,746 | Citrix Systems, Inc.* | 1,126,611 | ||||||
1,154 | Dell Technologies, Inc., Class V* | 97,605 | ||||||
23,902 | Electronic Arts, Inc.* | 3,370,660 | ||||||
2,316 | Fair Isaac Corp.* | 447,729 | ||||||
9,880 | FireEye, Inc.*^ | 152,053 | ||||||
10,910 | Fortinet, Inc.* | 681,111 | ||||||
6,328 | Guidewire Software, Inc.*^ | 561,800 | ||||||
19,358 | Intuit, Inc. | 3,954,936 | ||||||
5,343 | Manhattan Associates, Inc.*^ | 251,174 | ||||||
570,131 | Microsoft Corp. | 56,220,618 | ||||||
22,111 | Oracle Corp. | 974,211 | ||||||
3,931 | Paycom Software, Inc.*^ | 388,501 | ||||||
2,969 | Pegasystems, Inc. | 162,701 | ||||||
3,983 | Proofpoint, Inc.* | 459,280 | ||||||
9,072 | PTC, Inc.* | 851,044 | ||||||
5,554 | RealPage, Inc.* | 306,025 | ||||||
14,054 | Red Hat, Inc.* | 1,888,436 | ||||||
5,266 | Ringcentral, Inc.*^ | 370,463 | ||||||
56,048 | Salesforce.com, Inc.* | 7,644,947 | ||||||
13,907 | ServiceNow, Inc.*^ | 2,398,540 | ||||||
11,495 | Splunk, Inc.* | 1,139,269 | ||||||
15,222 | SS&C Technologies Holdings, Inc. | 790,022 | ||||||
1,220 | Synopsys, Inc.* | 104,395 | ||||||
5,374 | Tableau Software, Inc., Class A* | 525,309 | ||||||
5,319 | Take-Two Interactive Software, Inc.* | 629,557 | ||||||
2,983 | Tyler Technologies, Inc.*^ | 662,524 | ||||||
2,363 | Ultimate Software Group, Inc. (The)*^ | 608,024 | ||||||
5,455 | VMware, Inc., Class A*^ | 801,721 | ||||||
11,522 | Workday, Inc., Class A*^ | 1,395,545 | ||||||
8,141 | Zendesk, Inc.* | 443,603 | ||||||
|
| |||||||
109,209,561 | ||||||||
|
| |||||||
Specialty Retail (3.8%): | ||||||||
1,706 | Advance Auto Parts, Inc.^ | 231,504 | ||||||
1,857 | AutoZone, Inc.*^ | 1,245,917 | ||||||
4,883 | Best Buy Co., Inc. | 364,174 | ||||||
5,283 | Burlington Stores, Inc.* | 795,250 | ||||||
8,530 | CarMax, Inc.*^ | 621,581 | ||||||
3,033 | Floor & Decor Holdings, Inc., Class A*^ | 149,618 | ||||||
1,344 | Gap, Inc. (The)^ | 43,532 | ||||||
91,528 | Home Depot, Inc. (The) | 17,857,113 | ||||||
3,437 | L Brands, Inc.^ | 126,757 | ||||||
65,596 | Lowe’s Cos., Inc. | 6,269,010 | ||||||
1,387 | Michaels Cos., Inc. (The)*^ | 26,589 | ||||||
6,374 | O’Reilly Automotive, Inc.*^ | 1,743,735 | ||||||
29,377 | Ross Stores, Inc. | 2,489,701 |
Continued
7
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
1,714 | Tiffany & Co. | $ | 225,562 | |||||
49,777 | TJX Cos., Inc. (The) | 4,737,775 | ||||||
9,743 | Tractor Supply Co. | 745,242 | ||||||
4,540 | Ulta Salon, Cosmetics & Fragrance, Inc.*^ | 1,059,908 | ||||||
5,838 | Urban Outfitters, Inc.* | 260,083 | ||||||
1,642 | Williams-Sonoma, Inc.^ | 100,786 | ||||||
|
| |||||||
39,093,837 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (7.2%): | ||||||||
390,752 | Apple, Inc. | 72,332,102 | ||||||
7,718 | NCR Corp.*^ | 231,386 | ||||||
21,300 | NetApp, Inc. | 1,672,689 | ||||||
13,037 | Pure Storage, Inc., Class A*^ | 311,324 | ||||||
|
| |||||||
74,547,501 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.2%): | ||||||||
3,702 | Carter’s, Inc. | 401,260 | ||||||
272 | Columbia Sportswear Co. | 24,880 | ||||||
28,383 | Hanesbrands, Inc.^ | 624,994 | ||||||
7,780 | Lululemon Athletica, Inc.* | 971,333 | ||||||
6,094 | Michael Kors Holdings, Ltd.* | 405,860 | ||||||
99,639 | Nike, Inc., Class C | 7,939,235 | ||||||
5,083 | Skechers U.S.A., Inc., Class A* | 152,541 | ||||||
4,488 | Tapestry, Inc. | 209,634 | ||||||
11,188 | Under Armour, Inc., Class A*^ | 251,506 | ||||||
11,409 | Under Armour, Inc., Class C*^ | 240,502 | ||||||
19,751 | VF Corp. | 1,610,102 | ||||||
|
| |||||||
12,831,847 | ||||||||
|
| |||||||
Tobacco (0.8%): | ||||||||
150,357 | Altria Group, Inc. | 8,538,774 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (0.4%): | ||||||||
301 | Air Lease Corp.^ | $ | 12,633 | |||||
22,788 | Fastenal Co.^ | 1,096,786 | ||||||
4,436 | HD Supply Holdings, Inc.* | 190,260 | ||||||
1,587 | MSC Industrial Direct Co., Inc., Class A | 134,657 | ||||||
6,621 | United Rentals, Inc.* | 977,392 | ||||||
1,459 | Univar, Inc.* | 38,284 | ||||||
3,592 | W.W. Grainger, Inc.^ | 1,107,773 | ||||||
2,043 | Watsco, Inc.^ | 364,226 | ||||||
|
| |||||||
3,922,011 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.1%): | ||||||||
15,910 | T-Mobile US, Inc.* | 950,623 | ||||||
|
| |||||||
Total Common Stocks (Cost $714,070,302) | 1,016,509,800 | |||||||
|
| |||||||
Preferred Stock (0.4%): | ||||||||
Software (0.4%): | ||||||||
841,419 | Palantir Technologies, Inc., Series I*(a)(b) | 4,863,402 | ||||||
|
| |||||||
Total Preferred Stock (Cost $5,157,898) | 4,863,402 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (12.0%): | ||||||||
$ | 123,621,124 | AZL Russell 1000 Growth Index Fund Securities Lending Collateral Account(c) | 123,621,124 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 123,621,124 | ||||||
|
| |||||||
Unaffiliated Investment Company (1.2%): | ||||||||
11,992,008 | Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(d) | 11,992,008 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $11,992,008) | 11,992,008 | |||||||
|
| |||||||
Total Investment Securities (Cost $854,841,332) — 111.9%(e) | 1,156,986,334 | |||||||
Net other assets (liabilities) — (11.9)% | (123,426,925 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,033,559,409 | ||||||
|
| |||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $121,059,923. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.47% of the net assets of the fund. |
(b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2018. The total of all such securities represent 0.47% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(d) | The rate represents the effective yield at June 30, 2018. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $533,200 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
NASDAQ 100 E-Mini September Futures (U.S. Dollar) | 9/21/18 | 34 | $ | 4,805,390 | $ | (66,111 | ) | |||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/21/18 | 59 | 8,028,720 | (141,858 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (207,969 | ) | ||||||||||||||||||
|
|
See accompanying notes to the financial statements.
8
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 854,841,332 | |||
|
| ||||
Investment securities, at value* | $ | 1,156,986,334 | |||
Cash | 5,748 | ||||
Segregated cash for collateral | 533,200 | ||||
Interest and dividends receivable | 542,257 | ||||
Receivable for variation margin on futures contracts | 10,445 | ||||
Reclaims receivable | 77 | ||||
Prepaid expenses | 6,120 | ||||
|
| ||||
Total Assets | 1,158,084,181 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 253,755 | ||||
Payable for collateral received on loaned securities | 123,621,124 | ||||
Manager fees payable | 321,999 | ||||
Administration fees payable | 21,132 | ||||
Distribution fees payable | 205,870 | ||||
Custodian fees payable | 2,818 | ||||
Administrative and compliance services fees payable | 1,478 | ||||
Transfer agent fees payable | 932 | ||||
Trustee fees payable | 6,333 | ||||
Other accrued liabilities | 89,331 | ||||
|
| ||||
Total Liabilities | 124,524,772 | ||||
|
| ||||
Net Assets | $ | 1,033,559,409 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 583,400,466 | |||
Accumulated net investment income/(loss) | 12,694,569 | ||||
Accumulated net realized gains/(losses) from investment transactions | 135,527,341 | ||||
Net unrealized appreciation/(depreciation) on investments | 301,937,033 | ||||
|
| ||||
Net Assets | $ | 1,033,559,409 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 55,889,821 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,447,761 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.57 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 977,669,588 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 60,133,228 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.26 | |||
|
|
* | Includes securities on loan of $121,059,923. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 6,968,395 | |||
Interest | 1,693 | ||||
Income from securities lending | 166,081 | ||||
Foreign withholding tax | (159 | ) | |||
|
| ||||
Total Investment Income | 7,136,010 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,289,589 | ||||
Administration fees | 138,923 | ||||
Distribution fees — Class 2 | 1,231,499 | ||||
Custodian fees | 17,613 | ||||
Administrative and compliance services fees | 7,530 | ||||
Transfer agent fees | 5,320 | ||||
Trustee fees | 24,782 | ||||
Professional fees | 25,258 | ||||
Shareholder reports | 15,202 | ||||
Other expenses | 107,100 | ||||
|
| ||||
Total expenses before reductions | 3,862,816 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (364,251 | ) | |||
|
| ||||
Net expenses | 3,498,565 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,637,445 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 60,782,270 | ||||
Net realized gains/(losses) on futures contracts | 813,940 | ||||
Change in net unrealized appreciation/depreciation on investments | 11,197,013 | ||||
Change in net unrealized appreciation/depreciation on futures contracts | (265,664 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 72,527,559 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 76,165,004 | |||
|
|
See accompanying notes to the financial statements.
9
AZL Russell 1000 Growth Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,637,445 | $ | 9,133,888 | ||||||
Net realized gains/(losses) on investment transactions | 61,596,210 | 79,542,305 | ||||||||
Change in unrealized appreciation/depreciation on investments | 10,931,349 | 201,471,278 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 76,165,004 | 290,147,471 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (204,799 | ) | |||||||
Class 2 | — | (2,763,808 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (5,906,964 | ) | |||||||
Class 2 | — | (95,070,169 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (103,945,740 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 2,739 | 252,614 | ||||||||
Proceeds from dividends reinvested | — | 6,111,763 | ||||||||
Value of shares redeemed | (3,247,563 | ) | (7,763,906 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (3,244,824 | ) | (1,399,529 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 35,977,116 | 8,281,857 | ||||||||
Proceeds from dividends reinvested | — | 97,833,977 | ||||||||
Value of shares redeemed | (176,803,056 | ) | (304,071,723 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (140,825,940 | ) | (197,955,889 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (144,070,764 | ) | (199,355,418 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (67,905,760 | ) | (13,153,687 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 1,101,465,169 | 1,114,618,856 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,033,559,409 | $ | 1,101,465,169 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 12,694,569 | $ | 9,057,124 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 221 | 21,691 | ||||||||
Dividends reinvested | — | 568,008 | ||||||||
Shares redeemed | (263,859 | ) | (675,529 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (263,638 | ) | (85,830 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 2,326,072 | 575,242 | ||||||||
Dividends reinvested | — | 7,018,219 | ||||||||
Shares redeemed | (10,985,386 | ) | (20,838,277 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (8,659,314 | ) | (13,244,816 | ) | ||||||
|
|
|
| |||||||
Change in shares | (8,922,952 | ) | (13,330,646 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
10
AZL Russell 1000 Growth Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.74 | $ | 10.28 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.14 | 0.03 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.76 | 2.73 | 0.25 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total from Investment Activities | 0.83 | 2.87 | 0.28 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.05 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | (1.36 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Dividends | — | (1.41 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 12.57 | $ | 11.74 | $ | 10.28 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return(a) | 7.07 | %(b) | 29.19 | % | 2.80 | %(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 55,890 | $ | 55,307 | $ | 49,297 | ||||||||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.94 | % | 1.04 | % | 1.26 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.51 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.44 | % | 0.45 | % | 0.45 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 15 | % | 12 | % | 158 | %(f) | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.21 | $ | 12.99 | $ | 15.32 | $ | 17.11 | $ | 16.55 | $ | 12.63 | ||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.13 | 0.04 | 0.19 | 0.17 | 0.18 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.98 | 3.49 | 0.84 | 0.54 | 1.80 | 3.90 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.05 | 3.62 | 0.88 | 0.73 | 1.97 | 4.08 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.04 | ) | (0.16 | ) | (0.19 | ) | (0.17 | ) | (0.16 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.36 | ) | (3.05 | ) | (2.33 | ) | (1.24 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.40 | ) | (3.21 | ) | (2.52 | ) | (1.41 | ) | (0.16 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.26 | $ | 15.21 | $ | 12.99 | $ | 15.32 | $ | 17.11 | $ | 16.55 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 6.90 | %(b) | 28.89 | % | 6.43 | % | 4.86 | % | 12.21 | % | 32.48 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 977,670 | $ | 1,046,158 | $ | 1,065,322 | $ | 101,530 | $ | 130,259 | $ | 144,335 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.69 | % | 0.79 | % | 0.99 | % | 0.86 | % | 0.83 | % | 0.89 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.76 | % | 0.75 | % | 0.77 | % | 0.78 | % | 0.78 | % | 0.78 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.69 | % | 0.70 | % | 0.72 | % | 0.78 | % | 0.78 | % | 0.78 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 15 | % | 12 | % | 158 | %(f) | 14 | % | 13 | % | 13 | % |
* | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 158%. |
See accompanying notes to the financial statements.
11
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Russell 1000 Growth Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
12
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $96 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $16,447 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less than 30 Days | Between 30 & 90 Days | Greater than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 123,602,707 | $ | 18,417 | $ | — | $ | — | $ | 123,621,124 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $14.7 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 207,969 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
13
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | 813,940 | $(265,664) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Russell 1000 Growth Index Fund Class 1 | 0.44 | % | 0.59 | % | ||||||
AZL Russell 1000 Growth Index Fund Class 2 | 0.44 | % | 0.84 | % |
* | The Manager voluntarily reduced the management fee to 0.37% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $4,773 was paid from the Fund relating to these fees and expenses.
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 3 | Other^ | Total | ||||||||||||||||
Common Stocks+ | $ | 1,016,509,800 | $ | — | $ | — | $ | 1,016,509,800 | ||||||||||||
Preferred Stock | — | 4,863,402 | — | 4,863,402 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 123,621,124 | 123,621,124 | ||||||||||||||||
Unaffiliated Investment Company | 11,992,008 | — | — | 11,992,008 | ||||||||||||||||
|
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|
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|
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|
| |||||||||||||
Total Investment Securities | 1,028,501,808 | 4,863,402 | 123,621,124 | 1,156,986,334 | ||||||||||||||||
|
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|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (207,969 | ) | — | — | (207,969 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 1,028,293,839 | $ | 4,863,402 | $ | 123,621,124 | $ | 1,156,778,365 | ||||||||||||
|
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|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Russell 1000 Growth Index Fund | $ | 156,949,545 | $ | 290,988,745 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2018 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Palantir Technologies, Inc., Series I | 2/7/14 | $ | 5,157,898 | $ | 841,419 | $ | 4,863,402 | 0.47 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
8. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $858,477,586. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 306,418,392 | ||
Unrealized (depreciation) | (7,909,644 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 298,508,748 | ||
|
|
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 13,954,599 | $ | 89,991,141 | $ | 103,945,740 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 18,707,360 | $ | 68,296,955 | $ | — | $ | 286,989,624 | $ | 373,993,939 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
16
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 65% of the Fund.
10. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
18
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Russell 1000 Value Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 11 |
Page 11 |
Statements of Changes in Net Assets Page 12 |
Page 13 |
Notes to the Financial Statements Page 14 |
Page 20 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Russell 1000 Value Index Fund
(Unaudited)
As a shareholder of the AZL Russell 1000 Value Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Russell 1000 Value Index Fund, Class 1 | $ | 1,000.00 | $ | 982.20 | $ | 2.16 | 0.44 | % | ||||||||||||
AZL Russell 1000 Value Index Fund, Class 2 | $ | 1,000.00 | $ | 980.80 | $ | 3.39 | 0.69 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Russell 1000 Value Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.63 | $ | 2.21 | 0.44 | % | ||||||||||||
AZL Russell 1000 Value Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.39 | $ | 3.46 | 0.69 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 22.7 | % | |||
Health Care | 13.3 | ||||
Energy | 10.9 | ||||
Information Technology | 9.7 | ||||
Consumer Discretionary | 8.2 | ||||
Industrials | 7.6 | ||||
Consumer Staples | 7.6 | ||||
Utilities | 5.6 | ||||
Real Estate | 4.8 | ||||
Materials | 3.9 | ||||
Telecommunication Services | 3.6 | ||||
|
| ||||
Total Common Stocks | 97.9 | ||||
Securities Held as Collateral for Securities on Loan | 16.5 | ||||
Money Market | 2.0 | ||||
|
| ||||
Total Investment Securities | 116.4 | ||||
Net other assets (liabilities) | (16.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (97.9%): | ||||||||
Aerospace & Defense (1.5%): | ||||||||
35,662 | Arconic, Inc. | $ | 606,611 | |||||
3,316 | Curtiss-Wright Corp. | 394,670 | ||||||
11,760 | General Dynamics Corp. | 2,192,182 | ||||||
5,771 | Hexcel Corp.^ | 383,079 | ||||||
514 | Huntington Ingalls Industries, Inc. | 111,430 | ||||||
6,448 | L3 Technologies, Inc. | 1,240,079 | ||||||
1,784 | Lockheed Martin Corp. | 527,047 | ||||||
11,690 | Rockwell Collins, Inc. | 1,574,409 | ||||||
2,916 | Teledyne Technologies, Inc.* | 580,459 | ||||||
17,613 | Textron, Inc.^ | 1,160,873 | ||||||
61,780 | United Technologies Corp. | 7,724,353 | ||||||
|
| |||||||
16,495,192 | ||||||||
|
| |||||||
Airlines (0.6%): | ||||||||
9,877 | Alaska Air Group, Inc.^ | 596,472 | ||||||
34,533 | American Airlines Group, Inc.^ | 1,310,873 | ||||||
2,657 | Copa Holdings SA, Class A | 251,405 | ||||||
40,056 | Delta Air Lines, Inc. | 1,984,375 | ||||||
26,135 | JetBlue Airways Corp.* | 496,042 | ||||||
12,598 | Southwest Airlines Co. | 640,986 | ||||||
20,499 | United Continental Holdings, Inc.* | 1,429,395 | ||||||
|
| |||||||
6,709,548 | ||||||||
|
| |||||||
Auto Components (0.2%): | ||||||||
7,715 | Adient plc^ | 379,501 | ||||||
2,869 | Aptiv plc | 262,886 | ||||||
17,224 | BorgWarner, Inc. | 743,388 | ||||||
7,337 | Gentex Corp.^ | 168,898 | ||||||
19,854 | Goodyear Tire & Rubber Co.^ | 462,400 | ||||||
4,869 | Lear Corp. | 904,708 | ||||||
886 | Visteon Corp.*^ | 114,507 | ||||||
|
| |||||||
3,036,288 | ||||||||
|
| |||||||
Automobiles (0.8%): | ||||||||
321,964 | Ford Motor Co. | 3,564,141 | ||||||
108,020 | General Motors Co. | 4,255,989 | ||||||
13,676 | Harley-Davidson, Inc. | 575,486 | ||||||
713 | Thor Industries, Inc.^ | 69,439 | ||||||
|
| |||||||
8,465,055 | ||||||||
|
| |||||||
Banks (11.5%): | ||||||||
13,957 | Associated Banc-Corp. | 381,026 | ||||||
779,763 | Bank of America Corp. | 21,981,518 | ||||||
3,430 | Bank of Hawaii Corp.^ | 286,131 | ||||||
9,879 | Bank of the Ozarks, Inc.^ | 444,950 | ||||||
8,568 | BankUnited, Inc. | 350,003 | ||||||
64,213 | BB&T Corp.^ | 3,238,904 | ||||||
2,117 | BOK Financial Corp.^ | 199,019 | ||||||
10,457 | CIT Group, Inc.^ | 527,137 | ||||||
210,424 | Citigroup, Inc. | 14,081,574 | ||||||
39,955 | Citizens Financial Group, Inc. | 1,554,250 | ||||||
13,306 | Comerica, Inc. | 1,209,782 | ||||||
7,803 | Commerce Bancshares, Inc.^ | 504,932 | ||||||
4,782 | Cullen/Frost Bankers, Inc.^ | 517,604 | ||||||
10,995 | East West Bancorp, Inc. | 716,874 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
26,863 | F.N.B. Corp.^ | $ | 360,501 | |||||
56,493 | Fifth Third Bancorp | 1,621,349 | ||||||
636 | First Citizens BancShares, Inc., Class A^ | 256,499 | ||||||
5,760 | First Hawaiian, Inc.^ | 167,155 | ||||||
26,384 | First Horizon National Corp.^ | 470,691 | ||||||
13,191 | First Republic Bank^ | 1,276,757 | ||||||
90,466 | Huntington Bancshares, Inc. | 1,335,278 | ||||||
279,519 | JPMorgan Chase & Co. | 29,125,879 | ||||||
87,169 | KeyCorp | 1,703,282 | ||||||
11,944 | M&T Bank Corp. | 2,032,272 | ||||||
10,335 | PacWest Bancorp | 510,756 | ||||||
28,652 | People’s United Financial, Inc.^ | 518,315 | ||||||
3,545 | Pinnacle Financial Partners, Inc.^ | 217,486 | ||||||
38,695 | PNC Financial Services Group, Inc. | 5,227,695 | ||||||
8,298 | Popular, Inc. | 375,153 | ||||||
5,489 | Prosperity Bancshares, Inc.^ | 375,228 | ||||||
92,592 | Regions Financial Corp. | 1,646,286 | ||||||
1,667 | Signature Bank* | 213,176 | ||||||
18,184 | Sterling Bancorp | 427,324 | ||||||
38,264 | SunTrust Banks, Inc. | 2,526,189 | ||||||
1,007 | SVB Financial Group* | 290,781 | ||||||
8,909 | Synovus Financial Corp. | 470,662 | ||||||
13,595 | TCF Financial Corp. | 334,709 | ||||||
1,466 | Texas Capital Bancshares, Inc.* | 134,139 | ||||||
126,799 | U.S. Bancorp | 6,342,486 | ||||||
17,744 | Umpqua Holdings Corp. | 400,837 | ||||||
7,535 | Webster Financial Corp.^ | 479,980 | ||||||
362,332 | Wells Fargo & Co.^ | 20,087,685 | ||||||
3,287 | Western Alliance Bancorp* | 186,077 | ||||||
4,478 | Wintrust Financial Corp. | 389,810 | ||||||
16,018 | Zions Bancorp^ | 843,988 | ||||||
|
| |||||||
126,342,129 | ||||||||
|
| |||||||
Beverages (0.5%): | ||||||||
70,755 | Coca-Cola Co. (The) | 3,103,314 | ||||||
14,304 | Molson Coors Brewing Co., Class B^ | 973,244 | ||||||
13,219 | PepsiCo, Inc. | 1,439,153 | ||||||
|
| |||||||
5,515,711 | ||||||||
|
| |||||||
Biotechnology (0.4%): | ||||||||
192 | Agios Pharmaceuticals, Inc.*^ | 16,172 | ||||||
3,007 | Alexion Pharmaceuticals, Inc.* | 373,319 | ||||||
936 | Alnylam Pharmaceuticals, Inc.*^ | 92,187 | ||||||
3,252 | Amgen, Inc. | 600,287 | ||||||
906 | Biogen Idec, Inc.* | 262,957 | ||||||
1,287 | Bluebird Bio, Inc.*^ | 201,995 | ||||||
27,242 | Gilead Sciences, Inc. | 1,929,823 | ||||||
3,540 | United Therapeutics Corp.* | 400,551 | ||||||
|
| |||||||
3,877,291 | ||||||||
|
| |||||||
Building Products (0.4%): | ||||||||
1,327 | Allegion plc^ | 102,657 | ||||||
6,945 | Fortune Brands Home & Security, Inc.^ | 372,877 | ||||||
76,232 | Johnson Controls International plc^ | 2,549,960 |
Continued
2
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
213 | Lennox International, Inc.^ | $ | 42,632 | |||||
8,138 | Masco Corp. | 304,524 | ||||||
9,034 | Owens Corning, Inc.^ | 572,485 | ||||||
6,729 | USG Corp.* | 290,154 | ||||||
|
| |||||||
4,235,289 | ||||||||
|
| |||||||
Capital Markets (3.5%): | ||||||||
4,465 | Affiliated Managers Group, Inc. | 663,812 | ||||||
9,965 | Ameriprise Financial, Inc. | 1,393,904 | ||||||
77,100 | Bank of New York Mellon Corp. (The) | 4,158,003 | ||||||
21,430 | BGC Partners, Inc., Class A | 242,588 | ||||||
10,157 | BlackRock, Inc., Class A+ | 5,068,748 | ||||||
670 | CBOE Holdings, Inc. | 69,727 | ||||||
25,492 | CME Group, Inc. | 4,178,649 | ||||||
16,883 | E*TRADE Financial Corp.* | 1,032,564 | ||||||
26,088 | Franklin Resources, Inc.^ | 836,120 | ||||||
29,191 | Goldman Sachs Group, Inc. (The) | 6,438,658 | ||||||
541 | Interactive Brokers Group, Inc., Class A | 34,846 | ||||||
22,749 | Intercontinental Exchange, Inc. | 1,673,189 | ||||||
33,303 | Invesco, Ltd. | 884,528 | ||||||
25,483 | Jefferies Financial Group, Inc. | 579,483 | ||||||
712 | Lazard, Ltd., Class A | 34,824 | ||||||
6,824 | Legg Mason, Inc.^ | 236,998 | ||||||
102,941 | Morgan Stanley | 4,879,403 | ||||||
9,650 | NASDAQ OMX Group, Inc. (The) | 880,756 | ||||||
12,303 | Northern Trust Corp. | 1,265,856 | ||||||
7,623 | Raymond James Financial, Inc.^ | 681,115 | ||||||
27,991 | State Street Corp. | 2,605,682 | ||||||
1,384 | T. Rowe Price Group, Inc.^ | 160,669 | ||||||
|
| |||||||
38,000,122 | ||||||||
|
| |||||||
Chemicals (2.6%): | ||||||||
18,096 | Air Products & Chemicals, Inc. | 2,818,090 | ||||||
9,077 | Albemarle Corp.^ | 856,233 | ||||||
5,136 | Ashland Global Holdings, Inc. | 401,532 | ||||||
10,640 | Axalta Coating Systems, Ltd.* | 322,498 | ||||||
5,006 | Cabot Corp. | 309,221 | ||||||
4,110 | Celanese Corp., Series A | 456,457 | ||||||
19,221 | CF Industries Holdings, Inc.^ | 853,412 | ||||||
191,451 | DowDuPont, Inc. | 12,620,451 | ||||||
11,764 | Eastman Chemical Co. | 1,175,929 | ||||||
11,495 | Ecolab, Inc.^ | 1,613,093 | ||||||
6,548 | FMC Corp.^ | 584,147 | ||||||
17,900 | Huntsman Corp. | 522,680 | ||||||
3,746 | International Flavor & Fragrances, Inc.^ | 464,354 | ||||||
13,829 | Lyondellbasell Industries NV | 1,519,116 | ||||||
28,955 | Mosaic Co. (The)^ | 812,188 | ||||||
55 | NewMarket Corp.^ | 22,248 | ||||||
13,792 | Olin Corp.^ | 396,106 | ||||||
8,646 | Platform Speciality Products Corp.* | 100,294 | ||||||
19,174 | PPG Industries, Inc. | 1,988,919 | ||||||
2,528 | Praxair, Inc. | 399,803 | ||||||
8,511 | RPM International, Inc.^ | 496,362 | ||||||
1,669 | Scotts Miracle-Gro Co. (The)^ | 138,794 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
16,355 | Valvoline, Inc.^ | $ | 352,777 | |||||
1,382 | W.R. Grace & Co. | 101,314 | ||||||
252 | Westlake Chemical Corp.^ | 27,123 | ||||||
|
| |||||||
29,353,141 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
8,460 | ADT, Inc.^ | 73,179 | ||||||
4,192 | Clean Harbors, Inc.* | 232,866 | ||||||
682 | KAR Auction Services, Inc. | 37,374 | ||||||
16,962 | Republic Services, Inc., Class A | 1,159,522 | ||||||
6,836 | Stericycle, Inc.*^ | 446,322 | ||||||
5,427 | Waste Management, Inc. | 441,432 | ||||||
|
| |||||||
2,390,695 | ||||||||
|
| |||||||
Communications Equipment (1.8%): | ||||||||
14,386 | ARRIS International plc* | 351,666 | ||||||
397,845 | Cisco Systems, Inc. | 17,119,270 | ||||||
15,612 | CommScope Holding Co., Inc.* | 455,948 | ||||||
4,127 | EchoStar Corp., Class A*^ | 183,239 | ||||||
28,468 | Juniper Networks, Inc.^ | 780,593 | ||||||
11,843 | Motorola Solutions, Inc.^ | 1,378,170 | ||||||
|
| |||||||
20,268,886 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
13,203 | Aecom Technology Corp.*^ | 436,095 | ||||||
11,557 | Fluor Corp.^ | 563,750 | ||||||
10,434 | Jacobs Engineering Group, Inc. | 662,455 | ||||||
8,783 | Quanta Services, Inc.* | 293,352 | ||||||
1,826 | Valmont Industries, Inc.^ | 275,270 | ||||||
|
| |||||||
2,230,922 | ||||||||
|
| |||||||
Construction Materials (0.0%): | ||||||||
470 | Eagle Materials, Inc., Class A | 49,336 | ||||||
437 | Martin Marietta Materials, Inc.^ | 97,595 | ||||||
644 | Vulcan Materials Co. | 83,115 | ||||||
|
| |||||||
230,046 | ||||||||
|
| |||||||
Consumer Finance (0.9%): | ||||||||
35,499 | Ally Financial, Inc.^ | 932,559 | ||||||
18,630 | American Express Co.^ | 1,825,740 | ||||||
36,849 | Capital One Financial Corp. | 3,386,423 | ||||||
94 | Credit Acceptance Corp.*^ | 33,220 | ||||||
15,581 | Discover Financial Services^ | 1,097,058 | ||||||
21,545 | Navient Corp. | 280,731 | ||||||
5,906 | Onemain Holdings, Inc.* | 196,611 | ||||||
8,325 | Santander Consumer USA Holdings, Inc. | 158,924 | ||||||
35,979 | SLM Corp.* | 411,960 | ||||||
40,650 | Synchrony Financial | 1,356,897 | ||||||
|
| |||||||
9,680,123 | ||||||||
|
| |||||||
Containers & Packaging (0.6%): | ||||||||
5,113 | AptarGroup, Inc.^ | 477,452 | ||||||
1,027 | Ardagh Group SA | 17,069 | ||||||
28,314 | Ball Corp.^ | 1,006,563 | ||||||
7,506 | Bemis Co., Inc.^ | 316,828 | ||||||
5,410 | Berry Global Group, Inc.* | 248,535 |
Continued
3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
21,030 | Graphic Packaging Holding Co. | $ | 305,145 | |||||
30,215 | International Paper Co. | 1,573,597 | ||||||
13,223 | Owens-Illinois, Inc.*^ | 222,279 | ||||||
5,995 | Sealed Air Corp.^ | 254,488 | ||||||
4,117 | Silgan Holdings, Inc.^ | 110,459 | ||||||
8,146 | Sonoco Products Co.^ | 427,665 | ||||||
21,000 | WestRock Co.^ | 1,197,420 | ||||||
|
| |||||||
6,157,500 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
11,750 | Genuine Parts Co.^ | 1,078,532 | ||||||
21,192 | LKQ Corp.* | 676,025 | ||||||
|
| |||||||
1,754,557 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
708 | Bright Horizons Family Solutions, Inc.* | 72,584 | ||||||
347 | Graham Holdings Co., Class B | 203,377 | ||||||
14,143 | H&R Block, Inc. | 322,177 | ||||||
7,645 | Service Corp. International^ | 273,615 | ||||||
|
| |||||||
871,753 | ||||||||
|
| |||||||
Diversified Financial Services (2.5%): | ||||||||
11,138 | AXA Equitable Holdings, Inc.*^ | 229,554 | ||||||
139,701 | Berkshire Hathaway, Inc., Class B* | 26,075,192 | ||||||
12,907 | Voya Financial, Inc.^ | 606,629 | ||||||
|
| |||||||
26,911,375 | ||||||||
|
| |||||||
Diversified Telecommunication Services (3.5%): | ||||||||
599,781 | AT&T, Inc. | 19,258,967 | ||||||
78,867 | CenturyLink, Inc.^ | 1,470,081 | ||||||
341,205 | Verizon Communications, Inc. | 17,166,024 | ||||||
|
| |||||||
37,895,072 | ||||||||
|
| |||||||
Electric Utilities (3.3%): | ||||||||
19,161 | Alliant Energy Corp.^ | 810,894 | ||||||
40,654 | American Electric Power Co., Inc. | 2,815,290 | ||||||
4,591 | Avangrid, Inc.^ | 243,002 | ||||||
57,830 | Duke Energy Corp. | 4,573,195 | ||||||
26,185 | Edison International | 1,656,725 | ||||||
14,883 | Entergy Corp.^ | 1,202,398 | ||||||
22,304 | Evergy, Inc. | 1,252,370 | ||||||
26,104 | Eversource Energy^ | 1,529,955 | ||||||
79,519 | Exelon Corp. | 3,387,509 | ||||||
39,400 | FirstEnergy Corp.^ | 1,414,854 | ||||||
8,949 | Hawaiian Electric Industries, Inc.^ | 306,951 | ||||||
38,842 | NextEra Energy, Inc.^ | 6,487,778 | ||||||
16,453 | OGE Energy Corp. | 579,310 | ||||||
42,614 | PG&E Corp. | 1,813,652 | ||||||
9,194 | Pinnacle West Capital Corp. | 740,669 | ||||||
57,723 | PPL Corp.^ | 1,647,992 | ||||||
83,499 | Southern Co. (The)^ | 3,866,839 | ||||||
41,923 | Xcel Energy, Inc. | 1,915,043 | ||||||
|
| |||||||
36,244,426 | ||||||||
|
| |||||||
Electrical Equipment (0.6%): | ||||||||
3,344 | Acuity Brands, Inc.^ | 387,469 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
15,258 | AMETEK, Inc. | $ | 1,101,017 | |||||
36,036 | Eaton Corp. plc | 2,693,330 | ||||||
15,061 | Emerson Electric Co. | 1,041,318 | ||||||
3,092 | GrafTech International, Ltd.^ | 55,625 | ||||||
1,464 | Hubbell, Inc. | 154,803 | ||||||
13,298 | nVent Electric plc* | 333,780 | ||||||
3,616 | Regal-Beloit Corp.^ | 295,789 | ||||||
6,385 | Sensata Technologies Holding plc*^ | 303,798 | ||||||
|
| |||||||
6,366,929 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.5%): | ||||||||
7,180 | Arrow Electronics, Inc.* | 540,510 | ||||||
9,653 | Avnet, Inc.^ | 414,017 | ||||||
575 | Coherent, Inc.*^ | 89,942 | ||||||
67,432 | Corning, Inc.^ | 1,855,055 | ||||||
5,118 | Dolby Laboratories, Inc., Class A^ | 315,729 | ||||||
10,031 | FLIR Systems, Inc. | 521,311 | ||||||
13,821 | Jabil, Inc. | 382,289 | ||||||
15,431 | Keysight Technologies, Inc.* | 910,892 | ||||||
334 | Littlelfuse, Inc. | 76,212 | ||||||
1,849 | National Instruments Corp. | 77,621 | ||||||
20,420 | Trimble Navigation, Ltd.* | 670,593 | ||||||
|
| |||||||
5,854,171 | ||||||||
|
| |||||||
Energy Equipment & Services (1.1%): | ||||||||
6,116 | Apergy Corp.*^ | 255,343 | ||||||
34,392 | Baker Hughes^ | 1,135,968 | ||||||
8,765 | Helmerich & Payne, Inc.^ | 558,856 | ||||||
27,729 | Nabors Industries, Ltd.^ | 177,743 | ||||||
31,518 | National-Oilwell Varco, Inc.^ | 1,367,881 | ||||||
17,460 | Patterson-UTI Energy, Inc. | 314,280 | ||||||
2,937 | RPC, Inc.^ | 42,792 | ||||||
114,426 | Schlumberger, Ltd.^ | 7,669,975 | ||||||
35,721 | Transocean, Ltd.*^ | 480,090 | ||||||
79,937 | Weatherford International plc*^ | 262,993 | ||||||
|
| |||||||
12,265,921 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (4.6%): | ||||||||
7,739 | Alexandria Real Estate Equities, Inc.^ | 976,430 | ||||||
11,225 | American Campus Communities, Inc. | 481,328 | ||||||
21,687 | American Homes 4 Rent, Class A | 481,018 | ||||||
12,899 | Apartment Investment & Management Co., Class A | 545,628 | ||||||
17,893 | Apple Hospitality REIT, Inc. | 319,927 | ||||||
11,376 | AvalonBay Communities, Inc. | 1,955,420 | ||||||
12,693 | Boston Properties, Inc. | 1,591,956 | ||||||
14,611 | Brandywine Realty Trust^ | 246,634 | ||||||
24,847 | Brixmor Property Group, Inc. | 433,083 | ||||||
7,315 | Camden Property Trust | 666,616 | ||||||
38,049 | Colony Capital, Inc.^ | 237,426 | ||||||
9,805 | Columbia Property Trust, Inc. | 222,672 | ||||||
8,462 | Corporate Office Properties Trust^ | 245,313 | ||||||
8,379 | Crown Castle International Corp.^ | 903,424 | ||||||
14,815 | CubeSmart | 477,339 | ||||||
8,039 | Cyrusone, Inc.^ | 469,156 |
Continued
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
7,780 | DCT Industrial Trust, Inc. | $ | 519,159 | |||||
13,463 | DDR Corp.^ | 240,988 | ||||||
16,906 | Digital Realty Trust, Inc.^ | 1,886,371 | ||||||
12,986 | Douglas Emmett, Inc.^ | 521,777 | ||||||
29,402 | Duke Realty Corp. | 853,540 | ||||||
11,473 | Empire State Realty Trust, Inc., Class A^ | 196,188 | ||||||
6,058 | EPR Properties^ | 392,498 | ||||||
9,697 | Equity Commonwealth*^ | 305,456 | ||||||
29,566 | Equity Residential Property Trust | 1,883,059 | ||||||
5,420 | Essex Property Trust, Inc. | 1,295,759 | ||||||
1,348 | Extra Space Storage, Inc.^ | 134,544 | ||||||
5,956 | Federal Realty Investment Trust^ | 753,732 | ||||||
17,659 | Forest City Realty Trust, Inc., Class A | 402,802 | ||||||
10,680 | Gaming & Leisure Properties, Inc. | 382,344 | ||||||
51,259 | Ggp US | 1,047,221 | ||||||
38,772 | HCP, Inc. | 1,001,093 | ||||||
16,923 | Healthcare Trust of America, Inc., Class A^ | 456,244 | ||||||
8,393 | Highwoods Properties, Inc. | 425,777 | ||||||
13,123 | Hospitality Properties Trust | 375,449 | ||||||
60,377 | Host Hotels & Resorts, Inc. | 1,272,143 | ||||||
11,185 | Hudson Pacific Properties, Inc. | 396,285 | ||||||
24,767 | Invitation Homes, Inc.^ | 571,127 | ||||||
23,291 | Iron Mountain, Inc.^ | 815,418 | ||||||
8,400 | JBG SMITH Properties | 306,348 | ||||||
7,999 | Kilroy Realty Corp. | 605,044 | ||||||
33,517 | Kimco Realty Corp.^ | 569,454 | ||||||
751 | Lamar Advertising Co., Class A | 51,301 | ||||||
12,170 | Liberty Property Trust | 539,496 | ||||||
3,573 | Life Storage, Inc. | 347,689 | ||||||
11,201 | Macerich Co. (The)^ | 636,553 | ||||||
30,317 | Medical Properties Trust, Inc.^ | 425,651 | ||||||
9,345 | Mid-America Apartment Communities, Inc. | 940,761 | ||||||
12,632 | National Retail Properties, Inc.^ | 555,303 | ||||||
14,811 | Omega Healthcare Investors, Inc.^ | 459,141 | ||||||
10,879 | Outfront Media, Inc. | 211,597 | ||||||
16,917 | Paramount Group, Inc.^ | 260,522 | ||||||
16,484 | Parks Hotels & Resorts, Inc.^ | 504,905 | ||||||
43,710 | ProLogis, Inc. | 2,871,309 | ||||||
10,655 | Rayonier, Inc.^ | 412,242 | ||||||
23,439 | Realty Income Corp.^ | 1,260,784 | ||||||
12,522 | Regency Centers Corp. | 777,366 | ||||||
18,100 | Retail Properties of America, Inc., Class A^ | 231,318 | ||||||
18,822 | Senior Housing Properties Trust^ | 340,490 | ||||||
2,078 | Simon Property Group, Inc. | 353,655 | ||||||
7,034 | SL Green Realty Corp.^ | 707,128 | ||||||
35,370 | Spirit Realty Capital, Inc. | 284,021 | ||||||
14,711 | STORE Capital Corp. | 403,081 | ||||||
6,455 | Sun Communities, Inc. | 631,815 | ||||||
21,951 | UDR, Inc. | 824,041 | ||||||
13,188 | Uniti Group, Inc.^ | 264,156 | ||||||
29,334 | Ventas, Inc. | 1,670,571 | ||||||
80,260 | VEREIT, Inc. | 597,134 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
22,407 | VICI Properties, Inc. | $ | 462,480 | |||||
14,191 | Vornado Realty Trust^ | 1,048,999 | ||||||
9,844 | Weingarten Realty Investors | 303,294 | ||||||
30,675 | Welltower, Inc. | 1,923,015 | ||||||
62,431 | Weyerhaeuser Co. | 2,276,233 | ||||||
8,713 | WP Carey, Inc.^ | 578,108 | ||||||
|
| |||||||
51,017,349 | ||||||||
|
| |||||||
Food & Staples Retailing (2.1%): | ||||||||
3,074 | Casey’s General Stores, Inc. | 323,016 | ||||||
83,842 | CVS Health Corp. | 5,395,233 | ||||||
70,062 | Kroger Co. (The)^ | 1,993,264 | ||||||
16,709 | US Foods Holding Corp.* | 631,934 | ||||||
69,749 | Walgreens Boots Alliance, Inc. | 4,185,986 | ||||||
117,701 | Wal-Mart Stores, Inc. | 10,081,091 | ||||||
|
| |||||||
22,610,524 | ||||||||
|
| |||||||
Food Products (2.1%): | ||||||||
46,022 | Archer-Daniels-Midland Co. | 2,109,188 | ||||||
11,597 | Bunge, Ltd.^ | 808,427 | ||||||
4,542 | Campbell Soup Co.^ | 184,133 | ||||||
31,066 | ConAgra Foods, Inc.^ | 1,109,988 | ||||||
14,804 | Flowers Foods, Inc.^ | 308,367 | ||||||
46,313 | General Mills, Inc.^ | 2,049,813 | ||||||
7,872 | Hain Celestial Group, Inc.*^ | 234,586 | ||||||
1,061 | Hershey Co. (The)^ | 98,737 | ||||||
22,415 | Hormel Foods Corp.^ | 834,062 | ||||||
5,929 | Ingredion, Inc. | 656,340 | ||||||
9,069 | JM Smucker Co. (The)^ | 974,736 | ||||||
10,190 | Kellogg Co.^ | 711,975 | ||||||
49,720 | Kraft Heinz Co. (The)^ | 3,123,410 | ||||||
12,056 | Lamb Weston Holding, Inc. | 825,957 | ||||||
9,413 | McCormick & Co.^ | 1,092,755 | ||||||
119,491 | Mondelez International, Inc., Class A | 4,899,132 | ||||||
4,321 | Pilgrim’s Pride Corp.*^ | 86,982 | ||||||
9,764 | Pinnacle Foods, Inc. | 635,246 | ||||||
2,295 | Post Holdings, Inc.*^ | 197,416 | ||||||
24 | Seaboard Corp.^ | 95,106 | ||||||
4,479 | TreeHouse Foods, Inc.*^ | 235,192 | ||||||
23,974 | Tyson Foods, Inc., Class A | 1,650,610 | ||||||
|
| |||||||
22,922,158 | ||||||||
|
| |||||||
Gas Utilities (0.2%): | ||||||||
8,963 | Atmos Energy Corp.^ | 807,925 | ||||||
6,689 | National Fuel Gas Co.^ | 354,249 | ||||||
14,240 | UGI Corp. | 741,477 | ||||||
|
| |||||||
1,903,651 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.5%): | ||||||||
141,196 | Abbott Laboratories | 8,611,544 | ||||||
36,645 | Baxter International, Inc. | 2,705,867 | ||||||
19,851 | Becton, Dickinson & Co. | 4,755,506 | ||||||
26,203 | Boston Scientific Corp.* | 856,838 | ||||||
3,345 | Cooper Cos., Inc. (The)^ | 787,580 | ||||||
51,014 | Danaher Corp. | 5,034,062 |
Continued
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
18,446 | Dentsply Sirona, Inc.^ | $ | 807,381 | |||||
1,891 | Hill-Rom Holdings, Inc. | 165,160 | ||||||
22,304 | Hologic, Inc.*^ | 886,584 | ||||||
1,343 | Integra LifeSciences Holdings Corp.* | 86,503 | ||||||
111,603 | Medtronic plc | 9,554,332 | ||||||
6,929 | STERIS plc | 727,614 | ||||||
3,041 | Teleflex, Inc. | 815,627 | ||||||
4,614 | West Pharmaceutical Services, Inc.^ | 458,124 | ||||||
16,794 | Zimmer Holdings, Inc. | 1,871,523 | ||||||
|
| |||||||
38,124,245 | ||||||||
|
| |||||||
Health Care Providers & Services (2.2%): | ||||||||
7,052 | Acadia Healthcare Co., Inc.*^ | 288,497 | ||||||
16,823 | Aetna, Inc. | 3,087,021 | ||||||
21,064 | Anthem, Inc. | 5,013,865 | ||||||
25,619 | Cardinal Health, Inc. | 1,250,976 | ||||||
1,957 | Centene Corp.* | 241,122 | ||||||
11,700 | Cigna Corp. | 1,988,415 | ||||||
5,364 | DaVita, Inc.* | 372,476 | ||||||
7,945 | Envision Healthcare Corp.*^ | 349,659 | ||||||
42,505 | Express Scripts Holding Co.* | 3,281,811 | ||||||
6,598 | HCA Holdings, Inc. | 676,955 | ||||||
10,760 | Henry Schein, Inc.*^ | 781,606 | ||||||
575 | Humana, Inc.^ | 171,137 | ||||||
7,922 | Laboratory Corp. of America Holdings* | 1,422,237 | ||||||
14,887 | McKesson Corp. | 1,985,926 | ||||||
7,619 | MEDNAX, Inc.*^ | 329,750 | ||||||
780 | Molina Healthcare, Inc.* | 76,393 | ||||||
2,837 | Premier, Inc., Class A*^ | 103,210 | ||||||
11,176 | Quest Diagnostics, Inc. | 1,228,689 | ||||||
35,794 | Qurate Retail, Inc.*^ | 759,549 | ||||||
6,976 | Universal Health Services, Inc., Class B | 777,405 | ||||||
284 | WellCare Health Plans, Inc.* | 69,932 | ||||||
|
| |||||||
24,256,631 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
14,419 | Cerner Corp.* | 862,112 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.8%): | ||||||||
20,103 | Aramark Holdings Corp. | 745,821 | ||||||
48,819 | Caesars Entertainment Corp.*^ | 522,363 | ||||||
33,423 | Carnival Corp., Class A | 1,915,472 | ||||||
5,059 | Darden Restaurants, Inc.^ | 541,617 | ||||||
6,257 | Extended Stay America, Inc. | 135,214 | ||||||
3,749 | Hyatt Hotels Corp., Class A | 289,235 | ||||||
7,699 | International Game Technology plc^ | 178,925 | ||||||
11,430 | Las Vegas Sands Corp.^ | 872,795 | ||||||
52,232 | McDonald’s Corp. | 8,184,232 | ||||||
39,045 | MGM Resorts International | 1,133,476 | ||||||
16,917 | Norwegian Cruise Line Holdings, Ltd.* | 799,328 | ||||||
13,905 | Royal Caribbean Cruises, Ltd. | 1,440,558 | ||||||
27,926 | Yum China Holdings, Inc. | 1,074,034 | ||||||
18,872 | Yum! Brands, Inc. | 1,476,168 | ||||||
|
| |||||||
19,309,238 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables (0.6%): | ||||||||
11,728 | D.R. Horton, Inc. | $ | 480,848 | |||||
9,380 | Garmin, Ltd. | 572,180 | ||||||
10,724 | Leggett & Platt, Inc.^ | 478,719 | ||||||
10,737 | Lennar Corp., Class A | 563,693 | ||||||
768 | Lennar Corp., Class B | 32,786 | ||||||
5,123 | Mohawk Industries, Inc.* | 1,097,704 | ||||||
37,188 | Newell Rubbermaid, Inc.^ | 959,079 | ||||||
14,558 | PulteGroup, Inc.^ | 418,543 | ||||||
5,705 | Toll Brothers, Inc.^ | 211,028 | ||||||
5,772 | Whirlpool Corp. | 844,040 | ||||||
|
| |||||||
5,658,620 | ||||||||
|
| |||||||
Household Products (1.9%): | ||||||||
3,018 | Church & Dwight Co., Inc.^ | 160,437 | ||||||
1,394 | Clorox Co. (The)^ | 188,539 | ||||||
57,229 | Colgate-Palmolive Co. | 3,709,011 | ||||||
2,051 | Energizer Holdings, Inc. | 129,131 | ||||||
3,735 | Kimberly-Clark Corp.^ | 393,445 | ||||||
207,674 | Procter & Gamble Co. (The) | 16,211,032 | ||||||
1,805 | Spectrum Brands Holdings, Inc.^ | 147,324 | ||||||
|
| |||||||
20,938,919 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.2%): | ||||||||
54,528 | AES Corp. (The)^ | 731,220 | ||||||
25,903 | NRG Energy, Inc. | 795,222 | ||||||
33,693 | Vistra Energy Corp.* | 797,177 | ||||||
|
| |||||||
2,323,619 | ||||||||
|
| |||||||
Industrial Conglomerates (1.5%): | ||||||||
7,839 | 3M Co., Class C | 1,542,088 | ||||||
4,916 | Carlisle Cos., Inc.^ | 532,452 | ||||||
710,991 | General Electric Co. | 9,676,588 | ||||||
23,321 | Honeywell International, Inc. | 3,359,390 | ||||||
6,766 | Roper Industries, Inc. | 1,866,807 | ||||||
|
| |||||||
16,977,325 | ||||||||
|
| |||||||
Insurance (4.0%): | ||||||||
63,027 | Aflac, Inc. | 2,711,422 | ||||||
1,075 | Alleghany Corp. | 618,093 | ||||||
28,899 | Allstate Corp. (The) | 2,637,612 | ||||||
5,894 | American Financial Group, Inc. | 632,603 | ||||||
63,440 | American International Group, Inc. | 3,363,588 | ||||||
625 | American National Insurance Co. | 74,744 | ||||||
27,453 | Arch Capital Group, Ltd.* | 726,407 | ||||||
14,808 | Arthur J. Gallagher & Co. | 966,666 | ||||||
4,842 | Aspen Insurance Holdings, Ltd. | 197,069 | ||||||
4,294 | Assurant, Inc.^ | 444,386 | ||||||
9,115 | Assured Guaranty, Ltd.^ | 325,679 | ||||||
13,036 | Athene Holding, Ltd.* | 571,498 | ||||||
6,048 | Axis Capital Holdings, Ltd. | 336,390 | ||||||
9,833 | Brighthouse Financial, Inc.*^ | 394,008 | ||||||
17,941 | Brown & Brown, Inc. | 497,504 | ||||||
38,247 | Chubb, Ltd. | 4,858,134 | ||||||
12,664 | Cincinnati Financial Corp. | 846,715 | ||||||
2,502 | CNA Financial Corp.^ | 114,291 | ||||||
477 | Erie Indemnity Co., Class A | 55,933 | ||||||
2,021 | Everest Re Group, Ltd. | 465,800 |
Continued
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
8,792 | First American Financial Corp. | $ | 454,722 | |||||
21,751 | FNF Group | 818,273 | ||||||
3,496 | Hanover Insurance Group, Inc. (The) | 417,982 | ||||||
29,457 | Hartford Financial Services Group, Inc. (The) | 1,506,136 | ||||||
18,005 | Lincoln National Corp. | 1,120,811 | ||||||
23,184 | Loews Corp.^ | 1,119,324 | ||||||
1,025 | Markel Corp.*^ | 1,111,459 | ||||||
22,207 | Marsh & McLennan Cos., Inc. | 1,820,308 | ||||||
2,347 | Mercury General Corp.^ | 106,929 | ||||||
71,171 | MetLife, Inc. | 3,103,056 | ||||||
23,091 | Old Republic International Corp. | 459,742 | ||||||
23,377 | Principal Financial Group, Inc. | 1,237,812 | ||||||
34,622 | Prudential Financial, Inc. | 3,237,502 | ||||||
5,316 | Reinsurance Group of America, Inc. | 709,580 | ||||||
3,004 | RenaissanceRe Holdings, Ltd. | 361,441 | ||||||
8,716 | Torchmark Corp. | 709,570 | ||||||
17,928 | Travelers Cos., Inc. (The) | 2,193,312 | ||||||
17,273 | UnumProvident Corp. | 638,928 | ||||||
5,470 | Validus Holdings, Ltd.^ | 369,772 | ||||||
7,855 | W.R. Berkley Corp. | 568,781 | ||||||
251 | White Mountains Insurance Group, Ltd. | 227,559 | ||||||
10,861 | Willis Towers Watson plc | 1,646,528 | ||||||
13,385 | XL Group, Ltd. | 748,891 | ||||||
|
| |||||||
45,526,960 | ||||||||
|
| |||||||
Internet Software & Services (0.2%): | ||||||||
878 | Akamai Technologies, Inc.*^ | 64,296 | ||||||
60,411 | eBay, Inc.* | 2,190,502 | ||||||
1,452 | LogMeIn, Inc.^ | 149,919 | ||||||
1,201 | Zillow Group, Inc., Class A*^ | 71,760 | ||||||
2,593 | Zillow Group, Inc., Class C*^ | 153,143 | ||||||
|
| |||||||
2,629,620 | ||||||||
|
| |||||||
IT Services (1.2%): | ||||||||
11,804 | Amdocs, Ltd. | 781,307 | ||||||
407 | Booz Allen Hamilton Holding Corp. | 17,798 | ||||||
4,711 | Cognizant Technology Solutions Corp., Class A^ | 372,122 | ||||||
15,721 | Conduent, Inc.*^ | 285,651 | ||||||
2,529 | CoreLogic, Inc.* | 131,255 | ||||||
23,516 | DXC Technology Co. | 1,895,625 | ||||||
2,010 | Euronet Worldwide, Inc.* | 168,378 | ||||||
24,845 | Fidelity National Information Services, Inc. | 2,634,315 | ||||||
7,698 | Genpact, Ltd. | 222,703 | ||||||
21,301 | International Business Machines Corp. | 2,975,749 | ||||||
11,820 | Leidos Holdings, Inc. | 697,380 | ||||||
4,189 | Sabre Corp.^ | 103,217 | ||||||
2,926 | Teradata Corp.*^ | 117,479 | ||||||
27,220 | Western Union Co.^ | 553,383 | ||||||
21,922 | Worldpay, Inc., Class A* | 1,792,781 | ||||||
|
| |||||||
12,749,143 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
6,422 | Brunswick Corp. | 414,091 | ||||||
2,034 | Hasbro, Inc. | 187,759 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
22,094 | Mattel, Inc.^ | $ | 362,783 | |||||
|
| |||||||
964,633 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.1%): | ||||||||
26,543 | Agilent Technologies, Inc. | 1,641,419 | ||||||
1,745 | Bio-Rad Laboratories, Inc., Class A* | 503,502 | ||||||
4,981 | Bruker Corp. | 144,648 | ||||||
1,093 | Charles River Laboratories International, Inc.* | 122,700 | ||||||
13,415 | IQVIA Holdings, Inc.* | 1,339,085 | ||||||
9,041 | PerkinElmer, Inc. | 662,072 | ||||||
18,209 | Qiagen NV* | 658,437 | ||||||
31,109 | Thermo Fisher Scientific, Inc. | 6,443,919 | ||||||
457 | Waters Corp.*^ | 88,471 | ||||||
|
| |||||||
11,604,253 | ||||||||
|
| |||||||
Machinery (1.3%): | ||||||||
5,498 | AGCO Corp. | 333,839 | ||||||
3,886 | Caterpillar, Inc. | 527,214 | ||||||
7,279 | Colfax Corp.*^ | 223,101 | ||||||
4,142 | Crane Co. | 331,898 | ||||||
8,047 | Cummins, Inc. | 1,070,251 | ||||||
680 | Donaldson Co., Inc.^ | 30,682 | ||||||
12,524 | Dover Corp.^ | 916,757 | ||||||
10,799 | Flowserve Corp.^ | 436,280 | ||||||
2,098 | Fortive Corp. | 161,777 | ||||||
5,849 | Gardner Denver Holdings, Inc.* | 171,902 | ||||||
3,502 | Gates Industrial Corp. plc* | 56,978 | ||||||
391 | IDEX Corp. | 53,364 | ||||||
9,371 | Ingersoll-Rand plc | 840,859 | ||||||
7,230 | ITT, Inc. | 377,912 | ||||||
1,858 | Middleby Corp. (The)*^ | 194,012 | ||||||
311 | Nordson Corp. | 39,936 | ||||||
6,073 | OshKosh Corp. | 427,053 | ||||||
28,302 | PACCAR, Inc. | 1,753,591 | ||||||
8,942 | Parker Hannifin Corp. | 1,393,611 | ||||||
13,288 | Pentair plc | 559,159 | ||||||
4,609 | Snap-On, Inc.^ | 740,758 | ||||||
12,713 | Stanley Black & Decker, Inc. | 1,688,414 | ||||||
5,618 | Terex Corp.^ | 237,023 | ||||||
5,666 | Timken Co. | 246,754 | ||||||
12,138 | Trinity Industries, Inc.^ | 415,848 | ||||||
4,536 | Wabtec Corp.^ | 447,159 | ||||||
6,540 | Xylem, Inc.^ | 440,665 | ||||||
|
| |||||||
14,116,797 | ||||||||
|
| |||||||
Marine (0.0%): | ||||||||
4,820 | Kirby Corp.*^ | 402,952 | ||||||
|
| |||||||
Media (2.9%): | ||||||||
4,337 | Charter Communications, Inc., Class A* | 1,271,652 | ||||||
8,830 | Cinemark Holdings, Inc.^ | 309,756 | ||||||
376,636 | Comcast Corp., Class A | 12,357,426 | ||||||
13,860 | Discovery Communications, Inc., Class A*^ | 381,150 | ||||||
27,277 | Discovery Communications, Inc., Class C* | 695,564 | ||||||
18,250 | DISH Network Corp., Class A*^ | 613,383 |
Continued
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
8,315 | GCI Liberty, Inc., Class A*^ | $ | 374,840 | |||||
28,338 | Interpublic Group of Cos., Inc. (The)^ | 664,243 | ||||||
3,661 | John Wiley & Sons, Inc., Class A^ | 228,446 | ||||||
2,212 | Liberty Broadband Corp., Class A*^ | 167,316 | ||||||
8,472 | Liberty Broadband Corp., Class C*^ | 641,500 | ||||||
1,716 | Liberty Media Group, Class A* | 60,592 | ||||||
16,546 | Liberty Media Group, Class C*^ | 614,353 | ||||||
6,945 | Liberty SiriusXM Group, Class A* | 312,872 | ||||||
14,014 | Liberty SiriusXM Group, Class C* | 635,675 | ||||||
3,878 | Lions Gate Entertainment Corp., Class A^ | 96,252 | ||||||
7,170 | Lions Gate Entertainment Corp., Class B^ | 168,208 | ||||||
1,368 | Madison Square Garden Co. (The), Class A* | 424,340 | ||||||
31,509 | News Corp., Class A^ | 488,390 | ||||||
10,028 | News Corp., Class B^ | 158,944 | ||||||
6,265 | Omnicom Group, Inc.^ | 477,832 | ||||||
7,175 | Tribune Media Co., Class A | 274,587 | ||||||
86,928 | Twenty-First Century Fox, Inc. | 4,319,451 | ||||||
39,407 | Twenty-First Century Fox, Inc., Class B | 1,941,583 | ||||||
871 | Viacom, Inc., Class A^ | 30,877 | ||||||
29,072 | Viacom, Inc., Class B^ | 876,812 | ||||||
34,934 | Walt Disney Co. (The) | 3,661,433 | ||||||
|
| |||||||
32,247,477 | ||||||||
|
| |||||||
Metals & Mining (0.7%): | ||||||||
15,398 | Alcoa Corp.* | 721,858 | ||||||
119,203 | Freeport-McMoRan Copper & Gold, Inc. | 2,057,445 | ||||||
43,965 | Newmont Mining Corp. | 1,657,920 | ||||||
26,216 | Nucor Corp.^ | 1,638,500 | ||||||
5,772 | Reliance Steel & Aluminum Co. | 505,281 | ||||||
3,166 | Royal Gold, Inc.^ | 293,931 | ||||||
15,817 | Steel Dynamics, Inc. | 726,791 | ||||||
14,524 | United States Steel Corp.^ | 504,709 | ||||||
|
| |||||||
8,106,435 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.3%): | ||||||||
34,244 | Agnc Investment Corp. | 636,596 | ||||||
95,548 | Annaly Capital Management, Inc. | 983,189 | ||||||
15,444 | Chimera Investment Corp.^ | 282,316 | ||||||
34,482 | MFA Financial, Inc. | 261,374 | ||||||
27,619 | New Residential Investment Corp.^ | 483,056 | ||||||
20,846 | Starwood Property Trust, Inc.^ | 452,567 | ||||||
13,790 | Two Harbors Investment Corp.^ | 217,882 | ||||||
|
| |||||||
3,316,980 | ||||||||
|
| |||||||
Multiline Retail (0.6%): | ||||||||
16,048 | Dollar Tree, Inc.* | 1,364,080 | ||||||
13,762 | Kohl’s Corp.^ | 1,003,250 | ||||||
25,196 | Macy’s, Inc.^ | 943,086 | ||||||
44,224 | Target Corp.^ | 3,366,331 | ||||||
|
| |||||||
6,676,747 | ||||||||
|
| |||||||
Multi-Utilities (1.7%): | ||||||||
20,003 | Ameren Corp.^ | 1,217,183 | ||||||
35,563 | CenterPoint Energy, Inc.^ | 985,451 | ||||||
23,218 | CMS Energy Corp. | 1,097,747 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multi-Utilities, continued | ||||||||
25,585 | Consolidated Edison, Inc. | $ | 1,995,118 | |||||
53,722 | Dominion Energy, Inc.^ | 3,662,765 | ||||||
14,868 | DTE Energy Co.^ | 1,540,771 | ||||||
16,009 | MDU Resources Group, Inc. | 459,138 | ||||||
30,074 | NiSource, Inc.^ | 790,345 | ||||||
41,568 | Public Service Enterprise Group, Inc. | 2,250,492 | ||||||
11,852 | SCANA Corp. | 456,539 | ||||||
21,790 | Sempra Energy | 2,530,037 | ||||||
6,854 | Vectren Corp. | 489,718 | ||||||
26,081 | WEC Energy Group, Inc.^ | 1,686,137 | ||||||
|
| |||||||
19,161,441 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (9.8%): | ||||||||
28,211 | Anadarko Petroleum Corp. | 2,066,456 | ||||||
11,614 | Andeavor | 1,523,525 | ||||||
9,174 | Antero Resources Corp.*^ | 195,865 | ||||||
29,502 | Apache Corp.^ | 1,379,219 | ||||||
9,718 | Cabot Oil & Gas Corp. | 231,288 | ||||||
15,165 | Centennial Resources Development*^ | 273,880 | ||||||
5,280 | Cheniere Energy, Inc.*^ | 344,203 | ||||||
75,526 | Chesapeake Energy Corp.*^ | 395,756 | ||||||
157,144 | Chevron Corp. | 19,867,716 | ||||||
6,756 | Cimarex Energy Co.^ | 687,355 | ||||||
17,681 | CNX Resources Corp.*^ | 314,368 | ||||||
12,181 | Concho Resources, Inc.*^ | 1,685,241 | ||||||
96,591 | ConocoPhillips Co. | 6,724,665 | ||||||
3,742 | Continental Resources, Inc.*^ | 242,332 | ||||||
43,038 | Devon Energy Corp.^ | 1,891,950 | ||||||
5,996 | Diamondback Energy, Inc.^ | 788,894 | ||||||
7,210 | Energen Corp.* | 525,032 | ||||||
42,307 | EOG Resources, Inc.^ | 5,264,260 | ||||||
21,815 | EQT Corp. | 1,203,752 | ||||||
9,167 | Extraction Oil & Gas, Inc.*^ | 134,663 | ||||||
349,511 | Exxon Mobil Corp. | 28,915,046 | ||||||
21,843 | Hess Corp.^ | 1,461,078 | ||||||
13,344 | HollyFrontier Corp.^ | 913,130 | ||||||
156,602 | Kinder Morgan, Inc. | 2,767,157 | ||||||
15,925 | Kosmos Energy LLC*^ | 131,700 | ||||||
70,162 | Marathon Oil Corp. | 1,463,579 | ||||||
37,748 | Marathon Petroleum Corp. | 2,648,400 | ||||||
13,510 | Murphy Oil Corp.^ | 456,233 | ||||||
10,377 | Newfield Exploration Co.* | 313,904 | ||||||
39,567 | Noble Energy, Inc.^ | 1,395,924 | ||||||
63,192 | Occidental Petroleum Corp. | 5,287,907 | ||||||
19,745 | ONEOK, Inc.^ | 1,378,793 | ||||||
6,198 | Parsley Energy, Inc., Class A*^ | 187,675 | ||||||
9,192 | PBF Energy, Inc., Class A^ | 385,421 | ||||||
34,669 | Phillips 66 | 3,893,675 | ||||||
6,282 | Pioneer Natural Resources Co. | 1,188,806 | ||||||
19,369 | QEP Resources, Inc.* | 237,464 | ||||||
17,398 | Range Resources Corp.^ | 291,069 | ||||||
5,421 | RSP Permian, Inc.* | 238,632 | ||||||
9,158 | SM Energy Co.^ | 235,269 |
Continued
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
17,833 | Targa Resources Corp.^ | $ | 882,555 | |||||
35,503 | Valero Energy Corp. | 3,934,797 | ||||||
7,387 | Whiting Petroleum Corp.*^ | 389,443 | ||||||
68,233 | Williams Cos., Inc. (The) | 1,849,797 | ||||||
32,773 | WPX Energy, Inc.* | 590,897 | ||||||
|
| |||||||
107,178,771 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%): | ||||||||
5,147 | Domtar Corp.^ | 245,718 | ||||||
|
| |||||||
Personal Products (0.1%): | ||||||||
38,410 | Coty, Inc., Class A^ | 541,581 | ||||||
7,744 | Herbalife, Ltd.* | 416,008 | ||||||
3,060 | Nu Skin Enterprises, Inc., Class A | 239,261 | ||||||
|
| |||||||
1,196,850 | ||||||||
|
| |||||||
Pharmaceuticals (6.0%): | ||||||||
27,947 | Allergan plc | 4,659,324 | ||||||
63,143 | Bristol-Myers Squibb Co. | 3,494,334 | ||||||
8,364 | Catalent, Inc.* | 350,368 | ||||||
30,454 | Eli Lilly & Co. | 2,598,640 | ||||||
387 | Jazz Pharmaceuticals plc*^ | 66,680 | ||||||
181,636 | Johnson & Johnson Co. | 22,039,711 | ||||||
207,260 | Merck & Co., Inc. | 12,580,682 | ||||||
42,317 | Mylan NV* | 1,529,336 | ||||||
10,650 | Perrigo Co. plc^ | 776,492 | ||||||
478,684 | Pfizer, Inc. | 17,366,656 | ||||||
|
| |||||||
65,462,223 | ||||||||
|
| |||||||
Professional Services (0.4%): | ||||||||
1,732 | Dun & Bradstreet Corp. | 212,430 | ||||||
7,172 | Equifax, Inc. | 897,289 | ||||||
32,073 | IHS Markit, Ltd.* | 1,654,646 | ||||||
5,413 | Manpower, Inc. | 465,843 | ||||||
29,388 | Nielsen Holdings plc^ | 908,970 | ||||||
|
| |||||||
4,139,178 | ||||||||
|
| |||||||
Real Estate Management & Development (0.2%): | ||||||||
13,611 | CBRE Group, Inc., Class A*^ | 649,789 | ||||||
1,913 | Howard Hughes Corp. (The)*^ | 253,473 | ||||||
3,739 | Jones Lang LaSalle, Inc.^ | 620,637 | ||||||
10,218 | Realogy Holdings Corp.^ | 232,970 | ||||||
|
| |||||||
1,756,869 | ||||||||
|
| |||||||
Road & Rail (0.8%): | ||||||||
573 | AMERCO, Inc.^ | 204,074 | ||||||
36,448 | CSX Corp. | 2,324,653 | ||||||
3,906 | Genesee & Wyoming, Inc., Class A*^ | 317,636 | ||||||
8,440 | Kansas City Southern^ | 894,302 | ||||||
10,591 | Knight-Swift Transportation Holdings, Inc.^ | 404,682 | ||||||
23,290 | Norfolk Southern Corp. | 3,513,762 | ||||||
4,294 | Ryder System, Inc. | 308,567 | ||||||
3,160 | Schneider National, Inc. | 86,932 | ||||||
5,157 | Union Pacific Corp.^ | 730,644 | ||||||
|
| |||||||
8,785,252 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (3.6%): | ||||||||
25,592 | Analog Devices, Inc. | $ | 2,454,785 | |||||
14,258 | Broadcom, Inc. | 3,459,561 | ||||||
9,307 | Cypress Semiconductor Corp.^ | 145,003 | ||||||
6,753 | First Solar, Inc.*^ | 355,613 | ||||||
384,886 | Intel Corp. | 19,132,683 | ||||||
32,846 | Marvell Technology Group, Ltd.^ | 704,218 | ||||||
20,718 | Micron Technology, Inc.* | 1,086,452 | ||||||
26,855 | NXP Semiconductors NV*^ | 2,934,446 | ||||||
10,401 | Qorvo, Inc.*^ | 833,848 | ||||||
122,308 | QUALCOMM, Inc. | 6,863,925 | ||||||
4,364 | Skyworks Solutions, Inc. | 421,781 | ||||||
13,200 | Teradyne, Inc.^ | 502,524 | ||||||
|
| |||||||
38,894,839 | ||||||||
|
| |||||||
Software (1.7%): | ||||||||
313 | Aspen Technology, Inc.* | 29,028 | ||||||
2,897 | Autodesk, Inc.* | 379,768 | ||||||
25,896 | CA, Inc. | 923,192 | ||||||
15,266 | Dell Technologies, Inc., Class V* | 1,291,198 | ||||||
5,298 | FireEye, Inc.*^ | 81,536 | ||||||
33,125 | Microsoft Corp. | 3,266,456 | ||||||
24,304 | Nuance Communications, Inc.*^ | 337,461 | ||||||
214,079 | Oracle Corp. | 9,432,321 | ||||||
1,033 | SS&C Technologies Holdings, Inc. | 53,613 | ||||||
50,983 | Symantec Corp. | 1,052,799 | ||||||
11,071 | Synopsys, Inc.* | 947,345 | ||||||
3,784 | Take-Two Interactive Software, Inc.* | 447,874 | ||||||
61,265 | Zynga, Inc.*^ | 249,349 | ||||||
|
| |||||||
18,491,940 | ||||||||
|
| |||||||
Specialty Retail (0.6%): | ||||||||
4,067 | Advance Auto Parts, Inc.^ | 551,892 | ||||||
4,571 | AutoNation, Inc.*^ | 222,059 | ||||||
278 | AutoZone, Inc.*^ | 186,519 | ||||||
14,850 | Best Buy Co., Inc.^ | 1,107,513 | ||||||
5,762 | CarMax, Inc.*^ | 419,877 | ||||||
6,353 | Dick’s Sporting Goods, Inc.^ | 223,943 | ||||||
9,672 | Foot Locker, Inc.^ | 509,231 | ||||||
16,890 | Gap, Inc. (The)^ | 547,067 | ||||||
15,522 | L Brands, Inc.^ | 572,451 | ||||||
7,477 | Michaels Cos., Inc. (The)*^ | 143,334 | ||||||
3,135 | Penske Automotive Group, Inc.^ | 146,875 | ||||||
8,408 | Tiffany & Co. | 1,106,493 | ||||||
5,280 | Williams-Sonoma, Inc.^ | 324,086 | ||||||
|
| |||||||
6,061,340 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.7%): | ||||||||
128,028 | Hewlett Packard Enterprise Co. | 1,870,489 | ||||||
135,491 | HP, Inc. | 3,074,291 | ||||||
1,704 | NCR Corp.*^ | 51,086 | ||||||
24,696 | Western Digital Corp.^ | 1,911,717 | ||||||
18,394 | Xerox Corp. | 441,456 | ||||||
|
| |||||||
7,349,039 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.3%): | ||||||||
2,147 | Columbia Sportswear Co.^ | 196,386 |
Continued
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
5,451 | Michael Kors Holdings, Ltd.* | $ | 363,037 | |||||
6,310 | PVH Corp. | 944,733 | ||||||
4,525 | Ralph Lauren Corp.^ | 568,883 | ||||||
5,782 | Skechers U.S.A., Inc., Class A* | 173,518 | ||||||
19,073 | Tapestry, Inc. | 890,900 | ||||||
3,652 | Under Armour, Inc., Class A*^ | 82,097 | ||||||
3,819 | Under Armour, Inc., Class C*^ | 80,505 | ||||||
6,137 | VF Corp. | 500,288 | ||||||
|
| |||||||
3,800,347 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%): | ||||||||
39,300 | New York Community Bancorp, Inc.^ | 433,872 | ||||||
4,788 | TFS Financial Corp.^ | 75,507 | ||||||
|
| |||||||
509,379 | ||||||||
|
| |||||||
Tobacco (0.9%): | ||||||||
128,136 | Philip Morris International, Inc. | 10,345,701 | ||||||
|
| |||||||
Trading Companies & Distributors (0.1%): | ||||||||
7,442 | Air Lease Corp.^ | 312,341 | ||||||
10,665 | HD Supply Holdings, Inc.* | 457,422 | ||||||
2,028 | MSC Industrial Direct Co., Inc., Class A | 172,076 | ||||||
7,989 | Univar, Inc.* | 209,631 | ||||||
503 | Watsco, Inc.^ | 89,675 | ||||||
3,893 | WESCO International, Inc.* | 222,290 | ||||||
|
| |||||||
1,463,435 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%): | ||||||||
6,551 | Macquarie Infrastructure Corp.^ | 276,452 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Water Utilities (0.2%): | ||||||||
14,694 | American Water Works Co., Inc.^ | $ | 1,254,573 | |||||
14,720 | Aqua America, Inc.^ | 517,850 | ||||||
|
| |||||||
1,772,423 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.1%): | ||||||||
53,305 | Sprint Corp.*^ | 289,979 | ||||||
7,903 | Telephone & Data Systems, Inc. | 216,700 | ||||||
8,842 | T-Mobile US, Inc.* | 528,310 | ||||||
870 | United States Cellular Corp.*^ | 32,225 | ||||||
|
| |||||||
1,067,214 | ||||||||
|
| |||||||
Total Common Stocks (Cost $941,573,608) | 1,074,356,941 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (16.5%): | ||||||||
$ | 181,461,101 | AZL Russell 1000 Value Index Fund Securities Lending Collateral Account(a) | $ | 181,461,101 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 181,461,101 | ||||||
|
| |||||||
Unaffiliated Investment Company (2.0%): | ||||||||
21,671,391 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(b) | 21,671,391 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $21,671,391) | 21,671,391 | |||||||
|
| |||||||
| Total Investment Securities | 1,277,489,433 | ||||||
Net other assets (liabilities) — (16.4)% | (179,673,506 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,097,815,927 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $178,268,871. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(b) | The rate represents the effective yield at June 30, 2018. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $984,200 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/21/18 | 175 | $ | 23,814,000 | $ | (499,804 | ) | |||||||||
|
| |||||||||||||||
$ | (499,804 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,141,252,439 | |||
Investments in affiliates, at cost | 3,453,661 | ||||
|
| ||||
Total Investment securities, at cost | $ | 1,144,706,100 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 1,272,420,685 | |||
Investments in affiliates, at value | 5,068,748 | ||||
|
| ||||
Total Investment securities, at value | 1,277,489,433 | ||||
Cash | 4,868 | ||||
Foreign currency, at value (cost $358) | 358 | ||||
Segregated cash for collateral | 984,200 | ||||
Interest and dividends receivable | 1,451,569 | ||||
Receivable for variation margin on futures contracts | 18,375 | ||||
Reclaims receivable | 182,099 | ||||
Prepaid expenses | 5,789 | ||||
|
| ||||
Total Assets | 1,280,136,691 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 190,054 | ||||
Payable for collateral received on loaned securities | 181,461,101 | ||||
Manager fees payable | 339,302 | ||||
Administration fees payable | 26,410 | ||||
Distribution fees payable | 193,590 | ||||
Custodian fees payable | 2,652 | ||||
Administrative and compliance services fees payable | 1,525 | ||||
Transfer agent fees payable | 996 | ||||
Trustee fees payable | 7,233 | ||||
Other accrued liabilities | 97,901 | ||||
|
| ||||
Total Liabilities | 182,320,764 | ||||
|
| ||||
Net Assets | $ | 1,097,815,927 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 835,439,903 | |||
Accumulated net investment income/(loss) | 31,203,004 | ||||
Accumulated net realized gains/(losses) from investment transactions | 98,892,299 | ||||
Net unrealized appreciation/(depreciation) on investments | 132,280,721 | ||||
|
| ||||
Net Assets | $ | 1,097,815,927 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 170,888,300 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 16,340,506 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.46 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 926,927,627 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 69,675,025 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.30 | |||
|
|
* | Includes securities on loan of $178,268,871. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 13,519,359 | |||
Dividends from affiliates | 63,400 | ||||
Interest | 2,276 | ||||
Income from securities lending | 173,014 | ||||
Foreign withholding tax | (717 | ) | |||
|
| ||||
Total Investment Income | 13,757,332 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,427,022 | ||||
Administration fees | 147,847 | ||||
Distribution fees — Class 2 | 1,157,909 | ||||
Custodian fees | 15,447 | ||||
Administrative and compliance services fees | 8,306 | ||||
Transfer agent fees | 5,562 | ||||
Trustee fees | 26,793 | ||||
Professional fees | 27,591 | ||||
Shareholder reports | 15,140 | ||||
Other expenses | 118,847 | ||||
|
| ||||
Total expenses before reductions | 3,950,464 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (386,115 | ) | |||
|
| ||||
Net expenses | 3,564,349 | ||||
|
| ||||
Net Investment Income/(Loss) | 10,192,983 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 25,824,164 | ||||
Net realized gains/(losses) on affiliated transactions | 183,966 | ||||
Net realized gains/(losses) on futures contracts | 2,737,822 | ||||
Change in net unrealized appreciation/depreciation on investments | (62,042,064 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (373,989 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (537,783 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (34,207,884 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (24,014,901 | ) | ||
|
|
See accompanying notes to the financial statements.
11
AZL Russell 1000 Value Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 10,192,983 | $ | 21,219,284 | ||||||
Net realized gains/(losses) on investment transactions | 28,745,952 | 80,637,841 | ||||||||
Change in unrealized appreciation/depreciation on investments | (62,953,836 | ) | 40,406,059 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (24,014,901 | ) | 142,263,184 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (1,632,621 | ) | |||||||
Class 2 | — | (6,305,794 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (22,052,360 | ) | |||||||
Class 2 | — | (91,526,620 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (121,517,395 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 39,637 | 83,049 | ||||||||
Proceeds from dividends reinvested | — | 23,684,980 | ||||||||
Value of shares redeemed | (11,858,412 | ) | (24,563,697 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (11,818,775 | ) | (795,668 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 119,335,156 | 8,299,028 | ||||||||
Proceeds from dividends reinvested | — | 97,832,415 | ||||||||
Value of shares redeemed | (64,988,167 | ) | (225,323,862 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | 54,346,989 | (119,192,419 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 42,528,214 | (119,988,087 | ) | |||||||
|
|
|
| |||||||
Change in net assets | 18,513,313 | (99,242,298 | ) | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,079,302,614 | 1,178,544,912 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,097,815,927 | $ | 1,079,302,614 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 31,203,004 | $ | 21,010,021 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 3,748 | 7,628 | ||||||||
Dividends reinvested | — | 2,354,372 | ||||||||
Shares redeemed | (1,119,883 | ) | (2,251,661 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,116,135 | ) | 110,339 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 8,619,623 | 811,790 | ||||||||
Dividends reinvested | — | 7,625,286 | ||||||||
Shares redeemed | (4,809,039 | ) | (16,595,649 | ) | ||||||
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Total Class 2 Shares | 3,810,584 | (8,158,573 | ) | |||||||
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Change in shares | 2,694,449 | (8,048,234 | ) | |||||||
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See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.65 | $ | 10.79 | $ | 10.00 | ||||||||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | 0.27 | 0.08 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.30 | ) | 1.08 | 0.71 | ||||||||||||||||||||||||||
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Total from Investment Activities | (0.19 | ) | 1.35 | 0.79 | ||||||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.10 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | (1.39 | ) | — | ||||||||||||||||||||||||||
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Total Dividends | — | (1.49 | ) | — | ||||||||||||||||||||||||||
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Net Asset Value, End of Period | $ | 10.46 | $ | 10.65 | $ | 10.79 | ||||||||||||||||||||||||
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Total Return(a) | (1.78 | )%(b) | 13.38 | % | 7.90 | %(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 170,888 | $ | 185,903 | $ | 187,248 | ||||||||||||||||||||||||
Net Investment Income/(Loss)(c) | 2.05 | % | 2.07 | % | 2.11 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.51 | % | 0.50 | % | 0.51 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.44 | % | 0.45 | % | 0.46 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 15 | % | 12 | % | 131 | %(f) | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.56 | $ | 13.39 | $ | 12.91 | $ | 14.82 | $ | 14.70 | $ | 11.84 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | 0.24 | 0.11 | 0.22 | 0.24 | 0.31 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.37 | ) | 1.42 | 1.85 | (0.92 | ) | 1.55 | 3.35 | ||||||||||||||||||||||
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Total from Investment Activities | (0.26 | ) | 1.66 | 1.96 | (0.70 | ) | 1.79 | 3.66 | ||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.10 | ) | (0.25 | ) | (0.23 | ) | (0.23 | ) | (0.29 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.39 | ) | (1.23 | ) | (0.98 | ) | (1.44 | ) | (0.51 | ) | |||||||||||||||||||
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Total Dividends | — | (1.49 | ) | (1.48 | ) | (1.21 | ) | (1.67 | ) | (0.80 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 13.30 | $ | 13.56 | $ | 13.39 | $ | 12.91 | $ | 14.82 | $ | 14.70 | ||||||||||||||||||
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Total Return(a) | (1.92 | )%(b) | 13.02 | % | 16.15 | % | (4.42 | )% | 12.59 | % | 31.52 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 926,928 | $ | 893,400 | $ | 991,296 | $ | 193,094 | $ | 219,158 | $ | 205,807 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.81 | % | 1.81 | % | 2.05 | % | 1.54 | % | 1.60 | % | 1.54 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.76 | % | 0.75 | % | 0.77 | % | 0.77 | % | 0.76 | % | 0.77 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.69 | % | 0.70 | % | 0.72 | % | 0.77 | % | 0.76 | % | 0.77 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 15 | % | 12 | % | 131 | %(f) | 16 | % | 16 | % | 11 | % |
* | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 131%. |
Amounts shown as “—“ are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Russell 1000 Value Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
14
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $121 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $17,160 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Overnight and Continuous | Less than 30 Days | Between 30 & 90 Days | Greater than 90 Days | Total | |||||||||||||||||||||
Securities Lending Transactions | $ | 181,193,820 | $ | 267,281 | $ | — | $ | — | $ | 181,461,101 |
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $17.3 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 499,804 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
15
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | 2,737,822 | $ | (537,783 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Russell 1000 Value Index Fund Class 1 | 0.44 | % | 0.59 | % | ||||||
AZL Russell 1000 Value Index Fund Class 2 | 0.44 | % | 0.84 | % |
* | The Manager voluntarily reduced the management fee to 0.37% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Fair Value 12/31/2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain(Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value 6/30/2018 | Shares as of 6/30/2018 | Dividend Income | |||||||||||||||||||||||||||||||||
BlackRock Inc., Class A | $ | 5,389,332 | $ | 437,774 | $ | (568,335 | ) | $ | 183,966 | $ | (373,989 | ) | $ | 5,068,748 | 10,157 | $ | 63,400 | |||||||||||||||||||||||
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$ | 5,389,332 | $ | 437,774 | $ | (568,335 | ) | $ | 183,966 | $ | (373,989 | ) | $ | 5,068,748 | 10,157 | $ | 63,400 | ||||||||||||||||||||||||
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Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $5,058 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Other^ | Total | ||||||||||||
Common Stocks+ | $ | 1,074,356,941 | $ | — | $ | 1,074,356,941 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 181,461,101 | 181,461,101 | ||||||||||||
Unaffiliated Investment Company | 21,671,391 | — | 21,671,391 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | 1,096,028,332 | 181,461,101 | 1,277,489,433 | ||||||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | (499,804 | ) | — | (499,804 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 1,095,528,528 | $ | 181,461,101 | $ | 1,276,989,629 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
17
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Russell 1000 Value Index Fund | $ | 219,513,313 | $ | 167,234,343 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $1,151,822,337. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 164,739,980 | ||
Unrealized (depreciation) | (39,072,884 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 125,667,096 | ||
|
|
As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Value Index Fund | $ | 9,061,367 | $ | 112,456,028 | $ | 121,517,395 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Russell 1000 Value Index Fund | $ | 37,719,314 | $ | 60,811,855 | $ | — | $ | 187,859,756 | $ | 286,390,925 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 85% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
18
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
19
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
20
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® S&P 500 Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 9 |
Page 9 |
Statements of Changes in Net Assets Page 10 |
Page 11 |
Notes to the Financial Statements Page 12 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL S&P 500 Index Fund
(Unaudited)
As a shareholder of the AZL S&P 500 Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 1,025.20 | $ | 1.16 | 0.23 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 1,023.60 | $ | 2.41 | 0.48 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.64 | $ | 1.15 | 0.23 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.40 | $ | 2.41 | 0.48 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 25.8 | % | |||
Financials | 13.7 | ||||
Health Care | 13.7 | ||||
Consumer Discretionary | 12.8 | ||||
Industrials | 9.4 | ||||
Consumer Staples | 7.1 | ||||
Energy | 6.3 | ||||
Utilities | 2.9 | ||||
Real Estate | 2.8 | ||||
Materials | 2.6 | ||||
Telecommunication Services | 2.0 | ||||
|
| ||||
Total Common Stocks | 99.1 | ||||
Securities Held as Collateral for Securities on Loan | 9.2 | ||||
Money Market | 0.8 | ||||
|
| ||||
Total Investment Securities | 109.1 | ||||
Net other assets (liabilities) | (9.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.1%): | ||||||||
Aerospace & Defense (2.5%): | ||||||||
49,214 | Arconic, Inc. | $ | 837,130 | |||||
65,409 | Boeing Co. (The) | 21,945,373 | ||||||
33,038 | General Dynamics Corp. | 6,158,614 | ||||||
5,345 | Huntington Ingalls Industries, Inc. | 1,158,743 | ||||||
9,236 | L3 Technologies, Inc. | 1,776,268 | ||||||
29,693 | Lockheed Martin Corp. | 8,772,202 | ||||||
20,856 | Northrop Grumman Corp. | 6,417,391 | ||||||
34,348 | Raytheon Co. | 6,635,347 | ||||||
19,830 | Rockwell Collins, Inc. | 2,670,704 | ||||||
30,678 | Textron, Inc.^ | 2,021,987 | ||||||
5,890 | TransDigm Group, Inc.^ | 2,032,875 | ||||||
88,917 | United Technologies Corp. | 11,117,292 | ||||||
|
| |||||||
71,543,926 | ||||||||
|
| |||||||
Air Freight & Logistics (0.7%): | ||||||||
16,483 | C.H. Robinson Worldwide, Inc.^ | 1,378,968 | ||||||
20,769 | Expeditors International of Washington, Inc. | 1,518,214 | ||||||
29,381 | FedEx Corp. | 6,671,250 | ||||||
82,383 | United Parcel Service, Inc., Class B | 8,751,546 | ||||||
|
| |||||||
18,319,978 | ||||||||
|
| |||||||
Airlines (0.4%): | ||||||||
14,257 | Alaska Air Group, Inc.^ | 860,980 | ||||||
49,519 | American Airlines Group, Inc.^ | 1,879,741 | ||||||
76,968 | Delta Air Lines, Inc. | 3,812,995 | ||||||
64,008 | Southwest Airlines Co. | 3,256,727 | ||||||
28,251 | United Continental Holdings, Inc.* | 1,969,942 | ||||||
|
| |||||||
11,780,385 | ||||||||
|
| |||||||
Auto Components (0.2%): | ||||||||
31,770 | Aptiv plc | 2,911,085 | ||||||
23,460 | BorgWarner, Inc. | 1,012,534 | ||||||
28,160 | Goodyear Tire & Rubber Co. | 655,846 | ||||||
|
| |||||||
4,579,465 | ||||||||
|
| |||||||
Automobiles (0.4%): | ||||||||
467,706 | Ford Motor Co. | 5,177,505 | ||||||
151,638 | General Motors Co. | 5,974,537 | ||||||
19,419 | Harley-Davidson, Inc. | 817,152 | ||||||
|
| |||||||
11,969,194 | ||||||||
|
| |||||||
Banks (6.1%): | ||||||||
1,127,555 | Bank of America Corp. | 31,785,775 | ||||||
93,558 | BB&T Corp.^ | 4,719,066 | ||||||
304,717 | Citigroup, Inc. | 20,391,662 | ||||||
57,278 | Citizens Financial Group, Inc. | 2,228,114 | ||||||
20,496 | Comerica, Inc. | 1,863,496 | ||||||
81,770 | Fifth Third Bancorp^ | 2,346,799 | ||||||
129,493 | Huntington Bancshares, Inc. | 1,911,317 | ||||||
406,747 | JPMorgan Chase & Co. | 42,383,038 | ||||||
125,091 | KeyCorp | 2,444,278 | ||||||
17,683 | M&T Bank Corp. | 3,008,762 | ||||||
41,326 | People’s United Financial, Inc.^ | 747,587 | ||||||
56,099 | PNC Financial Services Group, Inc. | 7,578,975 | ||||||
134,667 | Regions Financial Corp. | 2,394,379 | ||||||
55,932 | SunTrust Banks, Inc. | 3,692,631 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
6,313 | SVB Financial Group* | $ | 1,822,942 | |||||
186,908 | U.S. Bancorp | 9,349,138 | ||||||
523,890 | Wells Fargo & Co. | 29,044,462 | ||||||
23,047 | Zions Bancorp^ | 1,214,346 | ||||||
|
| |||||||
168,926,767 | ||||||||
|
| |||||||
Beverages (1.7%): | ||||||||
30,836 | Brown-Forman Corp., Class B^ | 1,511,272 | ||||||
457,371 | Coca-Cola Co. (The) | 20,060,292 | ||||||
20,202 | Constellation Brands, Inc., Class C | 4,421,612 | ||||||
21,863 | Molson Coors Brewing Co., Class B^ | 1,487,559 | ||||||
49,287 | Monster Beverage Corp.* | 2,824,145 | ||||||
169,428 | PepsiCo, Inc. | 18,445,626 | ||||||
|
| |||||||
48,750,506 | ||||||||
|
| |||||||
Biotechnology (2.5%): | ||||||||
181,123 | AbbVie, Inc. | 16,781,047 | ||||||
26,617 | Alexion Pharmaceuticals, Inc.* | 3,304,501 | ||||||
79,580 | Amgen, Inc. | 14,689,672 | ||||||
25,217 | Biogen Idec, Inc.* | 7,318,982 | ||||||
84,584 | Celgene Corp.* | 6,717,661 | ||||||
155,366 | Gilead Sciences, Inc. | 11,006,127 | ||||||
21,338 | Incyte Corp.* | 1,429,646 | ||||||
9,251 | Regeneron Pharmaceuticals, Inc.* | 3,191,502 | ||||||
30,470 | Vertex Pharmaceuticals, Inc.* | 5,178,681 | ||||||
|
| |||||||
69,617,819 | ||||||||
|
| |||||||
Building Products (0.3%): | ||||||||
17,097 | A.O. Smith Corp. | 1,011,288 | ||||||
11,004 | Allegion plc^ | 851,269 | ||||||
18,000 | Fortune Brands Home & Security, Inc.^ | 966,420 | ||||||
110,797 | Johnson Controls International plc^ | 3,706,159 | ||||||
37,252 | Masco Corp. | 1,393,970 | ||||||
|
| |||||||
7,929,106 | ||||||||
|
| |||||||
Capital Markets (3.0%): | ||||||||
6,443 | Affiliated Managers Group, Inc. | 957,881 | ||||||
17,254 | Ameriprise Financial, Inc. | 2,413,490 | ||||||
120,883 | Bank of New York Mellon Corp. (The) | 6,519,220 | ||||||
14,737 | BlackRock, Inc., Class A+ | 7,354,352 | ||||||
13,500 | CBOE Holdings, Inc. | 1,404,945 | ||||||
143,549 | Charles Schwab Corp. (The) | 7,335,354 | ||||||
40,711 | CME Group, Inc. | 6,673,347 | ||||||
31,339 | E*TRADE Financial Corp.* | 1,916,693 | ||||||
38,474 | Franklin Resources, Inc.^ | 1,233,092 | ||||||
42,016 | Goldman Sachs Group, Inc. (The) | 9,267,468 | ||||||
69,391 | Intercontinental Exchange, Inc. | 5,103,708 | ||||||
49,898 | Invesco, Ltd. | 1,325,291 | ||||||
36,165 | Jefferies Financial Group, Inc. | 822,392 | ||||||
20,043 | Moody’s Corp. | 3,418,534 | ||||||
162,692 | Morgan Stanley | 7,711,601 | ||||||
10,496 | MSCI, Inc., Class A | 1,736,353 | ||||||
13,979 | NASDAQ OMX Group, Inc. (The) | 1,275,863 | ||||||
25,050 | Northern Trust Corp. | 2,577,395 | ||||||
15,228 | Raymond James Financial, Inc.^ | 1,360,622 | ||||||
29,931 | S&P Global, Inc. | 6,102,632 |
Continued
2
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
43,907 | State Street Corp. | $ | 4,087,303 | |||||
29,059 | T. Rowe Price Group, Inc.^ | 3,373,459 | ||||||
|
| |||||||
83,970,995 | ||||||||
|
| |||||||
Chemicals (1.9%): | ||||||||
26,274 | Air Products & Chemicals, Inc. | 4,091,650 | ||||||
13,054 | Albemarle Corp.^ | 1,231,384 | ||||||
28,462 | CF Industries Holdings, Inc.^ | 1,263,713 | ||||||
277,237 | DowDuPont, Inc. | 18,275,462 | ||||||
16,913 | Eastman Chemical Co. | 1,690,623 | ||||||
31,117 | Ecolab, Inc.^ | 4,366,649 | ||||||
15,852 | FMC Corp.^ | 1,414,157 | ||||||
9,234 | International Flavor & Fragrances, Inc.^ | 1,144,647 | ||||||
38,641 | Lyondellbasell Industries NV | 4,244,714 | ||||||
41,268 | Mosaic Co. (The) | 1,157,567 | ||||||
29,781 | PPG Industries, Inc.^ | 3,089,183 | ||||||
34,407 | Praxair, Inc. | 5,441,467 | ||||||
9,880 | Sherwin Williams Co. | 4,026,792 | ||||||
|
| |||||||
51,438,008 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.3%): | ||||||||
10,456 | Cintas Corp. | 1,935,092 | ||||||
24,135 | Copart, Inc.* | 1,365,076 | ||||||
26,730 | Republic Services, Inc., Class A | 1,827,263 | ||||||
9,804 | Stericycle, Inc.*^ | 640,103 | ||||||
47,824 | Waste Management, Inc. | 3,890,004 | ||||||
|
| |||||||
9,657,538 | ||||||||
|
| |||||||
Communications Equipment (1.1%): | ||||||||
563,115 | Cisco Systems, Inc. | 24,230,839 | ||||||
7,264 | F5 Networks, Inc.* | 1,252,677 | ||||||
14,128 | Harris Corp. | 2,042,061 | ||||||
40,631 | Juniper Networks, Inc.^ | 1,114,102 | ||||||
19,141 | Motorola Solutions, Inc. | 2,227,438 | ||||||
|
| |||||||
30,867,117 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
17,301 | Fluor Corp. | 843,943 | ||||||
13,969 | Jacobs Engineering Group, Inc. | 886,891 | ||||||
18,789 | Quanta Services, Inc.* | 627,553 | ||||||
|
| |||||||
2,358,387 | ||||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
7,637 | Martin Marietta Materials, Inc.^ | 1,705,571 | ||||||
16,006 | Vulcan Materials Co.^ | 2,065,735 | ||||||
|
| |||||||
3,771,306 | ||||||||
|
| |||||||
Consumer Finance (0.7%): | ||||||||
85,464 | American Express Co. | 8,375,471 | ||||||
58,181 | Capital One Financial Corp. | 5,346,834 | ||||||
41,802 | Discover Financial Services^ | 2,943,279 | ||||||
84,170 | Synchrony Financial | 2,809,595 | ||||||
|
| |||||||
19,475,179 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
10,347 | Avery Dennison Corp. | 1,056,429 | ||||||
41,285 | Ball Corp.^ | 1,467,682 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
49,753 | International Paper Co. | $ | 2,591,135 | |||||
11,087 | Packaging Corp. of America | 1,239,416 | ||||||
20,055 | Sealed Air Corp.^ | 851,335 | ||||||
31,028 | WestRock Co. | 1,769,217 | ||||||
|
| |||||||
8,975,214 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
17,304 | Genuine Parts Co.^ | 1,588,334 | ||||||
36,212 | LKQ Corp.* | 1,155,163 | ||||||
|
| |||||||
2,743,497 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%): | ||||||||
25,663 | H&R Block, Inc. | 584,603 | ||||||
|
| |||||||
Diversified Financial Services (1.5%): | ||||||||
229,840 | Berkshire Hathaway, Inc., Class B* | 42,899,636 | ||||||
|
| |||||||
Diversified Telecommunication Services (2.0%): | ||||||||
865,754 | AT&T, Inc. | 27,799,361 | ||||||
117,919 | CenturyLink, Inc.^ | 2,198,010 | ||||||
493,723 | Verizon Communications, Inc. | 24,839,204 | ||||||
|
| |||||||
54,836,575 | ||||||||
|
| |||||||
Electric Utilities (1.7%): | ||||||||
28,108 | Alliant Energy Corp.^ | 1,189,531 | ||||||
59,001 | American Electric Power Co., Inc. | 4,085,819 | ||||||
83,613 | Duke Energy Corp. | 6,612,116 | ||||||
38,772 | Edison International | 2,453,104 | ||||||
21,985 | Entergy Corp.^ | 1,776,168 | ||||||
31,945 | Evergy, Inc. | 1,793,712 | ||||||
37,622 | Eversource Energy^ | 2,205,025 | ||||||
114,998 | Exelon Corp. | 4,898,915 | ||||||
54,163 | FirstEnergy Corp.^ | 1,944,993 | ||||||
56,244 | NextEra Energy, Inc. | 9,394,436 | ||||||
61,125 | PG&E Corp. | 2,601,480 | ||||||
13,051 | Pinnacle West Capital Corp. | 1,051,389 | ||||||
84,148 | PPL Corp.^ | 2,402,425 | ||||||
120,786 | Southern Co. (The)^ | 5,593,600 | ||||||
61,155 | Xcel Energy, Inc. | 2,793,560 | ||||||
|
| |||||||
50,796,273 | ||||||||
|
| |||||||
Electrical Equipment (0.5%): | ||||||||
27,285 | AMETEK, Inc. | 1,968,886 | ||||||
51,895 | Eaton Corp. plc | 3,878,632 | ||||||
75,610 | Emerson Electric Co. | 5,227,676 | ||||||
15,062 | Rockwell Automation, Inc. | 2,503,756 | ||||||
|
| |||||||
13,578,950 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.4%): | ||||||||
35,882 | Amphenol Corp., Class A | 3,127,116 | ||||||
101,529 | Corning, Inc.^ | 2,793,063 | ||||||
16,858 | FLIR Systems, Inc. | 876,110 | ||||||
4,515 | IPG Photonics Corp.*^ | 996,144 | ||||||
42,000 | TE Connectivity, Ltd. | 3,782,521 | ||||||
|
| |||||||
11,574,954 | ||||||||
|
|
Continued
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Energy Equipment & Services (0.8%): | ||||||||
49,778 | Baker Hughes^ | $ | 1,644,167 | |||||
104,557 | Halliburton Co. | 4,711,338 | ||||||
13,228 | Helmerich & Payne, Inc.^ | 843,417 | ||||||
45,927 | National-Oilwell Varco, Inc.^ | 1,993,232 | ||||||
165,224 | Schlumberger, Ltd. | 11,074,966 | ||||||
51,619 | Technipfmc plc | 1,638,387 | ||||||
|
| |||||||
21,905,507 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.7%): | ||||||||
12,534 | Alexandria Real Estate Equities, Inc. | 1,581,415 | ||||||
52,810 | American Tower Corp. | 7,613,617 | ||||||
19,027 | Apartment Investment & Management Co., Class A | 804,842 | ||||||
16,681 | AvalonBay Communities, Inc. | 2,867,297 | ||||||
18,609 | Boston Properties, Inc. | 2,333,941 | ||||||
49,606 | Crown Castle International Corp. | 5,348,518 | ||||||
24,477 | Digital Realty Trust, Inc. | 2,731,144 | ||||||
41,967 | Duke Realty Corp. | 1,218,302 | ||||||
9,508 | Equinix, Inc. | 4,087,394 | ||||||
44,437 | Equity Residential Property Trust | 2,830,193 | ||||||
7,811 | Essex Property Trust, Inc. | 1,867,376 | ||||||
14,897 | Extra Space Storage, Inc.^ | 1,486,870 | ||||||
8,540 | Federal Realty Investment Trust^ | 1,080,737 | ||||||
74,208 | Ggp US | 1,516,069 | ||||||
55,297 | HCP, Inc. | 1,427,769 | ||||||
89,338 | Host Hotels & Resorts, Inc. | 1,882,352 | ||||||
32,871 | Iron Mountain, Inc.^ | 1,150,814 | ||||||
50,061 | Kimco Realty Corp. | 850,536 | ||||||
13,334 | Macerich Co. (The)^ | 757,771 | ||||||
13,481 | Mid-America Apartment Communities, Inc. | 1,357,132 | ||||||
63,825 | ProLogis, Inc. | 4,192,664 | ||||||
17,929 | Public Storage, Inc.^ | 4,067,373 | ||||||
34,369 | Realty Income Corp.^ | 1,848,709 | ||||||
18,027 | Regency Centers Corp. | 1,119,116 | ||||||
13,641 | SBA Communications Corp.* | 2,252,402 | ||||||
37,063 | Simon Property Group, Inc.^ | 6,307,751 | ||||||
10,443 | SL Green Realty Corp.^ | 1,049,835 | ||||||
31,537 | UDR, Inc. | 1,183,899 | ||||||
42,237 | Ventas, Inc. | 2,405,397 | ||||||
21,052 | Vornado Realty Trust | 1,556,164 | ||||||
44,736 | Welltower, Inc.^ | 2,804,500 | ||||||
90,549 | Weyerhaeuser Co. | 3,301,417 | ||||||
|
| |||||||
76,883,316 | ||||||||
|
| |||||||
Food & Staples Retailing (1.7%): | ||||||||
52,352 | Costco Wholesale Corp. | 10,940,521 | ||||||
121,398 | CVS Health Corp. | 7,811,961 | ||||||
97,431 | Kroger Co. (The)^ | 2,771,912 | ||||||
57,376 | Sysco Corp. | 3,918,207 | ||||||
101,835 | Walgreens Boots Alliance, Inc. | 6,111,628 | ||||||
172,730 | Wal-Mart Stores, Inc. | 14,794,324 | ||||||
|
| |||||||
46,348,553 | ||||||||
|
| |||||||
Food Products (1.1%): | ||||||||
66,884 | Archer-Daniels-Midland Co. | 3,065,294 | ||||||
22,338 | Campbell Soup Co.^ | 905,583 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
46,678 | ConAgra Foods, Inc.^ | $ | 1,667,805 | |||||
70,917 | General Mills, Inc.^ | 3,138,786 | ||||||
16,658 | Hershey Co. (The)^ | 1,550,193 | ||||||
31,616 | Hormel Foods Corp.^ | 1,176,431 | ||||||
13,421 | JM Smucker Co. (The)^ | 1,442,489 | ||||||
30,217 | Kellogg Co.^ | 2,111,262 | ||||||
71,429 | Kraft Heinz Co. (The)^ | 4,487,170 | ||||||
14,749 | McCormick & Co.^ | 1,712,211 | ||||||
175,554 | Mondelez International, Inc., Class A | 7,197,714 | ||||||
35,575 | Tyson Foods, Inc., Class A | 2,449,339 | ||||||
|
| |||||||
30,904,277 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.1%): | ||||||||
209,481 | Abbott Laboratories | 12,776,246 | ||||||
5,085 | ABIOMED, Inc.* | 2,080,019 | ||||||
8,549 | Align Technology, Inc.* | 2,924,955 | ||||||
58,462 | Baxter International, Inc. | 4,316,834 | ||||||
31,962 | Becton, Dickinson & Co.^ | 7,656,817 | ||||||
165,122 | Boston Scientific Corp.* | 5,399,489 | ||||||
5,965 | Cooper Cos., Inc. (The)^ | 1,404,459 | ||||||
73,556 | Danaher Corp. | 7,258,506 | ||||||
27,103 | Dentsply Sirona, Inc. | 1,186,298 | ||||||
25,223 | Edwards Lifesciences Corp.* | 3,671,712 | ||||||
32,534 | Hologic, Inc.* | 1,293,227 | ||||||
10,288 | IDEXX Laboratories, Inc.* | 2,242,167 | ||||||
13,542 | Intuitive Surgical, Inc.* | 6,479,576 | ||||||
161,826 | Medtronic plc | 13,853,924 | ||||||
16,837 | ResMed, Inc. | 1,743,976 | ||||||
38,453 | Stryker Corp. | 6,493,174 | ||||||
10,762 | Varian Medical Systems, Inc.*^ | 1,223,855 | ||||||
24,366 | Zimmer Holdings, Inc. | 2,715,347 | ||||||
|
| |||||||
84,720,581 | ||||||||
|
| |||||||
Health Care Providers & Services (2.9%): | ||||||||
39,134 | Aetna, Inc. | 7,181,088 | ||||||
19,165 | AmerisourceBergen Corp. | 1,634,200 | ||||||
30,493 | Anthem, Inc. | 7,258,248 | ||||||
37,473 | Cardinal Health, Inc. | 1,829,807 | ||||||
24,559 | Centene Corp.* | 3,025,914 | ||||||
29,107 | Cigna Corp. | 4,946,735 | ||||||
16,615 | DaVita, Inc.* | 1,153,746 | ||||||
14,564 | Envision Healthcare Corp.*^ | 640,962 | ||||||
67,180 | Express Scripts Holding Co.* | 5,186,968 | ||||||
33,406 | HCA Holdings, Inc. | 3,427,456 | ||||||
18,129 | Henry Schein, Inc.*^ | 1,316,891 | ||||||
16,475 | Humana, Inc. | 4,903,454 | ||||||
12,335 | Laboratory Corp. of America Holdings* | 2,214,503 | ||||||
24,312 | McKesson Corp. | 3,243,221 | ||||||
16,426 | Quest Diagnostics, Inc. | 1,805,874 | ||||||
114,716 | UnitedHealth Group, Inc. | 28,144,422 | ||||||
10,224 | Universal Health Services, Inc., Class B | 1,139,363 | ||||||
|
| |||||||
79,052,852 | ||||||||
|
|
Continued
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Technology (0.1%): | ||||||||
37,601 | Cerner Corp.* | $ | 2,248,164 | |||||
|
| |||||||
Hotels, Restaurants & Leisure (1.6%): | ||||||||
48,751 | Carnival Corp., Class A | 2,793,920 | ||||||
2,895 | Chipotle Mexican Grill, Inc.*^ | 1,248,816 | ||||||
14,468 | Darden Restaurants, Inc. | 1,548,944 | ||||||
33,461 | Hilton Worldwide Holdings, Inc. | 2,648,773 | ||||||
35,404 | Marriott International, Inc., Class A | 4,482,146 | ||||||
93,930 | McDonald’s Corp. | 14,717,891 | ||||||
60,377 | MGM Resorts International | 1,752,744 | ||||||
24,418 | Norwegian Cruise Line Holdings, Ltd.* | 1,153,751 | ||||||
20,441 | Royal Caribbean Cruises, Ltd. | 2,117,688 | ||||||
165,583 | Starbucks Corp. | 8,088,730 | ||||||
10,195 | Wynn Resorts, Ltd. | 1,706,031 | ||||||
38,548 | Yum! Brands, Inc. | 3,015,225 | ||||||
|
| |||||||
45,274,659 | ||||||||
|
| |||||||
Household Durables (0.4%): | ||||||||
41,310 | D.R. Horton, Inc. | 1,693,710 | ||||||
13,660 | Garmin, Ltd. | 833,260 | ||||||
16,232 | Leggett & Platt, Inc.^ | 724,596 | ||||||
32,687 | Lennar Corp., Class A | 1,716,068 | ||||||
7,670 | Mohawk Industries, Inc.* | 1,643,451 | ||||||
57,628 | Newell Rubbermaid, Inc.^ | 1,486,226 | ||||||
30,978 | PulteGroup, Inc.^ | 890,618 | ||||||
7,831 | Whirlpool Corp. | 1,145,127 | ||||||
|
| |||||||
10,133,056 | ||||||||
|
| |||||||
Household Products (1.4%): | ||||||||
29,294 | Church & Dwight Co., Inc.^ | 1,557,269 | ||||||
15,678 | Clorox Co. (The)^ | 2,120,450 | ||||||
104,277 | Colgate-Palmolive Co. | 6,758,192 | ||||||
41,989 | Kimberly-Clark Corp.^ | 4,423,121 | ||||||
300,225 | Procter & Gamble Co. (The) | 23,435,564 | ||||||
|
| |||||||
38,294,596 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers (0.1%): | ||||||||
76,268 | AES Corp. (The)^ | 1,022,754 | ||||||
35,386 | NRG Energy, Inc. | 1,086,350 | ||||||
|
| |||||||
2,109,104 | ||||||||
|
| |||||||
Industrial Conglomerates (1.6%): | ||||||||
70,958 | 3M Co., Class C | 13,958,858 | ||||||
1,037,702 | General Electric Co. | 14,123,124 | ||||||
89,299 | Honeywell International, Inc. | 12,863,521 | ||||||
12,456 | Roper Industries, Inc. | 3,436,735 | ||||||
|
| |||||||
44,382,238 | ||||||||
|
| |||||||
Insurance (2.4%): | ||||||||
92,940 | Aflac, Inc. | 3,998,279 | ||||||
41,759 | Allstate Corp. (The) | 3,811,344 | ||||||
107,304 | American International Group, Inc. | 5,689,257 | ||||||
29,014 | Aon plc | 3,979,850 | ||||||
21,398 | Arthur J. Gallagher & Co. | 1,396,861 | ||||||
6,075 | Assurant, Inc.^ | 628,702 | ||||||
11,799 | Brighthouse Financial, Inc.* | 472,786 | ||||||
55,828 | Chubb, Ltd. | 7,091,272 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
17,481 | Cincinnati Financial Corp. | $ | 1,168,780 | |||||
4,815 | Everest Re Group, Ltd. | 1,109,761 | ||||||
42,459 | Hartford Financial Services Group, Inc. (The) | 2,170,929 | ||||||
25,903 | Lincoln National Corp. | 1,612,462 | ||||||
31,514 | Loews Corp.^ | 1,521,496 | ||||||
60,914 | Marsh & McLennan Cos., Inc.^ | 4,993,121 | ||||||
122,096 | MetLife, Inc. | 5,323,386 | ||||||
31,784 | Principal Financial Group, Inc. | 1,682,963 | ||||||
69,642 | Progressive Corp. (The) | 4,119,324 | ||||||
50,285 | Prudential Financial, Inc. | 4,702,150 | ||||||
12,376 | Torchmark Corp. | 1,007,530 | ||||||
32,431 | Travelers Cos., Inc. (The) | 3,967,609 | ||||||
26,140 | UnumProvident Corp. | 966,919 | ||||||
15,741 | Willis Towers Watson plc | 2,386,336 | ||||||
31,273 | XL Group, Ltd. | 1,749,724 | ||||||
|
| |||||||
65,550,841 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (4.2%): | ||||||||
48,118 | Amazon.com, Inc.* | 81,790,977 | ||||||
5,746 | Booking Holdings, Inc.* | 11,647,659 | ||||||
14,615 | Expedia, Inc.^ | 1,756,577 | ||||||
51,947 | Netflix, Inc.* | 20,333,614 | ||||||
13,140 | TripAdvisor, Inc.*^ | 732,029 | ||||||
|
| |||||||
116,260,856 | ||||||||
|
| |||||||
Internet Software & Services (5.3%): | ||||||||
20,050 | Akamai Technologies, Inc.* | 1,468,262 | ||||||
35,691 | Alphabet, Inc., Class A* | 40,301,920 | ||||||
36,238 | Alphabet, Inc., Class C* | 40,428,924 | ||||||
110,957 | eBay, Inc.* | 4,023,301 | ||||||
286,556 | Facebook, Inc., Class A* | 55,683,561 | ||||||
78,267 | Twitter, Inc.* | 3,417,920 | ||||||
11,618 | VeriSign, Inc.* | 1,596,546 | ||||||
|
| |||||||
146,920,434 | ||||||||
|
| |||||||
IT Services (4.5%): | ||||||||
76,809 | Accenture plc, Class C^ | 12,565,184 | ||||||
5,663 | Alliance Data Systems Corp. | 1,320,612 | ||||||
52,686 | Automatic Data Processing, Inc. | 7,067,300 | ||||||
14,056 | Broadridge Financial Solutions, Inc. | 1,617,846 | ||||||
70,104 | Cognizant Technology Solutions Corp., Class A^ | 5,537,515 | ||||||
33,651 | DXC Technology Co. | 2,712,607 | ||||||
39,827 | Fidelity National Information Services, Inc. | 4,222,857 | ||||||
48,748 | Fiserv, Inc.* | 3,611,739 | ||||||
10,721 | FleetCor Technologies, Inc.* | 2,258,379 | ||||||
10,703 | Gartner, Inc.*^ | 1,422,429 | ||||||
19,308 | Global Payments, Inc. | 2,152,649 | ||||||
102,042 | International Business Machines Corp. | 14,255,267 | ||||||
109,580 | MasterCard, Inc., Class A | 21,534,662 | ||||||
38,077 | Paychex, Inc. | 2,602,563 | ||||||
133,654 | PayPal Holdings, Inc.* | 11,129,369 | ||||||
19,575 | Total System Services, Inc. | 1,654,479 | ||||||
213,572 | Visa, Inc., Class A | 28,287,610 | ||||||
53,829 | Western Union Co.^ | 1,094,344 | ||||||
|
| |||||||
125,047,411 | ||||||||
|
|
Continued
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products (0.1%): | ||||||||
13,266 | Hasbro, Inc.^ | $ | 1,224,584 | |||||
39,733 | Mattel, Inc.^ | 652,416 | ||||||
|
| |||||||
1,877,000 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.9%): | ||||||||
38,434 | Agilent Technologies, Inc. | 2,376,759 | ||||||
17,572 | Illumina, Inc.* | 4,907,683 | ||||||
19,336 | IQVIA Holdings, Inc.* | 1,930,120 | ||||||
3,022 | Mettler-Toledo International, Inc.* | 1,748,620 | ||||||
12,733 | PerkinElmer, Inc. | 932,438 | ||||||
48,121 | Thermo Fisher Scientific, Inc. | 9,967,783 | ||||||
9,393 | Waters Corp.*^ | 1,818,391 | ||||||
|
| |||||||
23,681,794 | ||||||||
|
| |||||||
Machinery (1.5%): | ||||||||
71,464 | Caterpillar, Inc. | 9,695,520 | ||||||
18,335 | Cummins, Inc. | 2,438,555 | ||||||
38,774 | Deere & Co. | 5,420,605 | ||||||
18,223 | Dover Corp.^ | 1,333,924 | ||||||
15,004 | Flowserve Corp.^ | 606,162 | ||||||
36,341 | Fortive Corp. | 2,802,255 | ||||||
36,277 | Illinois Tool Works, Inc. | 5,025,816 | ||||||
29,862 | Ingersoll-Rand plc | 2,679,517 | ||||||
42,142 | PACCAR, Inc. | 2,611,118 | ||||||
15,821 | Parker Hannifin Corp. | 2,465,703 | ||||||
19,129 | Pentair plc | 804,948 | ||||||
6,691 | Snap-On, Inc.^ | 1,075,378 | ||||||
18,601 | Stanley Black & Decker, Inc. | 2,470,399 | ||||||
21,174 | Xylem, Inc.^ | 1,426,704 | ||||||
|
| |||||||
40,856,604 | ||||||||
|
| |||||||
Media (2.2%): | ||||||||
40,959 | CBS Corp., Class B | 2,302,715 | ||||||
22,141 | Charter Communications, Inc., Class A*^ | 6,491,963 | ||||||
548,385 | Comcast Corp., Class A | 17,992,512 | ||||||
20,443 | Discovery Communications, Inc., Class A*^ | 562,183 | ||||||
39,304 | Discovery Communications, Inc., Class C* | 1,002,252 | ||||||
28,039 | DISH Network Corp., Class A* | 942,391 | ||||||
45,070 | Interpublic Group of Cos., Inc. (The)^ | 1,056,441 | ||||||
46,709 | News Corp., Class A^ | 723,990 | ||||||
15,698 | News Corp., Class B | 248,813 | ||||||
27,268 | Omnicom Group, Inc.^ | 2,079,730 | ||||||
126,126 | Twenty-First Century Fox, Inc. | 6,267,201 | ||||||
52,179 | Twenty-First Century Fox, Inc., Class B | 2,570,859 | ||||||
41,429 | Viacom, Inc., Class B | 1,249,499 | ||||||
177,768 | Walt Disney Co. (The) | 18,631,863 | ||||||
|
| |||||||
62,122,412 | ||||||||
|
| |||||||
Metals & Mining (0.3%): | ||||||||
161,000 | Freeport-McMoRan Copper & Gold, Inc. | 2,778,860 | ||||||
63,517 | Newmont Mining Corp. | 2,395,226 | ||||||
37,844 | Nucor Corp. | 2,365,250 | ||||||
|
| |||||||
7,539,336 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multiline Retail (0.5%): | ||||||||
30,411 | Dollar General Corp. | $ | 2,998,525 | |||||
28,464 | Dollar Tree, Inc.* | 2,419,440 | ||||||
20,404 | Kohl’s Corp.^ | 1,487,452 | ||||||
37,282 | Macy’s, Inc.^ | 1,395,465 | ||||||
14,300 | Nordstrom, Inc.^ | 740,454 | ||||||
64,062 | Target Corp.^ | 4,876,399 | ||||||
|
| |||||||
13,917,735 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
29,552 | Ameren Corp. | 1,798,239 | ||||||
50,567 | CenterPoint Energy, Inc. | 1,401,212 | ||||||
34,732 | CMS Energy Corp. | 1,642,129 | ||||||
37,447 | Consolidated Edison, Inc. | 2,920,117 | ||||||
78,021 | Dominion Energy, Inc.^ | 5,319,473 | ||||||
22,108 | DTE Energy Co.^ | 2,291,052 | ||||||
39,248 | NiSource, Inc.^ | 1,031,437 | ||||||
60,398 | Public Service Enterprise Group, Inc. | 3,269,948 | ||||||
17,527 | SCANA Corp. | 675,140 | ||||||
31,631 | Sempra Energy | 3,672,675 | ||||||
37,522 | WEC Energy Group, Inc.^ | 2,425,797 | ||||||
|
| |||||||
26,447,219 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.5%): | ||||||||
61,496 | Anadarko Petroleum Corp. | 4,504,582 | ||||||
16,809 | Andeavor | 2,205,005 | ||||||
46,215 | Apache Corp.^ | 2,160,551 | ||||||
54,294 | Cabot Oil & Gas Corp.^ | 1,292,197 | ||||||
228,267 | Chevron Corp. | 28,859,798 | ||||||
11,164 | Cimarex Energy Co.^ | 1,135,825 | ||||||
17,738 | Concho Resources, Inc.*^ | 2,454,052 | ||||||
139,591 | ConocoPhillips Co. | 9,718,325 | ||||||
63,141 | Devon Energy Corp. | 2,775,678 | ||||||
69,004 | EOG Resources, Inc.^ | 8,586,168 | ||||||
30,119 | EQT Corp. | 1,661,966 | ||||||
505,675 | Exxon Mobil Corp. | 41,834,494 | ||||||
31,582 | Hess Corp.^ | 2,112,520 | ||||||
21,015 | HollyFrontier Corp.^ | 1,438,056 | ||||||
224,587 | Kinder Morgan, Inc. | 3,968,452 | ||||||
102,808 | Marathon Oil Corp. | 2,144,575 | ||||||
55,176 | Marathon Petroleum Corp. | 3,871,148 | ||||||
24,489 | Newfield Exploration Co.* | 740,792 | ||||||
57,948 | Noble Energy, Inc.^ | 2,044,405 | ||||||
91,320 | Occidental Petroleum Corp. | 7,641,658 | ||||||
49,251 | ONEOK, Inc.^ | 3,439,197 | ||||||
50,120 | Phillips 66 | 5,628,977 | ||||||
20,353 | Pioneer Natural Resources Co. | 3,851,602 | ||||||
51,459 | Valero Energy Corp. | 5,703,201 | ||||||
99,414 | Williams Cos., Inc. (The) | 2,695,114 | ||||||
|
| |||||||
152,468,338 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
58,159 | Coty, Inc., Class A^ | 820,042 | ||||||
26,830 | Estee Lauder Co., Inc. (The), Class A | 3,828,373 | ||||||
|
| |||||||
4,648,415 | ||||||||
|
|
Continued
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals (4.2%): | ||||||||
40,534 | Allergan plc | $ | 6,757,828 | |||||
195,300 | Bristol-Myers Squibb Co. | 10,807,902 | ||||||
114,241 | Eli Lilly & Co. | 9,748,185 | ||||||
320,377 | Johnson & Johnson Co. | 38,874,545 | ||||||
321,408 | Merck & Co., Inc. | 19,509,466 | ||||||
61,957 | Mylan NV* | 2,239,126 | ||||||
18,750 | Nektar Therapeutics*^ | 915,563 | ||||||
15,399 | Perrigo Co. plc^ | 1,122,741 | ||||||
699,756 | Pfizer, Inc. | 25,387,148 | ||||||
57,463 | Zoetis, Inc. | 4,895,273 | ||||||
|
| |||||||
120,257,777 | ||||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
14,157 | Equifax, Inc. | 1,771,182 | ||||||
42,926 | IHS Markit, Ltd.* | 2,214,553 | ||||||
39,420 | Nielsen Holdings plc^ | 1,219,261 | ||||||
14,573 | Robert Half International, Inc.^ | 948,702 | ||||||
18,308 | Verisk Analytics, Inc.*^ | 1,970,673 | ||||||
|
| |||||||
8,124,371 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
35,711 | CBRE Group, Inc., Class A*^ | 1,704,843 | ||||||
|
| |||||||
Road & Rail (1.0%): | ||||||||
104,568 | CSX Corp. | 6,669,347 | ||||||
10,407 | J.B. Hunt Transport Services, Inc.^ | 1,264,971 | ||||||
12,161 | Kansas City Southern^ | 1,288,580 | ||||||
33,834 | Norfolk Southern Corp. | 5,104,536 | ||||||
92,759 | Union Pacific Corp.^ | 13,142,094 | ||||||
|
| |||||||
27,469,528 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.0%): | ||||||||
96,795 | Advanced Micro Devices, Inc.*^ | 1,450,957 | ||||||
44,600 | Analog Devices, Inc.^ | 4,278,032 | ||||||
120,835 | Applied Materials, Inc. | 5,581,369 | ||||||
47,971 | Broadcom, Inc. | 11,639,683 | ||||||
556,844 | Intel Corp. | 27,680,715 | ||||||
18,491 | KLA-Tencor Corp. | 1,895,882 | ||||||
19,659 | Lam Research Corp.^ | 3,398,058 | ||||||
27,892 | Microchip Technology, Inc.^ | 2,536,777 | ||||||
138,615 | Micron Technology, Inc.*^ | 7,268,971 | ||||||
72,540 | NVIDIA Corp. | 17,184,726 | ||||||
14,891 | Qorvo, Inc.*^ | 1,193,811 | ||||||
177,222 | QUALCOMM, Inc. | 9,945,699 | ||||||
21,764 | Skyworks Solutions, Inc. | 2,103,491 | ||||||
117,099 | Texas Instruments, Inc. | 12,910,165 | ||||||
29,965 | Xilinx, Inc. | 1,955,516 | ||||||
|
| |||||||
111,023,852 | ||||||||
|
| |||||||
Software (6.0%): | ||||||||
91,102 | Activision Blizzard, Inc. | 6,952,905 | ||||||
58,864 | Adobe Systems, Inc.* | 14,351,631 | ||||||
9,898 | ANSYS, Inc.* | 1,724,034 | ||||||
26,240 | Autodesk, Inc.* | 3,439,802 | ||||||
36,939 | CA, Inc. | 1,316,875 | ||||||
34,285 | Cadence Design Systems, Inc.* | 1,484,883 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
15,209 | Citrix Systems, Inc.* | $ | 1,594,512 | |||||
36,711 | Electronic Arts, Inc.* | 5,176,985 | ||||||
29,160 | Intuit, Inc. | 5,957,534 | ||||||
917,896 | Microsoft Corp. | 90,513,724 | ||||||
356,196 | Oracle Corp. | 15,693,995 | ||||||
21,294 | Red Hat, Inc.* | 2,861,275 | ||||||
84,408 | Salesforce.com, Inc.* | 11,513,251 | ||||||
73,387 | Symantec Corp. | 1,515,442 | ||||||
17,511 | Synopsys, Inc.* | 1,498,416 | ||||||
13,908 | Take-Two Interactive Software, Inc.* | 1,646,151 | ||||||
|
| |||||||
167,241,415 | ||||||||
|
| |||||||
Specialty Retail (2.3%): | ||||||||
8,721 | Advance Auto Parts, Inc.^ | 1,183,440 | ||||||
3,183 | AutoZone, Inc.*^ | 2,135,570 | ||||||
29,351 | Best Buy Co., Inc.^ | 2,188,998 | ||||||
21,357 | CarMax, Inc.*^ | 1,556,285 | ||||||
14,050 | Foot Locker, Inc. | 739,733 | ||||||
26,529 | Gap, Inc. (The)^ | 859,274 | ||||||
137,650 | Home Depot, Inc. (The) | 26,855,515 | ||||||
28,797 | L Brands, Inc.^ | 1,062,033 | ||||||
98,371 | Lowe’s Cos., Inc. | 9,401,316 | ||||||
9,860 | O’Reilly Automotive, Inc.* | 2,697,400 | ||||||
45,030 | Ross Stores, Inc. | 3,816,293 | ||||||
11,999 | Tiffany & Co. | 1,579,068 | ||||||
75,091 | TJX Cos., Inc. (The) | 7,147,161 | ||||||
14,679 | Tractor Supply Co.^ | 1,122,797 | ||||||
6,831 | Ulta Salon, Cosmetics & Fragrance, Inc.*^ | 1,594,765 | ||||||
|
| |||||||
63,939,648 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.5%): | ||||||||
587,325 | Apple, Inc. | 108,719,730 | ||||||
184,804 | Hewlett Packard Enterprise Co. | 2,699,986 | ||||||
196,111 | HP, Inc. | 4,449,759 | ||||||
31,783 | NetApp, Inc. | 2,495,919 | ||||||
34,340 | Seagate Technology plc^ | 1,939,180 | ||||||
35,792 | Western Digital Corp.^ | 2,770,659 | ||||||
24,799 | Xerox Corp. | 595,176 | ||||||
|
| |||||||
123,670,409 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.8%): | ||||||||
41,651 | Hanesbrands, Inc.^ | 917,155 | ||||||
17,912 | Michael Kors Holdings, Ltd.* | 1,192,939 | ||||||
152,917 | Nike, Inc., Class C | 12,184,426 | ||||||
9,087 | PVH Corp. | 1,360,506 | ||||||
6,506 | Ralph Lauren Corp.^ | 817,934 | ||||||
34,843 | Tapestry, Inc. | 1,627,517 | ||||||
22,376 | Under Armour, Inc., Class A*^ | 503,012 | ||||||
22,308 | Under Armour, Inc., Class C*^ | 470,253 | ||||||
39,023 | VF Corp. | 3,181,155 | ||||||
|
| |||||||
22,254,897 | ||||||||
|
|
Continued
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Tobacco (1.0%): | ||||||||
226,090 | Altria Group, Inc. | $ | 12,839,651 | |||||
185,744 | Philip Morris International, Inc. | 14,996,971 | ||||||
|
| |||||||
27,836,622 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
33,823 | Fastenal Co.^ | 1,627,901 | ||||||
9,953 | United Rentals, Inc.* | 1,469,262 | ||||||
6,077 | W.W. Grainger, Inc.^ | 1,874,147 | ||||||
|
| |||||||
4,971,310 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
21,050 | American Water Works Co., Inc. | 1,797,249 | ||||||
|
| |||||||
Total Common Stocks (Cost $1,636,906,410) | 2,750,832,597 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (9.2%): | ||||||||
$ | 254,743,784 | AZL S&P 500 Index Fund Securities Lending Collateral Account(a) | $ | 254,743,784 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 254,743,784 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.8%): | ||||||||
20,819,795 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(b) | 20,819,795 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $20,819,795) | 20,819,795 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,912,469,989) — 109.1%(c) | 3,026,396,176 | |||||||
Net other assets (liabilities) — (9.1)% | (252,781,415 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,773,614,761 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $249,310,370. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(b) | The rate represents the effective yield at June 30, 2018. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $1,013,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/21/18 | 183 | $ | 24,902,640 | $ | (452,717 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (452,717 | ) | ||||||||||||||||||
|
|
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,909,071,196 | |||
|
| ||||
Investments in affiliates, at cost | 3,398,793 | ||||
|
| ||||
Total Investment securities, at cost | $ | 1,912,469,989 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 3,019,041,824 | |||
Investments in affiliates, at value | 7,354,352 | ||||
|
| ||||
Total Investment securities, at value | 3,026,396,176 | ||||
Cash | 15,474 | ||||
Segregated cash for collateral | 1,013,000 | ||||
Interest and dividends receivable | 2,379,401 | ||||
Receivable for capital shares issued | 46,842 | ||||
Receivable for investments sold | 2,907,988 | ||||
Receivable for variation margin on futures contracts | 27,208 | ||||
Reclaims receivable | 1,518 | ||||
Prepaid expenses | 14,474 | ||||
|
| ||||
Total Assets | 3,032,802,081 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 1,365,196 | ||||
Payable for capital shares redeemed | 1,035,241 | ||||
Payable for collateral received on loaned securities | 254,743,784 | ||||
Payable for variation margin on futures contracts | 955 | ||||
Manager fees payable | 394,481 | ||||
Administration fees payable | 65,162 | ||||
Distribution fees payable | 565,028 | ||||
Custodian fees payable | 26,809 | ||||
Administrative and compliance services fees payable | 16,126 | ||||
Transfer agent fees payable | 4,818 | ||||
Trustee fees payable | 73,427 | ||||
Other accrued liabilities | 896,293 | ||||
|
| ||||
Total Liabilities | 259,187,320 | ||||
|
| ||||
Net Assets | $ | 2,773,614,761 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 1,498,040,593 | |||
Accumulated net investment income/(loss) | 63,253,806 | ||||
Accumulated net realized gains/(losses) from investment transactions | 98,846,879 | ||||
Net unrealized appreciation/(depreciation) on investments | 1,113,473,483 | ||||
|
| ||||
Net Assets | $ | 2,773,614,761 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 72,282,045 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,338,506 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.66 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 2,701,332,716 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 163,578,178 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.51 | |||
|
|
* | Includes securities on loan of $249,310,370. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 26,882,596 | |||
Dividends from affiliates | 84,767 | ||||
Interest | 6,488 | ||||
Income from securities lending | 221,001 | ||||
Foreign tax reclaims received | 89 | ||||
|
| ||||
Total Investment Income | 27,194,941 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,387,637 | ||||
Administration fees | 355,720 | ||||
Distribution fees — Class 2 | 3,419,022 | ||||
Custodian fees | 35,740 | ||||
Administrative and compliance services fees | 20,786 | ||||
Transfer agent fees | 6,469 | ||||
Trustee fees | 67,682 | ||||
Professional fees | 69,170 | ||||
Shareholder reports | 24,501 | ||||
Other expenses | 301,230 | ||||
|
| ||||
Total expenses | 6,687,957 | ||||
|
| ||||
Net Investment Income/(Loss) | 20,506,984 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 31,846,284 | ||||
Net realized gains/(losses) on affiliated transactions | 108,883 | ||||
Net realized gains/(losses) on futures contracts | 3,700,477 | ||||
Change in net unrealized appreciation/depreciation on investments | 14,541,419 | ||||
Change in net unrealized appreciation/depreciation on affiliated transactions | (311,547 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (598,259 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 49,287,257 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 69,794,241 | |||
|
|
See accompanying notes to the financial statements.
9
AZL S&P 500 Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 20,506,984 | $ | 43,514,476 | ||||||
Net realized gains/(losses) on investment transactions | 35,655,644 | 92,090,661 | ||||||||
Change in unrealized appreciation/depreciation on investments | 13,631,613 | 396,228,000 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 69,794,241 | 531,833,137 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (777,776 | ) | |||||||
Class 2 | — | (24,758,127 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (3,320,977 | ) | |||||||
Class 2 | — | (121,259,871 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (150,116,751 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 3,411 | 291,055 | ||||||||
Proceeds from dividends reinvested | — | 4,098,753 | ||||||||
Value of shares redeemed | (5,679,793 | ) | (11,407,094 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (5,676,382 | ) | (7,017,286 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 17,526,219 | 39,504,184 | ||||||||
Proceeds from dividends reinvested | — | 146,017,998 | ||||||||
Value of shares redeemed | (172,423,531 | ) | (330,649,414 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (154,897,312 | ) | (145,127,232 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (160,573,694 | ) | (152,144,518 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (90,779,453 | ) | 229,571,868 | |||||||
Net Assets: | ||||||||||
Beginning of period | 2,864,394,214 | 2,634,822,346 | ||||||||
|
|
|
| |||||||
End of period | $ | 2,773,614,761 | $ | 2,864,394,214 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 63,253,806 | $ | 42,746,822 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 214 | 18,260 | ||||||||
Dividends reinvested | — | 271,441 | ||||||||
Shares redeemed | (342,078 | ) | (740,720 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (341,864 | ) | (451,019 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 1,083,753 | 2,654,250 | ||||||||
Dividends reinvested | — | 9,734,533 | ||||||||
Shares redeemed | (10,420,685 | ) | (21,667,977 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (9,336,932 | ) | (9,279,194 | ) | ||||||
|
|
|
| |||||||
Change in shares | (9,678,796 | ) | (9,730,213 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
10
AZL S&P 500 Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.25 | $ | 14.15 | $ | 14.31 | $ | 14.50 | $ | 12.96 | $ | 9.95 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.14 | (a) | 0.28 | (a) | 0.28 | (a) | 0.27 | (a) | 0.24 | (a) | 0.21 | (a) | ||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.27 | 2.71 | 1.30 | (0.12 | ) | 1.49 | 2.96 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.41 | 2.99 | 1.58 | 0.15 | 1.73 | 3.17 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.17 | ) | (0.31 | ) | (0.34 | ) | (0.19 | ) | (0.16 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.72 | ) | (1.43 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.89 | ) | (1.74 | ) | (0.34 | ) | (0.19 | ) | (0.16 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.66 | $ | 16.25 | $ | 14.15 | $ | 14.31 | $ | 14.50 | $ | 12.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 2.52 | %(c) | 21.60 | % | 11.79 | % | 1.16 | % | 13.41 | % | 32.02 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | �� | |||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 72,282 | $ | 76,049 | $ | 72,604 | $ | 20,022 | $ | 21,304 | $ | 19,334 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.70 | % | 1.83 | % | 1.98 | % | 1.86 | % | 1.76 | % | 1.81 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.23 | % | 0.23 | % | 0.24 | % | 0.24 | % | 0.24 | % | 0.24 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.23 | % | 0.23 | % | 0.24 | % | 0.24 | % | 0.24 | % | 0.24 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 2 | % | 2 | % | 23 | % | 8 | % | 3 | % | 4 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.13 | $ | 14.06 | $ | 14.23 | $ | 14.40 | $ | 12.88 | $ | 9.90 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | (a) | 0.24 | (a) | 0.24 | (a) | 0.23 | (a) | 0.20 | (a) | 0.18 | (a) | ||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.26 | 2.70 | 1.29 | (0.11 | ) | 1.48 | 2.94 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.38 | 2.94 | 1.53 | 0.12 | 1.68 | 3.12 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.27 | ) | (0.29 | ) | (0.16 | ) | (0.14 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.72 | ) | (1.43 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.87 | ) | (1.70 | ) | (0.29 | ) | (0.16 | ) | (0.14 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.51 | $ | 16.13 | $ | 14.06 | $ | 14.23 | $ | 14.40 | $ | 12.88 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 2.36 | %(c) | 21.36 | % | 11.45 | % | 0.95 | % | 13.12 | % | 31.66 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 2,701,333 | $ | 2,788,345 | $ | 2,562,218 | $ | 1,223,566 | $ | 1,743,919 | $ | 1,547,689 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.45 | % | 1.58 | % | 1.75 | % | 1.58 | % | 1.51 | % | 1.56 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.48 | % | 0.48 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.48 | % | 0.48 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 2 | % | 2 | % | 23 | % | 8 | % | 3 | % | 4 | % |
(a) | Average shares method used in calculation. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
11
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services - Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL S&P 500 Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
12
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $210 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $22,023 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $254,743,784 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $37.3 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 452,717 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
13
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | 3,700,477 | $ | (598,259 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL S&P 500 Index Fund Class 1 | 0.17 | % | 0.46 | % | ||||||
AZL S&P 500 Index Fund Class 2 | 0.17 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
At June 30, 2018, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain(Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value 6/30/2018 | Shares as of 6/30/2018 | Dividend Income | |||||||||||||||||||||||||||||||||
BlackRock Inc., Class A | $ | 7,816,098 | $ | 83,400 | $ | (342,482 | ) | $ | 108,883 | $ | (311,547 | ) | $ | 7,354,352 | 14,737 | $ | 84,767 | |||||||||||||||||||||||
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$ | 7,816,098 | $ | 83,400 | $ | (342,482 | ) | $ | 108,883 | $ | (311,547 | ) | $ | 7,354,352 | 14,737 | $ | 84,767 | ||||||||||||||||||||||||
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Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $12,870 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Other^ | Total | ||||||||||||
Common Stocks+ | $ | 2,750,832,597 | $ | — | $ | 2,750,832,597 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 254,743,784 | 254,743,784 | ||||||||||||
Unaffiliated Investment Company | 20,819,795 | — | 20,819,795 | ||||||||||||
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Total Investment Securities | 2,771,652,392 | 254,743,784 | 3,026,396,176 | ||||||||||||
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Other Financial Instruments:* | |||||||||||||||
Futures Contracts | (452,717 | ) | — | (452,717 | ) | ||||||||||
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Total Investments | $ | 2,771,199,675 | $ | 254,743,784 | $ | 3,025,943,459 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
15
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL S&P 500 Index Fund | $ | 58,842,179 | $ | 161,586,348 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $1,938,120,703. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 1,117,000,323 | ||
Unrealized (depreciation) | (28,724,850 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 1,088,275,473 | ||
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As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL S&P 500 Index Fund | $ | 31,392,251 | �� | $ | 118,724,500 | $ | 150,116,751 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL S&P 500 Index Fund | $ | 46,679,074 | $ | 85,335,317 | $ | — | $ | 1,073,765,536 | $ | 1,205,779,927 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 65% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
16
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
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The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® Small Cap Stock Index Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 10 |
Page 10 |
Statements of Changes in Net Assets Page 11 |
Page 12 |
Notes to the Financial Statements Page 13 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Small Cap Stock Index Fund
(Unaudited)
As a shareholder of the AZL Small Cap Stock Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Small Cap Stock Index Fund, Class 1 | $ | 1,000.00 | $ | 1,093.30 | $ | 1.71 | 0.33 | % | ||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | $ | 1,000.00 | $ | 1,091.40 | $ | 3.01 | 0.58 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL Small Cap Stock Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.17 | $ | 1.66 | 0.33 | % | ||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.93 | $ | 2.91 | 0.58 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 18.2 | % | |||
Financials | 17.3 | ||||
Information Technology | 15.1 | ||||
Consumer Discretionary | 14.5 | ||||
Health Care | 12.0 | ||||
Real Estate | 5.7 | ||||
Materials | 5.1 | ||||
Energy | 4.2 | ||||
Consumer Staples | 3.1 | ||||
Utilities | 2.2 | ||||
Telecommunication Services | 1.1 | ||||
|
| ||||
Total Common Stocks | 98.5 | ||||
Right | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 27.4 | ||||
Money Market | 0.3 | ||||
|
| ||||
Total Investment Securities | 126.2 | ||||
Net other assets (liabilities) | (26.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.5%): | ||||||||
Aerospace & Defense (2.1%): | ||||||||
35,946 | AAR Corp.^ | $ | 1,671,130 | |||||
84,237 | Aerojet Rocketdyne Holdings, Inc.*^ | 2,484,149 | ||||||
23,837 | AeroVironment, Inc.*^ | 1,702,677 | ||||||
64,025 | Axon Enterprise, Inc.*^ | 4,045,099 | ||||||
27,849 | Cubic Corp.^ | 1,787,906 | ||||||
19,906 | Engility Holdings, Inc.*^ | 609,920 | ||||||
53,506 | Mercury Computer Systems, Inc.*^ | 2,036,438 | ||||||
36,131 | Moog, Inc., Class A | 2,816,773 | ||||||
5,486 | National Presto Industries, Inc.^ | 680,264 | ||||||
55,303 | Triumph Group, Inc.^ | 1,083,939 | ||||||
|
| |||||||
18,918,295 | ||||||||
|
| |||||||
Air Freight & Logistics (0.7%): | ||||||||
28,551 | Atlas Air Worldwide Holdings, Inc.*^ | 2,047,107 | ||||||
29,432 | Echo Global Logistics, Inc.*^ | 860,886 | ||||||
32,691 | Forward Air Corp.^ | 1,931,384 | ||||||
37,508 | Hub Group, Inc.*^ | 1,867,898 | ||||||
|
| |||||||
6,707,275 | ||||||||
|
| |||||||
Airlines (0.8%): | ||||||||
14,001 | Allegiant Travel Co.^ | 1,945,439 | ||||||
56,354 | Hawaiian Holdings, Inc.^ | 2,025,926 | ||||||
57,954 | SkyWest, Inc.^ | 3,007,813 | ||||||
|
| |||||||
6,979,178 | ||||||||
|
| |||||||
Auto Components (1.7%): | ||||||||
110,534 | American Axle & Manufacturing Holdings, Inc.*^ | 1,719,909 | ||||||
56,622 | Cooper Tire & Rubber Co.^ | 1,489,159 | ||||||
18,138 | Cooper-Standard Holding, Inc.* | 2,370,092 | ||||||
33,122 | Dorman Products, Inc.*^ | 2,262,564 | ||||||
41,989 | Fox Factory Holding Corp.*^ | 1,954,588 | ||||||
41,019 | Gentherm, Inc.*^ | 1,612,047 | ||||||
28,054 | LCI Industries^ | 2,529,067 | ||||||
21,522 | Motorcar Parts of America, Inc.*^ | 402,677 | ||||||
22,405 | Standard Motor Products, Inc.^ | 1,083,058 | ||||||
26,646 | Superior Industries International, Inc.^ | 476,963 | ||||||
|
| |||||||
15,900,124 | ||||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
32,365 | Winnebago Industries, Inc.^ | 1,314,019 | ||||||
|
| |||||||
Banks (8.2%): | ||||||||
45,054 | Ameris Bancorp^ | 2,403,631 | ||||||
47,311 | Banc of California, Inc.^ | 924,930 | ||||||
36,111 | Banner Corp.^ | 2,171,354 | ||||||
40,915 | Berkshire Hills Bancorp, Inc.^ | 1,661,149 | ||||||
97,192 | Boston Private Financial Holdings, Inc.^ | 1,545,353 | ||||||
89,804 | Brookline Bancorp, Inc.^ | 1,670,354 | ||||||
33,193 | Central Pacific Financial Corp. | 950,979 | ||||||
17,021 | City Holding Co.^ | 1,280,490 | ||||||
81,648 | Columbia Banking System, Inc.^ | 3,339,403 | ||||||
56,917 | Community Bank System, Inc.^ | 3,362,087 | ||||||
32,906 | Customers Bancorp, Inc.*^ | 933,872 | ||||||
114,749 | CVB Financial Corp.^ | 2,572,673 | ||||||
24,523 | Fidelity Southern Corp.^ | 623,129 | ||||||
202,136 | First Bancorp* | 1,546,340 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
113,740 | First Commonwealth Financial Corp. | $ | 1,764,107 | |||||
109,117 | First Financial Bancorp | 3,344,436 | ||||||
75,312 | First Financial Bankshares, Inc.^ | 3,833,382 | ||||||
115,483 | First Midwest Bancorp, Inc.^ | 2,941,352 | ||||||
13,253 | Franklin Financial Network, Inc.* | 498,313 | ||||||
88,577 | Glacier Bancorp, Inc.^ | 3,426,158 | ||||||
65,697 | Great Western Bancorp, Inc.^ | 2,758,617 | ||||||
29,722 | Green BanCorp, Inc.^ | 641,995 | ||||||
35,799 | Hanmi Financial Corp. | 1,014,902 | ||||||
32,280 | Heritage Financial Corp. | 1,124,958 | ||||||
143,325 | Hope BanCorp, Inc.^ | 2,555,485 | ||||||
30,871 | Independent Bank Corp.^ | 2,420,286 | ||||||
47,157 | LegacyTexas Financial Group, Inc.^ | 1,840,066 | ||||||
30,220 | National Bank Holdings Corp.^ | 1,166,190 | ||||||
48,728 | NBT Bancorp, Inc.^ | 1,858,973 | ||||||
49,957 | OFG Bancorp | 701,896 | ||||||
149,949 | Old National Bancorp^ | 2,789,051 | ||||||
19,654 | Opus Bank^ | 564,070 | ||||||
43,586 | Pacific Premier Bancorp, Inc.*^ | 1,662,806 | ||||||
38,645 | S & T Bancorp, Inc.^ | 1,671,010 | ||||||
52,192 | Seacoast Banking Corp.*^ | 1,648,223 | ||||||
50,411 | ServisFirst Bancshares, Inc.^ | 2,103,651 | ||||||
87,658 | Simmons First National Corp., Class A^ | 2,620,974 | ||||||
31,403 | Southside Bancshares, Inc.^ | 1,057,653 | ||||||
13,906 | Tompkins Financial Corp. | 1,194,247 | ||||||
82,313 | United Community Banks, Inc. | 2,524,540 | ||||||
29,609 | Westamerica Bancorp^ | 1,673,205 | ||||||
|
| |||||||
76,386,290 | ||||||||
|
| |||||||
Beverages (0.2%): | ||||||||
5,245 | Coca-Cola Bottling Co. Consolidated | 708,757 | ||||||
13,931 | MGP Ingredients, Inc.^ | 1,237,212 | ||||||
|
| |||||||
1,945,969 | ||||||||
|
| |||||||
Biotechnology (2.7%): | ||||||||
52,682 | Acorda Therapeutics, Inc.*^ | 1,511,973 | ||||||
37,905 | AMAG Pharmaceuticals, Inc.*^ | 739,148 | ||||||
58,749 | Cytokinetics, Inc.*^ | 487,617 | ||||||
9,326 | Eagle Pharmaceuticals, Inc.*^ | 705,605 | ||||||
39,296 | Emergent Biosolutions, Inc.*^ | 1,984,055 | ||||||
16,071 | Enanta Pharmaceuticals, Inc.*^ | 1,862,629 | ||||||
23,729 | Ligand Pharmaceuticals, Inc., Class B*^ | 4,915,936 | ||||||
114,609 | Mimedx Group, Inc.*^ | 732,352 | ||||||
86,281 | Momenta Pharmaceuticals, Inc.*^ | 1,764,446 | ||||||
77,800 | Myriad Genetics, Inc.*^ | 2,907,386 | ||||||
83,624 | Progenics Pharmaceuticals, Inc.*^ | 672,337 | ||||||
29,891 | Regenxbio, Inc.*^ | 2,144,679 | ||||||
41,817 | Repligen Corp.*^ | 1,967,072 | ||||||
104,311 | Spectrum Pharmaceuticals, Inc.*^ | 2,186,359 | ||||||
|
| |||||||
24,581,594 | ||||||||
|
| |||||||
Building Products (2.2%): | ||||||||
44,641 | AAON, Inc.^ | 1,484,313 | ||||||
15,801 | American Woodmark Corp.*^ | 1,446,582 |
Continued
2
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
31,338 | Apogee Enterprises, Inc.^ | $ | 1,509,551 | |||||
35,539 | Gibraltar Industries, Inc.*^ | 1,332,713 | ||||||
33,390 | Griffon Corp.^ | 594,342 | ||||||
20,159 | Insteel Industries, Inc.^ | 673,311 | ||||||
26,129 | Patrick Industries, Inc.*^ | 1,485,434 | ||||||
55,285 | PGT, Inc.* | 1,152,692 | ||||||
39,880 | Quanex Building Products Corp.^ | 715,846 | ||||||
45,904 | Simpson Manufacturing Co., Inc.^ | 2,854,769 | ||||||
65,652 | Trex Co., Inc.*^ | 4,109,158 | ||||||
68,551 | Universal Forest Products, Inc.^ | 2,510,338 | ||||||
|
| |||||||
19,869,049 | ||||||||
|
| |||||||
Capital Markets (1.3%): | ||||||||
37,552 | Donnelley Financial Solutions, Inc.*^ | 652,278 | ||||||
71,077 | Financial Engines, Inc. | 3,191,357 | ||||||
24,950 | Greenhill & Co., Inc.^ | 708,580 | ||||||
18,407 | INTL FCStone, Inc.*^ | 951,826 | ||||||
39,267 | Investment Technology Group, Inc.^ | 821,466 | ||||||
16,140 | Piper Jaffray Cos., Inc. | 1,240,359 | ||||||
8,302 | Virtus Investment Partners, Inc.^ | 1,062,241 | ||||||
92,646 | Waddell & Reed Financial, Inc., Class A^ | 1,664,849 | ||||||
131,150 | WisdomTree Investments, Inc.^ | 1,190,842 | ||||||
|
| |||||||
11,483,798 | ||||||||
|
| |||||||
Chemicals (2.9%): | ||||||||
32,894 | A. Schulman, Inc. | 1,463,783 | ||||||
33,947 | Advansix, Inc.* | 1,243,479 | ||||||
29,443 | American Vanguard Corp.^ | 675,717 | ||||||
35,703 | Balchem Corp.^ | 3,503,892 | ||||||
65,605 | Flotek Industries, Inc.*^ | 211,904 | ||||||
29,273 | Futurefuel Corp. | 410,115 | ||||||
56,594 | H.B. Fuller Co.^ | 3,037,966 | ||||||
10,906 | Hawkins, Inc. | 385,527 | ||||||
46,934 | Ingevity Corp.* | 3,795,083 | ||||||
21,940 | Innophos Holdings, Inc.^ | 1,044,344 | ||||||
27,056 | Innospec, Inc. | 2,071,137 | ||||||
23,938 | Koppers Holdings, Inc.* | 918,022 | ||||||
35,495 | Kraton Performance Polymers, Inc.* | 1,637,739 | ||||||
24,964 | LSB Industries, Inc.*^ | 132,309 | ||||||
14,778 | Quaker Chemical Corp.^ | 2,288,669 | ||||||
58,087 | Rayonier Advanced Materials, Inc.^ | 992,707 | ||||||
22,141 | Stepan Co. | 1,727,219 | ||||||
29,023 | Tredegar Corp.^ | 682,041 | ||||||
|
| |||||||
26,221,653 | ||||||||
|
| |||||||
Commercial Services & Supplies (2.5%): | ||||||||
73,308 | ABM Industries, Inc.^ | 2,139,127 | ||||||
53,270 | Brady Corp., Class A | 2,053,559 | ||||||
42,435 | Essendant, Inc.^ | 560,991 | ||||||
66,028 | Interface, Inc. | 1,515,343 | ||||||
37,816 | LSC Communications, Inc.^ | 592,199 | ||||||
35,900 | Matthews International Corp., Class A^ | 2,110,920 | ||||||
49,815 | Mobile Mini, Inc.^ | 2,336,323 | ||||||
15,521 | Multi-Color Corp.^ | 1,003,433 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
80,910 | RR Donnelley & Sons Co.^ | $ | 466,042 | |||||
33,737 | Team, Inc.*^ | 779,325 | ||||||
61,964 | Tetra Tech, Inc.^ | 3,624,893 | ||||||
17,211 | UniFirst Corp. | 3,044,625 | ||||||
24,378 | US Ecology, Inc. | 1,552,879 | ||||||
22,720 | Viad Corp.^ | 1,232,560 | ||||||
|
| |||||||
23,012,219 | ||||||||
|
| |||||||
Communications Equipment (1.6%): | ||||||||
53,873 | ADTRAN, Inc.^ | 800,014 | ||||||
21,950 | Applied Optoelectronics, Inc.* | 985,555 | ||||||
11,676 | Bel Fuse, Inc., Class B | 244,028 | ||||||
39,432 | CalAmp Corp.*^ | 923,892 | ||||||
26,475 | Comtech Telecommunications Corp.^ | 844,023 | ||||||
30,714 | Digi International, Inc.* | 405,425 | ||||||
130,968 | Extreme Networks, Inc.*^ | 1,042,505 | ||||||
127,529 | Finisar Corp.* | 2,295,522 | ||||||
92,991 | Harmonic, Inc.*^ | 395,212 | ||||||
35,126 | NETGEAR, Inc.*^ | 2,195,375 | ||||||
189,397 | Oclaro, Inc.* | 1,691,315 | ||||||
252,504 | Viavi Solutions, Inc.*^ | 2,585,641 | ||||||
|
| |||||||
14,408,507 | ||||||||
|
| |||||||
Construction & Engineering (0.4%): | ||||||||
36,169 | Aegion Corp.*^ | 931,352 | ||||||
41,270 | Comfort Systems USA, Inc. | 1,890,166 | ||||||
18,783 | MYR Group, Inc.* | 666,045 | ||||||
33,782 | Orion Marine Group, Inc.* | 279,039 | ||||||
|
| |||||||
3,766,602 | ||||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
17,511 | U.S. Concrete, Inc.*^ | 919,328 | ||||||
|
| |||||||
Consumer Finance (1.6%): | ||||||||
27,561 | Encore Capital Group, Inc.*^ | 1,008,733 | ||||||
37,761 | Enova International, Inc.*^ | 1,380,165 | ||||||
58,617 | EZCORP, Inc., Class A*^ | 706,335 | ||||||
51,070 | Firstcash, Inc. | 4,588,639 | ||||||
52,385 | Green Dot Corp., Class A* | 3,844,534 | ||||||
50,463 | PRA Group, Inc.*^ | 1,945,349 | ||||||
6,896 | World Acceptance Corp.* | 765,525 | ||||||
|
| |||||||
14,239,280 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
30,585 | Myers Industries, Inc. | 587,232 | ||||||
|
| |||||||
Distributors (0.1%): | ||||||||
51,400 | Core Markt Holdngs Co., Inc.^ | 1,166,780 | ||||||
|
| |||||||
Diversified Consumer Services (0.6%): | ||||||||
18,398 | American Public Education, Inc.* | 774,556 | ||||||
12,937 | Capella Education Co. | 1,276,882 | ||||||
73,114 | Career Education Corp.* | 1,182,253 | ||||||
37,821 | Regis Corp.*^ | 625,559 | ||||||
12,042 | Strayer Education, Inc.^ | 1,360,867 | ||||||
|
| |||||||
5,220,117 | ||||||||
|
|
Continued
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services (1.1%): | ||||||||
12,355 | ATN International, Inc.^ | $ | 651,973 | |||||
47,237 | Cincinnati Bell, Inc.* | 741,621 | ||||||
46,566 | Cogent Communications Group, Inc. | 2,486,624 | ||||||
71,877 | Consolidated Communications Holdings, Inc.^ | 888,400 | ||||||
90,693 | Frontier Communications Corp.^ | 486,114 | ||||||
93,179 | Iridium Communications, Inc.*^ | 1,500,182 | ||||||
240,853 | Vonage Holdings Corp.* | 3,104,596 | ||||||
|
| |||||||
9,859,510 | ||||||||
|
| |||||||
Electric Utilities (0.3%): | ||||||||
44,976 | El Paso Electric Co.^ | 2,658,082 | ||||||
|
| |||||||
Electrical Equipment (0.4%): | ||||||||
28,731 | AZZ, Inc.^ | 1,248,362 | ||||||
23,099 | Encore Wire Corp. | 1,096,048 | ||||||
9,803 | Powell Industries, Inc.^ | 341,438 | ||||||
17,949 | Vicor Corp.*^ | 781,679 | ||||||
|
| |||||||
3,467,527 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (4.0%): | ||||||||
17,465 | Agilysys, Inc.*^ | 270,708 | ||||||
32,368 | Anixter International, Inc.*^ | 2,048,894 | ||||||
32,242 | Badger Meter, Inc.^ | 1,441,217 | ||||||
52,568 | Benchmark Electronics, Inc.^ | 1,532,357 | ||||||
22,213 | Control4 Corp.*^ | 539,998 | ||||||
36,831 | CTS Corp. | 1,325,916 | ||||||
42,755 | Daktronics, Inc. | 363,845 | ||||||
38,790 | Electro Scientific Industries, Inc.*^ | 611,718 | ||||||
15,189 | ePlus, Inc.* | 1,429,285 | ||||||
41,065 | Fabrinet*^ | 1,514,888 | ||||||
19,148 | FARO Technologies, Inc.*^ | 1,040,694 | ||||||
61,286 | II-VI, Inc.*^ | 2,662,876 | ||||||
39,478 | Insight Enterprises, Inc.* | 1,931,659 | ||||||
38,342 | Itron, Inc.*^ | 2,302,436 | ||||||
54,846 | KEMET Corp.* | 1,324,531 | ||||||
99,885 | Knowles Corp.*^ | 1,528,241 | ||||||
40,800 | Methode Electronics, Inc., Class A | 1,644,240 | ||||||
20,091 | MTS Systems Corp.^ | 1,057,791 | ||||||
18,878 | OSI Systems, Inc.*^ | 1,459,836 | ||||||
21,150 | Park Electrochemical Corp.^ | 490,469 | ||||||
36,621 | Plexus Corp.*^ | 2,180,414 | ||||||
20,447 | Rogers Corp.*^ | 2,279,023 | ||||||
76,302 | Sanmina Corp.*^ | 2,235,649 | ||||||
28,279 | ScanSource, Inc.* | 1,139,644 | ||||||
103,563 | TTM Technologies, Inc.*^ | 1,825,816 | ||||||
|
| |||||||
36,182,145 | ||||||||
|
| |||||||
Energy Equipment & Services (2.2%): | ||||||||
143,681 | Archrock, Inc.^ | 1,724,172 | ||||||
35,175 | Bristow Group, Inc.*^ | 496,319 | ||||||
70,454 | C&J Energy Services, Inc.*^ | 1,662,714 | ||||||
24,968 | CARBO Ceramics, Inc.*^ | 228,957 | ||||||
23,833 | Era Group, Inc.* | 308,637 | ||||||
36,286 | Exterran Corp.* | 908,601 | ||||||
15,881 | Geospace Technologies Corp.*^ | 223,287 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Energy Equipment & Services, continued | ||||||||
15,774 | Gulf Island Fabrication, Inc.^ | $ | 141,966 | |||||
156,342 | Helix Energy Solutions Group, Inc.*^ | 1,302,329 | ||||||
30,191 | Matrix Service Co.* | 554,005 | ||||||
97,963 | Newpark Resources, Inc.*^ | 1,062,899 | ||||||
274,070 | Noble Corp. plc*^ | 1,734,863 | ||||||
66,360 | Oil States International, Inc.*^ | 2,130,156 | ||||||
87,696 | Pioneer Energy Services Corp.* | 513,022 | ||||||
79,436 | Propetro Holding Corp.*^ | 1,245,556 | ||||||
19,237 | SEACOR Holdings, Inc.^ | 1,101,703 | ||||||
143,258 | TETRA Technologies, Inc.* | 637,498 | ||||||
86,732 | U.S. Silica Holdings, Inc.^ | 2,228,145 | ||||||
59,942 | Unit Corp.*^ | 1,532,118 | ||||||
|
| |||||||
19,736,947 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (5.4%): | ||||||||
91,219 | Acadia Realty Trust^ | 2,496,664 | ||||||
34,675 | Agree Realty Corp.^ | 1,829,800 | ||||||
47,410 | American Assets Trust, Inc. | 1,815,329 | ||||||
51,422 | Armada Hoffler Properties, Inc.^ | 766,188 | ||||||
84,568 | CareTrust REIT, Inc.^ | 1,411,440 | ||||||
191,907 | CBL & Associates Properties, Inc.^ | 1,068,922 | ||||||
88,206 | Cedar Shopping Centers, Inc. | 416,332 | ||||||
51,158 | Chatham Lodging Trust^ | 1,085,573 | ||||||
67,586 | Chesapeake Lodging Trust^ | 2,138,421 | ||||||
19,285 | Community Healthcare Trust, Inc.^ | 576,043 | ||||||
223,443 | DiamondRock Hospitality, Co.^ | 2,743,880 | ||||||
62,598 | Easterly Government Properties, Inc.^ | 1,236,936 | ||||||
39,142 | EastGroup Properties, Inc.^ | 3,740,409 | ||||||
68,486 | Four Corners Property Trust, Inc. | 1,686,810 | ||||||
120,757 | Franklin Street Properties Corp.^ | 1,033,680 | ||||||
36,680 | Getty Realty Corp. | 1,033,276 | ||||||
75,349 | Global Net Lease, Inc.^ | 1,539,380 | ||||||
90,322 | Government Properties Income Trust^ | 1,431,604 | ||||||
41,060 | Hersha Hospitality Trust^ | 880,737 | ||||||
96,582 | Independence Realty Trust, Inc.^ | 995,760 | ||||||
93,732 | Kite Realty Group Trust | 1,600,943 | ||||||
244,034 | Lexington Realty Trust | 2,130,417 | ||||||
44,227 | LTC Properties, Inc.^ | 1,890,262 | ||||||
56,990 | National Storage Affiliates^ | 1,756,432 | ||||||
79,165 | Pennsylvania Real Estate Investment Trust^ | 870,023 | ||||||
22,431 | PS Business Parks, Inc.^ | 2,882,384 | ||||||
89,392 | Ramco-Gershenson Properties Trust^ | 1,180,868 | ||||||
126,521 | Retail Opportunity Investments Corp.^ | 2,424,142 | ||||||
14,135 | Saul Centers, Inc. | 757,353 | ||||||
116,273 | Summit Hotel Properties, Inc.^ | 1,663,867 | ||||||
14,094 | Universal Health Realty Income Trust^ | 901,734 | ||||||
33,010 | Urstadt Biddle Properties, Inc., Class A^ | 747,016 | ||||||
189,711 | Washington Prime Group, Inc.^ | 1,538,556 | ||||||
45,919 | Whitestone REIT^ | 573,069 | ||||||
|
| |||||||
50,844,250 | ||||||||
|
| |||||||
Food & Staples Retailing (0.3%): | ||||||||
39,605 | SpartanNash Co.^ | 1,010,720 | ||||||
43,236 | SUPERVALU, Inc.*^ | 887,203 |
Continued
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
29,482 | The Andersons, Inc.^ | $ | 1,008,284 | |||||
|
| |||||||
2,906,207 | ||||||||
|
| |||||||
Food Products (1.5%): | ||||||||
74,247 | B&G Foods, Inc.^ | 2,219,985 | ||||||
17,475 | Calavo Growers, Inc.^ | 1,680,221 | ||||||
32,997 | Cal-Maine Foods, Inc.*^ | 1,512,912 | ||||||
183,717 | Darling International, Inc.*^ | 3,652,295 | ||||||
101,771 | Dean Foods Co.^ | 1,069,613 | ||||||
16,561 | J & J Snack Foods Corp.^ | 2,525,056 | ||||||
9,523 | John B Sanfilippo And Son, Inc.^ | 708,987 | ||||||
8,004 | Seneca Foods Corp., Class A* | 216,108 | ||||||
|
| |||||||
13,585,177 | ||||||||
|
| |||||||
Gas Utilities (1.0%): | ||||||||
31,989 | Northwest Natural Gas Co.^ | 2,040,898 | ||||||
95,355 | South Jersey Industries, Inc.^ | 3,191,532 | ||||||
55,905 | Spire, Inc. | 3,949,688 | ||||||
|
| |||||||
9,182,118 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.2%): | ||||||||
25,464 | Abaxis, Inc. | 2,113,767 | ||||||
40,623 | AngioDynamics, Inc.*^ | 903,456 | ||||||
16,711 | Anika Therapeutics, Inc.*^ | 534,752 | ||||||
27,803 | CONMED Corp. | 2,035,180 | ||||||
37,978 | CryoLife, Inc.*^ | 1,057,687 | ||||||
15,473 | Cutera, Inc.*^ | 623,562 | ||||||
19,386 | Inogen, Inc.*^ | 3,612,193 | ||||||
31,805 | Integer Holdings Corp.* | 2,056,193 | ||||||
37,749 | Invacare Corp.^ | 702,131 | ||||||
34,611 | Lantheus Holdings, Inc.* | 503,590 | ||||||
16,622 | LeMaitre Vascular, Inc.^ | 556,505 | ||||||
46,205 | Meridian Bioscience, Inc.^ | 734,660 | ||||||
56,147 | Merit Medical Systems, Inc.*^ | 2,874,726 | ||||||
37,008 | Natus Medical, Inc.*^ | 1,276,776 | ||||||
57,515 | Neogen Corp.*^ | 4,612,127 | ||||||
67,748 | OraSure Technologies, Inc.*^ | 1,115,810 | ||||||
21,196 | Orthofix International NV* | 1,204,357 | ||||||
14,565 | Surmodics, Inc.* | 803,988 | ||||||
16,402 | Tactile Systems Technology, Inc.*^ | 852,904 | ||||||
42,251 | Varex Imaging Corp.*^ | 1,567,090 | ||||||
|
| |||||||
29,741,454 | ||||||||
|
| |||||||
Health Care Providers & Services (3.3%): | ||||||||
38,089 | Aceto Corp.^ | 127,598 | ||||||
31,854 | Amedisys, Inc.*^ | 2,722,243 | ||||||
53,267 | AMN Healthcare Services, Inc.*^ | 3,121,446 | ||||||
34,520 | BioTelemetry, Inc.*^ | 1,553,400 | ||||||
132,802 | Community Health Systems, Inc.*^ | 440,903 | ||||||
10,905 | CorVel Corp.*^ | 588,870 | ||||||
40,825 | Cross Country Healthcare, Inc.*^ | 459,281 | ||||||
53,699 | Diplomat Pharmacy, Inc.*^ | 1,372,546 | ||||||
54,176 | Ensign Group, Inc. (The)^ | 1,940,584 | ||||||
58,501 | HealthEquity, Inc.*^ | 4,393,426 | ||||||
104,379 | Kindred Healthcare, Inc.*^ | 939,411 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
32,536 | LHC Group, Inc.* | $ | 2,784,756 | |||||
27,445 | Magellan Health Services, Inc.* | 2,633,348 | ||||||
68,782 | Owens & Minor, Inc.^ | 1,149,347 | ||||||
12,081 | Providence Service Corp.*^ | 948,963 | ||||||
33,350 | Quorum Health Corp.*^ | 166,750 | ||||||
119,402 | Select Medical Holdings Corp.*^ | 2,167,146 | ||||||
38,002 | Tivity Health, Inc.*^ | 1,337,670 | ||||||
14,181 | U.S. Physical Therapy, Inc.^ | 1,361,376 | ||||||
|
| |||||||
30,209,064 | ||||||||
|
| |||||||
Health Care Technology (0.8%): | ||||||||
13,028 | Computer Programs & Systems, Inc.^ | 428,621 | ||||||
28,905 | HealthStream, Inc. | 789,396 | ||||||
92,548 | HMS Holdings Corp.*^ | 2,000,888 | ||||||
43,365 | Omnicell, Inc.*^ | 2,274,493 | ||||||
53,091 | Quality Systems, Inc.* | 1,035,275 | ||||||
15,353 | Tabula Rasa Healthcare, Inc.*^ | 979,982 | ||||||
|
| |||||||
7,508,655 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (2.3%): | ||||||||
95,658 | Belmond, Ltd., Class A*^ | 1,066,587 | ||||||
19,913 | BJ’s Restaurants, Inc.^ | 1,194,780 | ||||||
19,029 | Chuy’s Holdings, Inc.*^ | 584,190 | ||||||
44,155 | Dave & Buster’s Entertainment, Inc.*^ | 2,101,778 | ||||||
19,798 | DineEquity, Inc.^ | 1,480,890 | ||||||
23,602 | El Pollo Loco Holdings, Inc.*^ | 269,063 | ||||||
30,000 | Fiesta Restaurant Group, Inc.*^ | 861,000 | ||||||
21,838 | Marcus Corp. | 709,735 | ||||||
26,284 | Marriott Vacations Worldwide Corp. | 2,969,041 | ||||||
12,780 | Monarch Casino & Resort, Inc.* | 562,959 | ||||||
94,033 | Penn National Gaming, Inc.*^ | 3,158,569 | ||||||
14,601 | Red Robin Gourmet Burgers*^ | 680,407 | ||||||
31,961 | Ruth’s Hospitality Group, Inc.^ | 896,506 | ||||||
21,386 | Shake Shack, Inc., Class A*^ | 1,415,325 | ||||||
41,378 | Sonic Corp.^ | 1,424,231 | ||||||
32,504 | Wingstop, Inc.^ | 1,694,108 | ||||||
|
| |||||||
21,069,169 | ||||||||
|
| |||||||
Household Durables (1.9%): | ||||||||
9,482 | Cavco Industries, Inc.*^ | 1,968,937 | ||||||
27,157 | Ethan Allen Interiors, Inc.^ | 665,347 | ||||||
23,157 | Installed Building Products, Inc.*^ | 1,309,528 | ||||||
30,991 | iRobot Corp.*^ | 2,348,188 | ||||||
51,944 | La-Z-Boy, Inc. | 1,589,486 | ||||||
20,344 | LGI Homes, Inc.*^ | 1,174,459 | ||||||
49,912 | M.D.C. Holdings, Inc.^ | 1,535,792 | ||||||
32,175 | M/I Homes, Inc.*^ | 851,994 | ||||||
42,355 | Meritage Corp.*^ | 1,861,502 | ||||||
39,733 | TopBuild Corp.*^ | 3,112,684 | ||||||
15,811 | Universal Electronics, Inc.*^ | 522,554 | ||||||
31,731 | William Lyon Homes, Class A*^ | 736,159 | ||||||
|
| |||||||
17,676,630 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
11,614 | Central Garden & Pet Co.*^ | 504,977 |
Continued
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Products, continued | ||||||||
39,165 | Central Garden & Pet Co., Class A* | $ | 1,585,008 | |||||
15,483 | WD-40 Co.^ | 2,264,388 | ||||||
|
| |||||||
4,354,373 | ||||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
39,790 | Raven Industries, Inc.^ | 1,529,926 | ||||||
|
| |||||||
Insurance (3.7%): | ||||||||
92,135 | American Equity Investment Life Holding Co.^ | 3,316,860 | ||||||
21,311 | Amerisafe, Inc.^ | 1,230,710 | ||||||
54,797 | ASGN, Inc.* | 4,284,578 | ||||||
19,133 | eHealth, Inc.*^ | 422,839 | ||||||
36,370 | Employers Holdings, Inc. | 1,462,074 | ||||||
8,738 | HCI Group, Inc.^ | 363,239 | ||||||
45,967 | Horace Mann Educators Corp. | 2,050,128 | ||||||
12,347 | Infinity Property & Casualty Corp. | 1,757,595 | ||||||
32,988 | James River Group Holdings^ | 1,296,098 | ||||||
75,021 | Maiden Holdings, Ltd.^ | 581,413 | ||||||
25,044 | Navigators Group, Inc. | 1,427,508 | ||||||
59,714 | ProAssurance Corp.^ | 2,116,861 | ||||||
43,624 | RLI Corp.^ | 2,887,473 | ||||||
17,003 | Safety Insurance Group, Inc. | 1,452,056 | ||||||
65,601 | Selective Insurance Group, Inc.^ | 3,608,055 | ||||||
26,528 | Stewart Information Services Corp. | 1,142,561 | ||||||
91,227 | Third Point Reinsurance, Ltd.*^ | 1,140,337 | ||||||
23,847 | United Fire Group, Inc. | 1,299,900 | ||||||
23,358 | United Insurance Holdings Co.^ | 457,350 | ||||||
36,087 | Universal Insurance Holdings, Inc.^ | 1,266,654 | ||||||
|
| |||||||
33,564,289 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.6%): | ||||||||
19,440 | FTD Cos., Inc.*^ | 90,202 | ||||||
33,103 | Nutri/System, Inc.^ | 1,274,466 | ||||||
23,002 | PetMed Express, Inc.^ | 1,013,238 | ||||||
36,945 | Shutterfly, Inc.*^ | 3,326,158 | ||||||
|
| |||||||
5,704,064 | ||||||||
|
| |||||||
Internet Software & Services (1.5%): | ||||||||
27,767 | Alarm.com Holding, Inc.*^ | 1,121,231 | ||||||
52,352 | Blucora, Inc.*^ | 1,937,024 | ||||||
30,173 | Liquidity Services, Inc.* | 197,633 | ||||||
61,811 | LivePerson, Inc.* | 1,304,212 | ||||||
73,545 | NIC, Inc.^ | 1,143,625 | ||||||
41,104 | QuinStreet, Inc.*^ | 522,021 | ||||||
20,519 | Shutterstock, Inc.*^ | 973,832 | ||||||
19,222 | SPS Commerce, Inc.*^ | 1,412,433 | ||||||
18,566 | Stamps.com, Inc.*^ | 4,698,126 | ||||||
27,351 | XO Group, Inc.* | 875,232 | ||||||
|
| |||||||
14,185,369 | ||||||||
|
| |||||||
IT Services (2.2%): | ||||||||
27,533 | CACI International, Inc., Class A* | 4,640,688 | ||||||
51,207 | Cardtronics plc*^ | 1,238,185 | ||||||
37,381 | CSG Systems International, Inc.^ | 1,527,761 | ||||||
67,070 | Evertec, Inc. | 1,465,480 | ||||||
38,302 | Exlservice Holdings, Inc.* | 2,168,276 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
10,791 | Forrester Research, Inc. | $ | 452,682 | |||||
29,237 | ManTech International Corp., Class A^ | 1,568,273 | ||||||
39,657 | Perficient, Inc.* | 1,045,755 | ||||||
43,994 | Sykes Enterprises, Inc.* | 1,266,147 | ||||||
140,544 | Travelport Worldwide, Ltd. | 2,605,686 | ||||||
15,754 | TTEC Holdings, Inc. | 544,301 | ||||||
30,636 | Virtusa Corp.* | 1,491,360 | ||||||
|
| |||||||
20,014,594 | ||||||||
|
| |||||||
Leisure Products (0.5%): | ||||||||
104,488 | Callaway Golf Co.^ | 1,982,137 | ||||||
34,240 | Nautilus Group, Inc.*^ | 537,568 | ||||||
19,281 | Sturm, Ruger & Co., Inc.^ | 1,079,736 | ||||||
63,777 | Vista Outdoor, Inc.*^ | 987,906 | ||||||
|
| |||||||
4,587,347 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.4%): | ||||||||
36,424 | Cambrex Corp.*^ | 1,904,975 | ||||||
45,805 | Luminex Corp.^ | 1,352,622 | ||||||
|
| |||||||
3,257,597 | ||||||||
|
| |||||||
Machinery (5.2%): | ||||||||
67,880 | Actuant Corp., Class A^ | 1,992,278 | ||||||
10,486 | Alamo Group, Inc. | 947,515 | ||||||
32,246 | Albany International Corp., Class A | 1,939,597 | ||||||
21,291 | Astec Industries, Inc.^ | 1,273,202 | ||||||
53,799 | Barnes Group, Inc. | 3,168,761 | ||||||
48,409 | Briggs & Stratton Corp.^ | 852,482 | ||||||
34,595 | Chart Industries, Inc.*^ | 2,133,820 | ||||||
22,381 | CIRCOR International, Inc.^ | 827,202 | ||||||
23,217 | EnPro Industries, Inc.^ | 1,624,029 | ||||||
28,911 | ESCO Technologies, Inc. | 1,668,165 | ||||||
66,287 | Federal Signal Corp. | 1,543,824 | ||||||
43,007 | Franklin Electric Co., Inc.^ | 1,939,616 | ||||||
31,397 | Greenbrier Cos, Inc.^ | 1,656,192 | ||||||
89,840 | Harsco Corp.*^ | 1,985,464 | ||||||
69,484 | Hillenbrand, Inc. | 3,276,170 | ||||||
35,351 | John Bean Technologies Corp.^ | 3,142,704 | ||||||
11,830 | Lindsay Corp.^ | 1,147,392 | ||||||
19,454 | Lydall, Inc.* | 849,167 | ||||||
63,988 | Mueller Industries, Inc.^ | 1,888,286 | ||||||
27,928 | Proto Labs, Inc.*^ | 3,322,035 | ||||||
47,920 | SPX Corp.* | 1,679,596 | ||||||
47,533 | SPX FLOW, Inc.* | 2,080,519 | ||||||
14,150 | Standex International Corp. | 1,446,130 | ||||||
19,942 | Tennant Co.^ | 1,575,418 | ||||||
56,921 | Titan International, Inc. | 610,762 | ||||||
64,929 | Wabash National Corp.^ | 1,211,575 | ||||||
30,914 | Watts Water Technologies, Inc., Class A^ | 2,423,658 | ||||||
|
| |||||||
48,205,559 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
47,544 | Matson, Inc.^ | 1,824,739 | ||||||
|
| |||||||
Media (0.9%): | ||||||||
61,692 | E.W. Scripps Co. (The), Class A^ | 826,056 |
Continued
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
124,812 | Gannett Co., Inc.^ | $ | 1,335,488 | |||||
67,013 | New Media Investment Group, Inc.^ | 1,238,400 | ||||||
30,347 | Scholastic Corp.^ | 1,344,676 | ||||||
44,602 | World Wrestling Entertainment, Inc., Class A^ | 3,247,918 | ||||||
|
| |||||||
7,992,538 | ||||||||
|
| |||||||
Metals & Mining (0.9%): | ||||||||
349,463 | AK Steel Holding Corp.*^ | 1,516,669 | ||||||
55,115 | Century Aluminum Co.*^ | 868,061 | ||||||
14,146 | Haynes International, Inc.^ | 519,724 | ||||||
18,614 | Kaiser Aluminum Corp.^ | 1,937,904 | ||||||
22,227 | Materion Corp. | 1,203,592 | ||||||
10,568 | Olympic Steel, Inc. | 215,693 | ||||||
73,420 | SunCoke Energy, Inc.*^ | 983,828 | ||||||
44,592 | TimkenSteel Corp.*^ | 729,079 | ||||||
|
| |||||||
7,974,550 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.9%): | ||||||||
123,772 | Apollo Commercial Real Estate Finance, Inc.^ | 2,262,553 | ||||||
45,641 | Armour Residential REIT, Inc.^ | 1,041,071 | ||||||
106,106 | Capstead Mortgage Corp. | 949,649 | ||||||
124,018 | Invesco Mortgage Capital, Inc. | 1,971,886 | ||||||
129,405 | New York Mortgage Trust, Inc.^ | 777,724 | ||||||
65,863 | PennyMac Mortgage Investment Trust^ | 1,250,738 | ||||||
|
| |||||||
8,253,621 | ||||||||
|
| |||||||
Multiline Retail (0.1%): | ||||||||
355,062 | J.C. Penney Co., Inc.*^ | 830,845 | ||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
73,046 | Avista Corp. | 3,846,602 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.0%): | ||||||||
86,855 | Carrizo Oil & Gas, Inc.*^ | 2,418,912 | ||||||
87,671 | Cloud Peak Energy, Inc.*^ | 305,972 | ||||||
28,393 | CONSOL Energy, Inc.* | 1,088,872 | ||||||
445,770 | Denbury Resources, Inc.*^ | 2,144,154 | ||||||
43,254 | Green Plains Renewable Energy, Inc.^ | 791,548 | ||||||
111,283 | HighPoint Resources Corp.*^ | 676,601 | ||||||
28,658 | Par Pacific Holdings, Inc.*^ | 498,076 | ||||||
73,549 | PDC Energy, Inc.*^ | 4,446,036 | ||||||
14,979 | Penn Virginia Corp.*^ | 1,271,567 | ||||||
37,130 | Renewable Energy Group, Inc.*^ | 662,771 | ||||||
6,270 | REX American Resources Corp.*^ | 507,682 | ||||||
60,432 | Ring Energy, Inc.*^ | 762,652 | ||||||
269,023 | SRC Energy, Inc.*^ | 2,964,633 | ||||||
|
| |||||||
18,539,476 | ||||||||
|
| |||||||
Paper & Forest Products (1.1%): | ||||||||
43,299 | Boise Cascade Co.^ | 1,935,465 | ||||||
17,877 | Clearwater Paper Corp.*^ | 412,959 | ||||||
98,021 | KapStone Paper & Packaging Corp. | 3,381,724 | ||||||
18,498 | Neenah Paper, Inc.^ | 1,569,555 | ||||||
49,135 | P.H. Glatfelter Co. | 962,555 | ||||||
33,969 | Schweitzer-Mauduit International, Inc.^ | 1,485,125 | ||||||
|
| |||||||
9,747,383 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Personal Products (0.4%): | ||||||||
487,889 | Avon Products, Inc.* | $ | 790,380 | |||||
19,083 | Inter Parfums, Inc. | 1,020,941 | ||||||
11,815 | Medifast, Inc. | 1,892,290 | ||||||
|
| |||||||
3,703,611 | ||||||||
|
| |||||||
Pharmaceuticals (1.6%): | ||||||||
40,804 | Amphastar Pharmaceuticals, Inc.*^ | 622,669 | ||||||
10,328 | ANI Pharmaceuticals, Inc.*^ | 689,910 | ||||||
106,416 | Corcept Therapeutics, Inc.*^ | 1,672,860 | ||||||
73,320 | DepoMed, Inc.*^ | 489,044 | ||||||
224,655 | Endo International plc*^ | 2,118,497 | ||||||
7,572 | Heska Corp.*^ | 785,898 | ||||||
77,783 | Innoviva, Inc.*^ | 1,073,405 | ||||||
34,093 | Lannett Co., Inc.*^ | 463,665 | ||||||
72,239 | Medicines Co. (The)*^ | 2,651,171 | ||||||
22,205 | Phibro Animal Health Corp., Class A | 1,022,540 | ||||||
57,674 | Supernus Pharmaceuticals, Inc.*^ | 3,451,790 | ||||||
|
| |||||||
15,041,449 | ||||||||
|
| |||||||
Professional Services (2.2%): | ||||||||
58,140 | Exponent, Inc. | 2,808,162 | ||||||
42,112 | FTI Consulting, Inc.* | 2,546,934 | ||||||
21,356 | Heidrick & Struggles International, Inc. | 747,460 | ||||||
41,717 | Insperity, Inc. | 3,973,544 | ||||||
34,154 | Kelly Services, Inc., Class A | 766,757 | ||||||
62,980 | Korn/Ferry International | 3,900,351 | ||||||
50,733 | Navigant Consulting, Inc.* | 1,123,229 | ||||||
33,200 | Resources Connection, Inc.^ | 561,080 | ||||||
42,481 | Trueblue, Inc.*^ | 1,144,863 | ||||||
44,168 | Wageworks, Inc.*^ | 2,208,400 | ||||||
|
| |||||||
19,780,780 | ||||||||
|
| |||||||
Real Estate Management & Development (0.3%): | ||||||||
41,189 | HFF, Inc., Class A^ | 1,414,842 | ||||||
19,706 | RE/MAX Holdings, Inc., Class A | 1,033,580 | ||||||
|
| |||||||
2,448,422 | ||||||||
|
| |||||||
Road & Rail (0.6%): | ||||||||
28,326 | ArcBest Corp.^ | 1,294,498 | ||||||
54,719 | Heartland Express, Inc.^ | 1,015,037 | ||||||
42,759 | Marten Transport, Ltd.^ | 1,002,699 | ||||||
28,642 | Saia, Inc.*^ | 2,315,706 | ||||||
|
| |||||||
5,627,940 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.4%): | ||||||||
43,747 | Advanced Energy Industries, Inc.*^ | 2,541,263 | ||||||
35,702 | Axcelis Technologies, Inc.*^ | 706,900 | ||||||
78,630 | Brooks Automation, Inc.^ | 2,564,911 | ||||||
28,592 | Cabot Microelectronics Corp.^ | 3,075,356 | ||||||
24,463 | CEVA, Inc.*^ | 738,783 | ||||||
31,566 | Cohu, Inc.^ | 773,683 | ||||||
42,901 | Diodes, Inc.*^ | 1,478,797 | ||||||
25,167 | DSP Group, Inc.* | 313,329 | ||||||
80,594 | FormFactor, Inc.*^ | 1,071,900 | ||||||
71,481 | Kopin Corp.*^ | 204,436 |
Continued
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
76,691 | Kulicke & Soffa Industries, Inc.^ | $ | 1,826,780 | |||||
69,703 | MaxLinear, Inc., Class A*^ | 1,086,670 | ||||||
26,271 | Nanometrics, Inc.* | 930,256 | ||||||
31,843 | PDF Solutions, Inc.*^ | 381,479 | ||||||
78,957 | Photronics, Inc.*^ | 629,682 | ||||||
32,942 | Power Integrations, Inc.^ | 2,406,413 | ||||||
120,500 | Rambus, Inc.*^ | 1,511,070 | ||||||
35,024 | Rudolph Technologies, Inc.* | 1,036,710 | ||||||
73,703 | Semtech Corp.*^ | 3,467,725 | ||||||
42,080 | Solaredge Technologies, Inc.*^ | 2,013,528 | ||||||
43,872 | Ultra Clean Holdings, Inc.*^ | 728,275 | ||||||
55,437 | Veeco Instruments, Inc.*^ | 789,977 | ||||||
55,117 | Xperi Corp.^ | 887,384 | ||||||
|
| |||||||
31,165,307 | ||||||||
|
| |||||||
Software (1.7%): | ||||||||
103,385 | 8x8, Inc.*^ | 2,072,869 | ||||||
39,098 | Bottomline Technologies, Inc.*^ | 1,948,253 | ||||||
24,371 | Ebix, Inc. | 1,858,289 | ||||||
10,543 | MicroStrategy, Inc., Class A*^ | 1,346,868 | ||||||
47,573 | Monotype Imaging Holdings, Inc. | 965,732 | ||||||
33,950 | OneSpan, Inc.* | 667,118 | ||||||
50,648 | Progress Software Corp. | 1,966,155 | ||||||
36,498 | Qualys, Inc.*^ | 3,076,782 | ||||||
136,923 | TiVo Corp.^ | 1,841,614 | ||||||
|
| |||||||
15,743,680 | ||||||||
|
| |||||||
Specialty Retail (4.0%): | ||||||||
75,300 | Abercrombie & Fitch Co., Class A^ | 1,843,344 | ||||||
20,500 | Asbury Automotive Group, Inc.*^ | 1,405,275 | ||||||
192,140 | Ascena Retail Group, Inc.*^ | 765,678 | ||||||
44,019 | Barnes & Noble Education, Inc.*^ | 248,267 | ||||||
65,550 | Barnes & Noble, Inc.^ | 416,243 | ||||||
22,911 | Big 5 Sporting Goods Corp.^ | 174,124 | ||||||
48,089 | Caleres, Inc.^ | 1,653,781 | ||||||
25,812 | Cato Corp., Class A^ | 635,491 | ||||||
142,013 | Chico’s FAS, Inc.^ | 1,155,986 | ||||||
18,520 | Children’s Place Retail Stores, Inc. (The)^ | 2,237,216 | ||||||
80,684 | DSW, Inc., Class A^ | 2,083,261 | ||||||
85,241 | Express, Inc.*^ | 779,955 | ||||||
39,456 | Francesca’s Holdings Corp.*^ | 297,893 | ||||||
113,313 | GameStop Corp., Class A^ | 1,650,970 | ||||||
22,349 | Genesco, Inc.*^ | 887,255 | ||||||
21,926 | Group 1 Automotive, Inc.^ | 1,381,338 | ||||||
64,289 | Guess?, Inc.^ | 1,375,785 | ||||||
21,492 | Haverty Furniture Cos., Inc.^ | 464,227 | ||||||
21,179 | Hibbett Sports, Inc.*^ | 484,999 | ||||||
18,156 | Kirkland’s, Inc.*^ | 211,336 | ||||||
26,665 | Lithia Motors, Inc., Class A^ | 2,521,708 | ||||||
31,503 | Lumber Liquidators Holdings, Inc.*^ | 767,098 | ||||||
24,847 | MarineMax, Inc.*^ | 470,851 | ||||||
36,551 | Monro Muffler Brake, Inc.^ | 2,123,613 | ||||||
570,767 | Office Depot, Inc.^ | 1,455,456 | ||||||
59,145 | Rent-A-Center, Inc.* | 870,614 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
21,340 | Restoration Hardware, Inc.*^ | $ | 2,981,197 | |||||
12,175 | Shoe Carnival, Inc.^ | 395,079 | ||||||
40,810 | Sleep Number Corp.*^ | 1,184,306 | ||||||
27,196 | Sonic Automotive, Inc., Class A^ | 560,238 | ||||||
55,176 | Tailored Brands, Inc.^ | 1,408,092 | ||||||
31,287 | The Buckle, Inc.^ | 841,620 | ||||||
39,981 | The Tile Shop Holdings, Inc.^ | 307,854 | ||||||
28,884 | Vitamin Shoppe, Inc.*^ | 200,744 | ||||||
20,374 | Zumiez, Inc.*^ | 510,369 | ||||||
|
| |||||||
36,751,263 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.7%): | ||||||||
126,843 | 3D Systems Corp.*^ | 1,751,702 | ||||||
45,845 | Cray, Inc.*^ | 1,127,787 | ||||||
84,242 | Diebold, Inc.^ | 1,006,692 | ||||||
49,723 | Electronics for Imaging, Inc.*^ | 1,618,981 | ||||||
42,105 | Super Micro Computer, Inc.*^ | 995,783 | ||||||
|
| |||||||
6,500,945 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.7%): | ||||||||
75,663 | Crocs, Inc.*^ | 1,332,425 | ||||||
48,642 | Fossil Group, Inc.*^ | 1,307,011 | ||||||
46,582 | G-III Apparel Group, Ltd.*^ | 2,068,241 | ||||||
17,615 | Movado Group, Inc.^ | 850,805 | ||||||
18,747 | Oxford Industries, Inc.^ | 1,555,626 | ||||||
14,372 | Perry Ellis International, Inc.* | 390,487 | ||||||
58,669 | Steven Madden, Ltd.^ | 3,115,324 | ||||||
19,060 | Unifi, Inc.*^ | 604,202 | ||||||
21,766 | Vera Bradley, Inc.*^ | 305,595 | ||||||
105,970 | Wolverine World Wide, Inc.^ | 3,684,576 | ||||||
|
| |||||||
15,214,292 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (1.6%): | ||||||||
61,295 | BofI Holding, Inc.*^ | 2,507,578 | ||||||
34,460 | Dime Community Bancshares | 671,970 | ||||||
30,154 | HomeStreet, Inc.*^ | 812,650 | ||||||
10,106 | Meta Financial Group, Inc.^ | 984,324 | ||||||
65,870 | NMI Holdings, Inc., Class A* | 1,073,681 | ||||||
52,715 | Northfield Bancorp, Inc. | 876,123 | ||||||
113,768 | Northwest Bancshares, Inc.^ | 1,978,426 | ||||||
44,343 | Oritani Financial Corp.^ | 718,357 | ||||||
68,411 | Provident Financial Services, Inc.^ | 1,883,355 | ||||||
107,588 | TrustCo Bank Corp.^ | 957,533 | ||||||
31,447 | Wawlker & Dunlop, Inc.^ | 1,750,026 | ||||||
|
| |||||||
14,214,023 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
27,700 | Universal Corp.^ | 1,829,585 | ||||||
|
| |||||||
Trading Companies & Distributors (0.7%): | ||||||||
43,020 | Applied Industrial Technologies, Inc. | 3,017,853 | ||||||
17,775 | DXP Enterprises, Inc.* | 679,005 | ||||||
31,122 | Kaman Corp., Class A^ | 2,168,892 | ||||||
12,836 | Veritiv Corp.*^ | 511,515 | ||||||
|
| |||||||
6,377,265 | ||||||||
|
|
Continued
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Water Utilities (0.5%): | ||||||||
40,883 | American States Water Co.^ | $ | 2,336,872 | |||||
53,250 | California Water Service Group^ | 2,074,088 | ||||||
|
| |||||||
4,410,960 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.0%): | ||||||||
22,232 | Spok Holdings, Inc. | 334,592 | ||||||
|
| |||||||
Total Common Stocks (Cost $670,993,653) | 901,811,230 | |||||||
|
| |||||||
Right (0.0%): | ||||||||
Biotechnology (0.0%): | ||||||||
25,050 | Dyax Corp. CVR, Expires on 12/31/19*(a) | 80,160 | ||||||
|
| |||||||
Total Right (Cost $—) | 80,160 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Securities Held as Collateral for Securities on Loan (27.4%): | ||||||||
$ | 251,228,117 | AZL Small Cap Stock Index Fund Securities Lending Collateral Account(b) | $ | 251,228,117 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 251,228,117 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.3%): | ||||||||
2,761,180 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(c) | 2,761,180 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $2,761,180) | 2,761,180 | |||||||
|
| |||||||
Total Investment Securities (Cost $924,982,950) — 126.2%(d) | 1,155,880,687 | |||||||
Net other assets (liabilities) — (26.2)% | (239,532,408 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 916,348,279 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2018.
CVR—Contingency Valued Rights
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $244,012,653. |
(a) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.01% of the net assets of the Fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(c) | The rate represents the effective yield at June 30, 2018. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as “—“ are $0 or rounds to less than $1.
Futures Contracts
Cash of $146,600 has been segregated to cover margin requirements for the following open contracts as of June 30, 2018:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Russell 2000 Mini Index September Futures (U.S. Dollar) | 9/21/18 | 187 | $ | 15,404,125 | $ | (47,477 | ) | |||||||||
|
| |||||||||||||||
$ | (47,477 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 924,982,950 | |||
|
| ||||
Investment securities, at value* | $ | 1,155,880,687 | |||
Cash | 2,209 | ||||
Segregated cash for collateral | 146,600 | ||||
Interest and dividends receivable | 1,041,402 | ||||
Receivable for variation margin on futures contracts | 1,605 | ||||
Receivable for investments sold | 13,968,187 | ||||
Reclaims receivable | 5 | ||||
Prepaid expenses | 5,243 | ||||
|
| ||||
Total Assets | 1,171,045,938 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 2,517,395 | ||||
Payable for capital shares redeemed | 209,292 | ||||
Payable for collateral received on loaned securities | 251,228,117 | ||||
Payable for variation margin on futures contracts | 13,205 | ||||
Manager fees payable | 200,934 | ||||
Administration fees payable | 22,476 | ||||
Distribution fees payable | 182,024 | ||||
Custodian fees payable | 14,605 | ||||
Administrative and compliance services fees payable | 5,617 | ||||
Transfer agent fees payable | 3,764 | ||||
Trustee fees payable | 23,838 | ||||
Other accrued liabilities | 276,392 | ||||
|
| ||||
Total Liabilities | 254,697,659 | ||||
|
| ||||
Net Assets | $ | 916,348,279 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 539,493,013 | |||
Accumulated net investment income/(loss) | 12,953,035 | ||||
Accumulated net realized gains/(losses) from investment transactions | 133,051,971 | ||||
Net unrealized appreciation/(depreciation) on investments | 230,850,260 | ||||
|
| ||||
Net Assets | $ | 916,348,279 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 53,163,008 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,162,725 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12 .77 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 863,185,271 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 53,150,414 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16 .24 | |||
|
|
* | Includes securities on loan of $244,012,653. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 6,299,684 | |||
Interest | 1,270 | ||||
Income from securities lending | 675,650 | ||||
Foreign withholding tax | (536 | ) | |||
|
| ||||
Total Investment Income | 6,976,068 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,182,050 | ||||
Administration fees | 123,352 | ||||
Distribution fees — Class 2 | 1,071,193 | ||||
Custodian fees | 20,253 | ||||
Administrative and compliance services fees | 6,626 | ||||
Transfer agent fees | 5,270 | ||||
Trustee fees | 21,798 | ||||
Professional fees | 22,382 | ||||
Shareholder reports | 14,557 | ||||
Other expenses | 95,456 | ||||
|
| ||||
Total expenses | 2,562,937 | ||||
|
| ||||
Net Investment Income/(Loss) | 4,413,131 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 53,341,490 | ||||
Net realized gains/(losses) on futures contracts | 888,750 | ||||
Change in net unrealized appreciation/depreciation on investments | 21,769,647 | ||||
Change in net unrealized appreciation/depreciation on futures contracts | (123,366 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 75,876,521 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 80,289,652 | |||
|
|
See accompanying notes to the financial statements.
10
AZL Small Cap Stock Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 4,413,131 | $ | 8,778,314 | ||||||
Net realized gains/(losses) on investment transactions | 54,230,240 | 86,882,247 | ||||||||
Change in unrealized appreciation/depreciation on investments | 21,646,281 | 11,443,264 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 80,289,652 | 107,103,825 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (351,616 | ) | |||||||
Class 2 | — | (4,019,299 | ) | |||||||
From net realized gains: | ||||||||||
Class 1 | — | (4,420,432 | ) | |||||||
Class 2 | — | (55,798,577 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (64,589,924 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 11,046 | 303,391 | ||||||||
Proceeds from dividends reinvested | — | 4,772,048 | ||||||||
Value of shares redeemed | (4,856,354 | ) | (8,056,628 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (4,845,308 | ) | (2,981,189 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 1,296,896 | 33,009,724 | ||||||||
Proceeds from dividends reinvested | — | 59,817,876 | ||||||||
Value of shares redeemed | (83,482,369 | ) | (173,921,838 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (82,185,473 | ) | (81,094,238 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (87,030,781 | ) | (84,075,427 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (6,741,129 | ) | (41,561,526 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 923,089,408 | 964,650,934 | ||||||||
|
|
|
| |||||||
End of period | $ | 916,348,279 | $ | 923,089,408 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 12,953,035 | $ | 8,539,904 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 907 | 25,960 | ||||||||
Dividends reinvested | — | 435,406 | ||||||||
Shares redeemed | (401,628 | ) | (702,379 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (400,721 | ) | (241,013 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 83,812 | 2,298,659 | ||||||||
Dividends reinvested | — | 4,281,881 | ||||||||
Shares redeemed | (5,400,196 | ) | (12,052,900 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (5,316,384 | ) | (5,472,360 | ) | ||||||
|
|
|
| |||||||
Change in shares | (5,717,105 | ) | (5,713,373 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
11
AZL Small Cap Stock Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016* | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.68 | $ | 11.38 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.16 | 0.06 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.00 | 1.24 | 1.32 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total from Investment Activities | 1.09 | 1.40 | 1.38 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.08 | ) | — | ||||||||||||||||||||||||||
Net Realized Gains | — | (1.02 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Dividends | — | (1.10 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 12.77 | $ | 11.68 | $ | 11.38 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return(a) | 9.33 | %(b) | 12.94 | % | 13.80 | %(b) | ||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 53,163 | $ | 53,319 | $ | 54,672 | ||||||||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.21 | % | 1.21 | % | 1.46 | % | ||||||||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.33 | % | 0.32 | % | 0.32 | % | ||||||||||||||||||||||||
Expenses Net of Reductions(c) | 0.33 | % | 0.32 | % | 0.32 | % | ||||||||||||||||||||||||
Portfolio Turnover Rate(e) | 9 | % | 16 | % | 86 | %(f) | ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.88 | $ | 14.23 | $ | 13.49 | $ | 15.43 | $ | 15.65 | $ | 11.39 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.15 | 0.07 | 0.19 | 0.12 | 0.09 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.27 | 1.59 | 3.06 | (0.58 | ) | 0.65 | 4.50 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.36 | 1.74 | 3.13 | (0.39 | ) | 0.77 | 4.59 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.07 | ) | (0.16 | ) | (0.17 | ) | (0.09 | ) | (0.14 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.02 | ) | (2.23 | ) | (1.38 | ) | (0.90 | ) | (0.19 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.09 | ) | (2.39 | ) | (1.55 | ) | (0.99 | ) | (0.33 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.24 | $ | 14.88 | $ | 14.23 | $ | 13.49 | $ | 15.43 | $ | 15.65 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 9.14 | %(b) | 12.75 | % | 25.71 | % | (2.49 | )% | 5.23 | % | 40.62 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 863,185 | $ | 869,770 | $ | 909,979 | $ | 276,006 | $ | 381,585 | $ | 383,152 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.96 | % | 0.96 | % | 1.19 | % | 0.96 | % | 0.81 | % | 0.71 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 0.58 | % | 0.57 | % | 0.58 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.58 | % | 0.57 | % | 0.58 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||||||||
Portfolio Turnover Rate(e) | 9 | % | 16 | % | 86 | %(f) | 16 | % | 14 | % | 17 | % |
* | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 86%. |
See accompanying notes to the financial statements.
12
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Small Cap Stock Index Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
13
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $249 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $66,518 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $251,228,117 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2018, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The monthly average notional amount for these contracts was $8.6 million for the period ended June 30, 2018. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation on futures contracts | $ | 47,477 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation margin on futures contracts. |
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | 888,750 | $ | (123,366 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Small Cap Stock Index Fund Class 1 | 0.26 | % | 0.46 | % | ||||||
AZL Small Cap Stock Index Fund Class 2 | 0.26 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2018, there were no voluntary waivers.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $4,141 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Common Stocks+ | $ | 901,811,230 | $ | — | $ | — | $ | 901,811,230 | ||||||||||||
Right | — | 80,160 | — | 80,160 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 251,228,117 | 251,228,117 | ||||||||||||||||
Unaffiliated Investment Company | 2,761,180 | — | — | 2,761,180 | ||||||||||||||||
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Total Investment Securities | 904,572,410 | 80,160 | 251,228,117 | 1,155,880,687 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (47,477 | ) | — | — | (47,477 | ) | ||||||||||||||
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Total Investments | $ | 904,524,933 | $ | 80,160 | $ | 251,228,117 | $ | 1,155,833,210 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Small Cap Stock Index Fund | $ | 79,934,216 | $ | 163,980,957 |
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $931,899,814. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 258,037,706 | ||
Unrealized (depreciation) | (34,056,833 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 223,980,873 | ||
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As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Small Cap Stock Index Fund | $ | 16,810,431 | $ | 47,779,493 | $ | 64,589,924 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Small Cap Stock Index Fund | $ | 35,820,152 | $ | 57,883,523 | $ | — | $ | 202,861,939 | $ | 296,565,614 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales. |
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 65% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
18
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
AZL® T. Rowe Price Capital Appreciation Fund
Semi-Annual Report
June 30, 2018
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 9 |
Page 9 |
Statements of Changes in Net Assets Page 10 |
Page 11 |
Notes to the Financial Statements Page 12 |
Page 19 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL T. Rowe Price Capital Appreciation Fund
(Unaudited)
As a shareholder of the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 1,023.80 | $ | 5.02 | 1.00 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid During Period 1/1/18 - 6/30/18* | Annualized Expense Ratio During Period 1/1/18 - 6/30/18 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 1,019.84 | $ | 5.01 | 1.00 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 70.0 | % | |||
Corporate Bonds | 14.1 | ||||
Securities Held as Collateral for Securities on Loan | 13.5 | ||||
U.S. Treasury Obligations | 4.4 | ||||
Money Markets | 3.8 | ||||
Yankee Dollars | 3.1 | ||||
Preferred Stocks | 2.4 | ||||
Bank Loans | 1.5 | ||||
Convertible Preferred Stocks | 1.2 | ||||
Asset Backed Securities | 0.4 | ||||
|
| ||||
Total Investment Securities | 114.4 | ||||
Net other assets (liabilities) | (14.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (70.0%): | ||||||||
Auto Components (1.3%): | ||||||||
91,675 | Adient plc^ | $ | 4,509,493 | |||||
168,543 | Magna International, Inc., ADR | 9,797,405 | ||||||
|
| |||||||
14,306,898 | ||||||||
|
| |||||||
Banks (2.2%): | ||||||||
189,718 | PNC Financial Services Group, Inc. | 25,630,902 | ||||||
|
| |||||||
Beverages (4.9%): | ||||||||
392,386 | Dr Pepper Snapple Group, Inc. | 47,871,093 | ||||||
70,209 | PepsiCo, Inc. | 7,643,654 | ||||||
|
| |||||||
55,514,747 | ||||||||
|
| |||||||
Biotechnology (0.2%): | ||||||||
9,624 | Biogen Idec, Inc.* | 2,793,270 | ||||||
|
| |||||||
Capital Markets (1.9%): | ||||||||
117,412 | Intercontinental Exchange, Inc. | 8,635,653 | ||||||
145,646 | State Street Corp. | 13,558,186 | ||||||
|
| |||||||
22,193,839 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
6,927 | Sherwin Williams Co. | 2,823,237 | ||||||
|
| |||||||
Commercial Services & Supplies (2.1%): | ||||||||
185,010 | Republic Services, Inc., Class A | 12,647,284 | ||||||
166,944 | Waste Connections, Inc. | 12,567,544 | ||||||
|
| |||||||
25,214,828 | ||||||||
|
| |||||||
Electric Utilities (3.5%): | ||||||||
157,400 | American Electric Power Co., Inc.^ | 10,899,950 | ||||||
203,154 | Eversource Energy^ | 11,906,857 | ||||||
35,898 | NextEra Energy, Inc.^ | 5,996,043 | ||||||
103,106 | PG&E Corp. | 4,388,191 | ||||||
138,477 | Xcel Energy, Inc. | 6,325,629 | ||||||
|
| |||||||
39,516,670 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.8%): | ||||||||
103,457 | TE Connectivity, Ltd. | 9,317,337 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.9%): | ||||||||
148,136 | American Tower Corp.^ | 21,356,767 | ||||||
|
| |||||||
Food & Staples Retailing (0.2%): | ||||||||
28,000 | CVS Health Corp. | 1,801,800 | ||||||
|
| |||||||
Food Products (0.7%): | ||||||||
25,608 | Kraft Heinz Co. (The)^ | 1,608,695 | ||||||
88,819 | Tyson Foods, Inc., Class A | 6,115,188 | ||||||
|
| |||||||
7,723,883 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (7.2%): | ||||||||
302,048 | Abbott Laboratories | 18,421,908 | ||||||
138,315 | Becton, Dickinson & Co.^ | 33,134,740 | ||||||
310,689 | Danaher Corp. | 30,658,791 | ||||||
|
| |||||||
82,215,439 | ||||||||
|
| |||||||
Health Care Providers & Services (3.1%): | ||||||||
57,005 | Aetna, Inc. | 10,460,418 | ||||||
30,671 | Anthem, Inc. | 7,300,618 | ||||||
20,267 | Cigna Corp. | 3,444,377 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
58,482 | UnitedHealth Group, Inc. | $ | 14,347,973 | |||||
|
| |||||||
35,553,386 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.2%): | ||||||||
539,028 | Aramark Holdings Corp.^ | 19,997,939 | ||||||
36,578 | McDonald’s Corp.^ | 5,731,407 | ||||||
138,050 | Yum! Brands, Inc. | 10,798,271 | ||||||
|
| |||||||
36,527,617 | ||||||||
|
| |||||||
Industrial Conglomerates (0.5%): | ||||||||
22,449 | Roper Industries, Inc. | 6,193,904 | ||||||
|
| |||||||
Insurance (3.2%): | ||||||||
441,855 | Marsh & McLennan Cos., Inc. | 36,218,854 | ||||||
|
| |||||||
Internet & Direct Marketing Retail (3.2%): | ||||||||
15,834 | Amazon.com, Inc.* | 26,914,633 | ||||||
4,800 | Booking Holdings, Inc.*^ | 9,730,032 | ||||||
|
| |||||||
36,644,665 | ||||||||
|
| |||||||
Internet Software & Services (2.7%): | ||||||||
4,923 | Alphabet, Inc., Class A* | 5,559,002 | ||||||
6,337 | Alphabet, Inc., Class C* | 7,069,874 | ||||||
94,300 | Facebook, Inc., Class A* | 18,324,376 | ||||||
|
| |||||||
30,953,252 | ||||||||
|
| |||||||
IT Services (8.2%): | ||||||||
566 | Adyen NV* | 311,790 | ||||||
261,657 | Fidelity National Information Services, Inc. | 27,743,492 | ||||||
449,488 | Fiserv, Inc.* | 33,302,565 | ||||||
21,585 | MasterCard, Inc., Class A | 4,241,884 | ||||||
212,756 | Visa, Inc., Class A^ | 28,179,532 | ||||||
|
| |||||||
93,779,263 | ||||||||
|
| |||||||
Life Sciences Tools & Services (3.3%): | ||||||||
416,998 | PerkinElmer, Inc.^ | 30,536,764 | ||||||
35,902 | Thermo Fisher Scientific, Inc. | 7,436,740 | ||||||
|
| |||||||
37,973,504 | ||||||||
|
| |||||||
Machinery (2.2%): | ||||||||
234,315 | Fortive Corp. | 18,068,029 | ||||||
72,773 | Middleby Corp. (The)*^ | 7,598,957 | ||||||
|
| |||||||
25,666,986 | ||||||||
|
| |||||||
Multi-Utilities (3.7%): | ||||||||
166,461 | CMS Energy Corp.^ | 7,870,276 | ||||||
166,506 | DTE Energy Co.^ | 17,255,017 | ||||||
643,750 | NiSource, Inc.^ | 16,917,750 | ||||||
|
| |||||||
42,043,043 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.4%): | ||||||||
144,600 | Canadian Natural Resources, Ltd.^ | 5,215,722 | ||||||
289,299 | Enterprise Products Partners LP^ | 8,004,903 | ||||||
41,184 | Total SA | 2,504,252 | ||||||
|
| |||||||
15,724,877 | ||||||||
|
| |||||||
Professional Services (1.1%): | ||||||||
96,234 | Equifax, Inc. | 12,039,836 | ||||||
|
|
Continued
2
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (2.0%): | ||||||||
142,272 | Maxim Integrated Products, Inc. | $ | 8,345,676 | |||||
130,244 | Texas Instruments, Inc. | 14,359,401 | ||||||
|
| |||||||
22,705,077 | ||||||||
|
| |||||||
Software (4.2%): | ||||||||
64,578 | Intuit, Inc. | 13,193,608 | ||||||
348,900 | Microsoft Corp.^ | 34,405,029 | ||||||
|
| |||||||
47,598,637 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.4%): | ||||||||
27,000 | Apple, Inc. | 4,997,970 | ||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
67,017 | Philip Morris International, Inc. | 5,410,953 | ||||||
|
| |||||||
Total Common Stocks (Cost $661,536,627) | 800,441,441 | |||||||
|
| |||||||
Preferred Stocks (2.4%): | ||||||||
Banks (0.0%): | ||||||||
7,099 | U.S. Bancorp, Series F, 0.94%^ | 196,642 | ||||||
|
| |||||||
Capital Markets (0.1%): | ||||||||
55,900 | Charles Schwab Corp. (The), Series C, 6.00%^ | 1,481,909 | ||||||
3,600 | Charles Schwab Corp. (The), Series D, 5.95%^ | 94,428 | ||||||
3,456 | State Street Corp., Series E, 6.00%^ | 90,202 | ||||||
|
| |||||||
1,666,539 | ||||||||
|
| |||||||
Electric Utilities (0.4%): | ||||||||
30,000 | Alabama Power Co., 5.00% | 764,400 | ||||||
107,700 | SCE Trust IV, Series J, 7.59% | 2,724,810 | ||||||
18,000 | SCE Trust V, Series K, 21.41%^ | 458,100 | ||||||
25,000 | SCE Trust VI, 5.00%^ | 585,750 | ||||||
|
| |||||||
4,533,060 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (1.2%): | ||||||||
195,369 | Becton Dickinson And Co., Series A, 6.13%^ | 12,083,572 | ||||||
|
| |||||||
Machinery (0.3%): | ||||||||
3,209 | Fortive Corp., Series A, 5.00% | 3,291,134 | ||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
100,000 | DTE Energy Co., Series E, 5.25% | 2,461,000 | ||||||
25,836 | Sempra Energy, Series A, 3.33% | 2,666,534 | ||||||
|
| |||||||
5,127,534 | ||||||||
|
| |||||||
Total Preferred Stocks (Cost $24,494,953) | 26,898,481 | |||||||
|
| |||||||
Convertible Preferred Stocks (1.2%): | ||||||||
Banks (1.1%): | ||||||||
10,019 | Wells Fargo & Co., Series L, Class A, 0.12% | 12,618,529 | ||||||
|
| |||||||
Electric Utilities (0.1%): | ||||||||
19,115 | Nextra Energy, Inc., 6.12%^ | 1,091,467 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Cost $13,676,690) | 13,709,996 | |||||||
|
| |||||||
Asset Backed Securities (0.4%): | ||||||||
1,390,000 | Dominos Pizza Master Issuer LLC, Class A2I, Series 2018-1A, 4.12%, 7/25/48, Callable 10/25/22 @ 100(a) | 1,404,609 | ||||||
|
| |||||||
1,464,930 | Domino’s Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a) | 1,461,267 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Asset Backed Securities, continued | ||||||||
940,675 | Taco Bell Funding LLC, Class A2I, Series 16-1A, 3.83%, 5/25/46, Callable 11/25/18 @ 100(a)(b) | $ | 941,804 | |||||
|
| |||||||
927,340 | Wendy’s Funding LLC, Class A2I, Series 2018-1A, 3.57%, 3/15/48(a) | 901,857 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $4,685,298) | 4,709,537 | |||||||
|
| |||||||
Bank Loans (1.5%): | ||||||||
Chemicals (0.1%): | ||||||||
$ | 706,437 | H.B. Fuller Co., 4.08% (US LIBOR ), 10/20/24, Callable 8/3/18 @ 101 | 700,255 | |||||
|
| |||||||
Insurance (0.7%): | ||||||||
7,480,000 | HUB International, Ltd., 5.11%, 4/25/25 | 7,430,483 | ||||||
1,225,000 | HUB International, Ltd., 5.37% (US LIBOR ), 4/25/25, Callable 8/3/18 @ 101 | 1,216,891 | ||||||
|
| |||||||
8,647,374 | ||||||||
|
| |||||||
IT Services (0.1%): | ||||||||
740,000 | Vantiv LLC, 3.72% (US LIBOR ), 3/31/23 | 737,995 | ||||||
|
| |||||||
Machinery (0.2%): | ||||||||
1,776,282 | Manitowoc Foodservice, Inc., 4.73% (US LIBOR ), 3/3/23, Callable 8/3/18 @ 100 | 1,771,841 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
1,736,442 | Eagleclaw Midstream, 6.31% (US LIBOR ), 6/8/24, Callable 8/3/18 @ 100 | 1,695,202 | ||||||
|
| |||||||
Pharmaceuticals (0.0%): | ||||||||
93,150 | Prestige Brands, Inc., 3.98% (US LIBOR ), 1/26/24, Callable 8/3/18 @ 101 | 92,820 | ||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
20,417 | Institutional Shareholder Services, Inc., 5.80% (US LIBOR ), 10/16/24 | 20,404 | ||||||
224,022 | Institutional Shareholder Services, Inc., 6.06% (US LIBOR ), 10/16/24, Callable 8/3/18 @ 100(c) | 223,883 | ||||||
1,835,000 | Trans Union LLC Term Loan A, 0.00%, 8/9/22(c) | 1,830,412 | ||||||
1,710,000 | Trans Union LLC Term Loan B-4, 0.00%, 6/12/25 | 1,705,725 | ||||||
|
| |||||||
3,780,424 | ||||||||
|
| |||||||
Total Bank Loans (Cost $17,472,658) | 17,425,911 | |||||||
|
| |||||||
Corporate Bonds (14.1%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
1,730,000 | Northrop Grumman Corp., 2.55%, 10/15/22, Callable 9/15/22 @ 100^ | 1,666,376 | ||||||
|
| |||||||
Airlines (0.0%): | ||||||||
293,774 | U.S. Airways 2010-1A PTT, Series A, 6.25%, 10/22/24 | 314,339 | ||||||
|
| |||||||
Automobiles (0.4%): | ||||||||
4,750,000 | Tesla, Inc., 5.30%, 8/15/25, Callable 8/15/20 @ 103.98^(a) | 4,227,500 | ||||||
|
| |||||||
Banks (0.3%): | ||||||||
2,145,000 | PNC Financial Services, Series S, 5.00% (US0003M+330 bps), 12/31/49, Callable 11/1/26 @ 100 | 2,126,231 |
Continued
3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 875,000 | US BanCorp, 5.30% (US0003M+291 bps), 12/31/49, Callable 4/15/27 @ 100 | $ | 871,675 | ||||
|
| |||||||
2,997,906 | ||||||||
|
| |||||||
Beverages (0.2%): | ||||||||
440,000 | Anheuser-Busch InBev NV, 2.65%, 2/1/21, Callable 1/1/21 @ 100 | 433,936 | ||||||
930,000 | Anheuser-Busch InBev NV, 3.62% (US0003M+126 bps), 2/1/21 | 957,474 | ||||||
625,000 | Anheuser-Busch InBev NV, 3.30%, 2/1/23, Callable 12/1/22 @ 100 | 619,774 | ||||||
|
| |||||||
2,011,184 | ||||||||
|
| |||||||
Building Products (0.0%): | ||||||||
280,000 | Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100 | 266,555 | ||||||
|
| |||||||
Capital Markets (0.4%): | ||||||||
1,865,000 | Bank of New York Mellon Corp. (The), Series E, 4.95% (US0003M+342 bps), 12/29/49, Callable 6/20/20 @ 100^ | 1,904,631 | ||||||
1,060,000 | Bank of New York Mellon Corp. (The), 4.62% (US0003M+313 bps), 12/29/49, Callable 9/20/26 @ 100 | 1,003,025 | ||||||
1,355,000 | State Street Corp., Series F, 5.25% (US0003M+360 bps), 12/31/49, Callable 9/15/20 @ 100 | 1,391,924 | ||||||
|
| |||||||
4,299,580 | ||||||||
|
| |||||||
Chemicals (0.1%): | ||||||||
570,000 | Ecolab, Inc., 2.00%, 1/14/19 | 567,828 | ||||||
754,125 | Kronos, Inc., 2.34% (US LIBOR ), 11/1/23, Callable 8/3/18 @ 101 | 752,104 | ||||||
|
| |||||||
1,319,932 | ||||||||
|
| |||||||
Consumer Finance (0.1%): | ||||||||
695,000 | Caterpillar Financial Services Corp., 2.25%, 12/1/19, MTN | 689,185 | ||||||
|
| |||||||
Containers & Packaging (0.6%): | ||||||||
4,289,271 | Beverage Packaging Holdings Luxemberg, 5.75%, 10/15/20, Callable 8/3/18 @ 101.44 | 4,305,356 | ||||||
687,877 | Beverage Packaging Holdings Luxemberg, 6.87%, 2/15/21, Callable 8/3/18 @ 101.15 | 696,475 | ||||||
1,560,000 | Reynolds Group Issuer, Inc., 5.85% (US0003M+350 bps), 7/15/21, Callable 8/3/18 @ 101^(a) | 1,574,508 | ||||||
550,000 | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 7/15/19 @ 102.56^(a) | 543,125 | ||||||
|
| |||||||
7,119,464 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.6%): | ||||||||
970,000 | Level 3 Communications, Inc., 5.38%, 8/15/22, Callable 8/3/18 @ 102.69 | 970,000 | ||||||
1,310,000 | Level 3 Financing, Inc., 5.63%, 2/1/23, Callable 8/3/18 @ 102.81^ | 1,310,000 | ||||||
1,225,000 | Verizon Communications, 3.13%, 3/16/22 | 1,208,227 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
$ | 1,225,000 | Verizon Communications, 3.33% (US0003M+100 bps), 3/16/22 | $ | 1,244,439 | ||||
1,250,000 | Zayo Group LLC, 4.23% (US LIBOR ), 1/19/24, Callable 8/3/18 @ 100 | 1,248,225 | ||||||
1,190,000 | Zayo Group LLC/Zayo Capital, Inc., 5.75%, 1/15/27, Callable 1/15/22 @ 102.88(a) | 1,169,175 | ||||||
|
| |||||||
7,150,066 | ||||||||
|
| |||||||
Electric Utilities (1.0%): | ||||||||
1,020,000 | Berkshire Hathaway Energy Co., 2.40%, 2/1/20, Callable 1/1/20 @ 100^ | 1,011,693 | ||||||
1,225,000 | Edison International, 2.13%, 4/15/20 | 1,201,092 | ||||||
750,000 | Eversource Energy, 2.75%, 3/15/22, Callable 2/15/22 @ 100 | 731,319 | ||||||
500,000 | Eversource Energy, Series L, 2.90%, 10/1/24, Callable 8/1/24 @ 100 | 474,590 | ||||||
1,245,000 | Eversource Energy, 3.30%, 1/15/28, Callable 10/15/27 @ 100 | 1,183,493 | ||||||
1,000,000 | NSTAR Electric Co., 3.20%, 5/15/27, Callable 2/15/27 @ 100^ | 958,945 | ||||||
1,240,000 | Pacific Gas & Electric, 3.30%, 3/15/27, Callable 12/15/26 @ 100^ | 1,120,340 | ||||||
2,130 | SCE Trust II, 0.84%, 12/31/49, Perpetual Bond^ | 51,695 | ||||||
23,272 | SCE Trust III, Series H, 0.85%, 12/31/49, Perpetual Bond^ | 627,180 | ||||||
1,140,000 | Southern Co., 1.55%, 7/1/18 | 1,140,000 | ||||||
610,000 | Southern Co., 1.85%, 7/1/19 | 603,934 | ||||||
365,000 | Virginia Electric & Power Co., Series A, 3.15%, 1/15/26, Callable 10/15/25 @ 100 | 350,405 | ||||||
855,000 | Virginia Electric & Power Co., Series A, 3.50%, 3/15/27, Callable 12/15/26 @ 100 | 839,473 | ||||||
980,000 | Xcel Energy, Inc., 4.00%, 6/15/28, Callable 12/15/27 @ 100 | 979,885 | ||||||
|
| |||||||
11,274,044 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.2%): | ||||||||
750,000 | Amphenol Corp., 2.20%, 4/1/20 | 737,673 | ||||||
375,000 | Amphenol Corp., 3.20%, 4/1/24, Callable 2/1/24 @ 100 | 361,778 | ||||||
1,247,205 | Cypress Intermediate Holdings III, Inc., 4.99% (US LIBOR ), 3/31/24, Callable 8/3/18 @ 100 | 1,243,202 | ||||||
|
| |||||||
2,342,653 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.0%): | ||||||||
1,420,000 | American Tower Corp., 3.30%, 2/15/21, Callable 1/15/21 @ 100^ | 1,418,462 | ||||||
2,530,000 | Crown Castle International Corp., 4.88%, 4/15/22 | 2,608,213 | ||||||
3,895,000 | Crown Castle International Corp., 5.25%, 1/15/23 | 4,081,326 | ||||||
3,770,000 | SBA Communications Corp., 4.88%, 7/15/22, Callable 8/3/18 @ 102.44 | 3,737,013 | ||||||
|
| |||||||
11,845,014 | ||||||||
|
| |||||||
Food & Staples Retailing (0.0%): | ||||||||
340,000 | Kroger Co. (The), 2.00%, 1/15/19 | 338,373 | ||||||
|
|
Continued
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food Products (0.1%): | ||||||||
$ | 645,000 | B&G Foods, Inc., 4.63%, 6/1/21, Callable 8/3/18 @ 101.16^ | $ | 635,325 | ||||
|
| |||||||
Health Care Equipment & Supplies (0.6%): | ||||||||
1,080,000 | Becton Dickinson & Co., 3.34% (US0003M+103 bps), 6/6/22 | 1,083,542 | ||||||
1,690,000 | Becton Dickinson & Co., 3.36%, 6/6/24, Callable 4/6/24 @ 100 | 1,623,388 | ||||||
706,000 | Becton, Dickinson & Co., 2.68%, 12/15/19 | 700,705 | ||||||
1,340,000 | Hologic, Inc., 4.38%, 10/15/25, Callable 10/15/20 @ 102.19(a) | 1,279,700 | ||||||
1,470,000 | Medtronic plc, 2.50%, 3/15/20 | 1,459,798 | ||||||
525,000 | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | 514,500 | ||||||
390,000 | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | 368,550 | ||||||
|
| |||||||
7,030,183 | ||||||||
|
| |||||||
Health Care Providers & Services (0.8%): | ||||||||
305,000 | Fresenius Medical Care AG & Co. KGaA, 5.75%, 2/15/21(a) | 319,823 | ||||||
900,000 | HCA, Inc., 3.75%, 3/15/19 | 903,375 | ||||||
1,185,000 | HCA, Inc., 4.25%, 10/15/19^ | 1,193,888 | ||||||
5,655,000 | HCA, Inc., 6.50%, 2/15/20 | 5,870,596 | ||||||
623,438 | NVA Holdings, Inc., 2.36% (US LIBOR ), 2/2/25, Callable 8/2/18 @ 100 | 621,100 | ||||||
150,000 | Universal Health Services, 3.75%, 8/1/19(a) | 150,000 | ||||||
|
| |||||||
9,058,782 | ||||||||
|
| |||||||
Health Care Technology (0.2%): | ||||||||
2,602,063 | Change Healthcare Holdings LLC, 4.73% (US LIBOR ), 3/1/24, Callable 8/3/18 @ 100 | 2,591,888 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.9%): | ||||||||
1,775,000 | Aramark Services, Inc., 5.00%, 4/1/25, Callable 4/1/20 @ 103.75^(a) | 1,766,125 | ||||||
625,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5^(a) | 596,875 | ||||||
1,051,000 | Cedar Fair LP/Canada’s Wonderland Co., 5.38%, 6/1/24, Callable 6/1/19 @ 102.69^ | 1,061,510 | ||||||
1,140,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.38%, 4/15/27, Callable 4/15/22 @ 102.69 | 1,122,900 | ||||||
360,000 | Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24, Callable 9/1/19 @ 102.13^ | 342,000 | ||||||
1,075,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.00%, 6/1/24, Callable 6/1/19 @ 103.75(a) | 1,061,240 | ||||||
1,440,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 6/1/26, Callable 6/1/21 @ 102.63(a) | 1,418,400 | ||||||
5,178,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/1/27, Callable 6/1/22 @ 102.38^(a) | 4,893,209 | ||||||
135,000 | McDonald’s Corp., 2.10%, 12/7/18 | 134,740 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 535,000 | Yum! Brands, Inc., 5.30%, 9/15/19 | $ | 545,700 | ||||
2,260,000 | Yum! Brands, Inc., 3.88%, 11/1/20, Callable 8/1/20 @ 100^ | 2,231,750 | ||||||
3,569,000 | Yum! Brands, Inc., 3.75%, 11/1/21, Callable 8/1/21 @ 100^ | 3,497,620 | ||||||
1,258,000 | Yum! Brands, Inc., 3.88%, 11/1/23, Callable 8/1/23 @ 100^ | 1,201,390 | ||||||
707,000 | Yum! Brands, Inc., 6.88%, 11/15/37 | 696,395 | ||||||
600,000 | Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100 | 528,930 | ||||||
|
| |||||||
21,098,784 | ||||||||
|
| |||||||
Household Products (0.1%): | ||||||||
750,000 | Spectrum Brand, Inc., 6.63%, 11/15/22, Callable 8/3/18 @ 103.31 | 774,375 | ||||||
350,000 | Spectrum Brands, Inc., 6.13%, 12/15/24, Callable 12/15/19 @ 103.06 | 353,500 | ||||||
|
| |||||||
1,127,875 | ||||||||
|
| |||||||
Industrial Conglomerates (0.0%): | ||||||||
275,000 | 3M Co., 2.25%, 3/15/23, Callable 2/15/23 @ 100, MTN | 263,952 | ||||||
|
| |||||||
Insurance (0.1%): | ||||||||
530,000 | Marsh & McLennan Cos., Inc., 2.35%, 3/6/20, Callable 2/6/20 @ 100 | 522,668 | ||||||
530,000 | Marsh & McLennan Cos., Inc., 2.75%, 1/30/22, Callable 12/30/21 @ 100 | 518,097 | ||||||
200,000 | Marsh & McLennan Cos., Inc., 3.30%, 3/14/23, Callable 1/14/23 @ 100 | 197,693 | ||||||
|
| |||||||
1,238,458 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.5%): | ||||||||
1,800,000 | Amazon.com, Inc., 2.60%, 12/5/19, Callable 11/5/19 @ 100^ | 1,800,519 | ||||||
2,215,000 | Netflix, Inc., 5.88%, 2/15/25^ | 2,272,125 | ||||||
5,885,000 | Netflix, Inc., 4.38%, 11/15/26^ | 5,501,298 | ||||||
9,523,000 | Netflix, Inc., 4.88%, 4/15/28(a) | 9,077,037 | ||||||
8,365,000 | Netflix, Inc., 5.88%, 11/15/28^(a) | 8,446,140 | ||||||
|
| |||||||
27,097,119 | ||||||||
|
| |||||||
IT Services (0.1%): | ||||||||
171,429 | Fiserv, Inc., 3.23%, 10/25/18(c) | 171,000 | ||||||
1,190,000 | Fiserv, Inc., 2.70%, 6/1/20, Callable 5/1/20 @ 100 | 1,178,651 | ||||||
|
| |||||||
1,349,651 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.0%): | ||||||||
210,000 | Thermo Fisher Scientific, Inc., 3.20%, 8/15/27, Callable 5/15/27 @ 100 | 196,324 | ||||||
|
| |||||||
Machinery (0.1%): | ||||||||
105,000 | Fortive Corp., 1.80%, 6/15/19 | 103,838 | ||||||
715,000 | Manitowoc Foodservice, Inc., 9.50%, 2/15/24, Callable 2/15/19 @ 107.13 | 787,394 | ||||||
200,000 | Xylem, Inc., 3.25%, 11/1/26, Callable 8/1/26 @ 100 | 188,014 | ||||||
|
| |||||||
1,079,246 | ||||||||
|
|
Continued
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media (1.0%): | ||||||||
$ | 275,000 | CCO Holdings LLC, 5.25%, 3/15/21, Callable 8/3/18 @ 101.31 | $ | 276,891 | ||||
2,035,000 | CCO Holdings LLC, 5.25%, 9/30/22, Callable 8/3/18 @ 102.63 | 2,041,358 | ||||||
970,000 | CCO Holdings LLC, 5.75%, 9/1/23, Callable 8/3/18 @ 102.88 | 977,275 | ||||||
875,000 | CCO Holdings LLC, 5.75%, 1/15/24, Callable 8/3/18 @ 102.88 | 877,188 | ||||||
2,109,000 | CCO Holdings LLC/Capital Corp., 5.13%, 5/1/27, Callable 5/1/22 @ 102.56^(a) | 1,973,233 | ||||||
685,000 | CCO Holdings LLC/Capital Corp., 5.00%, 2/1/28, Callable 8/1/22 @ 102.5^(a) | 626,775 | ||||||
720,000 | Charter Communications Operating LLC, 3.58%, 7/23/20, Callable 6/23/20 @ 100 | 719,086 | ||||||
1,250,000 | Delta 2 Lux SARL, 4.48%, 2/1/24 | 1,232,038 | ||||||
815,000 | Sirius XM Radio, Inc., 6.00%, 7/15/24, Callable 7/15/19 @ 103^(a) | 830,281 | ||||||
1,385,000 | Time Warner Cable LLC, 6.75%, 7/1/18 | 1,385,000 | ||||||
|
| |||||||
10,939,125 | ||||||||
|
| |||||||
Multiline Retail (0.0%): | ||||||||
380,000 | Dollar Tree, Inc., 3.06% (US0003M+70 bps), 4/17/20, Callable 4/17/19 @ 100 | 380,777 | ||||||
|
| |||||||
Multi-Utilities (0.7%): | ||||||||
150,000 | Dominion Resources, Inc., 2.96%, 7/1/19 | 149,666 | ||||||
2,625,000 | DTE Energy Co., 3.80%, 3/15/27, Callable 12/15/26 @ 100 | 2,566,214 | ||||||
2,760,000 | NiSource Finance Corp., 3.49%, 5/15/27, Callable 2/15/27 @ 100 | 2,639,137 | ||||||
1,545,000 | NiSource Finance Corp., 4.38%, 5/15/47, Callable 11/15/46 @ 100 | 1,500,544 | ||||||
1,105,000 | NiSource, Inc., 5.65% (H15T5Y+284 bps), 12/31/99, Callable 6/15/23 @ 100(a) | 1,096,713 | ||||||
|
| |||||||
7,952,274 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
305,000 | EQT Corp., 8.13%, 6/1/19 | 318,765 | ||||||
860,000 | Matador Resources Co., 6.88%, 4/15/23, Callable 8/3/18 @ 105.16 | 900,850 | ||||||
290,000 | NGL Energy Partners LP/NGL Finance Corp., 5.13%, 7/15/19, Callable 6/15/19 @ 100^ | 290,363 | ||||||
|
| |||||||
1,509,978 | ||||||||
|
| |||||||
Software (0.2%): | ||||||||
2,470,000 | Solera LLC, 10.50%, 3/1/24, Callable 3/1/19 @ 107.88^(a) | 2,743,256 | ||||||
|
| |||||||
Specialty Retail (0.1%): | ||||||||
130,000 | AutoZone, Inc., 1.63%, 4/21/19 | 129,027 | ||||||
540,000 | AutoZone, Inc., 2.50%, 4/15/21, Callable 3/15/21 @ 100 | 526,929 | ||||||
|
| |||||||
655,956 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.3%): | ||||||||
3,180,000 | Apple, Inc., 1.50%, 9/12/19 | 3,140,505 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Tobacco (0.2%): | ||||||||
$ | 1,000,000 | Philip Morris International, Inc., 2.00%, 2/21/20 | $ | 983,926 | ||||
660,000 | Philip Morris International, Inc., 2.75% (US0003M+42 bps), 2/21/20 | 662,472 | ||||||
1,230,000 | Philip Morris International, Inc., 2.63%, 2/18/22, Callable 1/18/22 @ 100 | 1,198,921 | ||||||
|
| |||||||
2,845,319 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $163,977,308) | 160,796,948 | |||||||
|
| |||||||
Yankee Dollars (3.1%): | ||||||||
Banks (2.3%): | ||||||||
26,500,000 | Kreditanstalt fuer Wiederaufbau, 2.88%, 4/3/28^ | 26,182,242 | ||||||
|
| |||||||
Electrical Equipment (0.1%): | ||||||||
325,000 | Sensata Technologies BV, 5.00%, 10/1/25(a) | 327,438 | ||||||
600,000 | Sensata Technologies UK Financing Co. plc, 6.25%, 2/15/26, Callable 2/15/21 @ 103.13(a) | 624,000 | ||||||
|
| |||||||
951,438 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
1,225,000 | Medtronic Global Holdings, 1.70%, 3/28/19 | 1,217,138 | ||||||
|
| |||||||
Household Products (0.0%): | ||||||||
1,200,000 | Reckitt Benckiser Treasury Services plc, 2.90% (US0003M+56 bps), 6/24/22(a) | 1,197,453 | ||||||
|
| |||||||
Insurance (0.1%): | ||||||||
735,000 | Trinity Acquistion plc, 4.40%, 3/15/26, Callable 12/15/25 @ 100 | 727,793 | ||||||
|
| |||||||
Media (0.3%): | ||||||||
2,890,000 | Unitymedia Kabelbw GMBH, 6.13%, 1/15/25, Callable 1/15/20 @ 103.06(a) | 2,976,700 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.2%): | ||||||||
1,650,000 | Shell International Finance BV, 2.81% (US0003M+45 bps), 5/11/20 | 1,663,085 | ||||||
|
| |||||||
Total Yankee Dollars (Cost $34,914,452) | 34,915,849 | |||||||
|
| |||||||
U.S. Treasury Obligation (4.4%): | ||||||||
U.S. Treasury Notes (4.4%) | ||||||||
52,350,000 | 2.25%, 11/15/27 | 49,763,174 | ||||||
|
| |||||||
Total U.S. Treasury Obligation (Cost $51,206,065) | 49,763,174 | |||||||
|
| |||||||
Securities Held as Collateral for Securities on Loan (13.5%): | ||||||||
154,485,893 | AZL T. Rowe Price Capital Appreciation Fund Securities Lending Collateral Account(d) | 154,485,893 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 154,485,893 | ||||||
|
| |||||||
Unaffiliated Investment Company (3.8%): | ||||||||
43,839,516 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 1.68%(e) | 43,839,516 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $43,839,516) | 43,839,516 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,170,289,460) — 114.4%(f) | 1,306,986,746 | |||||||
Net other assets (liabilities) — (14.4)% | (163,977,393 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,143,009,353 | ||||||
|
|
Continued
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2018.
ADR—American Depositary Receipt
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
US0003M—3 Month US Dollar LIBOR
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2018. The total value of securities on loan as of June 30, 2018, was $150,812,319. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2018. |
(c) | The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2018, these securities represent 0.20% of the net assets of the Fund. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2018. |
(e) | The rate represents the effective yield at June 30, 2018. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Option Contracts
At June 30, 2018, the Fund’s over-the-counter options written were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||||||
Abbott Laboratories | Deutsche Bank | Call | 65.00 | USD | 1/18/19 | 455 | $ | 29,575 | $ | (83,398 | ) | |||||||||||||||||||
Abbott Laboratories | Citibank | Call | 67.50 | USD | 1/18/19 | 186 | 12,555 | (21,180 | ) | |||||||||||||||||||||
Alphabet, Inc. | Credit Suisse First Boston | Call | 1200.00 | USD | 1/18/19 | 22 | 26,400 | (111,884 | ) | |||||||||||||||||||||
Alphabet, Inc. | Citibank | Call | 1200.00 | USD | 1/18/19 | 22 | 26,400 | (111,885 | ) | |||||||||||||||||||||
Alphabet, Inc. | Credit Suisse First Boston | Call | 1200.00 | USD | 1/18/19 | 11 | 13,200 | (63,871 | ) | |||||||||||||||||||||
Alphabet, Inc. | Citibank | Call | 1200.00 | USD | 1/18/19 | 32 | 38,400 | (185,805 | ) | |||||||||||||||||||||
Alphabet, Inc. | Citibank | Call | 1260.00 | USD | 1/18/19 | 6 | 7,560 | (23,055 | ) | |||||||||||||||||||||
Alphabet, Inc. | Citibank | Call | 1260.00 | USD | 1/18/19 | 19 | 23,940 | (62,495 | ) | |||||||||||||||||||||
American Tower Corp. | JPMorgan Chase | Call | 160.00 | USD | 1/18/19 | 96 | 15,360 | (21,258 | ) | |||||||||||||||||||||
American Tower Corp. | JPMorgan Chase | Call | 165.00 | USD | 1/18/19 | 97 | 16,005 | (13,560 | ) | |||||||||||||||||||||
Anthem, Inc. | Citibank | Call | 260.00 | USD | 1/18/19 | 99 | 25,740 | (72,801 | ) | |||||||||||||||||||||
Anthem, Inc. | Citibank | Call | 270.00 | USD | 1/18/19 | 174 | 46,980 | (83,953 | ) | |||||||||||||||||||||
Apple, Inc. | Credit Suisse First Boston | Call | 200.00 | USD | 1/18/19 | 270 | 54,000 | (186,256 | ) | |||||||||||||||||||||
Enterprise Products Partners LP | Citibank | Call | 30.00 | USD | 1/18/19 | 1,010 | 30,300 | (51,446 | ) | |||||||||||||||||||||
Facebook, Inc. | Citibank | Call | 180.00 | USD | 1/18/19 | 182 | 32,760 | (479,771 | ) | |||||||||||||||||||||
Intercontinental Exchange, Inc. | Citibank | Call | 80.00 | USD | 1/18/19 | 390 | 31,200 | (71,355 | ) | |||||||||||||||||||||
Intuit, Inc. | JPMorgan Chase | Call | 190.00 | USD | 1/18/19 | 164 | 31,160 | (421,554 | ) | |||||||||||||||||||||
MasterCard, Inc. | Goldman Sachs | Call | 180.00 | USD | 1/18/19 | 107 | 19,260 | (261,203 | ) | |||||||||||||||||||||
MasterCard, Inc. | Goldman Sachs | Call | 185.00 | USD | 1/18/19 | 108 | 19,980 | (225,656 | ) | |||||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 100.00 | USD | 1/18/19 | 319 | 31,900 | (197,691 | ) | |||||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 105.00 | USD | 1/18/19 | 123 | 12,915 | (50,221 | ) | |||||||||||||||||||||
Microsoft Corp. | Royal Bank of Canada | Call | 105.00 | USD | 1/18/19 | 151 | 15,855 | (61,652 | ) | |||||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 110.00 | USD | 1/18/19 | 123 | 13,530 | (31,750 | ) | |||||||||||||||||||||
Microsoft Corp. | Royal Bank of Canada | Call | 110.00 | USD | 1/18/19 | 151 | 16,610 | (38,978 | ) | |||||||||||||||||||||
Microsoft Corp. | Deutsche | Call | 110.00 | USD | 1/18/19 | 576 | 63,360 | (148,682 | ) | |||||||||||||||||||||
Philip Morris International, Inc. | Citibank | Call | 115.00 | USD | 1/18/19 | 159 | 18,285 | (2,394 | ) | |||||||||||||||||||||
PNC Financial Services Group, Inc. | Credit Suisse First Boston | Call | 140.00 | USD | 1/18/19 | 30 | 4,200 | (19,586 | ) | |||||||||||||||||||||
PNC Financial Services Group, Inc. | Credit Suisse First Boston | Call | 145.00 | USD | 1/18/19 | 29 | 4,205 | (13,413 | ) | |||||||||||||||||||||
PNC Financial Services Group, Inc. | Credit Suisse First Boston | Call | 150.00 | USD | 1/18/19 | 29 | 4,350 | (9,283 | ) | |||||||||||||||||||||
PNC Financial Services Group, Inc. | Credit Suisse First Boston | Call | 155.00 | USD | 1/18/19 | 29 | 4,495 | (6,330 | ) | |||||||||||||||||||||
PNC Financial Services Group, Inc. | Credit Suisse First Boston | Call | 165.00 | USD | 1/18/19 | 249 | 41,085 | (24,752 | ) | |||||||||||||||||||||
PNC Financial Services Group, Inc. | Credit Suisse First Boston | Call | 180.00 | USD | 1/18/19 | 25 | 4,500 | (801 | ) | |||||||||||||||||||||
Priceline Group, Inc. | Citibank | Call | 2300.00 | USD | 1/18/19 | 12 | 27,600 | (73,571 | ) | |||||||||||||||||||||
Priceline Group, Inc. (The) | Citibank | Call | 1900.00 | USD | 1/18/19 | 7 | 13,300 | (169,661 | ) | |||||||||||||||||||||
Priceline Group, Inc. (The) | Citibank | Call | 2000.00 | USD | 1/18/19 | 7 | 14,000 | (126,674 | ) |
Continued
7
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2018 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||||||
State Street Corp. | Citibank | Call | 100.00 | USD | 1/18/19 | 171 | $ | 17,100 | $ | (70,351 | ) | |||||||||||||||||||
Texas Instruments, Inc. | Goldman Sachs | Call | 125.00 | USD | 1/18/19 | 186 | 23,250 | (49,005 | ) | |||||||||||||||||||||
Texas Instruments, Inc. | Goldman Sachs | Call | 130.00 | USD | 1/18/19 | 186 | 24,180 | (32,080 | ) | |||||||||||||||||||||
Thermo Fisher Scientific, Inc. | Bank of America | Call | 230.00 | USD | 1/18/19 | 96 | 22,080 | (43,864 | ) | |||||||||||||||||||||
Thermo Fisher Scientific, Inc. | Bank of America | Call | 240.00 | USD | 1/18/19 | 97 | 23,280 | (25,454 | ) | |||||||||||||||||||||
UnitedHealth Group, Inc. | Goldman Sachs | Call | 260.00 | USD | 1/18/19 | 94 | 24,440 | (84,361 | ) | |||||||||||||||||||||
UnitedHealth Group, Inc. | Citibank | Call | 260.00 | USD | 1/18/19 | 36 | 9,360 | (32,309 | ) | |||||||||||||||||||||
UnitedHealth Group, Inc. | Goldman Sachs | Call | 270.00 | USD | 1/18/19 | 269 | 72,630 | (156,088 | ) | |||||||||||||||||||||
UnitedHealth Group, Inc. | Citibank | Call | 270.00 | USD | 1/18/19 | 103 | 27,810 | (59,766 | ) | |||||||||||||||||||||
Visa, Inc. | Citibank | Call | 105.00 | USD | 1/18/19 | 57 | 5,985 | (168,963 | ) | |||||||||||||||||||||
Visa, Inc. | Citibank | Call | 110.00 | USD | 1/18/19 | 57 | 6,270 | (143,664 | ) | |||||||||||||||||||||
Visa, Inc. | Citibank | Call | 115.00 | USD | 1/18/19 | 57 | 6,555 | (119,553 | ) | |||||||||||||||||||||
Visa, Inc. | Citibank | Call | 120.00 | USD | 1/18/19 | 158 | 18,960 | (268,794 | ) | |||||||||||||||||||||
Visa, Inc. | Citibank | Call | 125.00 | USD | 1/18/19 | 156 | 19,500 | (208,762 | ) | |||||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 135.00 | USD | 1/18/19 | 244 | 32,940 | (181,303 | ) | |||||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 140.00 | USD | 1/18/19 | �� | 234 | 32,760 | (122,509 | ) | ||||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 150.00 | USD | 1/17/20 | 98 | 14,700 | (84,292 | ) | |||||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 155.00 | USD | 1/17/20 | 99 | 15,345 | (69,981 | ) | |||||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 160.00 | USD | 1/17/20 | 99 | 15,840 | (57,369 | ) | |||||||||||||||||||||
Yum! Brands, Inc. | Citibank | Call | 95.00 | USD | 1/18/19 | 267 | 25,365 | (11,109 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total (Premiums received $4,386,915) | $ | (5,517,402 | ) | |||||||||||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
June 30, 2018
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 1,170,289,460 | |||
|
| ||||
Investment securities, at value* | $ | 1,306,986,746 | |||
Cash | 80,864 | ||||
Interest and dividends receivable | 3,194,552 | ||||
Foreign currency, at value (cost $25,144) | 25,344 | ||||
Receivable for capital shares issued | 2,656 | ||||
Receivable for investments sold | 3,191,181 | ||||
Reclaims receivable | 17,402 | ||||
Prepaid expenses | 6,471 | ||||
|
| ||||
Total Assets | 1,313,505,216 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 8,716,774 | ||||
Payable for capital shares redeemed | 780,311 | ||||
Payable for collateral received on loaned securities | 154,485,893 | ||||
Written Options (Premiums received $4,386,915) | 5,517,402 | ||||
Manager fees payable | 660,998 | ||||
Administration fees payable | 27,867 | ||||
Distribution fees payable | 236,071 | ||||
Custodian fees payable | 4,764 | ||||
Administrative and compliance services fees payable | 1,626 | ||||
Transfer agent fees payable | 573 | ||||
Trustee fees payable | 7,263 | ||||
Other accrued liabilities | 56,321 | ||||
|
| ||||
Total Liabilities | 170,495,863 | ||||
|
| ||||
Net Assets | $ | 1,143,009,353 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 897,469,909 | |||
Accumulated net investment income/(loss) | 17,158,065 | ||||
Accumulated net realized gains/(losses) from investment transactions | 92,814,323 | ||||
Net unrealized appreciation/(depreciation) on investments | 135,567,056 | ||||
|
| ||||
Net Assets | $ | 1,143,009,353 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 61,904,010 | ||||
Net Asset Value (offering and redemption price per share) | $ | 18.46 | |||
|
|
* | Includes securities on loan of $150,812,319. |
For the Six Months Ended June 30, 2018
(Unaudited)
Investment Income: | |||||
Dividends | $ | 6,949,024 | |||
Interest | 5,128,395 | ||||
Income from securities lending | 196,396 | ||||
Foreign withholding tax | (67,508 | ) | |||
|
| ||||
Total Investment Income | 12,206,307 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 4,270,039 | ||||
Administration fees | 155,730 | ||||
Distribution fees | 1,423,347 | ||||
Custodian fees | 24,728 | ||||
Administrative and compliance services fees | 7,940 | ||||
Transfer agent fees | 2,922 | ||||
Trustee fees | 25,966 | ||||
Professional fees | 26,461 | ||||
Shareholder reports | 11,991 | ||||
Other expenses | 26,300 | ||||
|
| ||||
Total expenses before reductions | 5,975,424 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (284,678 | ) | |||
|
| ||||
Net expenses | 5,690,746 | ||||
|
| ||||
Net Investment Income/(Loss) | 6,515,561 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions and foreign currencies | 32,535,230 | ||||
Net realized gains/(losses) on written options contracts | 1,466,158 | ||||
Change in net unrealized appreciation/depreciation on investments and foreign currencies | (19,725,613 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 6,557,474 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 20,833,249 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 27,348,810 | |||
|
|
See accompanying notes to the financial statements.
9
AZL T. Rowe Price Capital Appreciation Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 | For the Year Ended December 31, 2017 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,515,561 | $ | 10,548,174 | ||||||
Net realized gains/(losses) on investment transactions | 34,001,388 | 63,427,330 | ||||||||
Change in unrealized appreciation/depreciation on investments | (13,168,139 | ) | 76,089,126 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 27,348,810 | 150,064,630 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
From net investment income | — | (14,550,673 | ) | |||||||
From net realized gains | — | (39,584,893 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (54,135,566 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 16,829,300 | 67,203,687 | ||||||||
Proceeds from dividends reinvested | — | 54,135,566 | ||||||||
Value of shares redeemed | (48,142,910 | ) | (67,640,000 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (31,313,610 | ) | 53,699,253 | |||||||
|
|
|
| |||||||
Change in net assets | (3,964,800 | ) | 149,628,317 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,146,974,153 | 997,345,836 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,143,009,353 | $ | 1,146,974,153 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 17,158,065 | $ | 10,642,504 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 918,214 | 3,823,159 | ||||||||
Dividends reinvested | — | 3,102,325 | ||||||||
Shares redeemed | (2,641,312 | ) | (3,829,923 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,723,098 | ) | 3,095,561 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
10
AZL T. Rowe Price Capital Appreciation Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.03 | $ | 16.48 | $ | 16.04 | $ | 15.90 | $ | 15.84 | $ | 12.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | 0.17 | 0.21 | 0.11 | 0.11 | 0.07 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.32 | 2.28 | 1.03 | 0.68 | 1.69 | 3.60 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.43 | 2.45 | 1.24 | 0.79 | 1.80 | 3.67 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.24 | ) | (0.12 | ) | (0.10 | ) | (0.06 | ) | (0.12 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.66 | ) | (0.68 | ) | (0.55 | ) | (1.68 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.90 | ) | (0.80 | ) | (0.65 | ) | (1.74 | ) | (0.12 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 18.46 | $ | 18.03 | $ | 16.48 | $ | 16.04 | $ | 15.90 | $ | 15.84 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 2.38 | %(b) | 15.04 | % | 7.84 | % | 5.07 | % | 11.77 | % | 29.94 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,143,009 | $ | 1,146,974 | $ | 997,346 | $ | 1,150,906 | $ | 787,570 | $ | 519,248 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.14 | % | 0.97 | % | 1.10 | % | 0.98 | % | 0.93 | % | 0.44 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.06 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.01 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | %(e) | 1.01 | %(e) | ||||||||||||||||||
Portfolio Turnover Rate | 41 | %(b) | 65 | % | 89 | % | 73 | % | 72 | % | 122 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized for periods less than one year. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remitted a portion of the brokerage commission which were used to pay certain Fund expenses. The Fund ceased participation in the program in June 2014. |
See accompanying notes to the financial statements.
11
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 23 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), and 22 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. Income received by the Fund from sources within foreign countries may be subject to withholding or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
12
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate ("LIBOR") and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments.
All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2018 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $78 million for the period ended June 30, 2018.
Cash collateral received in connection with securities lending is invested in a collateral account on behalf of the Fund managed by the Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The collateral account invests in short-term investments that have a remaining maturity of 397 days or less, in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $19,974 during the period ended June 30, 2018. These fees have been netted against “Income from securities lending” on the Statement of Operations.
The fund had securities lending transactions of $154,485,893 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2018.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act (the “Rule”), the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2018, the Fund did not engage in any such transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2018, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
For the period ended June 30, 2018, the monthly average notional amount for written options contracts was $4.2 million. Realized gains and losses are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.
13
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Risk | ||||||||||||
Equity Contracts | Written option contracts | $ | 5,517,402 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2018:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Equity Contracts | Net Realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written option contracts | $ | 1,466,158 | $ | 6,557,474 |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2018. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2018. As of June 30, 2018, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Option contracts | $ | — | $ | 5,517,402 | ||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | — | 5,517,402 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | — | ||||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | — | $ | 5,517,402 | ||||||
|
|
|
|
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Fund as of June 30, 2018:
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Bank of America | $ | 69,318 | $ | — | $ | — | $ | — | $ | 69,318 | |||||||||||||||
Citibank | 2,619,317 | — | — | — | 2,619,317 | ||||||||||||||||||||
Credit Suisse | 951,630 | — | — | — | 951,630 | ||||||||||||||||||||
Deutsche | 232,080 | — | — | — | 232,080 | ||||||||||||||||||||
Goldman Sachs | 808,393 | — | — | — | 808,393 | ||||||||||||||||||||
JPMorgan Chase | 736,034 | — | — | — | 736,034 | ||||||||||||||||||||
Royal Bank of Canada | 100,630 | — | — | — | 100,630 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 5,517,402 | $ | — | $ | — | $ | — | $ | 5,517,402 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to an amended and restated subadvisory agreement, effective November 15, 2013, with T. Rowe Price Associates, Inc. (“T. Rowe Price”), T. Rowe Price provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2019.
14
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
For the period ended June 30, 2018, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | 0.75 | % | 1.20 | % |
* | The Manager voluntarily reduced the management fee to 0.70% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2018, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission (“SEC” or the “Commission”). The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is Senior Counsel. During the period ended June 30, 2018, $5,216 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $174,000 annual Board retainer, the Lead Director receives an additional $43,500 annually and the Chair of the Nominating and Corporate Governance Committee receives an additional $26,100 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2018, actual Trustee compensation was $515,040 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. The Fund generally values index options at the average of the closing bid and ask quotations on the principal exchange on which the option is traded and are typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value. There were no significant transfers between Levels 1 and 2 as of June 30, 2018, based on levels assigned to securities on December 31, 2017. The following is a summary of the valuation inputs used as of June 30, 2018 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Other^ | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | $ | 13,220,625 | $ | 2,504,252 | $ | — | $ | 15,724,877 | ||||||||||||
All Other Common Stocks+ | 784,716,564 | — | — | 784,716,564 | ||||||||||||||||
Preferred Stocks | 26,898,481 | — | — | 26,898,481 | ||||||||||||||||
Asset Backed Securities | — | 4,709,537.00 | — | 4,709,537.00 | ||||||||||||||||
Bank Loans | — | 17,425,911 | — | 17,425,911 | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||
Banks | 12,618,529 | — | — | 12,618,529 | ||||||||||||||||
Electric Utilities | 1,091,467 | — | — | 1,091,467 | ||||||||||||||||
Corporate Bonds | ||||||||||||||||||||
Electric Utilities | 678,875 | 10,595,169 | — | 11,274,044 | ||||||||||||||||
All Other Corporate Bonds+ | — | 149,522,904 | — | 149,522,904 | ||||||||||||||||
Yankee Dollars+ | — | 34,915,849 | — | 34,915,849 | ||||||||||||||||
U.S. Treasury Obligation | — | 49,763,174 | — | 49,763,174 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | — | 154,485,893 | 154,485,893 | ||||||||||||||||
Unaffiliated Investment Company | 43,839,516 | — | — | 43,839,516 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 883,064,057 | 269,436,796 | 154,485,893 | 1,306,986,746 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Written Options | — | (5,517,402 | ) | — | (5,517,402 | ) | ||||||||||||||
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| |||||||||||||
Total Investments | $ | 883,064,057 | $ | 263,919,394 | $ | 154,485,893 | $ | 1,301,469,344 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as written options. |
^ | Investments categorized as Securities Held as Collateral for Securities on Loan in the Schedule of Portfolio Investments, are measured at fair value using the NAV per share practical expedient. These investments are not classified within the fair value hierarchy, and are reflected as “Other” in the above table. Although there can be no assurance, in general, the fair value of investments measured using the NAV per share practical expedient represents the amount the owner of such investments might reasonably expect to receive in an orderly sale. |
5. Security Purchases and Sales
For the period ended June 30, 2018, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 495,694,150 | $ | 442,114,994 |
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
For the period ended June 30, 2018, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 68,815,963 | $ | 43,625,999 |
6. Investment Risks
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at June 30, 2018 is $1,168,854,106. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 145,841,935 | ||
Unrealized (depreciation) | (13,226,697 | ) | ||
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| |||
Net unrealized appreciation/(depreciation) | $ | 132,615,238 | ||
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As of the latest tax year end, December 31, 2017, the tax character of dividends paid to shareholders was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 14,550,673 | $ | 39,584,893 | $ | 54,135,566 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end, December 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 26,818,707 | $ | 47,124,664 | $ | — | $ | 144,264,765 | $ | 218,208,136 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to tax deferral of losses on wash sales and straddles. |
17
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2018 (Unaudited)
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2018, the Fund had multiple shareholder accounts which are affiliated with the Investment Adviser representing ownership in excess of 98% of the Fund.
9. Investment Company Reporting Modernization
In October 2016, the SEC released its Final Rule on Investment Company Reporting Modernization (the “Rules”). The Rules which introduce two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contain amendments to Regulation S-X which require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X became effective for filings made with the SEC after August 1, 2017. The compliance date for form N-PORT and Form N-CEN will vary based on the reporting entity’s size and, in the case of the Fund, is expected to be April 30, 2019. The Fund’s adoption of these amendments, as applicable for the financial statements prepared as of June 30, 2018, had no effect on the Fund’s net assets or results of operations.
10. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
18
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Funds Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
Change in Independent Registered Public Accounting Firm
On June 6, 2018, KPMG LLP (“KPMG”) resigned as the Fund’s independent registered public accounting firm. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016, KPMG’s reports on the Fund’s financial statements contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the Fund’s two most recent fiscal years ended December 31, 2017 and 2016 and the interim period commencing January 1, 2018 and ending June 6, 2018, there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused it to make reference to the subject matter of the disagreement in connection with its report on the financial statements for such years.
19
The Allianz VIP Fund of Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0618 08/18 |
Item 2. | Code of Ethics. |
Not applicable – only for annual reports.
Item 3. | Audit Committee Financial Expert. |
Not applicable – only for annual reports.
Item 4. | Principal Accountant Fees and Services. |
Not applicable – only for annual reports.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | The Schedule of Investments as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of the Form N-CSR. |
(b) | 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. |
Not applicable.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Not applicable – only for annual reports. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. | |
(a)(3) | None. | |
(a)(4) | A statement summarizing a change in the registrant’s independent public accountant during the reporting period is attached hereto. | |
(b) | Certifications pursuant to Rule 30a-2(b) are attached hereto. |
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) Allianz Variable Insurance Products Trust | ||||
By (Signature and Title) | /s/ Brian Muench | |||
Brian Muench, Principal Executive Officer | ||||
Date August 23, 2018 |
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 (Signature and Title) | /s/ Brian Muench | |||
Brian Muench, Principal Executive Officer | ||||
Date August 23, 2018 | ||||
By (Signature and Title) | /s/ Bashir C. Asad | |||
Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer | ||||
Date August 23, 2018 |