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, 2020
Item 1. Reports to Stockholders.
AZL® DFA Five-Year Global Fixed Income Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period | |||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,000.00 | $ | 1,004.10 | $ | 4.09 | 0.82 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,000.00 | $ | 1,020.79 | $ | 4.12 | 0.82 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Foreign Bonds | 67.6 | % | |||
Yankee Dollars | 17.3 | ||||
Corporate Bonds | 5.6 | ||||
Commercial Paper | 4.3 | ||||
Certificates of Deposit | 3.8 | ||||
Unaffiliated Investment Companies | 1.5 | ||||
U.S. Treasury Obligations | 1.3 | ||||
|
| ||||
Total Investment Securities | 101.4 | ||||
Net other assets (liabilities) | (1.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds (5.6%): | ||||||||
Consumer Finance (0.1%): | ||||||||
$ | 200,000 | Toyota Motor Credit Corp., 0.75%, 7/21/22 | $ | 226,894 | ||||
257,000 | Toyota Motor Credit Corp., 2.38%, 2/1/23 | 303,997 | ||||||
|
| |||||||
530,891 | ||||||||
|
| |||||||
Diversified Financial Services (0.7%): | ||||||||
2,400,000 | Berkshire Hathaway, Inc., 0.63%, 1/17/23, Callable 11/17/22 @ 100 | 2,732,357 | ||||||
|
| |||||||
Food & Staples Retailing (0.3%): | ||||||||
1,000,000 | Walmart, Inc., 1.90%, 4/8/22, Callable 1/8/22 @ 100 | 1,157,030 | ||||||
|
| |||||||
Food Products (0.2%): | ||||||||
799,000 | Nestle Holdings, Inc., 1.88%, 3/9/21 | 805,975 | ||||||
|
| |||||||
Household Products (1.4%): | ||||||||
4,700,000 | Procter & Gamble Co. (The), 2.00%, 8/16/22 | 5,512,700 | ||||||
|
| |||||||
Industrial Conglomerates (0.6%): | ||||||||
1,850,000 | 3M Co., 0.38%, 2/15/22, Callable 11/15/21 @ 100 | 2,090,397 | ||||||
200,000 | 3M Co., Series E, 0.95%, 5/15/23 | 231,217 | ||||||
|
| |||||||
2,321,614 | ||||||||
|
| |||||||
Pharmaceuticals (1.5%): | ||||||||
750,000 | Johnson & Johnson, 0.25%, 1/20/22, Callable 12/20/21 @ 100 | 849,068 | ||||||
4,521,000 | Pfizer, Inc., 0.25%, 3/6/22, Callable 2/6/22 @ 100 | 5,099,337 | ||||||
|
| |||||||
5,948,405 | ||||||||
|
| |||||||
Software (0.1%): | ||||||||
250,000 | Oracle Corp., Series E, 2.25%, 1/10/21, MTN | 283,932 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.7%): | ||||||||
500,000 | Apple, Inc., 1.49% (US0003M+113 bps), 2/23/21 | 503,474 | ||||||
2,000,000 | Apple, Inc., 1.00%, 11/10/22 | 2,306,285 | ||||||
|
| |||||||
2,809,759 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $23,114,049) | 22,102,663 | |||||||
|
| |||||||
Foreign Bonds (67.6%): | ||||||||
Banks (16.5%): | ||||||||
500,000 | Australia & New Zealand Banking Group, Ltd., 0.98%(BBSW3M+88bps), 2/8/22, MTN+ | 348,091 | ||||||
500,000 | Australia & New Zealand Banking Group, Ltd., 1.10%(BBSW3M+100bps), 3/7/22, MTN+ | 348,874 | ||||||
3,000,000 | Australia & New Zealand Banking Group, Ltd., 0.90%(BBSW3M+76bps), 1/16/25, MTN+ | 2,082,774 | ||||||
1,000,000 | Bank of Montreal, 0.87%(BBSW3M+77bps), 9/7/21, MTN+ | 692,174 | ||||||
1,000,000 | Bank of Montreal, 1.61%, 10/28/21+ | 743,826 | ||||||
2,000,000 | Bank of Montreal, 1.09%(BBSW3M+99bps), 9/7/23, MTN+ | 1,387,578 | ||||||
500,000 | Bank of Nova Scotia, 0.38%, 4/6/22, MTN+ | 563,164 | ||||||
3,200,000 | Canadian Imperial Bank of Commerce, 1.90%, 4/26/21+ | 2,382,178 | ||||||
450,000 | Canadian Imperial Bank of Commerce, 0.75%, 3/22/23+ | 514,824 | ||||||
1,000,000 | Commonwealth Bank of Australia, Series E, 0.50%, 7/11/22+ | 1,135,505 | ||||||
1,000,000 | Commonwealth Bank of Australia, 0.99%(BBSW3M+88bps), 7/25/22, MTN+ | 697,128 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 2,389,000 | Cooperatieve Rabobank UA, Series E, 4.75%, 6/6/22+ | $ | 2,934,324 | ||||
2,093,000 | Cooperatieve Rabobank UA, 0.50%, 12/6/22+ | 2,383,949 | ||||||
1,000,000 | DBS Bank, Ltd./Australia, 0.73%(BBSW3M+63bps), 9/13/22, MTN+ | 690,802 | ||||||
1,800,000 | Dexia Credit Local SA, Series E, 1.13%, 6/15/22+ | 2,262,594 | ||||||
5,200,000 | Dexia Credit Local SA, 0.25%, 6/1/23, MTN+ | 5,930,097 | ||||||
500,000 | Euroclear Bank SA, 0.25%, 9/7/22, MTN+ | 563,922 | ||||||
405,000 | International Bank for Reconstruction & Development, 1.00%, 12/19/22+ | 511,939 | ||||||
3,000,000 | National Australia Bank, Ltd., Series G, 0.88%, 1/20/22+ | 3,417,738 | ||||||
500,000 | National Australia Bank, Ltd., 1.14%(BBSW3M+90bps), 7/5/22, MTN+ | 348,605 | ||||||
500,000 | National Australia Bank, Ltd., 0.35%, 9/7/22+ | 566,489 | ||||||
1,000,000 | National Australia Bank, Ltd., 0.90%(BBSW3M+80bps), 2/10/23, MTN+ | 696,328 | ||||||
2,500,000 | National Australia Bank, Ltd., 1.03%(BBSW3M+93bps), 9/26/23, MTN+ | 1,747,925 | ||||||
2,000,000 | National Australia Bank, Ltd., 0.90%(BBSW3M+77bps), 1/21/25, MTN+ | 1,389,151 | ||||||
10,930,000 | Nordic Investment Bank, 1.38%, 7/15/20, MTN+ | 1,136,431 | ||||||
1,164,000 | Oesterreichische Kontrollbank AG, Series E, 0.75%, 3/7/22+ | 1,453,857 | ||||||
1,000,000 | Oversea-Chinese Banking Corp., Ltd./Sydney, 0.84%(BBSW3M+60bps), 10/6/20, MTN+ | 690,436 | ||||||
3,500,000 | Royal Bank of Canada, 2.03%, 3/15/21+ | 2,603,728 | ||||||
1,190,000 | Skandinaviska Enskilda Banken AB, 1.25%, 8/5/22+ | 1,487,216 | ||||||
4,400,000 | State of North Rhine-Westphalia Germany, 0.68%(BP0003M+6bps), 10/29/21, MTN+ | 5,445,312 | ||||||
1,800,000 | State of North Rhine-Westphalia Germany, 0.00%, 12/5/22+ | 2,040,957 | ||||||
1,667,000 | State of North Rhine-Westphalia Germany, 0.38%, 2/16/23+ | 1,910,659 | ||||||
475,000 | State of North Rhine-Westphalia Germany, 0.13%, 3/16/23+ | 541,067 | ||||||
1,000,000 | State of North Rhine-Westphalia Germany, 0.20%, 4/17/23+ | 1,141,987 | ||||||
2,318,000 | Svenska Handelsbanken AB, Series E, 0.25%, 2/28/22+ | 2,615,461 | ||||||
1,000,000 | Svenska Handelsbanken AB, 2.63%, 8/23/22+ | 1,185,845 | ||||||
1,100,000 | Svenska Handelsbanken AB, 1.13%, 12/14/22+ | 1,269,903 | ||||||
4,000,000 | Toronto-Dominion Bank (The), 2.62%, 12/22/21+ | 3,023,899 | ||||||
600,000 | Toronto-Dominion Bank (The), 1.18%(BBSW3M+100bps), 7/10/24+ | 410,060 | ||||||
2,500,000 | United Overseas Bank, Ltd./Sydney, 0.64%(BBSW3M+53bps), 7/25/22, MTN+ | 1,722,997 | ||||||
300,000 | Westpac Banking Corp., Series E, 0.25%, 1/17/22+ | 338,276 | ||||||
500,000 | Westpac Banking Corp., 1.21%(BBSW3M+111bps), 2/7/22, MTN+ | 349,354 | ||||||
1,000,000 | Westpac Banking Corp., 1.05%(BBSW3M+95bps), 11/16/23, MTN+ | 699,798 | ||||||
|
| |||||||
64,407,222 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Capital Markets (0.4%): | ||||||||
$ | 300,000 | FMS Wertmanagement, 1.13%, 9/7/23+ | $ | 381,671 | ||||
1,000,000 | International Finance Corp., 0.31%(SONIA+25bps), 1/18/22+ | 1,239,429 | ||||||
|
| |||||||
1,621,100 | ||||||||
|
| |||||||
Consumer Finance (2.4%): | ||||||||
1,000,000 | Toyota Credit Canada, Inc., 2.20%, 2/25/21+ | 742,353 | ||||||
5,368,000 | Toyota Finance Australia, Ltd., 0.27%, 4/9/21, MTN+ | 6,017,781 | ||||||
1,355,000 | Toyota Finance Australia, Ltd., Series E, 0.50%, 4/6/23, MTN+ | 1,528,852 | ||||||
905,000 | Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22, MTN+ | 1,016,611 | ||||||
|
| |||||||
9,305,597 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
111,000 | Deutsche Bahn Finance GMBH, 0.07%(EUR003M+30bps), 7/23/20, MTN+ | 124,713 | ||||||
|
| |||||||
Diversified Financial Services (27.5%): | ||||||||
1,000,000 | Agence Francaise de Developpement, 0.13%, 4/30/22+ | 1,133,236 | ||||||
1,500,000 | Agence Francaise de Developpement, 0.50%, 10/25/22+ | 1,717,059 | ||||||
5,700,000 | ASB Finance, Ltd., Series E, 0.50%, 6/10/22+ | 6,445,165 | ||||||
6,081,000 | Asian Development Bank, 0.20%, 5/25/23+ | 6,946,611 | ||||||
400,000 | Bank Nederlandse Gemeenten NV, Series E, 1.00%, 3/15/22+ | 501,664 | ||||||
1,600,000 | Bank Nederlandse Gemeenten NV, 0.25%, 2/22/23+ | 1,826,533 | ||||||
500,000 | Berkshire Hathaway, Inc., 0.75%, 3/16/23, Callable 12/16/22 @ 100+ | 571,207 | ||||||
1,500,000 | BNG Bank NV, 1.13%, 5/24/21, MTN+ | 1,872,803 | ||||||
6,334,000 | BNG Bank NV, 0.05%, 7/11/23, MTN+ | 7,203,390 | ||||||
390,000 | Caisse d’Amortissement de la Dette Sociale, 3.75%, 10/25/20+ | 443,772 | ||||||
1,550,000 | Caisse d’Amortissement de la Dette Sociale, 3.38%, 4/25/21, MTN+ | 1,794,650 | ||||||
400,000 | Caisse d’Amortissement de la Dette Sociale, Series E, 0.50%, 5/25/23, MTN+ | 460,899 | ||||||
5,600,000 | Caisse d’Amortissement de la Dette Sociale, 0.13%, 10/25/23+ | 6,400,350 | ||||||
700,000 | Caisse des Depots et Consignations, Series E, 1.00%, 1/25/21, MTN+ | 870,757 | ||||||
403,000 | Council Of Europe Development Bank, 0.38%, 10/27/22+ | 461,484 | ||||||
750,000 | Council Of Europe Development Bank, 0.13%, 5/25/23, MTN+ | 856,558 | ||||||
258,000 | European Bank for Reconstruction & Development, 0.31%(SONIO/N+25bps), 2/27/23, MTN+ | 319,360 | ||||||
4,832,000 | European Bank for Reconstruction & Development, Series G, 0.52%(SONIO/N+30bps), 2/28/24, MTN+ | 5,985,509 | ||||||
1,900,000 | European Financial Stability Facility, 0.13%, 10/17/23, MTN+ | 2,180,704 | ||||||
23,800,000 | European Investment Bank, Series E, 1.50%, 5/12/22, MTN+ | 2,523,501 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Diversified Financial Services, continued | ||||||||
$ | 1,600,000 | European Investment Bank, 1.00%(SONIO/N+35bps), 6/29/23, MTN+ | $ | 1,988,240 | ||||
4,167,000 | European Investment Bank, 0.37%(SONIO/N+31bps), 1/15/25, MTN+ | 5,171,929 | ||||||
8,586,000 | European Stability Mechanism, 0.10%, 7/31/23+ | 9,825,842 | ||||||
400,000 | Kommunalbanken AS, 1.13%, 11/30/22+ | 505,708 | ||||||
846,000 | Kommunekredit, 0.13%, 8/28/23, MTN+ | 965,266 | ||||||
87,940,000 | Kommuninvest I Sverige AB, 0.25%, 6/1/22+ | 9,479,010 | ||||||
15,600,000 | Kommuninvest I Sverige AB, 0.75%, 2/22/23+ | 1,703,957 | ||||||
1,500,000 | Kommuninvest I Sverige AB, 1.00%, 11/13/23, MTN+ | 165,678 | ||||||
200,000 | Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.88%, 3/7/22+ | 250,326 | ||||||
1,466,000 | Municipality Finance plc, 1.25%, 12/7/22+ | 1,858,159 | ||||||
3,091,000 | Nederlandse Waterschapsbank NV, 0.13%, 9/25/23, MTN+ | 3,532,175 | ||||||
500,000 | Nestle Finance International, Ltd., Series E, 0.75%, 11/8/21, MTN+ | 567,348 | ||||||
500,000 | Nestle Finance International, Ltd., 1.75%, 9/12/22+ | 583,694 | ||||||
500,000 | NRW.Bank, 0.13%, 3/10/23+ | 569,179 | ||||||
5,850,000 | NRW.Bank, 0.13%, 7/7/23+ | 6,671,689 | ||||||
4,680,000 | OP Corporate Bank plc, Series E, 0.75%, 3/3/22+ | 5,318,686 | ||||||
700,000 | Roche Finance Europe BV, 0.50%, 2/27/23, Callable 11/27/22 @ 100+ | 798,762 | ||||||
1,640,000 | Shell International Finance BV, 1.63%, 3/24/21, MTN+ | 1,865,711 | ||||||
1,500,000 | Temasek Financial I, Ltd., Series E, 0.50%, 3/1/22+ | 1,693,451 | ||||||
800,000 | Temasek Financial I, Ltd., Series G, 4.63%, 7/26/22+ | 1,073,994 | ||||||
1,400,000 | Total Capital Canada, Ltd., 1.88%, 7/9/20, MTN+ | 1,573,083 | ||||||
600,000 | Total Capital Canada, Ltd., Series E, 1.13%, 3/18/22+ | 685,631 | ||||||
900,000 | Total Capital International SA, 0.25%, 7/12/23+ | 1,015,211 | ||||||
|
| |||||||
108,377,941 | ||||||||
|
| |||||||
Food Products (0.2%): | ||||||||
500,000 | Nestle Holdings, Inc., 1.75%, 12/9/20, MTN+ | 622,626 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.2%): | ||||||||
500,000 | Tennessee Valley Authority, 5.35%, 6/7/21+ | 646,729 | ||||||
|
| |||||||
Insurance (1.3%): | ||||||||
1,200,000 | UNEDIC ASSEO, 0.00%, 11/25/20, MTN+ | 1,349,773 | ||||||
600,000 | UNEDIC ASSEO, 0.13%, 5/25/22+ | 679,726 | ||||||
2,600,000 | UNEDIC ASSEO, 0.88%, 10/25/22+ | 3,001,296 | ||||||
|
| |||||||
5,030,795 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.5%): | ||||||||
500,000 | Equinor ASA, Series E, 2.00%, 9/10/20, MTN+ | 563,866 | ||||||
2,147,000 | Shell International Finance BV, Series E, 1.25%, 3/15/22+ | 2,466,632 | ||||||
1,150,000 | Shell International Finance BV, Series E, 1.00%, 4/6/22+ | 1,314,564 | ||||||
1,300,000 | Statoil ASA, 0.88%, 2/17/23, Callable 11/17/22 @ 100+ | 1,488,964 | ||||||
|
| |||||||
5,834,026 | ||||||||
|
| |||||||
Pharmaceuticals (3.8%): | ||||||||
750,000 | Novartis Finance SA, 0.75%, 11/9/21+ | 852,328 |
See accompanying notes to the financial statements.
3
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Pharmaceuticals, continued | ||||||||
$ | 2,000,000 | Novartis Finance SA, 0.50%, 8/14/23, Callable 5/14/23 @ 100+ | $ | 2,283,436 | ||||
500,000 | Sanofi, 1.13%, 3/10/22, Callable 12/10/21 @ 100+ | 571,561 | ||||||
300,000 | Sanofi, Series E, 0.00%, 3/21/22, Callable 2/21/22 @ 100, MTN+ | 337,480 | ||||||
1,100,000 | Sanofi, 0.00%, 9/13/22, Callable 6/13/22 @ 100+ | 1,236,958 | ||||||
8,300,000 | Sanofi, 0.50%, 3/21/23, Callable 12/21/22 @ 100+ | 9,458,541 | ||||||
|
| |||||||
14,740,304 | ||||||||
|
| |||||||
Road & Rail (0.2%): | ||||||||
667,000 | Transport For London, 2.25%, 8/9/22, MTN+ | 852,407 | ||||||
|
| |||||||
Sovereign Bond (12.1%): | ||||||||
1,000,000 | African Development Bank, 5.25%, 3/23/22, MTN+ | 745,028 | ||||||
143,000 | Asian Development Bank, 0.35%(SONIO/N+29bps), 3/19/24+ | 176,978 | ||||||
300,000 | Bpifrance Financement SA, Series E, 0.10%, 2/19/21+ | 337,844 | ||||||
4,000,000 | European Investment Bank, Series E, 3.50%, 1/14/21+ | 437,153 | ||||||
1,000,000 | Export Development Canada, Series E, 0.53%(SONIO/N+31bps), 5/29/24+ | 1,237,298 | ||||||
5,925,000 | International Bank for Reconstruction & Development, 0.34%(SONIO/N+27bps), 5/15/24+ | 7,325,339 | ||||||
500,000 | Kommunalbanken AS, Series E, 1.50%, 12/15/23, MTN+ | 644,139 | ||||||
11,000,000 | Province of British Columbia Canada, 3.70%, 12/18/20+ | 8,235,980 | ||||||
7,000,000 | Province of Manitoba Canada, 1.55%, 9/5/21+ | 5,228,908 | ||||||
450,000 | Province of Manitoba Canada, 1.50%, 12/15/22+ | 571,798 | ||||||
12,500,000 | Province of Ontario Canada, 0.93%(CDOR03+26bps), 10/27/21+ | 9,258,968 | ||||||
10,000,000 | Province of Quebec Canada, 4.50%, 12/1/20+ | 7,495,359 | ||||||
950,000 | Province of Quebec Canada, 0.88%, 5/24/22+ | 1,187,050 | ||||||
2,000,000 | Province of Quebec Canada, 1.11%(CDOR03+40.500000000000bps), 10/13/24+ | 1,496,759 | ||||||
500,000 | Swedish Export Credit AB, Series E, 1.38%, 12/15/23, MTN+ | 640,578 | ||||||
1,500,000 | Swedish Exportkredit AB, 0.63%, 12/7/20, MTN+ | 1,861,373 | ||||||
|
| |||||||
46,880,552 | ||||||||
|
| |||||||
Transportation Infrastructure (1.5%): | ||||||||
3,293,000 | Oebb-Infrastruktur AG, Series E, 3.50%, 10/19/20, MTN+ | 3,742,363 | ||||||
2,000,000 | SNCF Reseau, 0.10%, 5/27/21+ | 2,255,148 | ||||||
|
| |||||||
5,997,511 | ||||||||
|
| |||||||
Total Foreign Bonds (Cost $270,214,738) | 264,441,523 | |||||||
|
| |||||||
Yankee Dollars (17.3%): | ||||||||
Banks (1.9%): | ||||||||
1,250,000 | Bank of Nova Scotia, Series B, 1.58% (US0003M+44 bps), 4/20/21 | 1,253,149 | ||||||
447,000 | Bank of Nova Scotia, 2.70%, 3/7/22 | 463,697 | ||||||
1,750,000 | Dexia Credit Local SA, 0.65% (US0003M+32 bps), 9/4/20 | 1,750,385 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Banks, continued | ||||||||
$ | 1,000,000 | Dexia Credit Local SA, 1.16% (US0003M+32 bps), 9/29/20 | $ | 1,000,470 | ||||
3,000,000 | Oesterreichische Kontrollbank AG, 0.37% (US0003M+1 bps), 11/22/21 | 2,999,254 | ||||||
|
| |||||||
7,466,955 | ||||||||
|
| |||||||
Capital Markets (1.0%): | ||||||||
4,000,000 | International Finance Corp., 0.49% (US0003M+18 bps), 12/15/21, MTN | 4,011,276 | ||||||
|
| |||||||
Diversified Financial Services (8.6%): | ||||||||
600,000 | Caisse des Depots et Consignations, 1.54% (US0003M+9 bps), 10/2/20, MTN | 601,776 | ||||||
2,000,000 | EUROFIMA, 0.48% (US0003M+9 bps), 11/15/21 | 2,007,060 | ||||||
3,800,000 | EUROFIMA, 0.41% (US0003M+10 bps), 3/11/22, MTN | 3,799,430 | ||||||
1,792,000 | European Bank For Reconstruction & Deveploment, 0.35% (SOFR+26 bps), 8/19/22, MTN | 1,791,614 | ||||||
1,300,000 | European Investment Bank, 0.36% (SOFR+28 bps), 3/5/24 | 1,299,037 | ||||||
2,000,000 | Kommunalbanken AS, 1.26% (US0003M+4 bps), 4/15/21 | 2,000,024 | ||||||
1,000,000 | Kommunalbanken AS, 0.45% (US0003M+13 bps), 9/8/21(b) | 1,000,389 | ||||||
6,000,000 | Kommunalbanken AS, 0.44% (US0003M+8 bps), 2/24/22(b) | 5,995,170 | ||||||
2,000,000 | Kuntarahoitus Oyj, 1.00% (US0003M+1 bps), 10/26/20 | 2,000,980 | ||||||
1,500,000 | Kuntarahoitus Oyj, 0.44% (US0003M+5 bps), 2/17/21 | 1,500,150 | ||||||
3,000,000 | Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.43% (US0003M+12 bps), 9/27/21, MTN | 2,995,740 | ||||||
3,000,000 | Landeskreditbank Baden-Wuerttemberg Foerderbank, 0.46% (SOFR+35 bps), 3/15/22, MTN | 3,001,020 | ||||||
5,000,000 | Nederlandse Waterschapsbank NV, 0.38% (US0003M+7 bps), 12/15/21(b) | 4,999,700 | ||||||
650,000 | Total Capital International SA, 2.88%, 2/17/22 | 673,563 | ||||||
|
| |||||||
33,665,653 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.2%): | ||||||||
710,000 | Shell International Finance BV, 2.38%, 8/21/22 | 736,980 | ||||||
|
| |||||||
Sovereign Bond (5.6%): | ||||||||
2,000,000 | African Development Bank, 0.32% (US0003M+1 bps), 12/15/21, MTN | 1,998,116 | ||||||
2,000,000 | Agence Francaise de Developpement EPIC, 0.44% (US0003M+12 bps), 6/7/21, MTN | 2,000,040 | ||||||
3,630,000 | Asian Development Bank, 0.51% (US0003M+19 bps), 6/16/21, MTN | 3,635,764 | ||||||
50,000 | Inter-American Development Bank, 1.42% (US0003M+20 bps), 7/15/21, MTN | 50,095 | ||||||
537,000 | Inter-American Development Bank, 1.22% (US0003M ), 1/15/22 | 536,674 | ||||||
4,000,000 | Inter-American Development Bank, 0.36% (SOFR+26 bps), 9/16/22 | 3,994,792 | ||||||
4,000,000 | Inter-American Invest Corp., 1.40% (US0003M+9 bps), 10/12/21, MTN | 3,999,159 |
See accompanying notes to the financial statements.
4
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 839,000 | International Bank For Reconstruction & Development, 0.49% (SOFR+39 bps), 6/17/24 | $ | 838,877 | ||||
2,000,000 | International Bank For Reconstruction & Development, 0.38% (SOFR+30 bps), 8/6/24 | 1,986,102 | ||||||
2,000,000 | Swedish Export Credit AB, 1.34% (US0003M+12 bps), 7/15/21 | 2,001,460 | ||||||
1,000,000 | Swedish Export Credit AB, Series E, 0.43% (US0003M+12 bps), 12/13/21, MTN | 1,000,580 | ||||||
|
| |||||||
22,041,659 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $67,846,553) | 67,922,523 | |||||||
|
| |||||||
U.S. Treasury Obligation (1.3%): | ||||||||
U.S. Treasury Notes (1.3%): | ||||||||
5,000,000 | 0.26%(USBMMY3M+11bps), 4/30/22 | 5,003,338 | ||||||
|
| |||||||
Total U.S. Treasury Obligation (Cost $5,002,129) | 5,003,338 | |||||||
|
| |||||||
Certificates of Deposit (3.8%): | ||||||||
5,000,000 | Oversea-Chinese Banking Corp., Ltd., 0.65%, 7/22/20(a) | 5,001,465 | ||||||
1,000,000 | Oversea-Chinese Banking Corp., Ltd., 0.33%, 10/22/20 | 1,000,207 | ||||||
5,000,000 | Svenska Handelsbanken AB, 0.55%, 5/11/21(b) | 5,001,645 | ||||||
4,000,000 | Toronto Dominion Bank NY, 0.58%, 5/7/21 | 4,002,472 | ||||||
|
| |||||||
Total Certificates of Deposit (Cost $15,000,000) | 15,005,789 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Commercial Paper (4.3%): | ||||||||
$ | 1,000,000 | Exxon Mobil Corp., 0.41%(a) | $ | 997,515 | ||||
10,000,000 | Exxon Mobil Corp., 0.40%(a) | 9,975,980 | ||||||
3,000,000 | Shell International Finance BV(a)(b) | 2,985,534 | ||||||
2,000,000 | Nederlandse Waterschapsbank NV, 0.19%(a)(b) | 1,999,518 | ||||||
1,000,000 | Oversea-Chinese Banking Corp., Ltd., 0.24%(b) | 1,000,004 | ||||||
|
| |||||||
Total Commercial Paper (Cost $16,959,164) | 16,958,551 | |||||||
|
| |||||||
Unaffiliated Investment Companies (1.5%): | ||||||||
Money Markets (1.5%): | ||||||||
5,919,010 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(a) | 5,919,010 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $5,919,010) | 5,919,010 | |||||||
|
| |||||||
Total Investment Securities (Cost $404,055,643) — 101.4% | 397,353,397 | |||||||
Net other assets (liabilities) — (1.4)% | (5,342,860 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 392,010,537 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
BP0003M—3 Month GBP LIBOR
CDOR03—Canadian Dollar LIBOR Rate
EUR003M—3 Month EUR LIBOR
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
SONIA—Sterling Overnight Interbank Average Rate
US0003M—3 Month US Dollar LIBOR
USBMMY3M—3 Month Treasury Bill Rate
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
† | Represents less than 0.05%. |
(a) | The rate represents the effective yield at June 30, 2020. |
(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 liquid based on procedures approved by the Board of Trustees. |
See accompanying notes to the financial statements.
5
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2020 (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, 2020:
(Unaudited)
Country | Percentage | |||
Australia | 5.5 | % | ||
Austria | 2.1 | % | ||
Belgium | 0.1 | % | ||
Canada | 14.0 | % | ||
Denmark | 0.2 | % | ||
Finland | 2.7 | % | ||
France | 11.9 | % | ||
Germany | 6.3 | % | ||
Luxembourg | 1.6 | % | ||
Netherlands | 9.7 | % | ||
New Zealand | 1.6 | % | ||
Norway | 3.1 | % | ||
Singapore | 2.1 | % | ||
Supernational | 18.9 | % | ||
Sweden | 7.1 | % | ||
United Kingdom | 0.2 | % | ||
United States | 12.9 | % | ||
|
| |||
100.0 | % | |||
|
|
Forward Currency Contracts
At June 30, 2020, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
U.S. Dollar | 634,738 | British Pound | 504,984 | BNY Mellon | 7/1/20 | $ | 9,115 | |||||||||||
U.S. Dollar | 166,590 | British Pound | 133,617 | State Street | 7/1/20 | 1,052 | ||||||||||||
U.S. Dollar | 754,480 | British Pound | 607,552 | State Street | 7/1/20 | 1,786 | ||||||||||||
U.S. Dollar | 644,637 | British Pound | 514,058 | State Street | 7/1/20 | 7,773 | ||||||||||||
U.S. Dollar | 749,552 | British Pound | 594,387 | State Street | 7/1/20 | 13,168 | ||||||||||||
U.S. Dollar | 1,930,309 | British Pound | 1,519,915 | Bank of America | 7/6/20 | 47,240 | ||||||||||||
U.S. Dollar | 255,882 | British Pound | 205,090 | BNY Mellon | 7/6/20 | 1,790 | ||||||||||||
U.S. Dollar | 12,748,378 | British Pound | 10,255,408 | Citigroup | 7/6/20 | 42,643 | ||||||||||||
British Pound | 7,449,468 | U.S. Dollar | 9,187,686 | State Street | 7/6/20 | 41,685 | ||||||||||||
U.S. Dollar | 2,624,393 | British Pound | 2,050,323 | State Street | 7/14/20 | 84,093 | ||||||||||||
Swedish Krona | 5,402,158 | U.S. Dollar | 547,153 | State Street | 7/15/20 | 32,923 | ||||||||||||
Swedish Krona | 8,512,448 | U.S. Dollar | 867,440 | State Street | 7/15/20 | 46,614 | ||||||||||||
European Euro | 1,529,345 | U.S. Dollar | 1,682,593 | Citigroup | 7/17/20 | 36,139 | ||||||||||||
Danish Krone | 10,792,543 | U.S. Dollar | 1,606,971 | Bank of America | 7/20/20 | 21,179 | ||||||||||||
Danish Krone | 18,450,203 | U.S. Dollar | 2,722,598 | Bank of America | 7/20/20 | 60,778 | ||||||||||||
Danish Krone | 7,606,757 | U.S. Dollar | 1,115,064 | Bank of America | 7/20/20 | 32,482 | ||||||||||||
Danish Krone | 4,963,750 | U.S. Dollar | 719,381 | Bank of America | 7/20/20 | 29,445 | ||||||||||||
Danish Krone | 2,044,630 | U.S. Dollar | 299,192 | Bank of America | 7/20/20 | 9,259 | ||||||||||||
Danish Krone | 9,716,035 | U.S. Dollar | 1,420,075 | Bank of America | 7/20/20 | 45,675 | ||||||||||||
Danish Krone | 2,700,469 | U.S. Dollar | 406,804 | Barclays Bank | 7/20/20 | 586 | ||||||||||||
U.S. Dollar | 6,003,553 | Canadian Dollar | 8,142,488 | BNY Mellon | 7/20/20 | 4,519 | ||||||||||||
Danish Krone | 5,294,278 | U.S. Dollar | 770,272 | Citigroup | 7/20/20 | 28,417 | ||||||||||||
Danish Krone | 4,316,006 | U.S. Dollar | 650,585 | State Street | 7/20/20 | 523 | ||||||||||||
U.S. Dollar | 2,249,181 | Canadian Dollar | 3,043,696 | State Street | 7/20/20 | 6,718 | ||||||||||||
U.S. Dollar | 9,184,569 | Australian Dollar | 13,241,013 | Citigroup | 7/21/20 | 48,476 | ||||||||||||
U.S. Dollar | 2,095,602 | Australian Dollar | 3,021,140 | State Street | 7/21/20 | 11,062 | ||||||||||||
European Euro | 1,102,359 | U.S. Dollar | 1,223,712 | Bank of America | 7/30/20 | 15,520 | ||||||||||||
European Euro | 100,154 | U.S. Dollar | 111,567 | Bank of America | 7/30/20 | 1,023 | ||||||||||||
U.S. Dollar | 5,576,202 | European Euro | 4,910,168 | State Street | 7/30/20 | 56,368 | ||||||||||||
U.S. Dollar | 1,310,059 | European Euro | 1,158,450 | BNY Mellon | 7/31/20 | 7,743 |
See accompanying notes to the financial statements.
6
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
U.S. Dollar | 621,419 | European Euro | 543,980 | BNY Mellon | 7/31/20 | $ | 9,883 | |||||||||||||
European Euro | 979,915 | U.S. Dollar | 1,099,359 | Citigroup | 7/31/20 | 2,250 | ||||||||||||||
U.S. Dollar | 3,736,444 | Norwegian Krone | 35,462,257 | Citigroup | 8/3/20 | 49,757 | ||||||||||||||
|
| |||||||||||||||||||
$ | 807,684 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. Dollar | 334,494 | British Pound | 271,113 | State Street | 7/6/20 | $ | (1,397 | ) | ||||||||||||
U.S. Dollar | 1,270,106 | British Pound | 1,030,451 | State Street | 7/6/20 | (6,551 | ) | |||||||||||||
U.S. Dollar | 1,863,446 | British Pound | 1,512,639 | State Street | 7/6/20 | (10,608 | ) | |||||||||||||
U.S. Dollar | 34,013,161 | British Pound | 27,910,348 | Citigroup | 7/14/20 | (567,068 | ) | |||||||||||||
U.S. Dollar | 12,403,621 | Swedish Krona | 123,858,355 | Bank of America | 7/15/20 | (896,105 | ) | |||||||||||||
U.S. Dollar | 66,270,056 | European Euro | 60,921,569 | Bank of America | 7/17/20 | (2,195,768 | ) | |||||||||||||
European Euro | 2,073,394 | U.S. Dollar | 2,336,290 | BNY Mellon | 7/17/20 | (6,136 | ) | |||||||||||||
U.S. Dollar | 26,693,644 | Canadian Dollar | 37,952,863 | Bank of America | 7/20/20 | (1,268,385 | ) | |||||||||||||
U.S. Dollar | 1,492,204 | Canadian Dollar | 2,035,873 | BNY Mellon | 7/20/20 | (7,739 | ) | |||||||||||||
U.S. Dollar | 9,590,614 | Danish Krone | 65,884,671 | State Street | 7/20/20 | (348,672 | ) | |||||||||||||
U.S. Dollar | 3,612,006 | Canadian Dollar | 5,009,342 | State Street | 7/20/20 | (78,661 | ) | |||||||||||||
U.S. Dollar | 1,043,767 | Australian Dollar | 1,516,982 | Bank of America | 7/21/20 | (2,927 | ) | |||||||||||||
U.S. Dollar | 1,397,778 | Australian Dollar | 2,039,201 | Bank of America | 7/21/20 | (9,239 | ) | |||||||||||||
U.S. Dollar | 348,738 | Australian Dollar | 508,388 | BNY Mellon | 7/21/20 | (2,042 | ) | |||||||||||||
U.S. Dollar | 689,144 | Australian Dollar | 1,004,595 | State Street | 7/21/20 | (4,011 | ) | |||||||||||||
U.S. Dollar | 349,662 | Australian Dollar | 507,350 | State Street | 7/21/20 | (402 | ) | |||||||||||||
U.S. Dollar | 29,449,274 | European Euro | 26,695,626 | Citigroup | 7/30/20 | (560,985 | ) | |||||||||||||
European Euro | 475,241 | U.S. Dollar | 535,806 | Bank of America | 7/31/20 | (1,545 | ) | |||||||||||||
European Euro | 154,518 | U.S. Dollar | 174,130 | Bank of America | 7/31/20 | (423 | ) | |||||||||||||
U.S. Dollar | 66,630,391 | European Euro | 59,882,959 | BNY Mellon | 7/31/20 | (689,334 | ) | |||||||||||||
European Euro | 652,543 | U.S. Dollar | 740,920 | Citigroup | 7/31/20 | (7,339 | ) | |||||||||||||
U.S. Dollar | 2,902,244 | British Pound | 2,353,756 | State Street | 8/11/20 | (14,459 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (6,679,796 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Total Net Forward Currency Contracts |
| $ | (5,872,112 | ) | ||||||||||||||||
|
|
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
Unrealized Appreciation | Unrealized Depreciation | |||||||
Forward currency contracts | $ | 807,684 | $ | (6,679,796 | ) |
See accompanying notes to the financial statements.
7
AZL DFA Five-Year Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 404,055,643 | |||
|
| ||||
Investment securities, at value | $ | 397,353,397 | |||
Cash | 5,904 | ||||
Interest and dividends receivable | 938,692 | ||||
Foreign currency, at value (cost $189,066) | 190,210 | ||||
Unrealized appreciation on forward currency contracts | 807,684 | ||||
Receivable for capital shares issued | 1,503 | ||||
Receivable for investments sold | 3,265,663 | ||||
Prepaid expenses | 783 | ||||
|
| ||||
Total Assets | 402,563,836 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 6,679,796 | ||||
Payable for investments purchased | 3,597,774 | ||||
Payable for capital shares redeemed | 25 | ||||
Manager fees payable | 159,781 | ||||
Administration fees payable | 4,579 | ||||
Distribution fees payable | 79,890 | ||||
Custodian fees payable | 11,816 | ||||
Administrative and compliance services fees payable | 701 | ||||
Transfer agent fees payable | 1,053 | ||||
Trustee fees payable | 4,410 | ||||
Other accrued liabilities | 13,474 | ||||
|
| ||||
Total Liabilities | 10,553,299 | ||||
|
| ||||
Net Assets | $ | 392,010,537 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 396,691,715 | |||
Total distributable earnings | (4,681,178 | ) | |||
|
| ||||
Net Assets | $ | 392,010,537 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 39,757,431 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.86 | |||
|
|
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 1,181,713 | |||
Dividends | 21,521 | ||||
Income from securities lending | 162 | ||||
|
| ||||
Total Investment Income | 1,203,396 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,180,742 | ||||
Administration fees | 68,753 | ||||
Distribution fees | 491,977 | ||||
Custodian fees | 29,034 | ||||
Administrative and compliance services fees | 3,259 | ||||
Transfer agent fees | 2,535 | ||||
Trustee fees | 10,273 | ||||
Professional fees | 9,121 | ||||
Shareholder reports | 5,398 | ||||
Other expenses | 3,776 | ||||
|
| ||||
Total expenses before reductions | 1,804,868 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (196,788 | ) | |||
|
| ||||
Net expenses | 1,608,080 | ||||
|
| ||||
Net Investment Income/(Loss) | (404,684 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | (11,630,303 | ) | |||
Net realized gains/(losses) on forward currency contracts | 16,644,044 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (1,715,573 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | (923,514 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 2,374,654 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 1,969,970 | |||
|
|
See accompanying notes to the financial statements.
8
AZL DFA Five-Year Global Fixed Income Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (404,684 | ) | $ | 526,595 | |||||
Net realized gains/(losses) on investments | 5,013,741 | 14,211,856 | ||||||||
Change in unrealized appreciation/depreciation on investments | (2,639,087 | ) | 987,038 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 1,969,970 | 15,725,489 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (24,665,739 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (24,665,739 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 44,071,230 | 12,381,360 | ||||||||
Proceeds from dividends reinvested | — | 24,665,739 | ||||||||
Value of shares redeemed | (88,314,227 | ) | (54,717,556 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (44,242,997 | ) | (17,670,457 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (42,273,027 | ) | (26,610,707 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 434,283,564 | 460,894,271 | ||||||||
|
|
|
| |||||||
End of period | $ | 392,010,537 | $ | 434,283,564 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 4,483,333 | 1,218,558 | ||||||||
Dividends reinvested | — | 2,514,346 | ||||||||
Shares redeemed | (8,954,434 | ) | (5,333,251 | ) | ||||||
|
|
|
| |||||||
Change in shares | (4,471,101 | ) | (1,600,347 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
9
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 27, 2015 to December 31, | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.82 | $ | 10.06 | $ | 10.00 | $ | 9.96 | $ | 9.91 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | (0.01 | )(b) | 0.01 | (b) | 0.06 | 0.11 | 0.11 | 0.06 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.05 | 0.34 | 0.06 | 0.05 | 0.02 | (0.15 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.04 | 0.35 | 0.12 | 0.16 | 0.13 | (0.09 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.59 | ) | (0.06 | ) | (0.12 | ) | (0.08 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.59 | ) | (0.06 | ) | (0.12 | ) | (0.08 | ) | — | ||||||||||||||||||||
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Net Asset Value, End of Period | $ | 9.86 | $ | 9.82 | $ | 10.06 | $ | 10.00 | $ | 9.96 | $ | 9.91 | ||||||||||||||||||
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Total Return(c) | 0.41 | %(d) | 3.50 | % | 1.17 | % | 1.57 | % | 1.28 | % | (0.90 | )%(d) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 392,011 | $ | 434,284 | $ | 460,894 | $ | 506,088 | $ | 482,830 | $ | 517,049 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | (0.21 | )% | 0.12 | % | 0.45 | % | 1.11 | % | 1.01 | % | 0.90 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 0.92 | % | 0.92 | % | 0.91 | % | 0.90 | % | 0.90 | % | 0.91 | % | ||||||||||||||||||
Expenses Net of Reductions (e) | 0.82 | % | 0.82 | % | 0.81 | % | 0.80 | % | 0.80 | % | 0.81 | % | ||||||||||||||||||
Portfolio Turnover Rate | 38 | %(d) | 35 | % | 69 | % | 83 | % | 52 | % | 127 | %(d) |
(a) | For the period April 27, 2015 (commencement of share class) to December 31, 2015. |
(b) | Calculated using the average shares method. |
(c) | 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. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
10
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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 DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had no open securities lending transactions as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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, 2020, the monthly average notional amount for long contracts was $30.7 million, the monthly average notional amount for short contracts was $346.9 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, 2020:
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 Risk | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | $ | 807,684 | Unrealized depreciation on forward currency contracts | $ | 6,679,796 |
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, 2020:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on | |||||||
Foreign Exchange Risk | ||||||||||
Forward Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | $ | 16,644,044 | $(923,514) |
12
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020. 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, 2020.
As of June 30, 2020, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 807,684 | $ | 6,679,796 | ||||||
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| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 807,684 | 6,679,796 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (33,050 | ) | (705,251 | ) | ||||||
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| |||||||
Total assets and liabilities subject to a MNA | $ | 774,634 | $ | 5,974,545 | ||||||
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|
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of June 30, 2020:
Counterparty | Derivative Assets by Counterparty | Derivatives Available for Offset | Non-cash Received* | Cash Received* | Net Amount of Derivative Assets | ||||||||||||||||||||
Bank of America | $ | 262,601 | $ | (262,601 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Barclays Bank | 586 | — | — | — | 586 | ||||||||||||||||||||
Citigroup | 207,682 | (207,682 | ) | — | — | — | |||||||||||||||||||
State Street | 303,765 | (303,765 | ) | — | — | — | |||||||||||||||||||
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Total | $ | 774,634 | $ | (774,048 | ) | $ | — | $ | — | $ | 586 | ||||||||||||||
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The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral pledged by the Fund as of June 30, 2020:
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Bank of America | $ | 4,374,392 | $ | (262,601 | ) | $ | — | $ | — | $ | 4,111,791 | ||||||||||||||
Citigroup | 1,135,392 | (207,682 | ) | — | — | 927,710 | |||||||||||||||||||
State Street | 464,761 | (303,765 | ) | — | — | 160,996 | |||||||||||||||||||
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Total | $ | 5,974,545 | $ | (774,048 | ) | $ | — | $ | — | $ | 5,200,497 | ||||||||||||||
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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, 2021.
For the period ended June 30, 2020, 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, 2020, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
13
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2020 (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 SEC. 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, 2020, $1,692 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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 forward 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.
14
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2020 (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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Corporate Bonds+ | $ | — | $ | 22,102,663 | $ | — | $ | 22,102,663 | ||||||||||||
Foreign Bonds+ | — | 264,441,523 | — | 264,441,523 | ||||||||||||||||
Yankee Dollars+ | — | 67,922,523 | — | 67,922,523 | ||||||||||||||||
U.S. Treasury Obligations | — | 5,003,338 | — | 5,003,338 | ||||||||||||||||
Certificates of Deposit | — | 15,005,789 | — | 15,005,789 | ||||||||||||||||
Commercial Paper | — | 16,958,551 | — | 16,958,551 | ||||||||||||||||
Unaffiliated Investment Companies | 5,919,010 | — | — | 5,919,010 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 5,919,010 | 391,434,387 | — | 397,353,397 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Forward Currency Contracts | — | (5,872,112 | ) | — | (5,872,112 | ) | ||||||||||||||
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| |||||||||||||
Total Investments | $ | 5,919,010 | $ | 385,562,275 | $ | — | $ | 391,481,285 | ||||||||||||
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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 presented in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 122,211,272 | $ | 157,533,276 |
For the period ended June 30, 2020, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 18,993,316 | $ | 25,506,139 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments
15
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $442,904,981. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 2,788,293 | ||
Unrealized (depreciation) | (7,772,791 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | (4,984,498 | ) | |
|
|
As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2019, the Fund utilized $99,873 in CLCFs to offset capital gains.
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 3,436,105 | $ | 5,579,865 | $ | 9,015,970 |
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 24,665,739 | $ | — | $ | 24,665,739 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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/ | |||||||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 9,025,087 | $ | – | $ | (9,015,970 | ) | $ | (5,288,537 | ) | $ | (5,279,420 | ) |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of currency contracts and straddles. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 85% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
17
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® DFA International Core Equity Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 35 |
Page 35 |
Statements of Changes in Net Assets Page 36 |
Page 37 |
Notes to the Financial Statements Page 38 |
Page 43 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 44 |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA International Core Equity Fund | $ | 1,000.00 | $ | 859.20 | $ | 5.27 | 1.14 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA International Core Equity Fund | $ | 1,000.00 | $ | 1,019.19 | $ | 5.72 | 1.14 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 18.8 | % | |||
Consumer Discretionary | 13.8 | ||||
Financials | 13.8 | ||||
Materials | 11.1 | ||||
Consumer Staples | 8.7 | ||||
Health Care | 8.7 | ||||
Information Technology | 7.3 | ||||
Communication Services | 6.2 | ||||
Energy | 4.7 | ||||
Utilities | 3.5 | ||||
Real Estate | 2.7 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.3 | ||||
Rights | — | † | |||
Warrant | — | † | |||
Short-Term Securities Held as Collateral for Securities on Loan | 0.9 | ||||
|
| ||||
Total Investment Securities | 100.2 | ||||
Net other assets (liabilities) | (0.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.9%): | ||||||||
Aerospace & Defense (0.9%): | ||||||||
4,047 | Airbus SE* | $ | 287,955 | |||||
982 | Avon Rubber plc | 39,141 | ||||||
44,779 | BAE Systems plc | 267,796 | ||||||
6,187 | CAE, Inc. | 100,366 | ||||||
3,081 | Chemring Group plc | 9,224 | ||||||
15 | Dassault Aviation SA* | 13,810 | ||||||
504 | Elbit Systems, Ltd. | 69,420 | ||||||
89 | Facc AG | 644 | ||||||
401 | FMS Enterprises Migun, Ltd. | 9,655 | ||||||
2,535 | Heroux-Devtek, Inc.* | 19,012 | ||||||
1,604 | Kongsberg Gruppen ASA | 22,503 | ||||||
9,452 | Leonardo SpA | 62,530 | ||||||
1,132 | LISI* | 23,505 | ||||||
20,980 | Meggitt plc | 76,362 | ||||||
2,059 | MTU Aero Engines AG* | 355,821 | ||||||
19,005 | QinetiQ Group plc | 69,958 | ||||||
22,913 | Rolls-Royce Holdings plc | 80,864 | ||||||
2,553 | Saab AB* | 63,651 | ||||||
2,582 | Safran SA* | 258,262 | ||||||
20,156 | Senior plc | 17,494 | ||||||
25,500 | Singapore Technologies Engineering, Ltd. | 60,526 | ||||||
1,841 | Thales SA | 148,489 | ||||||
3,264 | Ultra Electronics Holdings plc | 80,730 | ||||||
|
| |||||||
2,137,718 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
31,587 | Bollore, Inc. | 99,058 | ||||||
6,117 | BPOST SA | 41,193 | ||||||
1,400 | Chuo Warehouse Co., Ltd. | 12,823 | ||||||
2,399 | Cia de Distribucion Integral Logista Holdings SA | 44,683 | ||||||
6,355 | CTT-Correios de Portugal SA* | 15,054 | ||||||
10,513 | Deutsche Post AG* | 383,479 | ||||||
5,994 | Freightways, Ltd. | 27,934 | ||||||
73 | ID Logistics Group* | 14,133 | ||||||
37,500 | Kerry Network, Ltd. | 49,789 | ||||||
2,300 | Kintetsu World Express, Inc. | 39,747 | ||||||
1,800 | Konoike Transport Co., Ltd. | 19,414 | ||||||
1,541 | Mainfreight, Ltd. | 39,438 | ||||||
1,800 | Mitsui-Soko Holdings Co., Ltd. | 24,901 | ||||||
1,146 | Oesterreichische Post AG^ | 37,896 | ||||||
27,139 | PostNL NV | 58,210 | ||||||
35,743 | Royal Mail plc | 80,610 | ||||||
900 | SBS Holdings, Inc. | 18,517 | ||||||
1,500 | SG Holdings Co., Ltd. | 48,947 | ||||||
27,700 | Singapore Post, Ltd. | 15,334 | ||||||
5,312 | Wincanton plc | 12,235 | ||||||
36 | XPO Logistics Europe SADIR* | 9,318 | ||||||
3,700 | Yamato Holdings Co., Ltd. | 79,988 | ||||||
1,600 | Yasuda Logistics Corp. | 13,885 | ||||||
|
| |||||||
1,186,586 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
2,930 | Air Canada* | 36,588 | ||||||
13,467 | Air France-KLM*^ | 60,869 | ||||||
26,921 | Air New Zealand, Ltd. | 23,104 | ||||||
1,200 | ANA Holdings, Inc.^ | 27,295 | ||||||
35,046 | Cathay Pacific Airways, Ltd. | 33,920 | ||||||
6,945 | Dart Group plc | 72,150 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Airlines, continued | ||||||||
9,717 | Deutsche Lufthansa AG, Registered Shares* | $ | 97,370 | |||||
4,978 | easyJet plc | 41,858 | ||||||
28,658 | El Al Israel Airlines* | 4,753 | ||||||
1,728 | Exchange Income Corp. | 34,053 | ||||||
13,156 | International Consolidated Airlines Group SA | 36,114 | ||||||
4,400 | Japan Airlines Co., Ltd. | 79,322 | ||||||
24,091 | Qantas Airways, Ltd. | 63,094 | ||||||
6,028 | Qantas Airways, Ltd.* | 15,787 | ||||||
18,011 | SAS AB*^ | 15,010 | ||||||
53,500 | Singapore Airlines, Ltd. | 144,333 | ||||||
|
| |||||||
785,620 | ||||||||
|
| |||||||
Auto Components (2.2%): | ||||||||
1,000 | Aisan Industry Co., Ltd. | 4,908 | ||||||
2,900 | Aisin Sieki Co., Ltd. | 84,523 | ||||||
7,300 | Akebono Brake Industry Co., Ltd.* | 11,591 | ||||||
1,027 | Akwel | 16,620 | ||||||
2,314 | Arb Corp., Ltd. | 28,968 | ||||||
266 | Autoneum Holding AG* | 25,947 | ||||||
8,806 | Brembo SpA* | 81,232 | ||||||
12,900 | Bridgestone Corp. | 415,117 | ||||||
1,647 | Bulten AB* | 9,433 | ||||||
11 | Burelle SA | 6,668 | ||||||
3,874 | CIE Automotive SA | 67,890 | ||||||
6,803 | Compagnie Generale des Establissements Michelin SCA, Class B* | 704,705 | ||||||
2,623 | Continental AG* | 256,179 | ||||||
2,800 | Daido Metal Co., Ltd. | 14,264 | ||||||
2,400 | Daikyonishikawa Corp. | 10,713 | ||||||
2,000 | Denso Corp. | 78,034 | ||||||
14,686 | Dometic Group AB(a) | 131,513 | ||||||
1,800 | Eagle Industry Co., Ltd. | 12,025 | ||||||
673 | Edag Engineering Group AG* | 4,916 | ||||||
1,724 | ElringKlinger AG* | 10,249 | ||||||
1,700 | Exedy Corp. | 25,246 | ||||||
4,410 | Faurecia SA* | 171,922 | ||||||
2,300 | FCC Co., Ltd. | 39,393 | ||||||
1,000 | F-Tech, Inc. | 4,629 | ||||||
4,000 | Futaba Industrial Co., Ltd. | 16,663 | ||||||
1,400 | G-Tekt Corp. | 13,532 | ||||||
3,860 | Gud Holdings, Ltd. | 30,913 | ||||||
2,186 | Hella GmbH & Co. KGaA | 89,310 | ||||||
1,600 | Hi-Lex Corp. | 17,690 | ||||||
700 | H-One Co., Ltd. | 3,591 | ||||||
1,200 | Imasen Electric Industrial | 8,213 | ||||||
1,800 | Kasai Kogyo Co., Ltd. | 7,580 | ||||||
2,500 | Keihin Corp. | 58,462 | ||||||
3,000 | Koito Manufacturing Co., Ltd. | 120,782 | ||||||
31,203 | Kongsberg Automotive ASA* | 1,128 | ||||||
1,400 | KYB Corp.* | 26,173 | ||||||
2,493 | Leoni AG* | 18,797 | ||||||
3,233 | Linamar Corp. | 87,411 | ||||||
11,703 | Magna International, Inc. | 521,134 | ||||||
1,150 | Magna Internationl, Inc. | 51,222 | ||||||
6,366 | Martinrea International, Inc. | 48,212 | ||||||
2,000 | Mitsuba Corp.* | 8,639 | ||||||
3,200 | Musashi Seimitsu Industry Co., Ltd. | 28,705 | ||||||
4,800 | NGK Spark Plug Co., Ltd. | 68,780 |
See accompanying notes to the financial statements.
2
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
6,600 | NHK SPRING Co., Ltd. | $ | 42,752 | |||||
600 | Nichirin Co., Ltd. | 7,518 | ||||||
3,600 | Nifco, Inc. | 76,801 | ||||||
3,300 | Nippon Seiki Co., Ltd. | 38,702 | ||||||
1,400 | Nissin Kogyo Co., Ltd. | 28,474 | ||||||
2,700 | NOK Corp. | 33,404 | ||||||
5,985 | Nokian Renkaat OYJ | 131,182 | ||||||
800 | Ohashi Technica, Inc. | 11,375 | ||||||
2,600 | Pacific Industrial Co., Ltd. | 22,823 | ||||||
1,800 | Piolax, Inc. | 26,847 | ||||||
13,329 | Pirelli & C SpA*(a) | 56,448 | ||||||
2,839 | Plastic Omnium SA | 57,752 | ||||||
6,300 | Press Kogyo Co., Ltd. | 17,074 | ||||||
3,582 | PWR Holdings, Ltd. | 11,172 | ||||||
400 | Riken Corp. | 11,090 | ||||||
4,208 | Saf-Holland SA* | 24,782 | ||||||
1,600 | Sanden Holdings Corp.* | 5,095 | ||||||
1,900 | Sanoh Industrial Co., Ltd. | 11,886 | ||||||
2,535 | Schaeffler AG | 18,977 | ||||||
1,200 | Shoei Co., Ltd. | 29,945 | ||||||
4,000 | Showa Corp. | 82,577 | ||||||
1,800 | Stanley Electric Co., Ltd. | 43,353 | ||||||
12,500 | Sumitomo Electric Industries, Ltd. | 143,797 | ||||||
2,900 | Sumitomo Riko Co., Ltd. | 16,790 | ||||||
9,500 | Sumitomo Rubber Industries, Ltd.^ | 93,586 | ||||||
300 | T RAD Co., Ltd. | 3,703 | ||||||
1,400 | Tachi-S Co., Ltd. | 11,244 | ||||||
800 | Taiho Kogyo Co., Ltd. | 3,911 | ||||||
2,500 | Tokai Rika Co., Ltd. | 36,165 | ||||||
2,500 | Topre Corp. | 27,851 | ||||||
7,500 | Toyo Tire Corp. | 100,285 | ||||||
2,500 | Toyoda Gosei Co., Ltd. | 52,016 | ||||||
3,500 | Toyota Boshoku Corp. | 46,989 | ||||||
700 | Toyota Industries Corp. | 37,067 | ||||||
1,500 | TPR Co., Ltd. | 18,651 | ||||||
1,400 | TS Tech Co., Ltd. | 38,395 | ||||||
2,000 | Unipres Corp. | 17,424 | ||||||
2,847 | Valeo SA | 74,569 | ||||||
104,000 | Xinyi Glass Holdings, Ltd. | 127,919 | ||||||
6,500 | Yokohama Rubber Co., Ltd. (The) | 91,354 | ||||||
600 | Yorozu Corp. | 5,898 | ||||||
|
| |||||||
5,181,265 | ||||||||
|
| |||||||
Automobiles (2.7%): | ||||||||
7,641 | Bayerische Motoren Werke AG (BMW) | 486,761 | ||||||
17,987 | Daimler AG, Registered Shares* | 729,015 | ||||||
1,253 | Ferrari NV | 214,275 | ||||||
47,888 | Fiat Chrysler Automobiles NV* | 480,332 | ||||||
17,800 | Honda Motor Co., Ltd. | 455,133 | ||||||
24,135 | IMMSI SpA* | 10,542 | ||||||
8,600 | Isuzu Motors, Ltd. | 77,672 | ||||||
7,900 | Mazda Motor Corp. | 47,374 | ||||||
8,800 | Mitsubishi Motors Corp. | 21,723 | ||||||
24,000 | Nissan Motor Co., Ltd. | 88,907 | ||||||
2,700 | Nissan Shatai Co., Ltd. | 23,160 | ||||||
14,678 | Piaggio & C SpA | 35,512 | ||||||
27,636 | PSA Peugeot Citroen SA* | 448,566 | ||||||
3,686 | Renault SA* | 93,294 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
4,600 | Subaru Corp. | $ | 95,675 | |||||
6,300 | Suzuki Motor Corp. | 213,789 | ||||||
38,724 | Toyota Motor Corp. | 2,429,556 | ||||||
550 | Toyota Motor Corp., ADR | 69,097 | ||||||
794 | Volkswagen AG* | 127,432 | ||||||
10,400 | Yamaha Motor Co., Ltd. | 162,969 | ||||||
|
| |||||||
6,310,784 | ||||||||
|
| |||||||
Banks (6.7%): | ||||||||
3,000 | 77th Bank | 44,624 | ||||||
3,666 | ABN AMRO Group NV(a) | 31,509 | ||||||
15,084 | AIB Group plc | 18,946 | ||||||
500 | Aichi Bank, Ltd. (The) | 12,890 | ||||||
1,500 | Akita Bank, Ltd. (The) | 20,179 | ||||||
3,329 | Aktia Bank OYJ* | 32,965 | ||||||
1,200 | Aomori Bank, Ltd. (The) | 24,908 | ||||||
3,300 | Aozora Bank, Ltd. | 57,457 | ||||||
10,758 | Australia & New Zealand Banking Group, Ltd. | 139,180 | ||||||
2,000 | Awa Bank, Ltd. (The) | 44,871 | ||||||
19,504 | Banca Monte dei Paschi di Siena SpA*^ | 34,489 | ||||||
21,166 | Banca Popolare di Sondrio SCPA* | 39,913 | ||||||
56,924 | Banco Bilbao Vizcaya Argentaria SA | 195,510 | ||||||
36,557 | Banco Bilbao Vizcaya Argentaria SA, ADR | 124,294 | ||||||
44,790 | Banco Bpm SpA* | 66,688 | ||||||
106,975 | Banco Comercial Portugues SA, Class R* | 12,838 | ||||||
238,968 | Banco de Sabadell SA | 82,784 | ||||||
72,501 | Banco Santander SA | 176,779 | ||||||
8,101 | Bank Hapoalim BM | 48,560 | ||||||
27,389 | Bank Leumi Le-Israel Corp. | 138,118 | ||||||
36,738 | Bank of East Asia, Ltd. (The) | 83,979 | ||||||
974 | Bank of Georgia Group plc* | 12,950 | ||||||
29,096 | Bank of Ireland Group plc* | 59,525 | ||||||
900 | Bank of Iwate, Ltd. (The) | 21,702 | ||||||
1,200 | Bank of Kyoto, Ltd. (The) | 42,531 | ||||||
6,527 | Bank of Montreal | 346,257 | ||||||
500 | Bank of Nagoya, Ltd. (The) | 10,729 | ||||||
9,618 | Bank of Nova Scotia | 396,646 | ||||||
820 | Bank of Okinawa, Ltd. (The) | 23,521 | ||||||
23,359 | Bank of Queensland, Ltd. | 99,854 | ||||||
1,100 | Bank of Saga, Ltd. (The) | 11,969 | ||||||
2,000 | Bank of The Ryukyus, Ltd. | 17,728 | ||||||
50,112 | Bankia SA | 53,290 | ||||||
23,015 | Bankinter SA | 109,562 | ||||||
71 | Banque Cantonale de Geneve | 13,678 | ||||||
1,420 | Banque Cantonale Vaudois, Registered Shares | 137,950 | ||||||
35,666 | Barclays plc, ADR | 201,870 | ||||||
21,540 | Bendigo & Adelaide Bank, Ltd. | 104,679 | ||||||
303 | Berner Kantonalbank AG | 73,397 | ||||||
4,368 | BNP Paribas SA* | 173,147 | ||||||
38,542 | BOC Hong Kong Holdings, Ltd. | 122,377 | ||||||
13,388 | BPER Banca*^ | 33,218 | ||||||
59,686 | CaixaBank SA | 127,188 | ||||||
5,889 | Canadian Imperial Bank of Commerce | 394,386 | ||||||
4,227 | Canadian Western Bank | 73,647 | ||||||
11,600 | Chiba Bank, Ltd. (The) | 54,685 | ||||||
4,300 | Chiba Kogyo Bank, Ltd. (The) | 9,336 | ||||||
10,000 | Chong Hing Bank, Ltd. | 12,297 | ||||||
6,200 | Chugoku Bank, Ltd. (The) | 57,391 |
See accompanying notes to the financial statements.
3
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
700 | Chukyo Bank, Ltd. (The) | $ | 13,944 | |||||
1,097 | Comdirect Bank AG* | 16,755 | ||||||
31,551 | Commerzbank AG* | 140,458 | ||||||
11,410 | Commonwealth Bank of Australia | 549,339 | ||||||
12,500 | Concordia Financial Group, Ltd. | 40,022 | ||||||
20,243 | Credit Agricole SA* | 191,194 | ||||||
5,165 | Credito Emiliano SpA* | 25,500 | ||||||
3,488 | Credito Valtellinese SpA* | 20,573 | ||||||
16,000 | Dah Sing Banking Group, Ltd. | 14,627 | ||||||
5,600 | Dah Sing Financial Holdings, Ltd. | 15,756 | ||||||
1,900 | Daishi Hokuetsu Financial Group, Inc. | 38,429 | ||||||
10,607 | Danske Bank A/S | 141,099 | ||||||
5,200 | DBS Group Holdings, Ltd. | 77,801 | ||||||
7,483 | DNB ASA* | 99,052 | ||||||
1,600 | Ehime Bank, Ltd. (The) | 17,282 | ||||||
2,450 | Erste Group Bank AG* | 57,568 | ||||||
6,500 | Fidea Holdings Co., Ltd. | 6,089 | ||||||
13,601 | Finecobank Banca Fineco SpA* | 183,260 | ||||||
3,600 | First Bank of Toyama, Ltd. (The) | 8,949 | ||||||
1,816 | First International Bank of Israel | 38,416 | ||||||
1,000 | Fukui Bank, Ltd. (The) | 15,525 | ||||||
7,000 | Fukuoka Financial Group, Inc. | 110,490 | ||||||
2,200 | Fukushima Bank, Ltd. (The) | 3,490 | ||||||
19,400 | Gunma Bank, Ltd. (The) | 61,546 | ||||||
9,200 | Hachijuni Bank, Ltd. (The) | 34,901 | ||||||
11,605 | Hang Seng Bank, Ltd. | 195,947 | ||||||
27,746 | Heartland Group Holdings Npv | 22,226 | ||||||
11,800 | Hiroshima Bank, Ltd. (The) | 55,609 | ||||||
1,000 | Hokkoku Bank, Ltd. (The) | 26,496 | ||||||
6,000 | Hokuhoku Financial Group, Inc. | 49,603 | ||||||
32,619 | HSBC Holdings plc, ADR | 761,001 | ||||||
9,400 | Hyakugo Bank, Ltd. (The) | 28,680 | ||||||
1,000 | Hyakujushi Bank, Ltd. (The) | 18,009 | ||||||
14,738 | ING Groep NV | 102,374 | ||||||
127,279 | Intesa Sanpaolo SpA | 243,128 | ||||||
15,332 | Isreal Discount Bank | 46,951 | ||||||
9,500 | Iyo Bank, Ltd. (The) | 57,974 | ||||||
6,200 | Jimoto Holdings, Inc. | 5,475 | ||||||
1,200 | Juroku Bank, Ltd. (The) | 21,812 | ||||||
2,048 | Jyske Bank A/S* | 60,028 | ||||||
4,842 | Kansai Mirai Financial Group,Inc. | 18,157 | ||||||
3,511 | KBC Group NV | 201,072 | ||||||
5,800 | Keiyo Bank, Ltd. (The) | 27,864 | ||||||
400 | Kita-Nippon Bank, Ltd. (The) | 7,210 | ||||||
2,500 | Kiyo Bank, Ltd. (The) | 37,949 | ||||||
20,990 | Kyushu Financial Group, Inc. | 88,584 | ||||||
1,296 | Laurentian Bank of Canada | 27,306 | ||||||
120,273 | Liberbank SA* | 19,915 | ||||||
562 | Liechtensteinische Landesbank AG | 34,520 | ||||||
362,899 | Lloyds Banking Group plc | 139,972 | ||||||
96,996 | Lloyds TSB Group plc, ADR | 145,494 | ||||||
162 | Luzerner Kantonalbank AG* | 67,015 | ||||||
24,670 | Mebuki Financial Group, Inc. | 57,197 | ||||||
9,651 | Mediobanca SpA | 69,145 | ||||||
700 | Michinoku Bank, Ltd. (The) | 7,309 | ||||||
62,500 | Mitsubishi UFJ Financial Group, Inc. | 244,481 | ||||||
800 | Miyazaki Bank, Ltd. (The) | 17,657 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
3,605 | Mizrahi Tefahot Bank, Ltd. | $ | 67,910 | |||||
128,800 | Mizuho Financial Group, Inc. | 157,966 | ||||||
1,300 | Musashino Bank, Ltd. (The) | 18,573 | ||||||
800 | Nagano Bank, Ltd. (The) | 8,709 | ||||||
1,300 | Nanto Bank, Ltd. (The) | 25,224 | ||||||
24,605 | National Australia Bank, Ltd. | 310,990 | ||||||
9,441 | National Bank of Canada | 427,884 | ||||||
7,200 | Nishi-Nippon Holdings, Inc. | 48,567 | ||||||
31,977 | Nordea Bank AB* | 220,455 | ||||||
17,400 | North Pacific Bank, Ltd. | 33,568 | ||||||
7,556 | Norwegian Finans Holding ASA* | 51,880 | ||||||
1,800 | Ogaki Kyoritsu Bank, Ltd. (The) | 37,899 | ||||||
1,000 | Oita Bank, Ltd. (The) | 22,030 | ||||||
16,486 | Oversea-Chinese Banking Corp., Ltd. | 106,707 | ||||||
28,000 | Public Financial Holdings, Ltd. | 7,699 | ||||||
7,184 | Raiffeisen International Bank-Holding AG* | 127,776 | ||||||
26,700 | Resona Holdings, Inc. | 91,121 | ||||||
1,393 | Ringkjoebing Landbobank A/S | 98,351 | ||||||
12,263 | Royal Bank of Canada | 831,432 | ||||||
10,941 | Royal Bank of Canada | 742,432 | ||||||
19,782 | Royal Bank of Scotland, ADR^ | 60,335 | ||||||
50,252 | Royal Bank of Scotland Group plc | 75,570 | ||||||
1,190 | San Ju San Financial Group, Inc. | 14,600 | ||||||
6,200 | San-In Godo Bank, Ltd. (The) | 31,111 | ||||||
4,451 | Sbanken ASA*(a) | 28,962 | ||||||
11,600 | Senshu Ikeda Holdings, Inc. | 17,215 | ||||||
24,500 | Seven Bank, Ltd. | 67,027 | ||||||
1,300 | Shiga Bank, Ltd. (The) | 28,817 | ||||||
1,000 | Shikoku Bank, Ltd. (The) | 7,279 | ||||||
400 | Shimizu Bank, Ltd. (The) | 6,583 | ||||||
5,900 | Shinsei Bank, Ltd. | 71,058 | ||||||
3,800 | Shizuoka Bank, Ltd. (The) | 24,428 | ||||||
7,610 | Skandinaviska Enskilda Banken AB, Class A* | 65,839 | ||||||
14,223 | Societe Generale* | 236,607 | ||||||
4,543 | Spar Nord Bank A/S* | 36,088 | ||||||
8,634 | Sparebank 1 Sr-Bank ASA* | 62,828 | ||||||
121 | St. Galler Kantonalbank AG | 53,991 | ||||||
49,637 | Standard Chartered plc | 270,196 | ||||||
7,000 | Sumitomo Mitsui Financial Group, Inc. | 196,889 | ||||||
1,300 | Sumitomo Mitsui Trust Holdings, Inc. | 36,490 | ||||||
1,500 | Suruga Bank, Ltd. | 5,249 | ||||||
14,413 | Svenska Handelsbanken AB, Class A* | 136,674 | ||||||
3,421 | Swedbank AB, Class A* | 43,799 | ||||||
3,208 | Sydbank A/S* | 59,463 | ||||||
1,200 | Taiko Bank, Ltd. (The) | 17,189 | ||||||
8,700 | Tochigi Bank, Ltd. (The) | 13,159 | ||||||
6,500 | Toho Bank, Ltd. (The) | 13,444 | ||||||
1,100 | Tokyo Kiraboshi Financial Group, Inc. | 11,243 | ||||||
7,500 | Tomony Holdings, Inc. | 24,137 | ||||||
7,456 | Toronto-Dominion Bank (The) | 332,612 | ||||||
2,100 | Towa Bank, Ltd. (The) | 13,597 | ||||||
6,200 | Tsukuba Bank, Ltd. | 10,124 | ||||||
60,591 | Unicaja Banco SA*(a) | 30,919 | ||||||
35,794 | Unicredit SpA | 328,582 | ||||||
48,370 | Unione di Banche Italiane SpA* | 157,819 | ||||||
11,127 | United Overseas Bank, Ltd. | 161,895 | ||||||
682 | Valiant Holding AG | 63,650 |
See accompanying notes to the financial statements.
4
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
764 | Van Lanschot Kempen NV | $ | 11,074 | |||||
34,734 | Virgin Money UK plc* | 39,555 | ||||||
582 | Walliser Kantonalbank, Registered Shares | 63,282 | ||||||
30,920 | Westpac Banking Corp. | 385,043 | ||||||
1,600 | Yamagata Bank, Ltd. (The) | 19,691 | ||||||
7,200 | Yamaguchi Financial Group, Inc. | 44,221 | ||||||
1,800 | Yamanashi Chuo Bank, Ltd. (The) | 14,192 | ||||||
6 | Zuger Kantonalbank AG | 38,890 | ||||||
|
| |||||||
15,923,805 | ||||||||
|
| |||||||
Beverages (1.3%): | ||||||||
1,900 | Andrew Peller, Ltd. | 12,318 | ||||||
8,852 | Anheuser-Busch InBev NV | 436,248 | ||||||
4,300 | Asahi Breweries, Ltd. | 150,665 | ||||||
10,973 | Britvic plc | 104,591 | ||||||
11,716 | C&C Group plc | 33,348 | ||||||
645 | Carlsberg A/S, Class B | 85,213 | ||||||
11,116 | Coca-Cola Amatil, Ltd. | 66,615 | ||||||
2,200 | Coca-Cola Bottlers Japan Holdings, Inc. | 39,879 | ||||||
6,758 | Coca-Cola European Partners plc | 255,574 | ||||||
3,906 | Coca-Cola HBC AG | 98,016 | ||||||
5,510 | Davide Campari-Milano NV | 46,368 | ||||||
4,082 | Diageo plc, ADR | 548,581 | ||||||
4,304 | Fevertree Drinks plc | 108,946 | ||||||
3,048 | Heineken NV | 280,673 | ||||||
900 | ITO EN, Ltd. | 50,744 | ||||||
4,900 | Kirin Holdings Co., Ltd. | 103,350 | ||||||
109 | Laurent-Perrier | 9,428 | ||||||
938 | Olvi OYJ | 44,500 | ||||||
412 | Pernod Ricard SA | 64,748 | ||||||
5,750 | Primo Water Corp. | 78,917 | ||||||
305 | Remy Cointreau SA | 41,496 | ||||||
1,549 | Royal Unibrew A/S* | 128,804 | ||||||
4,000 | Sapporo Breweries, Ltd. | 74,992 | ||||||
3,457 | Stock Spirits Group plc | 10,021 | ||||||
1,000 | Suntory Beverage & Food, Ltd. | 39,000 | ||||||
2,800 | Takara Holdings, Inc. | 25,043 | ||||||
6,474 | Treasury Wine Estates, Ltd. | 46,852 | ||||||
|
| |||||||
2,984,930 | ||||||||
|
| |||||||
Biotechnology (0.5%): | ||||||||
195 | Argenx SE* | 43,459 | ||||||
788 | Bavarian Nordic A/S* | 21,532 | ||||||
906 | Biogaia AB | 49,941 | ||||||
486 | Biotest AG | 11,124 | ||||||
3,023 | CSL, Ltd. | 599,143 | ||||||
225 | Galapagos NV* | 44,166 | ||||||
442 | Genmab A/S* | 147,874 | ||||||
634 | Genus plc | 27,721 | ||||||
5,747 | Knight Therapeutics, Inc.* | 29,721 | ||||||
29,311 | Mesoblast, Ltd.* | 66,443 | ||||||
300 | Peptidream, Inc.* | 13,746 | ||||||
5,710 | Pharma Mar SA | 49,093 | ||||||
1,008 | Swedish Orphan Biovitrum AB* | 23,258 | ||||||
1,155 | Zealand Pharma A/S* | 39,761 | ||||||
|
| |||||||
1,166,982 | ||||||||
|
| |||||||
Building Products (1.1%): | ||||||||
4,300 | AGC, Inc. | 122,338 | ||||||
1,100 | AICA Kogyo Co., Ltd. | 36,064 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
2,028 | Arbonia AG | $ | 21,002 | |||||
1,049 | ASSA Abloy AB, Class B | 21,306 | ||||||
20 | Belimo Holding AG, Registered Shares | 147,051 | ||||||
2,400 | Bunka Shutter Co., Ltd. | 16,620 | ||||||
1,800 | Central Glass Co., Ltd. | 30,579 | ||||||
631 | Centrotec SE* | 9,903 | ||||||
11,276 | Compagnie de Saint-Gobain SA | 405,255 | ||||||
2,400 | Daikin Industries, Ltd. | 385,988 | ||||||
153 | dorma kaba Holding AG | 83,319 | ||||||
567 | Geberit AG, Registered Shares | 283,549 | ||||||
12,489 | Gwa Group, Ltd. | 23,972 | ||||||
3,298 | Inrom Construction Industries, Ltd. | 10,824 | ||||||
2,938 | Inwido AB* | 20,287 | ||||||
3,374 | Kingspan Group plc | 217,114 | ||||||
4,017 | Lindab International AB | 47,025 | ||||||
3,900 | Lixil Group Corp. | 54,511 | ||||||
600 | Maeda Kosen Co., Ltd. | 13,713 | ||||||
2,617 | Nibe Industrier AB, Class B* | 57,775 | ||||||
4,000 | Nichias Corp. | 83,236 | ||||||
1,500 | Nichiha Corp. | 31,983 | ||||||
1,600 | Nippon Hume Corp. | 11,366 | ||||||
4,100 | Nippon Sheet Glass Co., Ltd. | 14,200 | ||||||
2,401 | Nordic Waterproofing Holding AS*(a) | 26,221 | ||||||
1,500 | Noritz Corp. | 18,246 | ||||||
1,400 | Okabe Co., Ltd. | 10,555 | ||||||
5,784 | Polypipe Group plc | 30,968 | ||||||
144 | Rockwool International A/S | 35,200 | ||||||
353 | Rockwool International A/S | 95,479 | ||||||
1,900 | Sankyo Tateyama, Inc. | 16,915 | ||||||
7,800 | Sanwa Holdings Corp. | 69,647 | ||||||
47 | Schweiter Technologies AG | 57,785 | ||||||
900 | Shin Nippon Air Technologies Co., Ltd. | 19,805 | ||||||
1,800 | Sinko Industries, Ltd. | 24,313 | ||||||
1,211 | Systemair AB* | 21,031 | ||||||
1,800 | Takara Standard Co., Ltd. | 25,473 | ||||||
2,310 | Tarkett SA | 26,849 | ||||||
2,597 | Tyman plc | 6,117 | ||||||
3,400 | Uponor OYJ | 45,726 | ||||||
638 | Zehnder Group AG | 25,033 | ||||||
|
| |||||||
2,704,343 | ||||||||
|
| |||||||
Capital Markets (2.8%): | ||||||||
13,849 | 3i Group plc | 142,611 | ||||||
24,792 | ABG Sundal Collier Holding ASA | 10,821 | ||||||
3,200 | AGF Management, Ltd. | 11,834 | ||||||
1,600 | Aizawa Securities Co., Ltd. | 10,147 | ||||||
949 | Alantra Partners SA* | 11,636 | ||||||
2,800 | Alaris Royalty Corp. | 26,713 | ||||||
1,655 | Altamir | 28,283 | ||||||
817 | Amundi SA(a) | 63,900 | ||||||
7,128 | Anima Holding SpA(a) | 30,605 | ||||||
9,209 | Ashmore Group plc | 47,525 | ||||||
670 | ASX, Ltd. | 39,579 | ||||||
4,255 | Avanza Bank Holding AB | 60,376 | ||||||
6,343 | Azimut Holding SpA | 108,180 | ||||||
2,819 | Banca Generali SpA* | 84,309 | ||||||
521 | Bellevue Group AG | 12,095 | ||||||
8,900 | Brewin Dolphin Holdings plc | 28,694 |
See accompanying notes to the financial statements.
5
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
86,000 | Bright Smart Securities & Commodities Group, Ltd. | $ | 16,886 | |||||
600 | Brookfield Asset Management, Inc., Class A | 19,750 | ||||||
1,678 | Brookfield Asset Management, Inc., Class A | 55,206 | ||||||
2,865 | Bure Equity AB | 62,114 | ||||||
4,759 | Burford Capital, Ltd. | 27,386 | ||||||
2,497 | Canaccord Genuity Group, Inc. | 12,711 | ||||||
7,682 | CI Financial Corp. | 97,737 | ||||||
117 | Cie Financiere Tradition SA | 12,965 | ||||||
5,230 | Close Brothers Group plc | 71,509 | ||||||
20,849 | Credit Suisse Group AG | 215,184 | ||||||
18,300 | Daiwa Securities Group, Inc. | 76,353 | ||||||
4,462 | Dea Capital SpA | 6,373 | ||||||
10,467 | Deutsche Bank AG, Registered Shares* | 99,646 | ||||||
12,602 | Deutsche Bank AG, Registered Shares* | 119,482 | ||||||
1,138 | Deutsche Beteiligungs AG | 38,643 | ||||||
1,924 | Deutsche Boerse AG | 347,732 | ||||||
1,252 | Eastnine AB | 15,705 | ||||||
5,622 | EFG International AG | 39,966 | ||||||
258,000 | Emperor Capital Group, Ltd.* | 4,421 | ||||||
2,588 | Euronext NV(a) | 259,157 | ||||||
2,000 | Fiera Capital Corp. | 13,997 | ||||||
2,372 | Flow Traders(a) | 84,807 | ||||||
10,649 | GAM Holding AG* | 24,386 | ||||||
2,674 | Georgia Capital plc* | 15,396 | ||||||
766 | Gimv NV | 44,027 | ||||||
2,400 | GMO Financial Holdings, Inc. | 14,139 | ||||||
1,675 | Guardian Capital Group, Ltd., Class A | 25,605 | ||||||
142,000 | Guotai Junan International Hol | 18,522 | ||||||
135,243 | Haitong International Securities | 32,311 | ||||||
5,422 | Hargreaves Lansdown plc | 109,235 | ||||||
8,694 | Hong Kong Exchanges & Clearing, Ltd. | 370,536 | ||||||
4,000 | Ichiyoshi Securities Co., Ltd. | 16,853 | ||||||
11,954 | IG Group Holdings plc | 121,013 | ||||||
1,732 | IGM Financial, Inc. | 42,094 | ||||||
218 | Ina Invest Holding AG* | 4,833 | ||||||
5,941 | Intermediate Capital Group plc | 94,715 | ||||||
22,533 | Investec plc | 45,022 | ||||||
15,236 | IOOF Holdings, Ltd. | 52,028 | ||||||
60,525 | IP Group plc* | 47,833 | ||||||
1,700 | IwaiCosmo Holdings, Inc. | 17,350 | ||||||
1,400 | Jafco Co., Ltd. | 47,223 | ||||||
5,700 | Japan Exchange Group, Inc. | 131,691 | ||||||
4,092 | Julius Baer Group, Ltd. | 170,988 | ||||||
17,082 | Jupiter Fund Management plc | 54,192 | ||||||
138,000 | Kingston Financial Group, Ltd. | 12,270 | ||||||
800 | Kyokuto Securities Co., Ltd. | 3,793 | ||||||
1,218 | London Stock Exchange Group plc | 125,974 | ||||||
3,452 | Macquarie Group, Ltd. | 284,065 | ||||||
2,539 | Magellan Financial Group, Ltd. | 103,316 | ||||||
50,276 | Man Group plc/Jersey | 81,270 | ||||||
2,300 | Marusan Securities Co., Ltd. | 8,749 | ||||||
1,180,000 | Mason Group Holdings, Ltd. | 3,802 | ||||||
2,000 | Matsui Securities Co., Ltd. | 15,400 | ||||||
2,900 | Mito Securities Co., Ltd. | 5,300 | ||||||
3,035 | MLP SE | 18,604 | ||||||
7,700 | Monex Group, Inc. | 15,580 | ||||||
33,189 | Natixis* | 86,465 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
4,265 | Navigator Global Investments, Ltd. | $ | 3,503 | |||||
5,522 | Netwealth Group, Ltd. | 34,214 | ||||||
11,266 | Ninety One plc* | 28,901 | ||||||
19,100 | Nomura Holdings, Inc. | 85,491 | ||||||
28,603 | NZX, Ltd. | 25,920 | ||||||
9,500 | Okasan Securities Group, Inc. | 28,638 | ||||||
2,586 | Pacific Current Group, Ltd. | 9,863 | ||||||
276 | Partners Group Holding AG | 249,999 | ||||||
8,321 | Pendal Group, Ltd. | 34,762 | ||||||
1,398 | Perpetual, Ltd.^ | 28,648 | ||||||
11,593 | Platinum Asset Management, Ltd. | 29,960 | ||||||
2,595 | Polar Capital Holdings plc | 16,122 | ||||||
3,710 | Premier Miton Group plc | 4,663 | ||||||
72,391 | Quilter plc(a) | 124,682 | ||||||
565 | Rathbone Brothers plc | 9,929 | ||||||
9,785 | Ratos AB, Class B | 26,143 | ||||||
1,549 | Rothschild & Co.* | 37,383 | ||||||
2,800 | SBI Holdings, Inc. | 60,506 | ||||||
1,783 | Schroders plc | 65,057 | ||||||
1,368 | Schroders plc | 35,052 | ||||||
11,400 | Singapore Exchange, Ltd. | 68,427 | ||||||
430 | Sprott, Inc. | 15,456 | ||||||
19,541 | St. James Place plc | 230,310 | ||||||
700 | Strike Co., Ltd. | 31,251 | ||||||
900 | Swissquote Group Holding SA | 76,782 | ||||||
2,584 | Tamburi Investment Partners SP | 16,882 | ||||||
331 | TMX Group, Ltd. | 32,732 | ||||||
8,500 | Tokai Tokyo Financial Holdings, Inc. | 18,775 | ||||||
4,000 | Toyo Securities Co., Ltd. | 4,378 | ||||||
22,042 | TP ICAP plc | 95,721 | ||||||
15,471 | UBS Group AG | 177,786 | ||||||
18,081 | Uob-Kay Hian Holdings, Ltd. | 15,063 | ||||||
1,325 | Vontobel Holding AG | 92,808 | ||||||
245 | Vp Bank AG, Registered Shares | 31,806 | ||||||
550 | VZ Holding AG | 41,080 | ||||||
|
| |||||||
6,568,311 | ||||||||
|
| |||||||
Chemicals (3.8%): | ||||||||
900 | Achilles Corp. | 16,202 | ||||||
3,300 | Adeka Corp. | 43,946 | ||||||
3,982 | Air Liquide SA | 573,714 | ||||||
7,800 | Air Water, Inc. | 110,035 | ||||||
2,028 | Akzo Nobel NV | 181,419 | ||||||
700 | Arakawa Chemical Industries, Ltd. | 8,038 | ||||||
3,549 | Arkema SA | 338,891 | ||||||
28,500 | Asahi Kasei Corp. | 231,582 | ||||||
1,100 | ASAHI YUKIZAI Corp. | 14,609 | ||||||
1,154 | BASF SE | 64,480 | ||||||
3,760 | Borregaard ASA | 39,973 | ||||||
52,400 | China Sunsine Chemical Holdings, Ltd. | 13,187 | ||||||
1,540 | Christian Hansen Holding A/S | 158,761 | ||||||
1,600 | CI Takiron Corp. | 10,401 | ||||||
10,241 | Clariant AG* | 200,910 | ||||||
3,032 | Corbion NV* | 109,064 | ||||||
4,483 | Covestro AG*(a) | 170,121 | ||||||
2,733 | Croda International plc | 177,792 | ||||||
1,000 | Dai Nippon Toryo Co., Ltd. | 8,700 | ||||||
7,200 | Daicel Corp. | 55,641 |
See accompanying notes to the financial statements.
6
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
2,600 | Daiichi Kigenso Kagaku-Kogyo Co., Ltd. | $ | 19,052 | |||||
900 | Dainichiseika Color & Chemical | 19,479 | ||||||
5,100 | Dainippon Ink & Chemicals, Inc. | 127,854 | ||||||
5,600 | Denka Co., Ltd. | 137,013 | ||||||
18,377 | Elementis plc | 14,646 | ||||||
132 | EMS-Chemie Holding AG | 102,159 | ||||||
8,516 | Ercros SA | 17,156 | ||||||
9,485 | Essentra plc | 34,323 | ||||||
60,321 | Evolva Holding SA* | 14,633 | ||||||
1,699 | Evonik Industries AG | 43,038 | ||||||
2,601 | Fuchs Petrolub AG | 104,332 | ||||||
1,469 | FUCHS Petrolub SE | 49,349 | ||||||
300 | Fujimori Kogyo Co., Ltd. | 10,447 | ||||||
1,400 | Fuso Chemical Co., Ltd. | 51,049 | ||||||
37 | Givaudan SA, Registered Shares | 137,660 | ||||||
29 | Gurit Holding AG | 42,190 | ||||||
835 | H&R GMBH & Co. KGAA* | 5,406 | ||||||
1,900 | Harima Chemicals Group, Inc. | 17,342 | ||||||
4,570 | Hexpol AB* | 33,805 | ||||||
700 | Hodogaya Chemical Co., Ltd. | 28,321 | ||||||
25,088 | ICL Group, Ltd. | 74,740 | ||||||
27,517 | Incitec Pivot, Ltd. | 35,753 | ||||||
1,500 | Ishihara Sangyo Kaisha, Ltd. | 9,815 | ||||||
1,700 | JCU Corp. | 53,013 | ||||||
6,711 | Johnson Matthey plc | 174,167 | ||||||
700 | Jsp Corp. | 9,469 | ||||||
2,000 | JSR Corp. | 38,602 | ||||||
5,063 | K+S AG, Registered Shares^ | 31,868 | ||||||
2,000 | Kaneka Corp. | 51,966 | ||||||
1,100 | Kansai Paint Co., Ltd. | 23,188 | ||||||
5,000 | Kanto Denka Kogyo Co., Ltd. | 39,633 | ||||||
7,358 | Kemira OYJ | 94,628 | ||||||
2,900 | Kh Neochem Co., Ltd. | 54,792 | ||||||
1,500 | Koatsu Gas Kogyo Co., Ltd. | 10,264 | ||||||
2,058 | Koninklijke DSM NV | 284,439 | ||||||
1,000 | Konishi Co., Ltd. | 13,974 | ||||||
11,800 | Kuraray Co., Ltd. | 123,160 | ||||||
800 | Kureha Corp. | 34,967 | ||||||
4,531 | Lanxess AG* | 238,153 | ||||||
671 | Lenzing AG* | 31,025 | ||||||
1,300 | Lintec Corp. | 30,833 | ||||||
2,350 | Methanex Corp. | 42,488 | ||||||
12,300 | Mitsubishi Chemical Holdings Corp. | 71,596 | ||||||
4,800 | Mitsubishi Gas Chemical Co., Inc. | 72,621 | ||||||
3,400 | Mitsui Chemicals, Inc. | 70,877 | ||||||
800 | Nihon Kagaku Sangyo Co., Ltd. | 7,126 | ||||||
2,300 | Nihon Nohyaku Co., Ltd. | 9,982 | ||||||
2,600 | Nihon Parkerizing Co., Ltd. | 26,006 | ||||||
600 | Nippon Chemical Industrial Co., Ltd. | 12,803 | ||||||
5,500 | Nippon Kayaku Co., Ltd. | 57,415 | ||||||
1,400 | Nippon Pillar Packing Co., Ltd. | 17,986 | ||||||
700 | Nippon Shokubai Co., Ltd. | 36,619 | ||||||
800 | Nippon Soda Co., Ltd. | 20,953 | ||||||
2,400 | Nissan Chemical Corp. | 122,951 | ||||||
1,500 | Nitto Denko Corp. | 84,890 | ||||||
700 | NOF Corp. | 24,217 | ||||||
1,831 | Novozymes A/S, Class B | 105,823 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
14,367 | Nufarm, Ltd.* | $ | 40,697 | |||||
4,481 | Nutrien, Ltd.^ | 143,840 | ||||||
1,600 | OCI NV* | 16,648 | ||||||
500 | Okamoto Industries, Inc. | 18,449 | ||||||
600 | Okura Industrial Co., Ltd. | 9,030 | ||||||
3,258 | Orica, Ltd. | 37,447 | ||||||
1,000 | Osaka Organic Chemical Industry, Ltd. | 23,733 | ||||||
964 | Plastivaloire* | 4,025 | ||||||
1,600 | Rasa Industries, Ltd. | 22,799 | ||||||
2,613 | Recticel SA | 23,166 | ||||||
2,800 | Riken Technos Corp. | 11,039 | ||||||
500 | Sakai Chemical Industry Co., Ltd. | 9,447 | ||||||
2,400 | Sakata Inx Corp. | 22,837 | ||||||
700 | Sanyo Chemical Industries, Ltd. | 30,062 | ||||||
900 | Sekisui Plastics Co., Ltd. | 4,825 | ||||||
1,100 | Shikoku Chemicals Corp. | 11,062 | ||||||
3,400 | Shin-Etsu Chemical Co., Ltd. | 397,509 | ||||||
1,800 | Shin-Etsu Polymer Co., Ltd. | 14,702 | ||||||
6,900 | Showa Denko K.K. | 154,719 | ||||||
1,873 | Sika AG | 360,105 | ||||||
1,754 | SOL SpA | 20,678 | ||||||
778 | Solvay SA | 62,203 | ||||||
400 | Stella Chemifa Corp. | 9,015 | ||||||
1,500 | Sumitomo Bakelite Co., Ltd. | 41,981 | ||||||
19,100 | Sumitomo Chemical Co., Ltd. | 57,086 | ||||||
300 | Sumitomo Seika Chemicals Co. Ltd. | 9,747 | ||||||
2,206 | Symrise AG | 255,917 | ||||||
18,622 | Synthomer plc | 64,257 | ||||||
700 | T Hasegawa Co., Ltd. | 15,694 | ||||||
1,200 | T&K Toka Co., Ltd. | 9,136 | ||||||
300 | Taiyo Holdings Co., Ltd. | 13,829 | ||||||
3,000 | Taiyo Nippon Sanso Corp. | 50,121 | ||||||
600 | Takasago International Corp. | 11,951 | ||||||
600 | Tayca Corp. | 7,687 | ||||||
9,600 | Teijin, Ltd. | 152,601 | ||||||
500 | Tenma Corp. | 7,695 | ||||||
1,223 | Tessenderlo Group SA* | 36,371 | ||||||
2,007 | Tikkurila OYJ | 27,925 | ||||||
4,900 | Toagosei Co., Ltd. | 47,903 | ||||||
8,100 | Tokai Carbon Co., Ltd. | 75,984 | ||||||
4,100 | Tokuyama Corp. | 96,363 | ||||||
600 | Tokyo Ohka Kogyo Co., Ltd. | 30,001 | ||||||
24,300 | Toray Industries, Inc. | 114,472 | ||||||
13,500 | Tosoh Corp. | 184,129 | ||||||
1,200 | Toyo Ink SC Holdings Co., Ltd. | 22,686 | ||||||
5,000 | Toyobo Co., Ltd. | 69,586 | ||||||
7,200 | Ube Industries, Ltd. | 123,735 | ||||||
3,116 | Umicore SA | 146,500 | ||||||
1,909 | Victrex plc | 46,204 | ||||||
329 | Wacker Chemie AG* | 22,478 | ||||||
997 | Yara International ASA | 34,654 | ||||||
2,900 | Zeon Corp. | 26,674 | ||||||
|
| |||||||
9,030,926 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.5%): | ||||||||
800 | AEON Delight Co., Ltd. | 22,193 | ||||||
17,026 | Aggreko plc | 93,253 | ||||||
29,916 | Babcock International Group plc | 114,829 |
See accompanying notes to the financial statements.
7
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
748 | Befesa SA(a) | $ | 29,140 | |||||
1,800 | Bell System24 Holdings, Inc. | 23,277 | ||||||
13,069 | Biffa plc(a) | 32,500 | ||||||
896 | Bilfinger SE | 17,076 | ||||||
13,431 | Bingo Industries, Ltd. | 20,010 | ||||||
1,670 | Black Diamond Group, Ltd.* | 1,895 | ||||||
14,490 | Brambles, Ltd. | 108,973 | ||||||
5,960 | Bravida Holding AB*(a) | 56,901 | ||||||
800 | Calian Group, Ltd. | 32,315 | ||||||
2,850 | Caverion Corp.* | 19,217 | ||||||
300 | Central Security Patrols Co., Ltd. | 11,872 | ||||||
432 | Cewe Stiftung & Co. KGAA* | 47,769 | ||||||
46,000 | Cleanaway Waste Management, Ltd. | 70,085 | ||||||
10,948 | Collection House, Ltd. | 6,147 | ||||||
1,829 | Coor Service Management Holding AB*(a) | 12,005 | ||||||
3,600 | CTS Co., Ltd. | 29,865 | ||||||
4,400 | Dai Nippon Printing Co., Ltd. | 100,791 | ||||||
1,000 | Daiseki Co., Ltd. | 26,636 | ||||||
4,203 | De La Rue plc | 6,786 | ||||||
3,731 | Derichebourg SA | 10,673 | ||||||
30,001 | Downer EDI, Ltd. | 91,752 | ||||||
1,100 | Duskin Co., Ltd. | 28,016 | ||||||
2,928 | Edenred | 127,903 | ||||||
1,700 | EF-ON, Inc. | 9,420 | ||||||
9,528 | Elis SA* | 111,028 | ||||||
79,627 | G4S plc | 112,231 | ||||||
435 | GL Events | 6,006 | ||||||
16,464 | HomeServe plc | 265,899 | ||||||
10,900 | Horizon North Logistics, Inc. | 4,898 | ||||||
900 | Inaba Seisakusho Co., Ltd. | 11,600 | ||||||
2,297 | Intrum AB^ | 42,095 | ||||||
5,989 | ISS A/S* | 94,771 | ||||||
1,800 | Itoki Corp. | 5,700 | ||||||
42,602 | IWG plc | 139,656 | ||||||
400 | Japan Elevator Service Holdings Co., Ltd. | 12,844 | ||||||
3,300 | Kokuyo Co., Ltd. | 39,839 | ||||||
400 | Kyodo Printing Co., Ltd. | 10,550 | ||||||
2,302 | Lassila & Tikanoja OYJ | 33,808 | ||||||
4,748 | Loomis AB | 113,314 | ||||||
700 | Matsuda Sangyo Co., Ltd. | 8,699 | ||||||
5,449 | Mears Group plc | 10,661 | ||||||
22,737 | Mitie Group plc | 23,446 | ||||||
2,100 | Mitsubishi Pencil Co., Ltd. | 26,304 | ||||||
1,400 | NAC Co., Ltd. | 11,553 | ||||||
15,900 | Nippon Parking Development Co., Ltd. | 20,489 | ||||||
1,600 | Okamura Corp. | 11,098 | ||||||
1,100 | Oyo Corp. | 14,362 | ||||||
2,700 | Park24 Co., Ltd. | 46,211 | ||||||
2,696 | PayPoint plc | 20,056 | ||||||
1,400 | Pilot Corp. | 42,539 | ||||||
2,400 | Prestige International, Inc. | 18,034 | ||||||
13,654 | Prosegur Cia de Seguridad SA | 31,746 | ||||||
2,400 | Relia, Inc. | 22,327 | ||||||
11,583 | Renewi plc | 3,757 | ||||||
48,751 | Rentokil Initial plc | 307,379 | ||||||
2,500 | Ritchie Bros Auctioneers, Inc. | 101,794 | ||||||
3,299 | RPS Group plc | 1,991 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
900 | Sato Holdings Corp. | $ | 19,469 | |||||
487 | Seche Environnement SA | 17,819 | ||||||
400 | SECOM Co., Ltd. | 34,953 | ||||||
6,430 | Securitas AB, Class B* | 86,551 | ||||||
3,267 | Smartgroup Corp., Ltd. | 13,811 | ||||||
787 | Societe BIC SA | 39,932 | ||||||
400 | Sohgo Security Services Co., Ltd. | 18,622 | ||||||
5,537 | Spie SA | 82,583 | ||||||
1,300 | Takeei Corp. | 12,954 | ||||||
2,256 | Tomra Systems ASA* | 82,930 | ||||||
2,600 | Toppan Forms Co., Ltd. | 25,712 | ||||||
3,280 | Toppan Printing Co., Ltd. | 54,687 | ||||||
4,470 | Transcontinental, Inc. | 49,725 | ||||||
290 | Waste Connections, Inc. | 27,173 | ||||||
980 | Waste Connections, Inc. | 91,914 | ||||||
|
| |||||||
3,536,819 | ||||||||
|
| |||||||
Communications Equipment (0.2%): | ||||||||
2,792 | Adva Optical Networking Se* | 18,386 | ||||||
700 | Aiphone Co., Ltd. | 10,224 | ||||||
1,400 | Audiocodes, Ltd. | 44,506 | ||||||
700 | DKK Co., Ltd. | 16,856 | ||||||
991 | Evs Broadcast Equipment SA | 18,224 | ||||||
500 | Icom, Inc. | 14,345 | ||||||
18,706 | Nokia OYJ | 81,913 | ||||||
10,200 | Quarterhill, Inc. | 15,705 | ||||||
418 | RTX A/S | 13,419 | ||||||
2,600 | Sierra Wireless, Inc.* | 23,349 | ||||||
26,263 | Spirent Communications plc | 78,310 | ||||||
2,701 | Telefonaktiebolaget LM Ericsson, Class B | 24,951 | ||||||
9,300 | VTech Holdings, Ltd. | 55,895 | ||||||
|
| |||||||
416,083 | ||||||||
|
| |||||||
Construction & Engineering (2.3%): | ||||||||
4,290 | ACS Actividades de Construccion y Servicios SA | 107,927 | ||||||
3,143 | Adapteo OYJ* | 26,912 | ||||||
3,353 | Aecon Group, Inc. | 36,460 | ||||||
2,733 | AF Gruppen ASA | 48,998 | ||||||
4,247 | Arcadis NV* | 76,700 | ||||||
300 | Asanuma Corp. | 11,508 | ||||||
2,110 | Badger Daylighting, Ltd. | 46,198 | ||||||
14,080 | Balfour Beatty plc | 45,460 | ||||||
375 | Bauer AG* | 4,100 | ||||||
3,929 | Boskalis Westminster* | 77,399 | ||||||
16,800 | Boustead Singapore, Ltd. | 7,552 | ||||||
7,647 | Bouygues SA* | 260,832 | ||||||
209 | Burkhalter Holding AG | 13,455 | ||||||
14,759 | Cardno, Ltd.* | 2,455 | ||||||
1,700 | Chudenko Corp. | 36,487 | ||||||
589 | CIE d’Entreprises CFE SA* | 40,111 | ||||||
2,026 | Cimic Group, Ltd. | 33,932 | ||||||
1,721 | ComSys Holdings Corp. | 50,850 | ||||||
6,098 | Costain Group plc | 5,361 | ||||||
500 | Dai-Dan Co., Ltd. | 13,075 | ||||||
1,200 | Daiho Corp. | 26,928 | ||||||
800 | Daiichi Kensetsu Corp. | 13,176 | ||||||
4,435 | Eiffage SA* | 404,911 | ||||||
2,783 | Elecnor SA | 29,583 |
See accompanying notes to the financial statements.
8
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
44 | Electra, Ltd./Israel | $ | 18,773 | |||||
7,737 | Eltel AB*(a) | 16,823 | ||||||
37,002 | Empresas ICA SAB de C.V.* | 156 | ||||||
2,066 | Ferrovial SA | 54,927 | ||||||
1,664 | FLSmidth & Co. A/S* | 47,974 | ||||||
1,925 | Fomento de Construcciones y Contratas SA | 18,172 | ||||||
440 | Fudo Tetra Corp. | 5,797 | ||||||
200 | Fukuda Corp. | 9,076 | ||||||
4,363 | Galliford Try Holdings plc | 6,390 | ||||||
6,000 | Hazama Ando Corp. | 34,673 | ||||||
1,713 | Heijmans NV* | 12,873 | ||||||
600 | Hibiya Engineering, Ltd. | 10,401 | ||||||
373 | Hochtief AG | 33,011 | ||||||
600 | Ichiken Co., Ltd. | 8,407 | ||||||
1,093 | Implenia AG | 40,280 | ||||||
14,759 | Intega Group, Ltd.* | 2,347 | ||||||
7,400 | JGC Holdings Corp. | 77,902 | ||||||
15,905 | John Laing Group plc(a) | 68,576 | ||||||
8,879 | Johns Lyng Group, Ltd. | 14,468 | ||||||
8,000 | Kajima Corp. | 95,299 | ||||||
3,000 | Kandenko Co., Ltd. | 25,512 | ||||||
400 | Kawada Technologies, Inc. | 18,026 | ||||||
5,690 | Keller Group plc | 44,790 | ||||||
26,029 | Kier Group plc* | 31,429 | ||||||
5,100 | Kinden Corp. | 84,131 | ||||||
15,900 | Koninklijke BAM Groep NV* | 28,707 | ||||||
1,600 | Kumagai Gumi Co., Ltd. | 38,308 | ||||||
2,500 | Kyowa Exeo Corp. | 59,695 | ||||||
2,200 | Kyudenko Corp. | 64,896 | ||||||
7,400 | Lian Beng Group, Ltd. | 2,246 | ||||||
5,300 | Maeda Corp. | 40,364 | ||||||
1,200 | Maeda Road Construction Co., Ltd. | 22,619 | ||||||
9,546 | Maire Tecnimont SpA | 18,417 | ||||||
1,700 | Meisei Industrial Co., Ltd. | 12,691 | ||||||
3,300 | Mirait Holdings Corp. | 49,230 | ||||||
5,179 | Monadelphous Group, Ltd. | 38,719 | ||||||
1,922 | Morgan Sindall Group plc | 29,301 | ||||||
1,375 | NCC AB, Class B | 22,234 | ||||||
1,000 | Nichireki Co., Ltd. | 14,919 | ||||||
1,900 | Nippo Corp. | 47,946 | ||||||
1,600 | Nippon Densetsu Kogyo Co., Ltd. | 35,284 | ||||||
700 | Nippon Koei Co., Ltd. | 19,543 | ||||||
200 | Nippon Road Co., Ltd. (The) | 13,427 | ||||||
2,800 | Nishimatsu Construction Co., Ltd. | 55,661 | ||||||
30,510 | NRW Holdings, Ltd. | 39,507 | ||||||
23,900 | Obayashi Corp. | 223,531 | ||||||
4,863 | Obrascon Huarte Lain SA* | 3,463 | ||||||
1,100 | Okumura Corp. | 25,303 | ||||||
8,600 | OSJB Holdings Corp. | 18,422 | ||||||
12,582 | Peab AB* | 103,326 | ||||||
18,100 | Penta-Ocean Construction Co., Ltd. | 97,232 | ||||||
726 | Per Aarsleff Holding A/S | 26,151 | ||||||
21,562 | Sacyr SA | 44,652 | ||||||
1,900 | Sanki Engineering Co., Ltd. | 21,743 | ||||||
1,700 | Seikitokyu Kogyo Co., Ltd. | 11,936 | ||||||
26,757 | Service Stream, Ltd. | 35,313 | ||||||
3,211 | Shapir Engineering And Indus* | 19,521 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
11,913 | Shikun & Binui, Ltd.* | $ | 42,645 | |||||
15,800 | Shimizu Corp. | 129,723 | ||||||
1,500 | Shinnihon Corp. | 11,699 | ||||||
8,714 | Skanska AB, Class B* | 177,017 | ||||||
5,800 | SNC-Lavalin Group, Inc. | 97,891 | ||||||
881 | Strabag Se | 22,694 | ||||||
12,380 | Sumitomo Mitsui Construction | 53,758 | ||||||
2,141 | Sweco AB-B Shs | 96,070 | ||||||
700 | Taihei Dengyo Kaisha, Ltd. | 14,994 | ||||||
800 | Taikisha, Ltd. | 21,974 | ||||||
5,400 | Taisei Corp. | 196,398 | ||||||
1,400 | Takamatsu Construction Group C | 31,319 | ||||||
400 | Tekken Corp. | 7,658 | ||||||
900 | TOA Corp. | 13,000 | ||||||
400 | TOA Road Corp. | 12,089 | ||||||
1,630 | Tobishima Corp. | 15,848 | ||||||
8,900 | Toda Corp. | 57,376 | ||||||
400 | Toenec Corp. | 13,819 | ||||||
1,000 | Tokyo Energy & Systems, Inc. | 7,293 | ||||||
5,100 | Tokyu Construction Co., Ltd. | 26,400 | ||||||
1,100 | Totetsu Kogyo Co., Ltd. | 27,728 | ||||||
4,300 | Toyo Construction Co., Ltd. | 15,993 | ||||||
2,100 | Toyo Engineering Corp.* | 6,725 | ||||||
3,109 | Veidekke ASA* | 37,601 | ||||||
8,804 | Vinci SA^ | 809,537 | ||||||
1,400 | Wakachiku Construction Co., Ltd. | 15,049 | ||||||
1,700 | Yahagi Construction Co., Ltd. | 12,378 | ||||||
7,664 | YIT OYJ | 41,628 | ||||||
1,200 | Yokogawa Bridge Holdings Corp. | 24,862 | ||||||
1,200 | Yurtec Corp. | 7,292 | ||||||
|
| |||||||
5,533,348 | ||||||||
|
| |||||||
Construction Materials (1.0%): | ||||||||
13,883 | Adbri, Ltd. | 30,500 | ||||||
1,800 | Asia Pile Holdings Corp. | 7,896 | ||||||
35,662 | Boral, Ltd. | 93,717 | ||||||
4,759 | Brickworks, Ltd. | 52,355 | ||||||
1,147 | Buzzi Unicem SpA | 14,234 | ||||||
1,663 | Buzzi Unicem SpA | 35,759 | ||||||
23,680 | CRH plc, ADR | 812,461 | ||||||
22,791 | CSR, Ltd. | 57,940 | ||||||
14,576 | Fletcher Building, Ltd. | 34,737 | ||||||
1,160 | H+H International A/S, Class B* | 18,629 | ||||||
2,326 | HeidelbergCement AG | 123,923 | ||||||
13,005 | Ibstock plc(a) | 28,944 | ||||||
1,243 | Imerys SA | 42,299 | ||||||
5,016 | James Hardie Industries SE | 95,714 | ||||||
400 | Krosaki Harima Corp. | 13,505 | ||||||
8,941 | LafargeHolcim, Ltd., Registered Shares | 391,165 | ||||||
12,098 | Marshalls plc | 92,236 | ||||||
2,500 | Nippon Concrete Industries Co., Ltd. | 6,312 | ||||||
500 | Shinagawa Refractories Co., Ltd. | 10,236 | ||||||
123 | STO SE & Co KGaA | 13,949 | ||||||
1,500 | Sumitomo Osaka Cement Co., Ltd. | 52,658 | ||||||
7,200 | Taiheiyo Cement Corp. | 166,522 | ||||||
1,300 | TYK Corp. | 3,642 | ||||||
998 | Vicat | 30,643 | ||||||
|
| |||||||
2,229,976 | ||||||||
|
|
See accompanying notes to the financial statements.
9
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Consumer Finance (0.3%): | ||||||||
3,700 | AEON Financial Service Co., Ltd. | $ | 40,364 | |||||
15,300 | Aiful Corp.* | 33,648 | ||||||
96,000 | Allied Properties HK, Ltd. | 23,422 | ||||||
9,830 | Arrow Global Group plc | 10,819 | ||||||
6,358 | Axactor SE* | 3,982 | ||||||
1,148 | Cembra Money Bank AG | 112,005 | ||||||
2,404 | Credit Corp. Group, Ltd. | 26,282 | ||||||
6,600 | Credit Saison Co., Ltd. | 75,476 | ||||||
18,226 | Eclipx Group, Ltd.* | 15,815 | ||||||
18,254 | Flexigroup, Ltd. | 14,257 | ||||||
1,185 | Gruppo MutuiOnline SpA | 25,301 | ||||||
2,616 | H&T Group plc | 10,415 | ||||||
4,100 | Hitachi Capital Corp. | 90,334 | ||||||
5,740 | Hoist Finance AB*(a) | 15,321 | ||||||
17,800 | Hong Leong Finance, Ltd. | 31,917 | ||||||
14,415 | International Personal Finance | 9,334 | ||||||
577 | Isracard, Ltd. | 1,312 | ||||||
4,300 | J Trust Co., Ltd. | 12,222 | ||||||
1,800 | Jaccs Co., Ltd. | 29,321 | ||||||
8,490 | Money3 Corp., Ltd. | 9,220 | ||||||
15,200 | Orient Corp. | 16,645 | ||||||
213,600 | Oshidori International Holdings, Ltd. | 26,473 | ||||||
4,742 | Provident Financial plc | 10,341 | ||||||
4,452 | Resurs Holding AB(a) | 18,261 | ||||||
38,000 | Sun Hung Kai & Co., Ltd. | 14,914 | ||||||
|
| |||||||
677,401 | ||||||||
|
| |||||||
Containers & Packaging (0.7%): | ||||||||
8,372 | BillerudKorsnas AB | 119,821 | ||||||
4,231 | Cascades, Inc. | 46,100 | ||||||
1,780 | CCL Industries, Inc. | 57,541 | ||||||
41,250 | DS Smith plc | 167,437 | ||||||
800 | FP Corp. | 64,078 | ||||||
1,900 | Fuji Seal International, Inc. | 36,945 | ||||||
1,000 | Hokkan Holdings, Ltd. | 16,865 | ||||||
5,166 | Huhtamaki OYJ* | 203,102 | ||||||
3,327 | Intertape Polymer Group, Inc. | 29,363 | ||||||
276 | Mayr Melnhof Karton AG | 42,518 | ||||||
47,217 | Orora, Ltd. | 83,047 | ||||||
6,607 | Pact Group Holdings, Ltd.* | 10,075 | ||||||
8,600 | Rengo Co., Ltd. | 70,013 | ||||||
8,406 | SIG Combibloc Group AG | 135,892 | ||||||
8,689 | Smurfit Kappa Group plc | 289,934 | ||||||
500 | Taisei Lamick Co., Ltd. | 12,863 | ||||||
600 | Tomoku Co., Ltd. | 9,841 | ||||||
5,400 | Toyo Seikan Group Holdings, Ltd. | 60,938 | ||||||
750 | Vetropack Holding AG | 41,491 | ||||||
887 | Vidrala SA | 84,532 | ||||||
300 | Winpak, Ltd. | 9,192 | ||||||
|
| |||||||
1,591,588 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
600 | Arata Corp. | 26,863 | ||||||
11,493 | Bapcor, Ltd. | 46,847 | ||||||
1,900 | Canon Marketing Japan, Inc. | 38,689 | ||||||
500 | Chori Co., Ltd. | 8,543 | ||||||
1,234 | D’ieteren SA/NV | 68,249 | ||||||
1,000 | Doshisha Co., Ltd. | 15,121 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Distributors, continued | ||||||||
1,600 | Happinet Corp. | $ | 16,693 | |||||
4,313 | Headlam Group plc | 15,188 | ||||||
29,210 | Inchcape plc | 177,161 | ||||||
3,000 | Jardine Cycle & Carriage, Ltd. | 43,508 | ||||||
7,157 | John Menzies plc | 11,104 | ||||||
400 | Paltac Corp. | 18,345 | ||||||
3,025 | Uni-Select, Inc. | 16,424 | ||||||
|
| |||||||
502,735 | ||||||||
|
| |||||||
Diversified Consumer Services (0.2%): | ||||||||
23,128 | AA plc | 6,543 | ||||||
3,986 | Academedia AB(a) | 26,931 | ||||||
2,000 | Benesse Holdings, Inc. | 53,789 | ||||||
32,000 | China New Higher Education Group Limited(a) | 21,276 | ||||||
10,000 | Cross-Harbour Holdings, Ltd. (The) | 14,166 | ||||||
4,259 | Dignity plc* | 13,156 | ||||||
42,880 | G8 Education, Ltd. | 26,327 | ||||||
1,700 | IBJ, Inc. | 11,854 | ||||||
5,913 | IDP Education, Ltd. | 63,486 | ||||||
7,311 | InvoCare, Ltd. | 53,067 | ||||||
1,800 | Japan Best Rescue System Co., Ltd. | 14,019 | ||||||
300 | PIA Corp. | 9,576 | ||||||
900 | QB Net Holdings Co., Ltd.* | 17,273 | ||||||
2,600 | Riso Kyoiku Co., Ltd. | 7,866 | ||||||
700 | Studio Alice Co., Ltd. | 10,206 | ||||||
1,300 | Take And Give Needs Co., Ltd. | 7,543 | ||||||
|
| |||||||
357,078 | ||||||||
|
| |||||||
Diversified Financial Services (0.9%): | ||||||||
863 | Ackermans & Van Haaren NV* | 112,745 | ||||||
376 | Aker ASA* | 13,729 | ||||||
101,535 | AMP, Ltd.* | 130,136 | ||||||
3,396 | Banca Farmafactoring SpA*(a) | 19,285 | ||||||
1,140 | Banca Ifis SpA* | 10,935 | ||||||
6,216 | Cerved Group SpA* | 44,609 | ||||||
21,477 | Challenger, Ltd. | 65,809 | ||||||
14,100 | Ecn Capital Corp. | 40,096 | ||||||
2,300 | eGuarantee, Inc. | 54,325 | ||||||
20,244 | Element Fleet Management Corp. | 151,076 | ||||||
3,300 | Financial Products Group Co., Ltd. | 18,139 | ||||||
108,669 | First Pacific Co., Ltd. | 20,884 | ||||||
1,200 | Fuyo General Lease Co., Ltd. | 66,690 | ||||||
596,000 | Get Nice Holdings, Ltd. | 10,220 | ||||||
1,236,000 | G-Resources Group, Ltd.* | 6,064 | ||||||
167 | Hypoport SE* | 73,829 | ||||||
800 | Japan Investment Adviser Co., Ltd. | 7,701 | ||||||
4,600 | Japan Securities Finance Co., Ltd. | 21,795 | ||||||
114,599 | M&G plc | 237,512 | ||||||
23,000 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 108,875 | ||||||
1,800 | Mizuho Leasing Co., Ltd. | 39,592 | ||||||
900 | NEC Capital Solutions, Ltd. | 16,533 | ||||||
16,085 | Ofx Group, Ltd. | 15,608 | ||||||
7,214 | Omni Bridgeway, Ltd. | 23,763 | ||||||
1,197 | Onex Corp. | 54,083 | ||||||
23,500 | ORIX Corp. | 289,802 | ||||||
5,100 | Plus500, Ltd. | 83,050 | ||||||
1,100 | Ricoh Leasing Co., Ltd. | 30,240 | ||||||
42,370 | Standard Life Aberdeen plc | 140,207 |
See accompanying notes to the financial statements.
10
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Financial Services, continued | ||||||||
1,900 | Tokyo Century Corp. | $ | 97,174 | |||||
2,200 | Zenkoku Hosho Co., Ltd. | 82,692 | ||||||
|
| |||||||
2,087,198 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.6%): | ||||||||
644 | BCE, Inc. | 26,863 | ||||||
974 | BCE, Inc. | 40,684 | ||||||
36,348 | Bezeq Israeli Telecommunication Corp., Ltd. (The)* | 32,970 | ||||||
323,265 | BT Group plc | 456,180 | ||||||
1,442 | Cellnex Telecom SAU(a) | 87,757 | ||||||
25,395 | Chorus, Ltd. | 122,867 | ||||||
155,000 | CITIC Telecom International Holdings, Ltd. | 49,231 | ||||||
60,785 | Deutsche Telekom AG, Registered Shares | 1,016,690 | ||||||
4,161 | Elisa OYJ | 252,905 | ||||||
4,460 | Euskaltel SA(a) | 39,679 | ||||||
2,209 | Gamma Communications plc | 35,132 | ||||||
27,500 | HKBN, Ltd. | 48,151 | ||||||
82,295 | HKT Trust & HKT, Ltd. | 120,968 | ||||||
426 | Iliad SA* | 83,023 | ||||||
2,100 | Internet Initiative Japan, Inc. | 71,595 | ||||||
121,735 | Koninklijke KPN NV | 322,398 | ||||||
2,835 | Masmovil Ibercom SA* | 72,243 | ||||||
68,700 | NetLink NBN Trust | 48,111 | ||||||
7,000 | Nippon Telegraph & Telephone Corp. | 162,984 | ||||||
46,684 | Orange SA | 557,649 | ||||||
237,553 | PCCW, Ltd. | 135,547 | ||||||
5,067 | Proximus SADP | 103,171 | ||||||
9,797 | QSC AG | 14,809 | ||||||
48,100 | Singapore Telecommunications, Ltd. | 85,080 | ||||||
34,736 | Spark New Zealand, Ltd. | 102,827 | ||||||
13,084 | Speedcast International, Ltd.* | 5,348 | ||||||
2,262 | Sunrise Communications Group(a) | 200,587 | ||||||
9,426 | Superloop, Ltd.* | 6,456 | ||||||
977 | Swisscom AG, Registered Shares | 511,122 | ||||||
29,050 | Talktalk Telecom Group plc | 30,808 | ||||||
334,376 | Telecom Italia SpA | 131,193 | ||||||
210,041 | Telecom Italia SpA | 81,303 | ||||||
45,006 | Telefonica Deutschland Holding AG | 132,744 | ||||||
47,197 | Telefonica SA | 225,842 | ||||||
4,768 | Telekom Austria AG* | 32,924 | ||||||
5,872 | Telenor ASA | 85,583 | ||||||
34,540 | Telia Co AB | 128,914 | ||||||
41,906 | Telstra Corp., Ltd. | 90,691 | ||||||
14,183 | TPG Telecom, Ltd.* | 87,085 | ||||||
7,092 | Tuas, Ltd.* | 3,302 | ||||||
6,450 | United Internet AG, Registered Shares | 272,145 | ||||||
1,800 | Vision, Inc.* | 11,333 | ||||||
33,373 | Vocus Group, Ltd.* | 68,260 | ||||||
|
| |||||||
6,195,154 | ||||||||
|
| |||||||
Electric Utilities (1.7%): | ||||||||
2,033 | Acciona SA | 198,703 | ||||||
33,016 | AusNet Services | 38,073 | ||||||
703 | BKW AG | 63,045 | ||||||
3,200 | Chubu Electric Power Co., Inc. | 40,256 | ||||||
2,800 | Chugoku Electric Power Co., Inc. (The) | 37,392 | ||||||
7,000 | CK Infrastructure Holdings, Ltd. | 36,067 | ||||||
9,564 | CLP Holdings, Ltd. | 93,660 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
5,549 | Contact Energy, Ltd. | $ | 22,603 | |||||
25,791 | EDP — Energias de Portugal SA | 122,991 | ||||||
18,599 | Electricite de France | 171,263 | ||||||
633 | Elia Group SA/NV | 68,631 | ||||||
2,200 | Emera, Inc. | 86,580 | ||||||
4,746 | Endesa SA | 116,800 | ||||||
57,903 | Enel SpA | 498,802 | ||||||
3,198 | EVN AG | 53,929 | ||||||
2,553 | Fortis, Inc. | 97,219 | ||||||
8,437 | Fortum OYJ | 160,048 | ||||||
18,530 | Genesis Energy, Ltd. | 36,368 | ||||||
30,000 | HK Electric Investments, Ltd. | 31,166 | ||||||
7,700 | Hokkaido Electric Power Co., Inc. | 29,563 | ||||||
3,500 | Hokuriku Electric Power Co. | 22,326 | ||||||
3,000 | Hydro One, Ltd.(a) | 56,424 | ||||||
72,781 | Iberdrola SA | 842,906 | ||||||
29,963 | Infratil, Ltd. | 90,685 | ||||||
3,500 | Kansai Electric Power Co., Inc. (The) | 33,918 | ||||||
7,200 | Kyushu Electric Power Co., Inc. | 60,411 | ||||||
1,391 | Okinawa Electric Power Co., Inc. | 23,101 | ||||||
986 | Orsted A/S(a) | 113,727 | ||||||
11,500 | Power Assets Holdings, Ltd. | 62,450 | ||||||
8,090 | Red Electrica Corp SA | 150,785 | ||||||
11 | Romande Energie Holding SA, Registered Shares | 11,904 | ||||||
20,594 | Scottish & Southern Energy plc | 347,651 | ||||||
3,300 | Shikoku Electric Power Co., Inc. | 24,327 | ||||||
23,736 | Spark Infrastructure Group | 35,605 | ||||||
13,794 | Terna SpA | 94,697 | ||||||
3,900 | Tohoku Electric Power Co., Inc. | 37,094 | ||||||
20,300 | Tokyo Electric Power Co. Holdings, Inc.* | 62,310 | ||||||
284 | Verbund AG, Class A | 12,701 | ||||||
|
| |||||||
4,086,181 | ||||||||
|
| |||||||
Electrical Equipment (1.2%): | ||||||||
13,429 | ABB, Ltd. | 301,931 | ||||||
600 | Chiyoda Integre Co., Ltd. | 9,226 | ||||||
1,300 | Denyo Co., Ltd. | 23,003 | ||||||
5,400 | Fuji Electric Co., Ltd. | 147,609 | ||||||
16,000 | Fujikura, Ltd. | 46,044 | ||||||
3,100 | Furukawa Electric Co., Ltd. (The) | 75,064 | ||||||
1,200 | Futaba Corp. | 10,959 | ||||||
38 | Gavazzi Carlo Holding AG | 7,227 | ||||||
3,400 | GS Yuasa Corp. | 60,154 | ||||||
400 | Hirakawa Hewtech Corp. | 3,936 | ||||||
815 | Huber & Suhner AG | 57,412 | ||||||
1,600 | Idec Corp./Japan | 25,500 | ||||||
29,500 | Johnson Electric Holdings, Ltd. | 52,505 | ||||||
254 | Kendrion NV | 3,374 | ||||||
4,095 | Legrand SA | 310,694 | ||||||
1,100 | Mabuchi Motor Co., Ltd. | 34,987 | ||||||
57,704 | Melrose Industries plc | 81,318 | ||||||
346 | Mersen | 8,228 | ||||||
9,100 | Mitsubishi Electric Corp. | 118,183 | ||||||
1,227 | Nexans SA | 56,902 | ||||||
400 | Nidec Corp. | 26,710 | ||||||
500 | Nippon Carbon Co., Ltd. | 15,930 | ||||||
1,500 | Nitto Kogyo Corp. | 26,842 | ||||||
821 | NKT A/S* | 18,309 |
See accompanying notes to the financial statements.
11
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
4,617 | Nordex Se* | $ | 45,633 | |||||
3,659 | OSRAM Licht AG*^ | 167,680 | ||||||
17 | Phoenix Mecano AG | 6,846 | ||||||
6,311 | PNE AG | 35,269 | ||||||
1,875 | Prysmian SpA | 43,370 | ||||||
400 | Sanyo Denki Co., Ltd. | 18,072 | ||||||
3,124 | Schneider Electric SA | 346,322 | ||||||
200 | SEC Carbon, Ltd. | 12,318 | ||||||
2,150 | SGL Carbon SE* | 7,816 | ||||||
2,499 | Siemens Gamesa Renewable Energy* | 44,225 | ||||||
6,301 | Signify NV*(a) | 162,490 | ||||||
1,000 | Sinfonia Technology Co., Ltd. | 9,497 | ||||||
417 | Somfy SA | 42,098 | ||||||
2,200 | SwCC Showa Holdings Co., Ltd. | 23,398 | ||||||
900 | Takaoka Toko Co., Ltd. | 8,523 | ||||||
4,000 | Tatsuta Electric Wire And Cable Co., Ltd. | 21,228 | ||||||
2,597 | TKH Group NV | 102,196 | ||||||
600 | Toyo Tanso Co., Ltd. | 9,438 | ||||||
4,400 | Ushio, Inc. | 58,568 | ||||||
2,155 | Vestas Wind Systems A/S | 219,306 | ||||||
920 | XP Power, Ltd. | 40,594 | ||||||
|
| |||||||
2,946,934 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.7%): | ||||||||
1,300 | Ai Holdings Corp. | 18,741 | ||||||
10,360 | Alps Alpine Co., Ltd. | 132,767 | ||||||
506 | ALSO Holding AG, Registered Shares | 124,317 | ||||||
2,300 | Amano Corp. | 47,720 | ||||||
1,400 | Anritsu Corp. | 33,191 | ||||||
2,400 | Arisawa Manufacturing Co., Ltd. | 17,854 | ||||||
3,172 | Austria Technologie & Systemte | 56,935 | ||||||
333 | Barco NV | 58,623 | ||||||
225 | Basler AG | 15,050 | ||||||
900 | Canon Electronics, Inc. | 13,434 | ||||||
5,004 | Celestica, Inc.* | 34,358 | ||||||
157 | Cicor Technologies, Ltd. | 6,761 | ||||||
13,600 | Citizen Watch Co., Ltd. | 44,186 | ||||||
3,400 | CMK Corp. | 13,092 | ||||||
5,568 | Codan, Ltd./Australia | 27,281 | ||||||
1,300 | Conexio Corp. | 17,223 | ||||||
46,000 | Cowell e Holdings, Inc. | 16,484 | ||||||
400 | Dai-ichi Seiko Co., Ltd. | 8,042 | ||||||
1,000 | Daiwabo Holdings Co., Ltd. | 65,311 | ||||||
545 | Datalogic SpA | 6,744 | ||||||
3,500 | Dexerials Corp. | 27,409 | ||||||
21,950 | Electrocomponents plc | 182,243 | ||||||
1,100 | Elematec Corp. | 8,934 | ||||||
1,200 | Enplas Corp. | 26,407 | ||||||
700 | Evertz Technologies, Ltd. | 5,786 | ||||||
148,000 | FIH Mobile, Ltd.* | 15,863 | ||||||
7,452 | Fingerprint Cards AB* | 13,504 | ||||||
2,100 | Furuno Electric Co., Ltd. | 18,958 | ||||||
400 | Hagiwara Electric Co., Ltd. | 7,583 | ||||||
500 | Hakuto Co., Ltd. | 4,557 | ||||||
2,991 | Halma plc | 85,225 | ||||||
400 | Hamamatsu Photonics KK | 17,324 | ||||||
1,031 | Hexagon AB, Class B* | 60,113 | ||||||
200 | Hirose Electric Co., Ltd. | 21,927 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
3,500 | Hitachi, Ltd. | $ | 110,508 | |||||
1,200 | Hochiki Corp. | 13,624 | ||||||
700 | Horiba, Ltd. | 36,901 | ||||||
2,600 | Hosiden Corp. | 22,771 | ||||||
1,200 | IBIDEN Co., Ltd. | 35,025 | ||||||
91 | Inficon Holding AG | 70,524 | ||||||
2,871 | Ingenico Group | 457,143 | ||||||
500 | Iriso Electronics Co., Ltd. | 16,334 | ||||||
4,000 | Japan Aviation Electronics Industry, Ltd. | 53,740 | ||||||
1,100 | Japan Cash Machine Co., Ltd. | 6,000 | ||||||
21,200 | Japan Display, Inc.* | 9,743 | ||||||
1,679 | Jenoptik AG* | 39,284 | ||||||
1,000 | Kaga Electronics Co., Ltd. | 18,151 | ||||||
100 | Keyence Corp. | 41,758 | ||||||
1,200 | Koa Corp. | 11,170 | ||||||
2,388 | Kudelski SA | 8,665 | ||||||
800 | Kyocera Corp. | 43,535 | ||||||
3,500 | Kyosan Electric Manufacturing Co., Ltd. | 17,306 | ||||||
1,835 | Lagercrantz Group AB, Class B | 28,423 | ||||||
365 | Landis+Gyr Group AG* | 23,595 | ||||||
26 | Lem Holding SA, Registered Shares | 38,412 | ||||||
2,200 | Macnica Fuji Electronics Holdings | 31,958 | ||||||
700 | Maruwa Co., Ltd./Aichi | 52,858 | ||||||
2,000 | Meiko Electronics Co., Ltd. | 25,492 | ||||||
2,366 | Micronic Mydata AB | 44,574 | ||||||
2,156 | Midwich Group plc | 10,702 | ||||||
4,600 | Murata Manufacturing Co., Ltd. | 269,571 | ||||||
1,500 | Nagano Keiki Co., Ltd. | 13,582 | ||||||
267 | Nederland Apparatenfabriek* | 12,347 | ||||||
2,800 | Nichicon Corp. | 19,439 | ||||||
600 | Nippon Chemi-Con Corp. | 10,041 | ||||||
4,400 | Nippon Electric Glass Co., Ltd. | 68,806 | ||||||
3,400 | Nippon Signal Co., Ltd. | 35,741 | ||||||
1,800 | Nissha Co., Ltd. | 16,888 | ||||||
600 | Nohmi Bosai, Ltd. | 11,634 | ||||||
3,600 | OKI Electric Industry Co., Ltd. | 34,670 | ||||||
700 | Omron Corp. | 46,904 | ||||||
1,200 | Optex Group Co., Ltd. | 13,618 | ||||||
3,000 | Osaki Electric Co., Ltd. | 13,996 | ||||||
3,519 | Oxford Instruments plc | 62,267 | ||||||
8,300 | Pricer AB | 21,700 | ||||||
464 | Renishaw plc | 23,110 | ||||||
1,100 | Restar Holdings Corp. | 21,226 | ||||||
1,400 | Ryoden Corp. | 18,970 | ||||||
1,100 | Ryosan Co., Ltd. | 22,629 | ||||||
900 | Sanshin Electronics Co., Ltd. | 12,836 | ||||||
700 | Shibaura Electronics Co., Ltd. | 13,289 | ||||||
900 | Shimadzu Corp. | 23,945 | ||||||
1,200 | Shinko Shoji Co., Ltd. | 9,302 | ||||||
2,000 | Siix Corp. | 18,361 | ||||||
3,154 | Smart Metering Systems plc | 23,131 | ||||||
2,172 | Spectris plc | 67,845 | ||||||
6,120 | Strix Group plc | 14,610 | ||||||
2,000 | Sumida Corp. | 14,210 | ||||||
700 | Tachibana Eletech Co., Ltd. | 11,269 | ||||||
3,300 | Taiyo Yuden Co., Ltd. | 102,461 | ||||||
2,500 | Tamura Corp. | 10,538 |
See accompanying notes to the financial statements.
12
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
2,900 | TDK Corp. | $ | 287,530 | |||||
5,000 | Topcon Corp. | 40,195 | ||||||
1,300 | Toyo Corp. | 11,945 | ||||||
7,103 | TT Electronics plc | 14,471 | ||||||
400 | V Technology Co., Ltd. | 13,570 | ||||||
312 | Vaisala OYJ, Class A | 11,682 | ||||||
7,400 | Venture Corp., Ltd. | 86,114 | ||||||
74,000 | Vstecs Holdings, Ltd. | 39,877 | ||||||
2,800 | Yokogawa Electric Corp. | 43,672 | ||||||
1,100 | Yokowo Co., Ltd. | 25,597 | ||||||
|
| |||||||
4,155,732 | ||||||||
|
| |||||||
Energy Equipment & Services (0.4%): | ||||||||
7,314 | Akastor ASA* | 3,655 | ||||||
5,393 | Aker Solutions ASA* | 4,704 | ||||||
1,137 | Bonheur ASA | 27,805 | ||||||
2,991 | BW Offshore, Ltd. | 9,852 | ||||||
5,874 | Ces Energy Solutions Corp. | 4,674 | ||||||
29,491 | CGG SA* | 32,178 | ||||||
4,726 | Computer Modelling Group, Ltd. | 16,538 | ||||||
6,058 | Enerflex, Ltd. | 22,940 | ||||||
8,606 | Ensign Energy Services, Inc. | 6,594 | ||||||
106,730 | Ezion Holdings, Ltd.* | 620 | ||||||
4,488 | Fugro NV*^ | 17,430 | ||||||
6,704 | Hunting plc | 17,636 | ||||||
22,482 | John Wood Group plc | 53,877 | ||||||
8,257 | Lamprell plc* | 2,023 | ||||||
1,000 | Modec, Inc. | 14,165 | ||||||
4,500 | Mullen Group, Ltd. | 24,101 | ||||||
2,400 | North American Construction Group, Ltd. | 15,046 | ||||||
3,324 | Ocean Yield ASA | 7,493 | ||||||
7,269 | Odfjell Drilling, Ltd.* | 8,199 | ||||||
2,900 | Pason Systems, Inc. | 15,852 | ||||||
6,196 | Petrofac, Ltd. | 13,742 | ||||||
18,993 | Petroleum Geo-Services ASA* | 7,622 | ||||||
16,362 | Precision Drilling Corp.* | 12,416 | ||||||
2,400 | Raiznext Corp. | 27,122 | ||||||
15,278 | Saipem SpA | 38,029 | ||||||
8,829 | SBM Offshore NV | 128,852 | ||||||
174 | Schoeller-Blackman Oilfield Equipment AG | 4,593 | ||||||
8,377 | Secure Energy Services, Inc. | 10,306 | ||||||
3,900 | ShawCor, Ltd. | 7,786 | ||||||
11,387 | Subsea 7 SA* | 71,906 | ||||||
1,677 | Tecnicas Reunidas SA* | 25,582 | ||||||
1,938 | Tenaris SA | 12,492 | ||||||
5,241 | TGS NOPEC Geophysical Co. ASA | 76,066 | ||||||
421 | The Drilling Co of 1972 A/S* | 8,865 | ||||||
900 | Total Energy Services, Inc. | 1,392 | ||||||
400 | Toyo Kanetsu KK | 7,832 | ||||||
13,311 | Trican Well Service, Inc.* | 8,041 | ||||||
268 | Vallourec SA*^ | 11,166 | ||||||
10,270 | Worley, Ltd. | 62,207 | ||||||
|
| |||||||
841,399 | ||||||||
|
| |||||||
Entertainment (0.5%): | ||||||||
800 | Akatsuki, Inc. | 28,399 | ||||||
1,400 | Ateam, Inc. | 11,159 | ||||||
2,500 | Avex, Inc. | 19,779 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
3,818 | Borussia Dortmund GMBH & Co. KGaA | $ | 24,713 | |||||
2,000 | Capcom Co., Ltd. | 72,597 | ||||||
4,665 | Cineplex, Inc. | 27,632 | ||||||
50,738 | Cineworld Group plc | 37,978 | ||||||
2,160 | CTS Eventim AG & Co. KGaA* | 89,708 | ||||||
1,600 | Daiichikosho Co., Ltd. | 47,889 | ||||||
3,000 | DeNA Co., Ltd. | 37,391 | ||||||
4,107 | Event Hospitality And Entertainment, Ltd. | 24,023 | ||||||
1,590 | Gungho Online Enetertainment, Inc. | 28,343 | ||||||
38,000 | IGG, Inc. | 31,117 | ||||||
594 | Kinepolis Group NV* | 26,825 | ||||||
4,500 | KLab, Inc.* | 30,357 | ||||||
2,000 | Konami Holdings Corp. | 66,632 | ||||||
40,000 | Leyou Technologies Holdings, Ltd.* | 13,167 | ||||||
1,700 | Marvelous, Inc. | 11,032 | ||||||
900 | Nexon Co., Ltd. | 20,330 | ||||||
400 | Nintendo Co., Ltd. | 178,012 | ||||||
200 | Square Enix Holdings Co., Ltd. | 10,088 | ||||||
510 | Technicolor SA* | 1,589 | ||||||
400 | Toei Animation Co., Ltd. | 18,655 | ||||||
200 | Toei Co., Ltd. | 26,722 | ||||||
2,851 | UbiSoft Entertainment SA* | 234,788 | ||||||
700 | UUUM, Inc.* | 16,072 | ||||||
2,949 | Vivendi Universal SA | 75,580 | ||||||
5,570 | WildBrain, Ltd.*^ | 5,334 | ||||||
|
| |||||||
1,215,911 | ||||||||
|
| |||||||
Food & Staples Retailing (2.6%): | ||||||||
5,600 | AEON Co., Ltd. | 130,091 | ||||||
500 | Ain Holdings, Inc. | 32,720 | ||||||
800 | Albis Co., Ltd. | 16,200 | ||||||
3,200 | Alcanna, Inc.* | 8,298 | ||||||
8,272 | Alimentation Couche-Tard, Inc. | 259,422 | ||||||
1,309 | Amsterdam Commodities NV | 28,640 | ||||||
2,400 | Arcs Co., Ltd. | 48,227 | ||||||
1,537 | Axfood AB | 33,542 | ||||||
1,200 | Axial Retailing, Inc. | 47,890 | ||||||
600 | Belc Co., Ltd. | 41,007 | ||||||
16,444 | Carrefour SA^ | 253,830 | ||||||
1,395 | Casino Guichard-Perrachon SA* | 51,666 | ||||||
1,100 | Cawachi, Ltd. | 28,327 | ||||||
400 | Cocokara Fine, Inc. | 21,510 | ||||||
14,148 | Coles Group, Ltd. | 168,014 | ||||||
2,636 | Colruyt SA | 144,937 | ||||||
400 | Cosmos Pharmaceutical Corp. | 61,313 | ||||||
1,300 | Create SD Holdings Co., Ltd. | 40,306 | ||||||
500 | Daikokutenbussan Co., Ltd. | 22,329 | ||||||
4,900 | Dairy Farm International Holdings, Ltd. | 22,820 | ||||||
800 | Eco’s Co., Ltd. | 14,256 | ||||||
3,691 | Empire Co., Ltd., Class A | 88,400 | ||||||
3,500 | FamilyMart Co., Ltd. | 60,072 | ||||||
1,600 | Heiwado Co., Ltd. | 28,044 | ||||||
890 | ICA Gruppen AB | 42,188 | ||||||
200 | Itochu-Shokuhin Co., Ltd. | 9,511 | ||||||
64,976 | J Sainsbury plc | 167,851 | ||||||
600 | JM Holdings Co., Ltd. | 16,739 | ||||||
600 | Kato Sangyo Co., Ltd. | 19,634 | ||||||
5,020 | Kesko OYJ, Class A | 81,369 |
See accompanying notes to the financial statements.
13
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
8,384 | Kesko OYJ, Class B | $ | 143,240 | |||||
1,200 | Kobe Bussan Co., Ltd. | 67,657 | ||||||
40,582 | Koninklijke Ahold Delhaize NV | 1,105,009 | ||||||
400 | Kusuri NO Aoki Holdings Co., Ltd. | 31,356 | ||||||
900 | LAWSON, Inc. | 45,133 | ||||||
800 | Life Corp. | 25,590 | ||||||
2,011 | Loblaw Cos., Ltd. | 97,943 | ||||||
1,430 | Marr SpA | 21,448 | ||||||
700 | Matsumotokiyoshi Holdings Co., Ltd. | 25,357 | ||||||
61,030 | Metcash, Ltd. | 114,569 | ||||||
10,912 | METRO AG | 103,083 | ||||||
3,317 | Metro, Inc. | 136,844 | ||||||
600 | Ministop Co., Ltd. | 8,400 | ||||||
900 | Mitsubishi Shokuhin Co., Ltd. | 22,909 | ||||||
1,200 | Nihon Chouzai Co., Ltd. | 17,817 | ||||||
1,801 | North West Co., Inc. | 39,379 | ||||||
9,500 | Olam International, Ltd. | 9,531 | ||||||
1,200 | Qol Holdings Co., Ltd. | 12,579 | ||||||
1,094 | Rallye SA* | 8,631 | ||||||
337 | Rami Levy Chain Stores Hashikm | 18,685 | ||||||
1,000 | Retail Partners Co., Ltd. | 15,752 | ||||||
600 | San-A Co., Ltd. | 22,927 | ||||||
12,300 | Seven & I Holdings Co., Ltd. | 401,454 | ||||||
28,900 | Sheng Siong Group, Ltd. | 34,267 | ||||||
6,398 | Shufersal, Ltd. | 41,789 | ||||||
1,454 | Sligro Food Group NV | 22,387 | ||||||
38,447 | Sonae SGPS SA | 27,691 | ||||||
1,000 | Sugi Holdings Co., Ltd. | 67,656 | ||||||
1,300 | Sundrug Co., Ltd. | 42,959 | ||||||
90,399 | Tesco plc | 255,205 | ||||||
400 | Tsuruha Holdings, Inc. | 55,067 | ||||||
2,100 | United Supermarkets Holdings | 22,097 | ||||||
2,200 | Valor Holdings Co., Ltd. | 42,872 | ||||||
700 | Watahan & Co., Ltd. | 12,450 | ||||||
1,000 | Welcia Holdings Co., Ltd. | 80,636 | ||||||
11,249 | Wesfarmers, Ltd. | 349,288 | ||||||
1,793 | Weston (George), Ltd. | 131,364 | ||||||
91,434 | William Morrison Supermarkets plc | 215,665 | ||||||
9,117 | Woolworths Group, Ltd. | 235,040 | ||||||
800 | YAKUODO Holdings Co., Ltd. | 19,539 | ||||||
700 | Yamatane Corp. | 7,738 | ||||||
700 | Yaoko Co., Ltd. | 49,966 | ||||||
2,800 | Yokohama Reito Co., Ltd. | 23,206 | ||||||
|
| |||||||
6,221,328 | ||||||||
|
| |||||||
Food Products (3.3%): | ||||||||
5,898 | A2 Milk Co., Ltd.* | 77,212 | ||||||
364 | Agrana Beteiligungs AG | 7,486 | ||||||
1,300 | Ajinomoto Co., Inc. | 21,601 | ||||||
44,180 | Aryzta AG* | 19,815 | ||||||
3,921 | Associated British Foods plc | 92,901 | ||||||
772 | Atria OYJ | 7,542 | ||||||
4,083 | Austevoll Seafood ASA | 33,761 | ||||||
23,247 | Australian Agricultural Co., Ltd.* | 16,592 | ||||||
363 | Bakkafrost P/F* | 22,876 | ||||||
53 | Barry Callebaut AG, Registered Shares | 101,038 | ||||||
6,130 | Bega Cheese, Ltd. | 18,834 | ||||||
125 | Bell AG | 31,654 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
854 | Bonduelle S.C.A. | $ | 20,572 | |||||
2,000 | Calbee, Inc. | 55,312 | ||||||
1 | Chocoladefabriken Lindt & Spruengli AG | 85,875 | ||||||
800 | Chubu Shiryo Co., Ltd. | 12,102 | ||||||
12,278 | Cloetta AB* | 31,238 | ||||||
13,015 | Costa Group Holdings, Ltd. | 26,241 | ||||||
2,432 | Cranswick plc | 108,911 | ||||||
6,062 | Danone SA* | 418,858 | ||||||
1,700 | Delfi, Ltd. | 898 | ||||||
16,123 | Devro plc | 30,226 | ||||||
500 | DyDo Group Holdings, Inc. | 22,593 | ||||||
2,372 | Ebro Foods SA | 49,114 | ||||||
7,504 | Elders, Ltd. | 48,880 | ||||||
80 | Emmi AG | 69,775 | ||||||
27,100 | First Resources, Ltd. | 27,134 | ||||||
1,616 | Forfarmers NV | 9,870 | ||||||
9,500 | Fraser & Neave, Ltd. | 9,425 | ||||||
3,739 | Freedom Foods Group, Ltd. | 7,739 | ||||||
1,000 | Fuji Oil Holdings, Inc. | 25,821 | ||||||
5,217 | Glanbia plc | 59,026 | ||||||
260,400 | Golden Agri-Resources, Ltd. | 27,715 | ||||||
11,957 | GrainCorp, Ltd.* | 34,159 | ||||||
17,127 | Greencore Group plc | 26,671 | ||||||
3,373 | Grieg Seafood ASA | 34,565 | ||||||
1,923 | Hilton Food Group plc | 30,081 | ||||||
1,600 | Hokuto Corp. | 30,153 | ||||||
700 | House Foods Group, Inc. | 22,580 | ||||||
15,498 | Inghams Group, Ltd. | 34,243 | ||||||
2,700 | Itoham Yonekyu Holdings, Inc. | 16,246 | ||||||
300 | Iwatsuka Confectionery Co., Ltd. | 10,440 | ||||||
52,140 | Japfa, Ltd. | 25,720 | ||||||
300 | J-Oil Mills, Inc. | 11,083 | ||||||
800 | Kagome Co., Ltd. | 23,915 | ||||||
800 | Kakiyasu Honten Co., Ltd. | 19,204 | ||||||
400 | Kameda Seika Co., Ltd. | 19,202 | ||||||
700 | Kenko Mayonnaise Co., Ltd. | 12,554 | ||||||
492 | Kerry Group plc, Class A | 61,203 | ||||||
2,800 | Kewpie Corp. | 52,818 | ||||||
400 | Kikkoman Corp. | 19,265 | ||||||
900 | Kotobuki Spirits Co., Ltd. | 36,889 | ||||||
295 | KWS Saat SE | 22,070 | ||||||
500 | Kyokuyo Co., Ltd. | 12,609 | ||||||
147 | Lassonde Industries, Inc. | 16,787 | ||||||
3,154 | Leroy Seafood Group ASA | 18,958 | ||||||
17 | Lotus Bakeries | 54,019 | ||||||
2,349 | Maple Leaf Foods, Inc. | 49,337 | ||||||
1,200 | Marudai Food Co., Ltd. | 21,136 | ||||||
2,600 | Maruha Nichiro Corp. | 53,213 | ||||||
1,700 | Megmilk Snow Brand Co., Ltd. | 39,563 | ||||||
41 | Mehadrin, Ltd.* | 1,377 | ||||||
1,100 | Meiji Holdings Co., Ltd. | 87,487 | ||||||
800 | Mitsui Sugar Co., Ltd. | 14,700 | ||||||
1,300 | Morinaga & Co., Ltd. | 50,545 | ||||||
3,000 | Morinaga Milk Industry Co., Ltd. | 133,772 | ||||||
2,943 | Mowi ASA | 55,961 | ||||||
30,559 | Nestle SA, Registered Shares | 3,376,901 | ||||||
1,200 | NH Foods, Ltd. | 48,152 |
See accompanying notes to the financial statements.
14
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
3,000 | Nichirei Corp. | $ | 87,174 | |||||
800 | Nippon Beet Sugar Manufacturing Co., Ltd. | 13,973 | ||||||
1,200 | Nippon Flour Mills Co., Ltd. | 17,996 | ||||||
20,100 | Nippon Suisan Kaisha, Ltd. | 87,263 | ||||||
1,200 | Nisshin Oillio Group, Ltd. (The) | 37,427 | ||||||
900 | Nisshin Seifun Group, Inc. | 13,430 | ||||||
300 | Nissin Foods Holdings Co., Ltd. | 26,557 | ||||||
1,004 | Norway Royal Salmon ASA | 26,203 | ||||||
326 | Orior AG | 26,792 | ||||||
51,099 | Premier Foods plc* | 44,412 | ||||||
1,488 | Premium Brands Holdings Corp. | 94,932 | ||||||
2,000 | Prima Meat Packers, Ltd. | 53,478 | ||||||
33,700 | PT Tiga Pilar Sejahtera Food Tbk* | 75 | ||||||
3,268 | Raisio Oyj, Class V | 11,152 | ||||||
11,830 | Ridley Corp., Ltd. | 5,929 | ||||||
5,300 | Rogers Sugar, Inc. | 18,273 | ||||||
600 | S Foods, Inc. | 14,646 | ||||||
1,029 | Salmar ASA* | 49,164 | ||||||
2,346 | Sanford, Ltd. | 9,532 | ||||||
3,223 | Saputo, Inc. | 76,859 | ||||||
127 | Savencia SA* | 7,704 | ||||||
3,496 | Scales Corp., Ltd. | 11,034 | ||||||
3,767 | Scandi Standard AB* | 25,944 | ||||||
619 | Schouw & Co. | 49,260 | ||||||
2,304 | Select Harvests, Ltd. | 10,053 | ||||||
800 | Showa Sangyo Co., Ltd. | 24,499 | ||||||
306 | Sipef SA | 15,084 | ||||||
300 | Starzen Co., Ltd. | 11,804 | ||||||
1,353 | Strauss Group, Ltd. | 37,501 | ||||||
2,659 | Suedzucker AG | 41,865 | ||||||
2,371 | Synlait Milk, Ltd.* | 10,890 | ||||||
11,672 | Tassal Group, Ltd. | 27,919 | ||||||
14,193 | Tate & Lyle plc | 117,272 | ||||||
700 | Toyo Suisan Kaisha, Ltd. | 39,085 | ||||||
58 | United International Enterprises | 11,422 | ||||||
13,688 | United Malt Grp, Ltd.* | 39,041 | ||||||
1,955 | Viscofan SA | 127,495 | ||||||
22,000 | Vitasoy International Holdings, Ltd. | 84,727 | ||||||
400 | Warabeya Nichiyo Holdings Co., Ltd. | 6,318 | ||||||
264,612 | WH Group, Ltd.(a) | 227,092 | ||||||
8,000 | Wilmar International, Ltd. | 23,567 | ||||||
200 | Yakult Honsha Co., Ltd. | 11,773 | ||||||
1,000 | Yamazaki Baking Co., Ltd. | 17,183 | ||||||
|
| |||||||
7,870,014 | ||||||||
|
| |||||||
Gas Utilities (0.4%): | ||||||||
5,937 | AltaGas, Ltd. | 68,450 | ||||||
12,578 | APA Group | 96,827 | ||||||
7,208 | Gas Natural SDG SA | 133,967 | ||||||
28,295 | Hong Kong & China Gas Co., Ltd. | 43,756 | ||||||
16,993 | Italgas SpA | 98,595 | ||||||
800 | K&O Energy Group, Inc. | 11,287 | ||||||
2,400 | Nippon Gas Co., Ltd. | 103,030 | ||||||
2,600 | Osaka Gas Co., Ltd. | 51,297 | ||||||
2,830 | Rubis SCA | 135,824 | ||||||
1,300 | Saibu Gas Co., Ltd. | 32,359 | ||||||
1,300 | Shizuoka Gas Co. Ltd. | 11,896 | ||||||
10,212 | Superior Plus Corp. | 83,658 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities, continued | ||||||||
800 | Toho Gas Co., Ltd. | $ | 39,993 | |||||
2,200 | Tokyo Gas Co., Ltd. | 52,624 | ||||||
|
| |||||||
963,563 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (1.7%): | ||||||||
4,403 | Alcon, Inc.* | 252,342 | ||||||
523 | Alcon, Inc.* | 29,978 | ||||||
1,691 | Ambu A/S, Class B | 53,155 | ||||||
3,762 | Ansell, Ltd. | 95,537 | ||||||
11,514 | Arjo AB, Class B | 63,967 | ||||||
3,200 | Asahi Intecc Co., Ltd. | 90,942 | ||||||
470 | BioMerieux* | 64,526 | ||||||
478 | Cochlear, Ltd. | 62,351 | ||||||
1,014 | Coloplast A/S, Class B | 157,216 | ||||||
251 | Coltene Holding AG | 18,889 | ||||||
21,835 | Convatec Group plc(a) | 52,966 | ||||||
2,381 | Demant A/S* | 62,752 | ||||||
781 | DiaSorin SpA | 149,384 | ||||||
238 | Draegerwerk AG & Co. KGaA* | 15,819 | ||||||
509 | Draegerwerk AG & Co. KGaA* | 41,491 | ||||||
185 | Eckert & Ziegler AG | 30,866 | ||||||
2,223 | Elekta AB, Class B | 20,653 | ||||||
1,137 | EssilorLuxottica SA* | 145,716 | ||||||
4,164 | Fisher & Paykel Healthcare Corp., Ltd. | 96,263 | ||||||
4,443 | Getinge AB, Class B | 82,374 | ||||||
6,918 | GN Store Nord A/S | 368,396 | ||||||
405 | Guerbet | 15,300 | ||||||
800 | Hogy Medical Co., Ltd. | 24,619 | ||||||
3,200 | HOYA Corp. | 306,491 | ||||||
1,300 | Jeol, Ltd. | 36,050 | ||||||
1,134 | Koninklijke Philips Electronics NV, NYS | 53,117 | ||||||
5,935 | Koninklijke Philips NV | 276,350 | ||||||
700 | Mani, Inc. | 18,473 | ||||||
500 | Menicon Co., Ltd. | 24,555 | ||||||
1,200 | Nakanishi, Inc. | 15,648 | ||||||
1,100 | Nihon Kohden Corp. | 36,968 | ||||||
2,300 | Nikkiso Co., Ltd. | 21,898 | ||||||
8,900 | Nipro Corp. | 98,822 | ||||||
11,500 | Olympus Corp. | 221,523 | ||||||
900 | Paramount Bed Holdings Co., Ltd. | 36,644 | ||||||
457 | Revenio Group OYJ | 14,434 | ||||||
957 | Sartorius AG | 314,374 | ||||||
1,077 | Sectra AB, Class B*^ | 61,230 | ||||||
700 | Shofu, Inc. | 9,750 | ||||||
3,702 | Smith & Nephew plc | 68,956 | ||||||
819 | Sonova Holding AG, Registered Shares* | 163,353 | ||||||
360 | Stratec Se | 35,172 | ||||||
1,200 | Sysmex Corp. | 92,181 | ||||||
4,400 | Terumo Corp. | 166,598 | ||||||
180 | Ypsomed Holding AG | 25,484 | ||||||
|
| |||||||
4,093,573 | ||||||||
|
| |||||||
Health Care Providers & Services (1.0%): | ||||||||
2,400 | Alfresa Holdings Corp. | 49,970 | ||||||
5,072 | Amplifon SpA* | 134,893 | ||||||
15,973 | Arvida Group, Ltd. | 14,918 | ||||||
6,164 | Attendo AB*(a) | 24,145 | ||||||
18,377 | Australian Pharmaceutical Industries, Ltd. | 14,549 |
See accompanying notes to the financial statements.
15
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
700 | BML, Inc. | $ | 18,299 | |||||
3,715 | CareTech Holdings plc | 19,964 | ||||||
6,200 | CRH Medical Corp.* | 12,972 | ||||||
862 | CVS Group plc | 10,990 | ||||||
3,603 | Ebos Group, Ltd. | 50,572 | ||||||
1,500 | Elan Corp. | 26,388 | ||||||
14,050 | Estia Health, Ltd. | 15,066 | ||||||
4,012 | Extendicare, Inc.^ | 16,581 | ||||||
3,112 | Fagron | 65,397 | ||||||
6,326 | Fresenius Medical Care AG & Co., KGaA* | 539,295 | ||||||
3,263 | Fresenius SE & Co. KGaA* | 161,051 | ||||||
2,800 | H.U. Group Holdings, Inc. | 66,007 | ||||||
27,126 | Healius, Ltd. | 57,112 | ||||||
2,572 | Humana AB* | 13,059 | ||||||
2,000 | Japan Lifeline Co., Ltd. | 26,405 | ||||||
1,000 | Japan Medical Dynamic Marketing, Inc. | 15,131 | ||||||
16,930 | Japara Healthcare, Ltd. | 5,741 | ||||||
2,678 | Korian SA | 97,905 | ||||||
225 | Lna Sante | 12,000 | ||||||
3,204 | Medical Facilities Corp. | 10,244 | ||||||
25,952 | Mediclinic International plc | 84,999 | ||||||
2,000 | Medipal Holdings Corp. | 38,508 | ||||||
7,584 | Metlifecare, Ltd. | 25,302 | ||||||
1,800 | N Field Co., Ltd. | 9,138 | ||||||
2,200 | Nichiigakkan Co., Ltd. | 33,881 | ||||||
1,110 | NMC Health plc* | 394 | ||||||
18,765 | Oceania Healthcare, Ltd. | 11,054 | ||||||
11,311 | Oriola Corp. | 25,405 | ||||||
1,066 | Orpea | 123,117 | ||||||
23,400 | Raffles Medical Group, Ltd. | 15,516 | ||||||
1,997 | Ramsay Health Care, Ltd. | 92,022 | ||||||
873 | Rhoen-Klinikum AG* | 17,804 | ||||||
3,746 | Ryman Healthcare, Ltd. | 31,766 | ||||||
2,200 | Ship Healthcare Holdings, Inc. | 92,040 | ||||||
3,500 | Sienna Senior Living, Inc. | 23,851 | ||||||
59,044 | Sigma Healthcare, Ltd. | 25,550 | ||||||
1,900 | Solasto Corp. | 18,860 | ||||||
8,887 | Spire Healthcare Group plc(a) | 9,389 | ||||||
8,278 | Summerset Group Holdings, Ltd. | 34,754 | ||||||
1,100 | Suzuken Co., Ltd. | 41,006 | ||||||
1,800 | Toho Holdings Co., Ltd. | 33,498 | ||||||
500 | Tokai Corp./Gifu | 10,984 | ||||||
5,100 | Tsukui Corp. | 23,860 | ||||||
2,079 | UDG Healthcare plc | 18,471 | ||||||
3,435 | Virtus Health, Ltd. | 6,750 | ||||||
2,800 | Vital Ksk Holdings, Inc. | 26,753 | ||||||
|
| |||||||
2,353,326 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
11,695 | AGFA-Gevaert NV* | 48,695 | ||||||
2,052 | Ascom Holding AG* | 18,733 | ||||||
857 | CompuGroup Medical SE & Co KgaA | 67,384 | ||||||
2,389 | Emis Group plc | 32,004 | ||||||
2,800 | M3, Inc. | 119,090 | ||||||
800 | Nnit A/S(a) | 14,156 | ||||||
1,258 | Pro Medicus, Ltd. | 23,018 | ||||||
1,213 | Raysearch Laboratories AB* | 11,249 | ||||||
|
| |||||||
334,329 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure (2.2%): | ||||||||
4,102 | Accor SA* | $ | 111,290 | |||||
36,400 | Accordia Golf Trust | 17,979 | ||||||
600 | AEON Fantasy Co., Ltd. | 8,555 | ||||||
1,000 | Arcland Service Holdings Co., Ltd. | 17,728 | ||||||
23,206 | Ardent Leisure Group, Ltd.* | 6,273 | ||||||
7,016 | Aristocrat Leisure, Ltd. | 124,043 | ||||||
4,300 | Atom Corp. | 32,707 | ||||||
7,557 | Autogrill SpA* | 39,651 | ||||||
1,707 | Basic-Fit NV*(a) | 44,676 | ||||||
3,095 | Betsson AB* | 21,503 | ||||||
20,000 | Cafe de Coral Holdings, Ltd. | 41,577 | ||||||
1,533 | Carnival plc, ADR | 19,285 | ||||||
700 | Central Sports Co., Ltd. | 14,608 | ||||||
72,000 | Century City International Holdings, Ltd. | 3,713 | ||||||
485 | CIE des Alpes | 9,661 | ||||||
9,479 | Collins Foods, Ltd. | 62,330 | ||||||
2,000 | Colowide Co., Ltd. | 27,247 | ||||||
16,153 | Compass Group plc | 222,183 | ||||||
2,200 | Corporate Travel Management, Ltd. | 14,785 | ||||||
4,000 | Create Restaurants Holdings In | 26,401 | ||||||
4,576 | Crown Resorts, Ltd. | 30,572 | ||||||
1,900 | Curves Holdings Co., Ltd.* | 10,460 | ||||||
151 | Do & Co. AG | 7,704 | ||||||
1,951 | Domino’s Pizza Enterprises, Ltd. | 92,570 | ||||||
23,341 | Domino’s Pizza Group plc | 89,671 | ||||||
1,600 | Doutor Nichires Holdings Co., Ltd. | 25,845 | ||||||
4,906 | Elior Group^(a) | 27,904 | ||||||
1,486 | Evolution Gaming Group AB(a) | 88,532 | ||||||
6,500 | Fairwood Holdings, Ltd. | 14,578 | ||||||
4,759 | Flight Centre Travel Group, Ltd. | 36,748 | ||||||
1,791 | Flutter Entertainment plc | 235,073 | ||||||
2,326 | Flutter Entertainment plc | 304,918 | ||||||
800 | Fuji Kyuko Co., Ltd. | 24,937 | ||||||
600 | Fujita Kanko, Inc. | 9,461 | ||||||
557 | Fuller Smith & Turner plc, Class A | 5,308 | ||||||
28,010 | Galaxy Entertainment Group, Ltd. | 190,188 | ||||||
1,491 | Gamesys Group plc* | 15,856 | ||||||
200 | Genki Sushi Co., Ltd. | 4,286 | ||||||
113,000 | Genting Singapore, Ltd. | 61,800 | ||||||
36,100 | GL Limited | 15,620 | ||||||
2,773 | Great Canadian Gaming Corp.* | 55,219 | ||||||
7,557 | Greggs plc | 151,509 | ||||||
25,525 | GVC Holdings plc | 233,832 | ||||||
660 | Hiday Hidaka Corp. | 10,287 | ||||||
1,700 | HIS Co., Ltd. | 25,182 | ||||||
18,230 | Hongkong & Shanghai Hotels (The) | 16,495 | ||||||
11,300 | Hotel Grand Central, Ltd.* | 7,873 | ||||||
400 | Ichibanya Co., Ltd. | 17,600 | ||||||
2,240 | InterContinental Hotels Group plc, ADR^ | 99,366 | ||||||
6,544 | JD Wetherspoon plc | 81,462 | ||||||
868 | Jumbo Interactive, Ltd. | 5,766 | ||||||
1,100 | KFC Holdings Japan, Ltd. | 30,537 | ||||||
6,856 | Kindred Group plc | 40,937 | ||||||
1,700 | Komeda Holdings Co., Ltd. | 28,830 | ||||||
1,900 | Koshidaka Holdings Co., Ltd. | 7,395 | ||||||
900 | Kourakuen Holdings Corp. | 12,937 | ||||||
400 | Kura Sushi, Inc. | 19,616 |
See accompanying notes to the financial statements.
16
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
1,100 | Kyoritsu Maintenance Co., Ltd. | $ | 37,443 | |||||
70,000 | Macau Legend Development, Ltd.* | 9,477 | ||||||
33,812 | Marston’s plc | 22,251 | ||||||
200 | Matsuyafoods Holdings Co., Ltd. | 6,770 | ||||||
500 | McDonald’s Holdings Co., Ltd. | 26,977 | ||||||
36,000 | Melco International Development Ltd. | 69,489 | ||||||
5,571 | Melia Hotels International SA | 23,630 | ||||||
25,327 | MGM China Holdings, Ltd. | 32,924 | ||||||
14,000 | Miramar Hotel & Investment | 25,063 | ||||||
10,745 | Mitchells & Butlers plc* | 25,010 | ||||||
400 | Monogatari Corp. (The) | 31,142 | ||||||
1,110 | Mty Food Group, Inc. | 19,904 | ||||||
64,000 | NagaCorp, Ltd. | 74,557 | ||||||
1,223 | Orascom Development Holding AG* | 11,328 | ||||||
200 | Oriental Land Co., Ltd. | 26,412 | ||||||
2,702 | Pandox AB* | 31,140 | ||||||
900 | Pizza Pizza Royalty Corp. | 5,530 | ||||||
10,182 | PlayTech plc | 35,467 | ||||||
12,439 | Rank Group plc | 22,531 | ||||||
600 | Renaissance, Inc. | 5,575 | ||||||
4,200 | Resorttrust, Inc. | 54,373 | ||||||
392 | Restaurant Brands International, Inc. | 21,415 | ||||||
2,757 | Restaurant Brands International, Inc. | 150,077 | ||||||
4,293 | Restaurant Brands New Zealand, Ltd.* | 32,787 | ||||||
17,404 | Restaurant Group plc (The) | 12,142 | ||||||
800 | Ringer Hut Co., Ltd. | 17,506 | ||||||
3,200 | Round One Corp. | 23,139 | ||||||
1,300 | Royal Holdings Co., Ltd.^ | 22,601 | ||||||
1,200 | Saint Marc Holdings Co., Ltd. | 18,485 | ||||||
1,400 | Saizeriya Co., Ltd. | 27,051 | ||||||
16,988 | Sands China, Ltd. | 66,480 | ||||||
5,463 | Scandic Hotels Group AB^(a) | 19,163 | ||||||
44,000 | Shangri-La Asia, Ltd. | 37,977 | ||||||
56,868 | SJM Holdings, Ltd. | 63,576 | ||||||
1,360 | SkiStar AB | 13,937 | ||||||
28,026 | Sky City Entertainment Group, Ltd. | 43,618 | ||||||
6,100 | Skylark Holdings Co., Ltd. | 97,378 | ||||||
2,576 | Sodexo SA | 173,995 | ||||||
20,846 | SSP Group plc | 66,323 | ||||||
40,062 | Star Entertainment Group, Ltd. (The) | 78,878 | ||||||
2,000 | Sushiro Global Holdings, Ltd. | 44,047 | ||||||
58,230 | Tabcorp Holdings, Ltd. | 136,322 | ||||||
581 | The Gym Group plc(a) | 1,093 | ||||||
50,634 | Thomas Cook Group plc*(b) | — | ||||||
137 | Tivoli A/S* | 14,518 | ||||||
4,500 | Tokyo Dome Corp. | 32,274 | ||||||
800 | Tokyotokeiba Co., Ltd. | 26,669 | ||||||
2,200 | Toridoll Holding Corp. | 24,694 | ||||||
400 | Tosho Co., Ltd. | 4,739 | ||||||
7,082 | TUI AG | 33,638 | ||||||
5,022 | Whitbread plc | 138,057 | ||||||
41,297 | William Hill plc | 58,120 | ||||||
26,430 | Wynn Macau, Ltd. | 45,917 | ||||||
1,200 | Yoshinoya Holdings Co., Ltd. | 24,766 | ||||||
3,500 | Zensho Holdings Co., Ltd. | 70,644 | ||||||
|
| |||||||
5,242,088 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables (1.8%): | ||||||||
5,875 | Azorim-Investment Development & Construction Co., Ltd.* | $ | 10,641 | |||||
4,812 | Bang & Olufsen A/S*^ | 9,847 | ||||||
19,035 | Barratt Developments plc | 116,743 | ||||||
3,516 | Bellway plc | 110,766 | ||||||
1,477 | Berkeley Group Holdings plc (The) | 76,106 | ||||||
1,566 | Bigben Interactive | 19,678 | ||||||
3,728 | Bonava AB | 20,027 | ||||||
6,869 | Bovis Homes Group plc | 60,397 | ||||||
4,028 | Breville Group, Ltd. | 63,577 | ||||||
27,975 | Cairn Home plc | 27,312 | ||||||
3,700 | Casio Computer Co., Ltd. | 64,219 | ||||||
600 | Chofu Seisakusho Co., Ltd. | 12,605 | ||||||
1,800 | Cleanup Corp. | 9,532 | ||||||
1,800 | Corona Corp. | 17,259 | ||||||
9,695 | Countryside Properties plc(a) | 39,719 | ||||||
11,005 | Crest Nicholson Holdings plc | 26,919 | ||||||
1,076 | De’Longhi* | 28,166 | ||||||
7,507 | DFS Furniture plc | 15,356 | ||||||
1,000 | Dorel Industries, Inc. | 4,000 | ||||||
2,152 | Duni AB | 22,503 | ||||||
4,630 | Electrolux AB, Series B, Class B | 77,318 | ||||||
2,700 | Es-Con Japan, Ltd. | 20,455 | ||||||
800 | Eslead Corp. | 10,048 | ||||||
2,053 | Fiskars OYJ Abp | 23,608 | ||||||
2,700 | FJ Next Co., Ltd. | 21,488 | ||||||
49 | Forbo Holding AG | 70,906 | ||||||
1,600 | Foster Electric Co., Ltd. | 15,592 | ||||||
1,400 | France Bed Holdings Co., Ltd. | 10,958 | ||||||
1,600 | Fuji Corp., Ltd. | 7,971 | ||||||
900 | Fujitsu General, Ltd. | 18,430 | ||||||
14,200 | Haseko Corp. | 178,863 | ||||||
700 | Hoosiers Holdings | 3,441 | ||||||
187 | Hunter Douglas NV* | 9,973 | ||||||
10,452 | Husqvarna AB, Class B | 85,497 | ||||||
3,200 | Iida Group Holdings Co., Ltd. | 49,015 | ||||||
3,817 | JM AB | 85,820 | ||||||
10,600 | Jvc Kenwood Corp. | 16,032 | ||||||
958 | Kaufman & Broad SA | 33,001 | ||||||
1,300 | LEC, Inc. | 19,598 | ||||||
540 | Leifheit AG* | 15,019 | ||||||
62,400 | Man Wah Holdings, Ltd. | 59,732 | ||||||
18,466 | McCarthy & Stone plc(a) | 16,333 | ||||||
10 | Metall Zug AG | 14,928 | ||||||
1,363 | Neinor Homes SA*(a) | 13,950 | ||||||
6,900 | Nikon Corp. | 57,747 | ||||||
9,589 | Nobia AB* | 45,331 | ||||||
39,400 | Panasonic Corp. | 343,505 | ||||||
5,699 | Persimmon plc | 161,138 | ||||||
3,200 | Pressance Corp. | 35,188 | ||||||
6,708 | Redrow plc | 35,766 | ||||||
200 | Rinnai Corp. | 16,654 | ||||||
1,300 | Sangetsu Corp. | 18,363 | ||||||
1,048 | SEB SA | 173,019 | ||||||
13,000 | Sekisui Chemical Co., Ltd. | 185,969 | ||||||
3,200 | Sekisui House, Ltd. | 60,929 | ||||||
3,000 | Sharp Corp. | 31,914 |
See accompanying notes to the financial statements.
17
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
13,600 | Sony Corp. | $ | 931,474 | |||||
2,500 | Space Value Holdings Co., Ltd. | 8,166 | ||||||
2,200 | Starts Corp., Inc. | 45,046 | ||||||
6,900 | Sumitomo Forestry Co., Ltd. | 86,616 | ||||||
328 | Surteco Group SE* | 7,367 | ||||||
1,900 | Tama Home Co., Ltd. | 21,631 | ||||||
1,100 | Tamron Co., Ltd. | 18,981 | ||||||
51,750 | Taylor Wimpey plc | 91,282 | ||||||
20,687 | Techtronic Industries Co., Ltd. | 201,822 | ||||||
805 | The Vitec Group plc | 6,752 | ||||||
1,000 | TOA Corp. | 6,744 | ||||||
3,468 | TomTom NV* | 27,395 | ||||||
100 | V-ZUG Holding AG* | 8,235 | ||||||
|
| |||||||
4,260,382 | ||||||||
|
| |||||||
Household Products (0.3%): | ||||||||
5,732 | Essity AB, Class B* | 185,115 | ||||||
407 | Henkel AG & Co. KGaA | 33,821 | ||||||
1,700 | Lion Corp. | 40,763 | ||||||
14,255 | Mcbride plc | 11,015 | ||||||
1,600 | Pigeon Corp. | 61,868 | ||||||
5,635 | PZ Cussons plc | 12,933 | ||||||
2,279 | Reckitt Benckiser Group plc | 209,698 | ||||||
800 | Unicharm Corp. | 32,781 | ||||||
|
| |||||||
587,994 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.5%): | ||||||||
2,002 | Albioma SA | 82,229 | ||||||
4,859 | Boralex, Inc., Class A | 110,611 | ||||||
1,800 | Capital Power Corp. | 37,103 | ||||||
26,474 | Drax Group plc | 84,289 | ||||||
3,321 | EDP Renovaveis SA | 45,847 | ||||||
1,300 | Electric Power Development Co., Ltd. | 24,650 | ||||||
2,480 | ERG SpA | 53,410 | ||||||
9,297 | Falck Renewables SpA | 56,742 | ||||||
56,093 | Infigen Energy | 36,553 | ||||||
3,741 | Innergex Renewable Energy, Inc. | 52,640 | ||||||
1,207 | Kenon Holdings, Ltd. | 23,827 | ||||||
10,105 | Meridian Energy, Ltd. | 31,339 | ||||||
15,630 | New Energy Solar, Ltd. | 12,435 | ||||||
4,661 | Northland Power, Inc. | 116,680 | ||||||
3,405 | OPC Energy, Ltd. | 27,753 | ||||||
2,000 | Polaris Infrastructure, Inc. | 21,276 | ||||||
1,917 | Scatec Solar ASA*(a) | 31,225 | ||||||
16,748 | Transalta Corp. | 99,323 | ||||||
3,700 | Transalta Renewables, Inc. | 39,769 | ||||||
3,369 | Uniper SE | 108,718 | ||||||
1,900 | West Holdings Corp. | 38,492 | ||||||
|
| |||||||
1,134,911 | ||||||||
|
| |||||||
Industrial Conglomerates (0.8%): | ||||||||
8,000 | Chevalier International Holdings Ltd. | 10,632 | ||||||
53,556 | CIR SpA-Compagnie Industriali | 25,009 | ||||||
45,930 | CK Hutchison Holdings, Ltd. | 294,443 | ||||||
615 | DCC plc | 51,210 | ||||||
2,000 | Guoco Group, Ltd. | 28,634 | ||||||
1,269 | Indus Holding AG* | 42,825 | ||||||
515 | Italmobiliare SpA | 16,811 | ||||||
1,500 | Katakura Industries Co., Ltd. | 15,899 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
1,800 | Keihan Holdings Co., Ltd. | $ | 80,186 | |||||
23,700 | Keppel Corp., Ltd.^ | 101,537 | ||||||
1,284 | Lifco AB-B Shs | 81,224 | ||||||
5,400 | Nisshinbo Holdings, Inc. | 39,099 | ||||||
1,487 | Nolato AB* | 100,160 | ||||||
23,000 | NWS Holdings, Ltd. | 19,872 | ||||||
2,675 | Rheinmetall AG | 231,339 | ||||||
7,600 | Seibu Holdings, Inc. | 82,535 | ||||||
57,400 | SembCorp Industries, Ltd. | 72,354 | ||||||
70,000 | Shun Tak Holdings, Ltd. | 26,043 | ||||||
3,281 | Siemens AG, Registered Shares | 385,379 | ||||||
6,758 | Smiths Group plc | 118,009 | ||||||
5,400 | Tokai Holdings Corp. | 49,765 | ||||||
1,900 | Toshiba Corp. | 60,558 | ||||||
|
| |||||||
1,933,523 | ||||||||
|
| |||||||
Insurance (3.0%): | ||||||||
4,753 | Admiral Group plc | 135,242 | ||||||
31,128 | AEGON NV | 92,578 | ||||||
3,360 | Ageas NV | 118,826 | ||||||
54,040 | AIA Group, Ltd. | 502,967 | ||||||
4,109 | Alm Brand A/S* | 38,341 | ||||||
7,457 | ASR Nederland NV | 228,618 | ||||||
11,584 | Assicurazioni Generali SpA | 175,050 | ||||||
1,203 | AUB Group, Ltd. | 12,207 | ||||||
71,643 | Aviva plc | 242,409 | ||||||
15,524 | AXA SA* | 323,945 | ||||||
999 | Baloise Holding AG, Registered Shares | 149,650 | ||||||
12,901 | Beazley plc | 65,465 | ||||||
7,384 | Chesnara plc | 26,468 | ||||||
2,213 | Clal Insurance Enterprises Holdings, Ltd.* | 18,527 | ||||||
2,983 | CNP Assurances SA* | 34,276 | ||||||
5,028 | Coface SA* | 32,923 | ||||||
4,900 | Dai-ichi Life Holdings, Inc. | 58,366 | ||||||
39,884 | Direct Line Insurance Group plc | 133,726 | ||||||
82 | E-L Financial Corp., Ltd. | 40,009 | ||||||
498 | Fairfax Financial Holdings, Ltd. | 153,880 | ||||||
1,054 | FBD Holdings plc* | 7,974 | ||||||
1,983 | Gjensidige Forsikring ASA* | 36,542 | ||||||
3,200 | Great-West Lifeco, Inc. | 56,107 | ||||||
1,465 | Grupo Catalana Occidente SA | 33,799 | ||||||
539 | Hannover Rueck SE | 92,702 | ||||||
5,987 | Harel Insurance Investments & | 32,454 | ||||||
15,099 | Hastings Group Holdings, Ltd.(a) | 36,231 | ||||||
1,855 | Helvetia Holding AG | 172,751 | ||||||
6,718 | Hiscox, Ltd. | 65,566 | ||||||
3,319 | IA Financial Corp., Inc. | 111,155 | ||||||
506 | IDI Insurance Co., Ltd. | 11,790 | ||||||
16,482 | Insurance Australia Group, Ltd. | 65,865 | ||||||
700 | Intact Financial Corp. | 66,633 | ||||||
6,700 | Japan Post Holdings Co., Ltd. | 47,650 | ||||||
64,369 | Just Group plc* | 41,820 | ||||||
7,487 | Lancashire Holdings, Ltd. | 75,278 | ||||||
72,758 | Legal & General Group plc | 198,653 | ||||||
2,683 | Manulife Financial Corp. | 36,507 | ||||||
13,895 | Manulife Financial Corp. | 189,250 | ||||||
25,567 | Mapfre SA | 45,438 | ||||||
40,419 | Medibank Private, Ltd. | 83,598 |
See accompanying notes to the financial statements.
18
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
1,055 | Menora Mivtachim Holdings, Ltd. | $ | 10,625 | |||||
16,641 | Migdal Insurance & Financial Holding, Ltd. | 8,667 | ||||||
2,100 | MS&AD Insurance Group Holdings, Inc. | 57,679 | ||||||
555 | Muenchener Rueckversicherungs-Gesellschaft AG | 144,024 | ||||||
20,116 | NIB Holdings, Ltd. | 64,296 | ||||||
5,826 | NN Group NV | 195,359 | ||||||
4,541 | Phoenix Group Holdings plc | 36,184 | ||||||
7,577 | Phoenix Holdings, Ltd. (The) | 28,212 | ||||||
5,968 | Poste Italiane SpA(a) | 51,817 | ||||||
2,517 | Prudential plc, ADR | 76,466 | ||||||
23,988 | QBE Insurance Group, Ltd. | 147,425 | ||||||
19,383 | RSA Insurance Group plc | 98,241 | ||||||
3,005 | Sabre Insurance Group plc(a) | 9,819 | ||||||
57,341 | Saga plc | 10,949 | ||||||
1,457 | Sampo Oyj, Class A | 50,053 | ||||||
5,815 | SCOR SA* | 159,129 | ||||||
8,029 | Societa Cattolica di Assicuraz* | 46,107 | ||||||
1,500 | Sompo Holdings, Inc. | 51,592 | ||||||
2,600 | Sony Financial Holdings, Inc. | 62,585 | ||||||
10,578 | Steadfast Group, Ltd. | 24,556 | ||||||
8,620 | Storebrand ASA | 44,542 | ||||||
3,075 | Sun Life Financial, Inc. | 113,006 | ||||||
21,865 | Suncorp Group, Ltd. | 139,947 | ||||||
353 | Swiss Life Holding AG, Registered Shares | 130,581 | ||||||
2,645 | Swiss Re AG | 203,672 | ||||||
5,900 | T&D Holdings, Inc. | 50,446 | ||||||
1,446 | Talanx AG | 53,659 | ||||||
1,600 | Tokio Marine Holdings, Inc. | 69,716 | ||||||
1,470 | Topdanmark A/S | 60,707 | ||||||
23 | Trisura Group, Ltd.* | 1,038 | ||||||
934 | Tryg A/S | 27,026 | ||||||
15,269 | Unipol Gruppo Finanziario SpA* | 59,296 | ||||||
22,967 | UnipolSai Assicurazioni SpA | 54,848 | ||||||
6,313 | Uniqa Insurance Group AG | 42,441 | ||||||
54 | Vaudoise Assurances Holding SA | 25,294 | ||||||
2,033 | Vienna Insurance Group AG Wiener Versicherung Gruppe* | 45,406 | ||||||
1,796 | Wuestenrot & Wuerttembergische AG | 30,557 | ||||||
1,270 | Zurich Insurance Group AG | 447,372 | ||||||
|
| |||||||
7,024,575 | ||||||||
|
| |||||||
Interactive Media & Services (0.4%): | ||||||||
1,083 | Adevinta ASA, Class B* | 10,920 | ||||||
22,069 | Auto Trader Group plc(a) | 143,769 | ||||||
300 | Bengo4.com, Inc.* | 28,554 | ||||||
9,425 | Carsales.com, Ltd. | 115,917 | ||||||
1,200 | Dip Corp. | 24,196 | ||||||
5,600 | Gree, Inc. | 23,996 | ||||||
3,100 | Gurunavi, Inc. | 21,266 | ||||||
800 | Itokuro, Inc.* | 9,855 | ||||||
3,100 | Kakaku.com, Inc. | 78,511 | ||||||
2,500 | Kamakura Shinsho, Ltd. | 26,060 | ||||||
2,000 | mixi, Inc. | 35,298 | ||||||
135 | New Work SE | 41,328 | ||||||
1,012 | REA Group, Ltd. | 75,721 | ||||||
29,220 | Rightmove plc | 197,441 | ||||||
1,046 | Scout24 AG(a) | 81,294 | ||||||
12,657 | Solocal Group* | 2,288 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services, continued | ||||||||
15,200 | Z Holdings Corp. | $ | 74,189 | |||||
1,700 | Zigexn Co., Ltd. | 5,320 | ||||||
|
| |||||||
995,923 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.3%): | ||||||||
800 | ASKUL Corp. | 25,605 | ||||||
1,900 | Belluna Co., Ltd. | 10,679 | ||||||
18,446 | Boohoo Group plc* | 94,005 | ||||||
342 | Delivery Hero SE*(a) | 34,843 | ||||||
3,809 | Dustin Group AB(a) | 20,717 | ||||||
2,462 | eDreams ODIGEO SA* | 6,822 | ||||||
2,400 | Enigmo, Inc. | 29,599 | ||||||
22,749 | Moneysupermarket.com Group plc | 91,111 | ||||||
6,515 | N Brown Group plc | 2,830 | ||||||
1,472 | Ocado Group plc* | 36,947 | ||||||
7,306 | On The Beach Group plc(a) | 26,645 | ||||||
800 | Open Door, Inc.* | 9,628 | ||||||
2,202 | Prosus NV* | 204,351 | ||||||
2,059 | Rocket Internet SE*(a) | 44,235 | ||||||
1,817 | Takkt AG* | 18,527 | ||||||
6,523 | Webjet, Ltd. | 14,981 | ||||||
624 | Zalando SE*(a) | 43,882 | ||||||
1,200 | ZOZO, Inc. | 26,679 | ||||||
|
| |||||||
742,086 | ||||||||
|
| |||||||
IT Services (1.7%): | ||||||||
1,366 | AddNode Group AB* | 26,077 | ||||||
53 | Adyen NV*(a) | 77,209 | ||||||
370 | Allgeier SE* | 13,856 | ||||||
725 | Alten SA* | 62,261 | ||||||
3,748 | Amadeus IT Group SA | 195,003 | ||||||
733 | Appen, Ltd. | 17,225 | ||||||
3,853 | Atea ASA | 37,128 | ||||||
2,869 | Atos SE* | 244,171 | ||||||
1,266 | Bechtle AG | 222,527 | ||||||
1,900 | CAC Holdings Corp. | 21,011 | ||||||
2,722 | Cancom SE | 144,195 | ||||||
2,594 | Capgemini SA | 296,705 | ||||||
700 | CGI, Inc.* | 44,107 | ||||||
2,893 | CGI, Inc.* | 182,259 | ||||||
4,933 | Columbus A/S* | 5,555 | ||||||
5,202 | Computacenter plc | 105,642 | ||||||
10,319 | Computershare, Ltd. | 94,792 | ||||||
1,600 | Comture Corp. | 41,737 | ||||||
12,852 | Data#3, Ltd. | 40,406 | ||||||
500 | Densan System Co., Ltd. | 17,975 | ||||||
317 | Devoteam SA | 25,939 | ||||||
1,400 | DTS Corp. | 28,882 | ||||||
8,624 | Econocom Group SA/NV | 17,381 | ||||||
1,000 | E-Guardian, Inc. | 26,558 | ||||||
1,224 | Enea AB* | 21,971 | ||||||
16,132 | Equiniti Group plc(a) | 29,032 | ||||||
3,891 | Fdm Group Holdings plc | 43,822 | ||||||
457 | Formula Systems 1985, Ltd. | 35,424 | ||||||
700 | Fujitsu, Ltd. | 81,949 | ||||||
800 | Future Corp. | 12,760 | ||||||
3,523 | GFT Technologies SE | 42,711 | ||||||
6,665 | Global Dominion Access SA*(a) | 21,312 |
See accompanying notes to the financial statements.
19
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
3,000 | GMO Internet, Inc. | $ | 82,823 | |||||
400 | GMO Payment Gateway, Inc. | 41,689 | ||||||
287 | Groupe Open* | 3,121 | ||||||
2,320 | HIQ International AB* | 10,795 | ||||||
800 | ID Holdings Corp. | 10,466 | ||||||
6,538 | Indra Sistemas SA* | 51,301 | ||||||
1,200 | Infocom Corp. | 32,839 | ||||||
700 | Information Services Internati | 32,535 | ||||||
2,776 | Iomart Group plc | 12,049 | ||||||
1,100 | Itochu Techno-Solutions Corp. | 41,231 | ||||||
4,549 | Kainos Group plc | 42,175 | ||||||
400 | Kanematsu Electronics, Ltd. | 14,204 | ||||||
1,915 | Knowit AB* | 31,791 | ||||||
19,141 | Link Administration Holdings, Ltd. | 54,225 | ||||||
896 | Matrix It, Ltd. | 19,096 | ||||||
300 | Mitsubishi Research Institute | 11,983 | ||||||
9,872 | NCC Group plc | 21,689 | ||||||
600 | NEC Networks & System Integrat | 12,270 | ||||||
1,300 | NET One Systems Co., Ltd. | 43,352 | ||||||
3,000 | Nihon Unisys, Ltd. | 94,414 | ||||||
2,556 | Nomura Research Institute, Ltd. | 69,754 | ||||||
800 | NS Solutions Corp. | 21,850 | ||||||
2,200 | Nsd Co., Ltd. | 37,524 | ||||||
5,500 | NTT Data Corp. | 61,205 | ||||||
4,539 | Ordina NV* | 9,275 | ||||||
1,400 | Otsuka Corp. | 73,750 | ||||||
1,200 | Poletowin Pitcrew Holdings, Inc. | 10,016 | ||||||
663 | Reply SpA | 53,457 | ||||||
800 | SCSK Corp. | 38,878 | ||||||
159 | Shopify, Inc., Class A* | 150,923 | ||||||
800 | Softbank Technology Corp. | 27,426 | ||||||
4,633 | Softcat plc | 62,510 | ||||||
857 | Sopra Steria Group | 105,450 | ||||||
16,000 | Sunevision Holdings, Ltd. | 12,587 | ||||||
519 | Sword Group* | 16,608 | ||||||
1,200 | TDC Soft, Inc. | 11,102 | ||||||
2,800 | TechMatrix Corp. | 48,585 | ||||||
3,894 | The Citadel Group, Ltd. | 8,532 | ||||||
1,232 | Tieto OYJ* | 33,570 | ||||||
4,500 | TIS, Inc. | 95,724 | ||||||
727 | Worldline SA*(a) | 62,805 | ||||||
|
| |||||||
3,953,161 | ||||||||
|
| |||||||
Leisure Products (0.3%): | ||||||||
1,179 | Accell Group* | 29,085 | ||||||
1,700 | Bandai Namco Holdings, Inc. | 89,357 | ||||||
1,106 | BRP, Inc. | 47,177 | ||||||
1,319 | Games Workshop Group plc | 130,855 | ||||||
800 | Globeride, Inc. | 15,004 | ||||||
72,000 | Goodbaby International Holdings, Ltd.* | 8,089 | ||||||
2,500 | Heiwa Corp. | 41,771 | ||||||
700 | Kawai Musical Instruments Manufacturing Co., Ltd. | 18,037 | ||||||
500 | Mars Group Holdings Corp. | 7,547 | ||||||
2,702 | Maytronics, Ltd. | 30,757 | ||||||
800 | Mizuno Corp. | 15,379 | ||||||
26,132 | Photo-Me International plc | 17,762 | ||||||
1,200 | Sankyo Co., Ltd. | 29,001 | ||||||
3,600 | Sega Sammy Holdings, Inc. | 43,075 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
1,337 | Spin Master Corp.*(a) | $ | 24,161 | |||||
1,169 | Technogym SpA*(a) | 9,730 | ||||||
1,995 | Thule Group AB (The)(a) | 50,316 | ||||||
4,700 | Tomy Co., Ltd. | 37,058 | ||||||
385 | Trigano SA | 40,273 | ||||||
700 | Universal Entertainment Corp. | 13,724 | ||||||
500 | Yamaha Corp. | 23,527 | ||||||
|
| |||||||
721,685 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.6%): | ||||||||
125 | Bachem Holding AG, Class B | 32,822 | ||||||
2,607 | Biotage AB* | 38,960 | ||||||
600 | Cmic Holdings Co., Ltd. | 7,949 | ||||||
1,200 | Eps Holdings, Inc. | 11,477 | ||||||
478 | Eurofins Scientific SE | 299,636 | ||||||
1,626 | Gerresheimer AG | 149,615 | ||||||
1,600 | Linical Co., Ltd. | 12,511 | ||||||
1,100 | Lonza Group AG, Registered Shares | 580,176 | ||||||
1,322 | Qiagen NV* | 56,595 | ||||||
627 | Sartorius Stedim Biotech | 158,250 | ||||||
1,600 | Shin Nippon Biomedical Laborat | 9,619 | ||||||
97 | Siegfried Holding AG* | 44,001 | ||||||
299 | Tecan Group AG | 105,813 | ||||||
|
| |||||||
1,507,424 | ||||||||
|
| |||||||
Machinery (3.9%): | ||||||||
3,060 | Aalberts NV | 100,163 | ||||||
2,600 | Aichi Corp. | 17,919 | ||||||
2,100 | Aida Engineering, Ltd. | 14,197 | ||||||
5,348 | Alfa Laval AB* | 117,183 | ||||||
1,607 | Alimak Group AB(a) | 17,374 | ||||||
900 | Alinco, Inc. | 7,779 | ||||||
901 | Alstom SA | 41,846 | ||||||
10,200 | Amada Holdings Co., Ltd. | 83,382 | ||||||
2,790 | Andritz AG* | 101,458 | ||||||
2,000 | Anest Iwata Corp. | 15,542 | ||||||
2,700 | Asahi Diamond Industrial Co., Ltd. | 12,269 | ||||||
2,774 | Atlas Copco AB | 102,470 | ||||||
4,706 | Atlas Copco AB, Class A | 199,065 | ||||||
1,149 | ATS Automation Tooling Systems, Inc.* | 16,185 | ||||||
1,300 | Bando Chemical Industries, Ltd. | 7,886 | ||||||
2,296 | Beijer Alma AB, Class B | 23,521 | ||||||
506 | Bobst Group SA | 29,857 | ||||||
10,601 | Bodycote plc | 82,277 | ||||||
243 | Bucher Industries AG | 69,893 | ||||||
66 | Burckhardt Compression Holding AG | 16,142 | ||||||
1,623 | Cargotec OYJ | 37,615 | ||||||
500 | Chugai Ro Co., Ltd. | 7,119 | ||||||
27,705 | CNH Industrial NV | 193,527 | ||||||
2,050 | Concentric AB* | 28,985 | ||||||
1,110 | Construcc y Aux de Ferrocarr SA | 40,256 | ||||||
56 | Conzzeta AG | 50,157 | ||||||
168 | Daetwyler Holding AG | 32,814 | ||||||
600 | Daifuku Co., Ltd. | 52,428 | ||||||
1,900 | Daihatsu Diesel Manufacturing Co., Ltd. | 7,659 | ||||||
2,100 | Daiwa Industries, Ltd. | 17,682 | ||||||
3,272 | Danieli & C Officine Meccaniche SpA | 26,674 | ||||||
2,280 | Danieli & C Officine Meccaniche SpA | 29,117 |
See accompanying notes to the financial statements.
20
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
7,304 | Deutz AG* | $ | 34,314 | |||||
6,200 | DMG Mori Co., Ltd. | 75,235 | ||||||
2,668 | Duerr AG | 69,459 | ||||||
3,400 | Ebara Corp. | 79,692 | ||||||
4,630 | Electrolux Professional AB, Class B* | 16,894 | ||||||
2,774 | Epiroc AB | 33,891 | ||||||
6,356 | Epiroc AB, Class A | 79,110 | ||||||
1,500 | Exco Technologies, Ltd. | 7,404 | ||||||
300 | FANUC Corp. | 53,615 | ||||||
114 | Feintool International Holding AG* | 5,810 | ||||||
19,282 | Fincantieri SpA* | 13,231 | ||||||
1,579 | Fluidra SA* | 20,848 | ||||||
2,000 | Fuji Corp. | 34,987 | ||||||
1,700 | Furukawa Co., Ltd. | 17,271 | ||||||
4,784 | GEA Group AG | 150,967 | ||||||
152 | Georg Fischer AG | 130,341 | ||||||
2,000 | Glory, Ltd. | 45,457 | ||||||
2,253 | Haldex AB* | 9,055 | ||||||
26,103 | Heidelberger Druckmaschinen AG* | 16,706 | ||||||
12,800 | Hino Motors, Ltd. | 86,483 | ||||||
1,200 | Hisaka Works, Ltd. | 8,281 | ||||||
3,600 | Hitachi Construction Machinery Co., Ltd. | 99,587 | ||||||
12,300 | Hitachi Zosen Corp. | 44,847 | ||||||
500 | Hosokawa Micron Corp. | 26,476 | ||||||
8,500 | IHI Corp. | 122,963 | ||||||
14,403 | IMI plc | 164,407 | ||||||
755 | Industria Macchine Automatiche* | 45,341 | ||||||
2,802 | Interpump Group SpA | 83,130 | ||||||
17 | Interroll Holding AG, Registered Shares | 34,271 | ||||||
1,300 | Iseki & Co., Ltd. | 13,350 | ||||||
3,200 | Japan Steel Works, Ltd. (The) | 45,492 | ||||||
885 | JOST Werke AG*(a) | 29,846 | ||||||
8,700 | JTEKT Corp. | 67,613 | ||||||
2,600 | Juki Corp. | 13,320 | ||||||
3,751 | Jungheinrich AG* | 87,171 | ||||||
609 | Kardex Holding AG | 110,950 | ||||||
900 | Kato Works Co., Ltd. | 10,178 | ||||||
6,900 | Kawasaki Heavy Industries, Ltd. | 99,291 | ||||||
2,997 | Kion Group AG* | 183,971 | ||||||
400 | Kitagawa Iron Works Co., Ltd. | 5,943 | ||||||
1,400 | Kito Corp. | 17,555 | ||||||
5,100 | Kitz Corp. | 32,499 | ||||||
572 | Koenig & Bauer AG* | 12,719 | ||||||
15,400 | Komatsu, Ltd. | 314,894 | ||||||
184 | Komax Holding AG* | 29,850 | ||||||
2,900 | Komori Corp. | 18,906 | ||||||
2,802 | Kone OYJ, Class B | 192,529 | ||||||
1,994 | Konecranes OYJ | 44,998 | ||||||
779 | Krones AG | 49,834 | ||||||
6,700 | Kubota Corp. | 99,935 | ||||||
2,600 | Kurita Water Industries, Ltd. | 72,147 | ||||||
1,000 | Kyokuto Kaihatsu Kogyo Co., Ltd. | 12,158 | ||||||
600 | Maezawa Kyuso Industries Co., Ltd. | 11,172 | ||||||
1,600 | Makino Milling Machine Co., Ltd. | 49,034 | ||||||
600 | Makita Corp. | 21,793 | ||||||
586 | Manitou Bf SA* | 11,437 | ||||||
800 | Max Co., Ltd. | 11,290 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
2,600 | Meidensha Corp. | $ | 42,106 | |||||
400 | Metawater Co., Ltd. | 18,474 | ||||||
2,177 | Metso Outotec Oyj | 11,993 | ||||||
4,700 | Metso Oyj | 153,794 | ||||||
7,432 | MINEBEA MITSUMI, Inc. | 134,769 | ||||||
900 | Misumi Group, Inc. | 22,489 | ||||||
9,000 | Mitsubishi Heavy Industries, Ltd. | 212,345 | ||||||
1,000 | Mitsubishi Logisnext Co., Ltd. | 8,819 | ||||||
700 | Mitsuboshi Belting Co., Ltd. | 10,972 | ||||||
2,900 | Mitsui Engineering & Shipbuilding Co., Ltd.* | 11,174 | ||||||
700 | Miura Co., Ltd. | 29,111 | ||||||
19,488 | Morgan Advanced Materials plc | 58,138 | ||||||
1,500 | Morita Holdings Corp. | 26,179 | ||||||
1,700 | Nabtesco Corp. | 52,374 | ||||||
1,100 | Nachi-Fujikoshi Corp. | 34,615 | ||||||
2,000 | Namura Shipbuilding Co., Ltd. | 2,913 | ||||||
2,956 | NFI Group, Inc. | 36,258 | ||||||
2,500 | NGK Insulators, Ltd. | 34,524 | ||||||
1,569 | Nilfisk Holding A/S* | 21,646 | ||||||
3,900 | Nippon Thompson Co., Ltd. | 12,233 | ||||||
800 | Nitta Corp. | 17,383 | ||||||
500 | Nitto Kohki Co., Ltd. | 8,255 | ||||||
1,900 | Nitto Seiko Co., Ltd. | 8,088 | ||||||
300 | Noritake Co., Ltd. | 9,793 | ||||||
1,533 | Norma Group SE* | 40,752 | ||||||
1,000 | NS Tool Co., Ltd. | 25,207 | ||||||
7,000 | NSK, Ltd. | 51,918 | ||||||
14,800 | NTN Corp. | 29,548 | ||||||
7,984 | OC Oerlikon Corp. AG | 65,029 | ||||||
1,700 | Oiles Corp. | 22,026 | ||||||
600 | Okuma Corp. | 25,682 | ||||||
400 | Organo Corp. | 21,595 | ||||||
4,900 | OSG Corp. | 75,042 | ||||||
1,045 | Palfinger AG* | 23,093 | ||||||
330 | Pfeiffer Vacuum Technology AG | 60,783 | ||||||
118 | Rational AG | 65,989 | ||||||
70 | Rieter Holding AG | 6,446 | ||||||
40,796 | Rotork plc | 141,318 | ||||||
1,800 | Ryobi, Ltd. | 20,106 | ||||||
2,213 | Sandvik AB* | 41,290 | ||||||
332 | Schindler Holding AG, Registered Shares | 78,143 | ||||||
42,900 | SembCorp Marine, Ltd.* | 13,121 | ||||||
388 | SFS Group AG | 36,296 | ||||||
1,000 | Shibaura Machine Co., Ltd. | 20,013 | ||||||
1,200 | Shima Seiki Manufacturing, Ltd. | 17,103 | ||||||
1,900 | Shinmaywa Industries, Ltd. | 17,804 | ||||||
78,000 | Singamas Container Holdings, Ltd. | 5,135 | ||||||
2,200 | Sintokogio, Ltd. | 16,135 | ||||||
3,528 | Skellerup Holdings, Ltd. | 4,896 | ||||||
11,535 | SKF AB, Class B | 214,089 | ||||||
100 | SMC Corp. | 51,047 | ||||||
2,300 | Sodick Co., Ltd. | 16,988 | ||||||
1,777 | Spirax-Sarco Engineering plc | 219,356 | ||||||
891 | Stabilus SA | 46,666 | ||||||
1,600 | Star Micronics Co., Ltd. | 17,797 | ||||||
849 | Sulzer AG, Registered Shares | 67,590 | ||||||
3,700 | Sumitomo Heavy Industries, Ltd. | 80,535 |
See accompanying notes to the financial statements.
21
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
14,200 | Sunningdale Tech, Ltd. | $ | 10,150 | |||||
3,900 | Tadano, Ltd. | 32,524 | ||||||
900 | Takeuchi Manufacturing Co., Ltd. | 14,953 | ||||||
3,400 | Takuma Co., Ltd. | 46,712 | ||||||
3,629 | Talgo SA*(a) | 17,264 | ||||||
478 | Technotrans SE* | 8,841 | ||||||
800 | Teikoku Electric Manufacturing Co., Ltd. | 9,222 | ||||||
2,900 | THK Co., Ltd. | 71,734 | ||||||
3,900 | Tocalo Co., Ltd. | 41,904 | ||||||
1,200 | Tokyo Keiki, Inc. | 10,928 | ||||||
1,400 | Torishima Pump Manufacturing Co., Ltd. | 10,471 | ||||||
7,217 | Trelleborg AB* | 104,914 | ||||||
1,098 | Troax Group AB | 17,210 | ||||||
2,700 | Tsubaki Nakashima Co., Ltd. | 21,076 | ||||||
1,400 | Tsubakimoto Chain Co. | 33,952 | ||||||
4,900 | Tsugami Corp. | 40,901 | ||||||
1,200 | Tsukishima Kikai Co., Ltd. | 13,030 | ||||||
600 | Tsurumi Manufacturing Co., Ltd. | 10,251 | ||||||
6,727 | Valmet Corp. | 175,319 | ||||||
803 | Vat Group AG(a) | 146,437 | ||||||
1,074 | VBG Group AB, Class B* | 16,135 | ||||||
6,262 | Vesuvius plc | 30,049 | ||||||
5,758 | Volvo AB, Class A | 88,386 | ||||||
30,530 | Volvo AB, Class B | 477,387 | ||||||
689 | Vossloh AG* | 30,068 | ||||||
1,416 | Wacker Neuson SE* | 21,360 | ||||||
7,232 | Wartsila OYJ Abp, Class B | 59,692 | ||||||
560 | Washtec AG* | 23,038 | ||||||
2,874 | Weir Group plc (The) | 37,791 | ||||||
3,000 | Yamabiko Corp. | 25,014 | ||||||
123,200 | Yangzijiang Shipbuilding Holdings, Ltd. | 82,331 | ||||||
7,188 | Zardoya Otis SA | 49,142 | ||||||
|
| |||||||
9,275,558 | ||||||||
|
| |||||||
Marine (0.4%): | ||||||||
32 | A.P. Moeller — Maersk A/S, Class A | 34,710 | ||||||
40 | A.P. Moeller — Maersk A/S, Class B | 46,569 | ||||||
1,600 | Algoma Central Corp. | 11,858 | ||||||
3,578 | American Shipping Co. ASA | 9,613 | ||||||
556 | Clarkson plc | 15,501 | ||||||
1,333 | D/S Norden A/S | 17,929 | ||||||
1,307 | DFDS A/S* | 40,293 | ||||||
1,044 | Hapag-Lloyd AG^(a) | 60,794 | ||||||
3,300 | Iino Kaiun Kaisha, Ltd. | 10,407 | ||||||
9,940 | Irish Continental Group | 39,566 | ||||||
2,300 | Japan Transcity Corp. | 10,770 | ||||||
3,000 | Kawasaki Kisen Kaisha, Ltd.* | 28,252 | ||||||
1,059 | Kuehne & Nagel International AG, Registered Shares* | 175,775 | ||||||
3,800 | Mitsui O.S.K. Lines, Ltd. | 67,324 | ||||||
7,000 | Nippon Yusen KK | 98,504 | ||||||
600 | NS United Kaiun Kaisha, Ltd. | 8,277 | ||||||
246,000 | Pacific Basin Shipping, Ltd. | 36,075 | ||||||
89,000 | Sitc International Holdings Co., Ltd. | 94,832 | ||||||
1,962 | Stolt-Nielsen, Ltd. | 17,849 | ||||||
|
| |||||||
824,898 | ||||||||
|
| |||||||
Media (1.2%): | ||||||||
1,267 | 4imprint Group plc | 38,638 | ||||||
5,715 | Aimia, Inc.* | 12,504 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
18,743 | Altice Europe NV, Class A* | $ | 72,158 | |||||
1,460 | Altice Europe NV, Class B* | 5,580 | ||||||
65 | APG SGA SA* | 12,130 | ||||||
14,475 | Arnoldo Mondadori Editore SpA* | 15,579 | ||||||
2,124 | Ascential plc(a) | 7,612 | ||||||
4,886 | Atresmedia Corp. de Medios de Comuicacion SA | 12,756 | ||||||
1,891 | Bloomsbury Publishing plc | 4,684 | ||||||
6,744 | Cairo Communication SpA* | 11,100 | ||||||
701 | Cogeco Communications, Inc. | 50,512 | ||||||
400 | Cogeco, Inc. | 23,875 | ||||||
5,394 | Corus Entertainment, Inc. | 11,365 | ||||||
1,600 | Cyberagent, Inc. | 78,500 | ||||||
3,302 | Daily Mail & General Trust plc | 28,225 | ||||||
3,900 | Dentsu Group, Inc. | 92,521 | ||||||
3,391 | Euromoney Institutional Investor plc | 32,947 | ||||||
8,672 | Eutelsat Communications SA | 79,898 | ||||||
1,700 | F@n Communications, Inc. | 7,104 | ||||||
2,800 | Fuji Media Holdings, Inc. | 26,964 | ||||||
4,000 | Hakuhodo DY Holdings, Inc. | 47,543 | ||||||
8,376 | HT&E, Ltd. | 6,924 | ||||||
8,773 | Hyve Group plc | 10,809 | ||||||
5,113 | Informa plc | 29,744 | ||||||
2,000 | Intage Holdings, Inc. | 16,406 | ||||||
1,711 | Ipsos | 42,805 | ||||||
119,144 | ITV plc | 110,077 | ||||||
9,582 | Ive Group, Ltd. | 5,282 | ||||||
3,439 | JCDecaux SA* | 63,869 | ||||||
2,300 | Kadokawa Corp. | 47,193 | ||||||
2,312 | Kin And Carta plc | 1,757 | ||||||
6,412 | Lagardere SCA* | 91,141 | ||||||
3,548 | Liberty Global plc, Series C* | 76,318 | ||||||
1,449 | Liberty Global plc, Class A* | 31,675 | ||||||
1,664 | M6 Metropole Television SA* | 18,752 | ||||||
1,300 | Macromill, Inc. | 8,907 | ||||||
8,183 | Mediaset Espana Comunicacion SA* | 30,224 | ||||||
24,075 | Mediaset SpA* | 42,775 | ||||||
3,270 | Modern Times Group MTG AB, Class B* | 35,453 | ||||||
80,679 | Nine Entertainment Co. Holdings, Ltd. | 77,263 | ||||||
3,035 | Nordic Entertainment Group AB, Class B | 92,751 | ||||||
15,502 | NOS SGPS SA* | 67,568 | ||||||
1,307 | NRJ Group* | 8,072 | ||||||
19,083 | Ooh!media, Ltd. | 12,204 | ||||||
6,014 | Otello Corp. ASA* | 7,506 | ||||||
3,968 | Pearson plc, ADR | 28,689 | ||||||
5,688 | Pearson plc | 40,652 | ||||||
68,000 | PICO Far East Holdings, Ltd. | 10,352 | ||||||
13,544 | Promotora de Informaciones SA* | 7,626 | ||||||
1,300 | Proto Corp. | 12,123 | ||||||
6,106 | Publicis Groupe SA | 197,372 | ||||||
4,026 | Quebecor, Inc., Class B | 86,517 | ||||||
4,571 | RAI Way SpA(a) | 30,017 | ||||||
19,457 | Reach plc | 18,549 | ||||||
1,406 | RTL Group* | 44,977 | ||||||
4,177 | Sanoma OYJ | 42,246 | ||||||
641 | Schibsted ASA, Class A* | 16,729 | ||||||
435 | Schibsted ASA, Class B* | 10,310 | ||||||
16,754 | SES Global, Class A | 114,293 |
See accompanying notes to the financial statements.
22
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
60,999 | Seven West Media, Ltd.* | $ | 3,897 | |||||
7,456 | Shaw Communications, Inc. | 121,981 | ||||||
44,700 | Singapore Press Holdings, Ltd. | 40,801 | ||||||
74,550 | Sky Network Television, Ltd.* | 7,208 | ||||||
7,900 | SKY Perfect JSAT Holdings, Inc. | 29,309 | ||||||
4,175 | Societe Television Francaise 1* | 22,550 | ||||||
500 | SoldOut, Inc. | 12,094 | ||||||
150,132 | Southern Cross Media Group, Ltd. | 18,359 | ||||||
1,167 | Stroeer SE & Co. KGaA* | 78,454 | ||||||
1,586 | Telenet Group Holding NV | 65,213 | ||||||
15,000 | Television Broadcasts, Ltd. | 17,417 | ||||||
1,900 | Tokyo Broadcasting System Hold | 30,326 | ||||||
1,400 | TV Asahi Holdings Corp. | 20,398 | ||||||
500 | TV Tokyo Holdings Corp. | 10,991 | ||||||
232 | TX Group AG | 17,215 | ||||||
1,000 | ValueCommerce Co., Ltd. | 26,831 | ||||||
500 | Wowow, Inc. | 11,225 | ||||||
27,313 | WPP Aunz, Ltd. | 5,298 | ||||||
10,008 | WPP plc | 78,088 | ||||||
700 | Zenrin Co., Ltd. | 7,880 | ||||||
|
| |||||||
2,893,657 | ||||||||
|
| |||||||
Metals & Mining (5.0%): | ||||||||
3,860 | Acerinox SA | 31,091 | ||||||
1,039 | Agnico Eagle Mines, Ltd. | 66,558 | ||||||
400 | Aichi Steel Corp. | 11,351 | ||||||
16,681 | Alacer Gold Corp.* | 114,656 | ||||||
17,409 | Alamos Gold, Inc., Class A | 162,368 | ||||||
2,200 | Altius Minerals Corp. | 15,786 | ||||||
48,066 | Alumina, Ltd. | 54,160 | ||||||
723 | Amg Advanced Metallurgical Group N.V. | 12,882 | ||||||
4,799 | Anglo American plc | 110,911 | ||||||
4,749 | Antofagasta plc | 55,066 | ||||||
2,880 | Aperam SA | 80,150 | ||||||
4,677 | ArcelorMittal* | 49,105 | ||||||
12,400 | Argonaut Gold, Inc.* | 23,386 | ||||||
1,100 | Asahi Holdings, Inc. | 29,118 | ||||||
63,720 | Aurelia Metals, Ltd. | 22,182 | ||||||
1,731 | Aurubis AG | 106,619 | ||||||
58,345 | B2Gold Corp. | 331,828 | ||||||
5,920 | Barrick Gold Corp. | 159,318 | ||||||
1,875 | Bekaert NV | 36,710 | ||||||
2,256 | BHP Group, Ltd., ADR | 112,191 | ||||||
35,937 | BHP Group, Ltd. | 891,579 | ||||||
15,819 | Billiton plc, ADR | 650,952 | ||||||
8,732 | BlueScope Steel, Ltd. | 70,801 | ||||||
4,606 | Boliden AB | 104,651 | ||||||
17,700 | Capstone Mining Corp.* | 10,823 | ||||||
73,572 | Centamin plc | 167,405 | ||||||
8,200 | Centerra Gold, Inc. | 91,521 | ||||||
4,374 | Central Asia Metals plc | 7,930 | ||||||
16,254 | China Gold International Resources Corp., Ltd.* | 8,861 | ||||||
1,300 | Daido Steel Co., Ltd. | 39,874 | ||||||
2,700 | Daiki Aluminium Industry Co., Ltd. | 14,205 | ||||||
1,900 | DOWA Mining Co. | 57,645 | ||||||
10,500 | Dundee Precious Metals, Inc. | 69,154 | ||||||
4,662 | Eldorado Gold Corp.* | 44,958 | ||||||
3,600 | Endeavour Mining Corp.* | 87,122 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
1,456 | Equinox Gold Corp.* | $ | 16,283 | |||||
539 | Eramet* | 19,296 | ||||||
�� | 2,899 | Ero Copper Corp.* | 42,009 | |||||
40,854 | Evolution Mining, Ltd. | 163,278 | ||||||
16,814 | EVRAZ plc | 59,936 | ||||||
22,438 | Ferrexpo plc | 48,165 | ||||||
24,023 | First Quantum Minerals, Ltd. | 191,490 | ||||||
51,462 | Fortescue Metals Group, Ltd. | 493,644 | ||||||
5,947 | Fortuna Silver Mines, Inc.* | 30,230 | ||||||
327 | Franco Nevada Corp. | 45,662 | ||||||
4,271 | Fresnillo plc | 44,477 | ||||||
21,419 | Galaxy Resources, Ltd.* | 11,574 | ||||||
8,215 | Galiano Gold, Inc.* | 10,894 | ||||||
119,817 | Glencore plc | 253,569 | ||||||
1,100 | Godo Steel, Ltd. | 18,666 | ||||||
4,758 | Granges AB* | 37,629 | ||||||
5,096 | Guyana Goldfields, Inc.* | 6,532 | ||||||
18,140 | Highland Gold Mining, Ltd. | 52,209 | ||||||
4,214 | Hill & Smith Holdings plc | 64,886 | ||||||
3,000 | Hitachi Metals, Ltd. | 35,722 | ||||||
15,125 | Hochschild Mining plc | 36,362 | ||||||
12,495 | Hudbay Minerals, Inc. | 37,833 | ||||||
15,631 | IAMGOLD Corp.* | 62,068 | ||||||
17,091 | IGO, Ltd. | 57,669 | ||||||
5,323 | Iluka Resources, Ltd. | 31,493 | ||||||
14,498 | Imdex, Ltd. | 11,116 | ||||||
22,146 | Ivanhoe Mines, Ltd., Class A* | 62,813 | ||||||
9,400 | JFE Holdings, Inc. | 67,337 | ||||||
50,009 | Jupiter Mines, Ltd. | 9,690 | ||||||
14,214 | KAZ Minerals plc | 87,856 | ||||||
84,792 | Kinross Gold Corp.* | 612,171 | ||||||
8,443 | Kirkland Lake Gold, Ltd. | 347,697 | ||||||
10,600 | Kobe Steel, Ltd.* | 36,408 | ||||||
1,800 | Kyoei Steel, Ltd. | 21,561 | ||||||
800 | Labrador Iron Ore Royalty Corp. | 14,304 | ||||||
14,207 | Lucara Diamond Corp. | 6,489 | ||||||
19,726 | Lundin Mining Corp. | 105,794 | ||||||
24,310 | Lynas Corp., Ltd.* | 32,854 | ||||||
11,288 | MACA, Ltd. | 6,743 | ||||||
48,387 | Macmahon Holdings, Ltd. | 8,550 | ||||||
4,545 | Major Drilling Group International, Inc.* | 14,364 | ||||||
1,400 | Maruichi Steel Tube, Ltd. | 34,779 | ||||||
176,000 | Midas Holdings, Ltd.* | 4,547 | ||||||
10,123 | Mineral Resources, Ltd. | 148,477 | ||||||
3,300 | Mitsubishi Materials Corp. | 69,654 | ||||||
500 | Mitsubishi Steel Manufacturing Co., Ltd. | 3,116 | ||||||
4,200 | Mitsui Mining & Smelting Co., Ltd. | 85,322 | ||||||
25,100 | Mount Gibson Iron, Ltd. | 10,598 | ||||||
2,200 | Neturen Co., Ltd. | 11,185 | ||||||
27,410 | New Gold, Inc.* | 37,155 | ||||||
5,067 | Newcrest Mining, Ltd. | 112,937 | ||||||
6,200 | Nippon Denko Co., Ltd.* | 9,721 | ||||||
37,000 | Nippon Light Metal Holdings Co. | 64,540 | ||||||
16,595 | Nippon Steel Corp. | 156,094 | ||||||
930 | Nippon Yakin Kogyo Co., Ltd. | 13,800 | ||||||
200 | Nittetsu Mining Co., Ltd. | 8,132 | ||||||
12,148 | Norsk Hydro ASA* | 33,616 |
See accompanying notes to the financial statements.
23
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
23,830 | Northern Star Resources, Ltd. | $ | 226,760 | |||||
43,028 | OceanaGold Corp.* | 100,168 | ||||||
21,175 | OM Holdings, Ltd. | 4,963 | ||||||
16,975 | Orocobre, Ltd.* | 27,094 | ||||||
500 | Osaka Steel Co., Ltd. | 5,603 | ||||||
3,181 | Osisko Gold Royalties, Ltd. | 31,777 | ||||||
10,428 | Outokumpu OYJ* | 29,703 | ||||||
10,477 | OZ Minerals, Ltd. | 79,582 | ||||||
900 | Pacific Metals Co., Ltd. | 12,807 | ||||||
1,217 | Pan American Silver Corp. | 36,965 | ||||||
14,658 | Pan American Silver Corp. — CVR* | 10,055 | ||||||
33,353 | Perenti Global, Ltd. | 26,690 | ||||||
73,744 | Perseus Mining, Ltd.* | 68,051 | ||||||
57,911 | Petra Diamonds, Ltd.* | 1,319 | ||||||
176,214 | Petropavlovsk plc* | 54,881 | ||||||
9,700 | Premier Gold Mines, Ltd.* | 15,793 | ||||||
5,733 | Pretium Resources, Inc.* | 47,979 | ||||||
23,878 | Ramelius Resources, Ltd. | 33,330 | ||||||
25,382 | Regis Resources, Ltd. | 93,319 | ||||||
47,236 | Resolute Mining, Ltd.* | 37,921 | ||||||
550 | Rio Tinto plc | 30,943 | ||||||
13,055 | Rio Tinto plc, Registered Shares, ADR | 733,429 | ||||||
5,809 | Rio Tinto, Ltd. | 393,783 | ||||||
6,000 | Sabina Gold & Silver Corp.* | 8,619 | ||||||
2,148 | Salzgitter AG* | 30,193 | ||||||
11,858 | Sandfire Resources, Ltd. | 41,682 | ||||||
4,142 | Sandstorm Gold, Ltd.* | 39,760 | ||||||
1,600 | Sanyo Special Steel Co., Ltd. | 13,129 | ||||||
38,220 | Saracen Mineral Holdings, Ltd.* | 146,747 | ||||||
21,718 | Schmolz + Bickenbach AG* | 4,467 | ||||||
16,210 | Semafo, Inc.* | 55,291 | ||||||
32,896 | Silver Lake Resources, Ltd.* | 49,254 | ||||||
12,294 | Sims, Ltd. | 67,341 | ||||||
52,227 | South32, Ltd. | 73,931 | ||||||
4,092 | SSAB AB, Class A* | 11,249 | ||||||
24,187 | SSAB AB, Class B*^ | 64,033 | ||||||
4,935 | SSR Mining, Inc.* | 105,179 | ||||||
28,648 | St. Barbara, Ltd. | 63,700 | ||||||
11,400 | Straits Trading Co., Ltd. | 13,026 | ||||||
3,100 | Sumitomo Metal & Mining Co., Ltd. | 86,570 | ||||||
17,269 | Syrah Resources, Ltd.* | 3,291 | ||||||
10,787 | Teck Cominco, Ltd., Class B | 113,004 | ||||||
1,985 | Teck Resources, Ltd., Class B | 20,684 | ||||||
9,775 | Teranga Gold Corp.* | 88,576 | ||||||
3,912 | ThyssenKrupp AG* | 27,663 | ||||||
1,900 | Toho Titanium Co., Ltd. | 11,396 | ||||||
700 | Toho Zinc Co., Ltd.* | 9,941 | ||||||
1,100 | Tokyo Rope Manufacturing Co. Ltd.* | 5,822 | ||||||
5,300 | Tokyo Steel Manufacturing Co., Ltd. | 30,471 | ||||||
1,300 | Topy Industries, Ltd. | 14,722 | ||||||
4,685 | Torex Gold Resources, Inc.* | 73,827 | ||||||
9,694 | Trevali Mining Corp.* | 643 | ||||||
33,241 | Turquoise Hill Resources, Ltd.* | 24,489 | ||||||
1,500 | UACJ Corp. | 26,841 | ||||||
4,420 | Voestalpine AG | 94,955 | ||||||
4,200 | Wesdome Gold Mines, Ltd.* | 36,294 | ||||||
14,139 | Western Areas, Ltd. | 25,868 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
12,851 | Westgold Resources, Ltd.* | $ | 18,798 | |||||
519 | Wheaton Precious Metals Corp. | 22,830 | ||||||
1,402 | Wheaton Precious Metals Corp. | 61,758 | ||||||
42,447 | Yamana Gold, Inc. | 230,779 | ||||||
1,600 | Yamato Kogyo Co., Ltd. | 32,585 | ||||||
800 | Yodogawa Steel Works, Ltd. | 13,920 | ||||||
|
| |||||||
11,990,156 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
40,020 | B&M European Value Retail SA | 196,875 | ||||||
247 | Canadian Tire Corp., Class A | 21,406 | ||||||
2,909 | Dollarama, Inc. | 96,781 | ||||||
15,946 | Europris ASA(a) | 77,078 | ||||||
500 | Fuji Co., Ltd./Ehime | 8,693 | ||||||
3,300 | H2O Retailing Corp. | 22,045 | ||||||
15,674 | Harvey Norman Holdings, Ltd. | 38,627 | ||||||
6,800 | Isetan Mitsukoshi Holdings, Ltd. | 38,995 | ||||||
1,800 | Izumi Co., Ltd. | 56,950 | ||||||
6,000 | J. Front Retailing Co., Ltd. | 39,983 | ||||||
400 | Kintetsu Department Store Co., Ltd. | 11,310 | ||||||
24,500 | Lifestyle International Holdings, Ltd. | 20,209 | ||||||
73,250 | Marks & Spencer Group plc | 89,726 | ||||||
1,300 | Marui Group Co., Ltd. | 23,480 | ||||||
30,000 | Metro Holdings, Ltd. | 15,744 | ||||||
47,139 | Myer Holdings, Ltd.* | 6,114 | ||||||
1,643 | Next plc | 99,474 | ||||||
5,600 | Pan Pacific International Holdings Corp. | 122,829 | ||||||
6,200 | Ryohin Keikaku Co., Ltd. | 87,756 | ||||||
600 | Sanyo Electric Railway Co., Ltd. | 12,247 | ||||||
1,000 | Seria Co., Ltd. | 35,554 | ||||||
6,000 | Takashimaya Co., Ltd. | 50,089 | ||||||
3,557 | Tokmanni Group Corp. | 52,461 | ||||||
4,000 | Wing On Company International, Ltd. | 9,027 | ||||||
|
| |||||||
1,233,453 | ||||||||
|
| |||||||
Multi-Utilities (0.7%): | ||||||||
3,187 | Acea SpA | 61,114 | ||||||
5,070 | AGL Energy, Ltd. | 59,778 | ||||||
4,420 | Algonquin Power & Utilities Corp. | 57,147 | ||||||
805 | Atco, Ltd. | 23,882 | ||||||
1,466 | Canadian Utilities, Ltd., Class A | 36,504 | ||||||
253,408 | Centrica plc | 120,803 | ||||||
5,904 | E.ON SE | 66,372 | ||||||
17,405 | Engie Group* | 214,817 | ||||||
5,714 | Hera SpA* | 21,458 | ||||||
11,786 | Iren SpA | 29,181 | ||||||
33,157 | ITL AEM SpA | 46,892 | ||||||
110,123 | Keppel Infrastructure Trust | 43,001 | ||||||
4,048 | National Grid plc, ADR^ | 245,875 | ||||||
11,914 | Ren – Redes Energeticas Nacion | 32,503 | ||||||
8,606 | RWE AG | 301,046 | ||||||
7,455 | Suez | 87,281 | ||||||
3,114 | Telecom Plus plc | 54,882 | ||||||
6,009 | Vector, Ltd. | 13,950 | ||||||
5,040 | Veolia Environnement SA | 113,193 | ||||||
|
| |||||||
1,629,679 | ||||||||
|
|
See accompanying notes to the financial statements.
24
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels (4.3%): | ||||||||
9,181 | Advantage Oil & Gas, Ltd.* | $ | 11,228 | |||||
24,155 | Africa Oil Corp.* | 19,041 | ||||||
2,005 | Aker BP ASA | 36,623 | ||||||
12,816 | Ampol, Ltd. | 260,273 | ||||||
7,200 | Anglo Pacific Group plc | 11,978 | ||||||
13,244 | ARC Resources, Ltd. | 44,491 | ||||||
18,809 | Athabasca Oil Corp.* | 2,494 | ||||||
25,572 | Baytex Energy Corp.* | 12,999 | ||||||
2,064 | Baytex Energy Corp.* | 1,041 | ||||||
103,499 | Beach Energy, Ltd. | 109,248 | ||||||
17,741 | Birchcliff Energy, Ltd. | 14,900 | ||||||
33,110 | BP plc, ADR | 772,124 | ||||||
173,000 | Brightoil Petroleum Holdings, Ltd.* | 6,280 | ||||||
610 | BW Energy, Ltd.* | 1,091 | ||||||
2,656 | BW LPG, Ltd.(a) | 8,297 | ||||||
26,063 | Cairn Energy plc* | 37,988 | ||||||
9,946 | Cameco Corp. | 101,995 | ||||||
5,227 | Cameco Corp. | 53,577 | ||||||
13,900 | Canacol Energy, Ltd. | 39,322 | ||||||
30,759 | Canadian Natural Resources, Ltd. | 533,649 | ||||||
16,028 | Canadian Natural Resources, Ltd. | 279,368 | ||||||
3,012 | Cardinal Energy, Ltd. | 1,176 | ||||||
11,375 | Cenovus Energy, Inc. | 53,121 | ||||||
7,600 | Cenovus Energy, Inc. | 35,553 | ||||||
13,100 | China Aviation Oil Singapore Corp., Ltd. | 9,425 | ||||||
40,015 | Cooper Energy, Ltd.* | 10,364 | ||||||
3,700 | Cosmo Energy Holdings Co., Ltd. | 53,917 | ||||||
8,781 | Crescent Point Energy | 14,313 | ||||||
7,561 | Crescent Point Energy Corp. | 12,254 | ||||||
8,223 | Crew Energy, Inc.* | 1,848 | ||||||
854 | CropEnergies AG | 8,574 | ||||||
252 | Delek Group, Ltd.* | 6,042 | ||||||
39,162 | DNO ASA | 23,621 | ||||||
7,379 | Enagas SA | 180,106 | ||||||
7,622 | Enbridge, Inc. | 231,793 | ||||||
31,200 | ENEOS Holdings, Inc. | 110,563 | ||||||
17,700 | Enerplus Corp. | 49,811 | ||||||
43,854 | ENI SpA | 417,554 | ||||||
114,028 | EnQuest plc* | 20,264 | ||||||
23,332 | Equinor ASA | 331,953 | ||||||
1,004 | Equital, Ltd.* | 18,359 | ||||||
1,390 | Etablissements Maurel et Prom SA* | 2,736 | ||||||
9,112 | Euronav NV | 73,238 | ||||||
1,579 | Exmar NV* | 3,934 | ||||||
1,267 | FLEX LNG, Ltd.^ | 5,845 | ||||||
3,700 | Freehold Royalties, Ltd. | 9,595 | ||||||
1,400 | Frontera Energy Corp. | 3,507 | ||||||
3,784 | Frontline, Ltd. | 26,279 | ||||||
3,100 | Fuji Oil Co., Ltd. | 4,917 | ||||||
2,438 | Galp Energia SGPS SA | 28,160 | ||||||
1,113 | Gaztransport et Technigaz SA | 84,729 | ||||||
6,249 | Genel Energy plc | 10,009 | ||||||
7,750 | Gibson Energy, Inc. | 120,641 | ||||||
19,607 | Gran Tierra Energy, Inc.* | 6,644 | ||||||
18,883 | Gulf Keystone Petroleum, Ltd. | 20,915 | ||||||
4,281 | Hoegh Lng Holdings, Ltd. | 4,974 | ||||||
11,767 | Husky Energy, Inc. | 38,663 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
3,200 | Idemitsu Kosan Co., Ltd. | $ | 67,900 | |||||
3,270 | Imperial Oil, Ltd.^ | 52,613 | ||||||
1,542 | Imperial Oil, Ltd. | 24,749 | ||||||
28,800 | INPEX Corp. | 178,325 | ||||||
12,682 | Inter Pipeline, Ltd. | 118,094 | ||||||
2,244 | International Petroleum Corp.* | 4,050 | ||||||
3,600 | Itochu Enex Co., Ltd. | 29,107 | ||||||
1,000 | Japan Petroleum Exploration Co., Ltd. | 16,780 | ||||||
24,713 | Karoon Energy, Ltd.* | 10,332 | ||||||
7,300 | Kelt Exploration, Ltd.* | 7,529 | ||||||
7,446 | Keyera Corp. | 113,385 | ||||||
3,082 | Koninklijke Vopak NV | 162,863 | ||||||
2,011 | Lundin Energy AB | 48,407 | ||||||
10,707 | MEG Energy Corp.* | 29,737 | ||||||
1,700 | Mitsuuroko Holdings Co., Ltd. | 18,195 | ||||||
1,502 | Naphtha Israel Petroleum Corp.* | 4,931 | ||||||
9,260 | Neste Oyj | 361,616 | ||||||
14,065 | New Hope Corp., Ltd. | 13,385 | ||||||
7,392 | New Zealand Refining Co., Ltd. (The) | 3,508 | ||||||
64,000 | NewOcean Energy Holdings, Ltd.* | 6,024 | ||||||
21,200 | Nippon Coke & Engineering Co., Ltd. | 13,173 | ||||||
7,654 | Nuvista Energy, Ltd.* | 4,342 | ||||||
104,047 | Oil Refineries, Ltd. | 19,398 | ||||||
29,438 | Oil Search, Ltd. | 64,808 | ||||||
2,596 | OMV AG* | 86,667 | ||||||
12,681 | Origin Energy, Ltd. | 51,354 | ||||||
2,632 | Ovintiv, Inc. | 25,033 | ||||||
211 | Ovintiv, Inc.^ | 2,015 | ||||||
7,550 | Painted Pony Energy, Ltd.* | 2,614 | ||||||
1,307 | Paramount Resouces, Ltd., Class A* | 1,531 | ||||||
9,663 | Parex Resources, Inc.* | 116,463 | ||||||
5,800 | Parkland Corp. | 144,039 | ||||||
493 | Paz Oil Co., Ltd. | 39,497 | ||||||
6,783 | Pembina Pipeline Corp. | 169,600 | ||||||
1,584 | Pembina Pipeline Corp. | 39,600 | ||||||
6,660 | Peyto Exploration & Development Corp. | 8,783 | ||||||
12,892 | Pharos Energy plc* | 2,836 | ||||||
5,032 | Prairiesky Royalty, Ltd. | 31,807 | ||||||
61,033 | Premier Oil plc* | 38,865 | ||||||
18,219 | Repsol SA | 158,992 | ||||||
17,670 | Royal Dutch Shell plc, Class A, ADR | 577,631 | ||||||
16,231 | Royal Dutch Shell plc, Class B, ADR | 494,234 | ||||||
1,600 | Sala Corp. | 8,451 | ||||||
4,000 | San-Ai Oil Co., Ltd. | 36,052 | ||||||
69,254 | Santos, Ltd. | 254,566 | ||||||
27,521 | Saras SpA* | 21,614 | ||||||
36,000 | Savannah Energy plc* | 3,310 | ||||||
59,700 | Senex Energy, Ltd.* | 9,414 | ||||||
13,762 | Seven Generations Energy* | 30,720 | ||||||
400 | Sinanen Holdings Co., Ltd. | 10,179 | ||||||
24,674 | Snam SpA | 120,001 | ||||||
13,802 | Stobart Group, Ltd.* | 5,914 | ||||||
18,111 | Suncor Energy, Inc. | 305,351 | ||||||
15,784 | Suncor Energy, Inc. | 266,168 | ||||||
16,600 | Tamarack Valley Energy, Ltd.* | 10,884 | ||||||
3,152 | TC Energy Corp. | 135,095 | ||||||
5,900 | TC Energy Corp. | 252,100 |
See accompanying notes to the financial statements.
25
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
13,400 | Tidewater Midstream and Infrastructure, Ltd. | $ | 8,095 | |||||
8,990 | Torc Oil & Gas, Ltd. | 11,259 | ||||||
1,559 | Torm plc | 10,713 | ||||||
18,227 | Total SA | 694,201 | ||||||
11,630 | Tourmaline Oil Corp. | 101,700 | ||||||
6,518 | TransGlobe Energy Corp. | 3,601 | ||||||
103,509 | Tullow Oil plc | 40,551 | ||||||
3,072 | Verbio Vereinigte Bioenergie AG | 32,084 | ||||||
5,883 | Vermilion Energy, Inc. | 26,177 | ||||||
29,887 | Viva Energy Group, Ltd.(a) | 37,602 | ||||||
12,328 | Whitecap Resources, Inc. | 20,253 | ||||||
31,393 | Whitehaven Coal, Ltd. | 31,134 | ||||||
2,728 | Woodside Petroleum, Ltd. | 40,986 | ||||||
12,631 | Z Energy, Ltd. | 22,108 | ||||||
|
| |||||||
10,308,499 | ||||||||
|
| |||||||
Paper & Forest Products (0.6%): | ||||||||
1,344 | Ahlstrom-Munksjo OYJ | 20,145 | ||||||
2,718 | Altri SGPS SA | 13,012 | ||||||
5,029 | Canfor Corp.* | 43,606 | ||||||
2,751 | Canfor Pulp Products, Inc. | 10,944 | ||||||
1,300 | Chuetsu Pulp & Paper Co., Ltd. | 18,683 | ||||||
600 | Daiken Corp. | 10,065 | ||||||
4,500 | Daio Paper Corp. | 59,996 | ||||||
11,027 | Ence Energia y Celulosa S.A | 36,037 | ||||||
6,700 | Hokuetsu Corp. | 23,734 | ||||||
2,077 | Holmen AB, Class B* | 66,184 | ||||||
4,627 | Interfor Corp.* | 38,996 | ||||||
5,272 | Metsa Board OYJ | 35,619 | ||||||
6,301 | Mondi plc | 117,720 | ||||||
15,833 | Navigator Co. SA (The) | 38,445 | ||||||
4,800 | Nippon Paper Industries Co., Ltd. | 67,123 | ||||||
1,028 | Norbord, Inc. | 23,470 | ||||||
31,700 | Oji Holdings Corp. | 147,284 | ||||||
1,598 | Semapa-Sociedade de Investimento E Gestao | 14,509 | ||||||
1,998 | Stella-Jones, Inc. | 50,251 | ||||||
11,332 | Stora Enso OYJ, Registered Shares, Class R | 135,126 | ||||||
10,437 | Svenska Cellulosa AB SCA, Class B* | 123,981 | ||||||
600 | Tokushu Tokai Paper Co., Ltd. | 25,800 | ||||||
7,786 | UPM-Kymmene OYJ | 224,669 | ||||||
1,416 | West Fraser Timber Co., Ltd. | 49,780 | ||||||
24,618 | Western Forest Products, Inc. | 16,867 | ||||||
|
| |||||||
1,412,046 | ||||||||
|
| |||||||
Personal Products (0.8%): | ||||||||
18,108 | Asaleo Care, Ltd. | 12,696 | ||||||
287 | Beiersdorf AG | 32,559 | ||||||
16,000 | Best World International, Ltd. | 2,903 | ||||||
535 | Blackmores, Ltd. | 28,909 | ||||||
800 | Fancl Corp. | 23,713 | ||||||
300 | HABA Laboratories, Inc. | 14,061 | ||||||
1,514 | Jamieson Wellness, Inc. | 39,685 | ||||||
3,900 | Kao Corp. | 308,795 | ||||||
400 | Kose Corp. | 48,097 | ||||||
705 | L’Oreal SA* | 225,997 | ||||||
400 | Milbon Co., Ltd. | 19,063 | ||||||
1,000 | Noevir Holdings Co., Ltd. | 42,706 | ||||||
2,645 | Ontex Group NV* | 38,673 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Personal Products, continued | ||||||||
3,000 | Shiseido Co., Ltd. | $ | 190,227 | |||||
9,464 | Unilever NV, NYS | 504,147 | ||||||
958 | Unilever NV | 50,804 | ||||||
4,976 | Unilever plc, ADR | 273,082 | ||||||
366 | Unilever plc | 19,731 | ||||||
1,300 | Ya-Man, Ltd. | 12,845 | ||||||
|
| |||||||
1,888,693 | ||||||||
|
| |||||||
Pharmaceuticals (4.7%): | ||||||||
172 | Alk-Abello A/S* | 45,908 | ||||||
15,687 | Alliance Pharma plc | 14,468 | ||||||
1,867 | Almirall SA* | 24,631 | ||||||
1,900 | Aska Pharmaceutical Co., Ltd. | 21,357 | ||||||
16,400 | Astellas Pharma, Inc. | 273,044 | ||||||
15,563 | AstraZeneca plc, ADR | 823,127 | ||||||
491 | Aurora Cannabis, Inc.* | 6,073 | ||||||
6,200 | Bausch Health Cos., Inc.* | 113,458 | ||||||
1,145 | Bausch Health Cos., Inc.* | 20,942 | ||||||
12,405 | Bayer AG, Registered Shares | 910,446 | ||||||
693 | Boiron SA | 28,563 | ||||||
1,600 | Canopy Growth Corp.* | 25,920 | ||||||
1,200 | Chugai Pharmaceutical Co., Ltd. | 64,157 | ||||||
411 | COSMO Pharmaceuticals NV*^ | 37,581 | ||||||
300 | Daiichi Sankyo Co., Ltd. | 24,503 | ||||||
700 | Eisai Co., Ltd. | 55,494 | ||||||
18,493 | Faes Farma SA | 75,134 | ||||||
700 | Fuji Pharma Co., Ltd. | 7,559 | ||||||
500 | Fuso Pharmaceutical Industries. Ltd. | 11,642 | ||||||
1,668 | Galenica AG(a) | 119,275 | ||||||
25,475 | GlaxoSmithKline plc, ADR | 1,039,124 | ||||||
3,801 | GlaxoSmithKline plc | 77,003 | ||||||
1,384 | H. Lundbeck A/S | 52,022 | ||||||
4,800 | Haw Par Corp., Ltd. | 33,889 | ||||||
1,551 | Hikma Pharmaceuticals plc | 42,624 | ||||||
500 | Hisamitsu Pharmaceutical Co., Inc. | 26,947 | ||||||
26,202 | Indivior plc* | 26,993 | ||||||
701 | Ipsen SA | 59,519 | ||||||
98,000 | Jacobson Pharma Corp., Ltd. | 17,311 | ||||||
1,000 | Kaken Pharmaceutical Co., Ltd. | 51,110 | ||||||
1,000 | Kissei Pharmaceutical Co., Ltd. | 25,161 | ||||||
1,100 | Kyowa Kirin Co., Ltd. | 28,865 | ||||||
98,378 | Mayne Pharma Group, Ltd.* | 26,280 | ||||||
3,200 | Nichi-Iko Pharmaceutical Co., Ltd. | 38,663 | ||||||
15,108 | Novartis AG, Registered Shares | 1,313,091 | ||||||
17,777 | Novo Nordisk A/S, Class B | 1,150,492 | ||||||
1,000 | Ono Pharmaceutical Co., Ltd. | 29,091 | ||||||
1,037 | Orion OYJ | 50,126 | ||||||
4,471 | Orion OYJ, Class B | 216,139 | ||||||
2,000 | Otsuka Holdings Co., Ltd. | 87,180 | ||||||
2,424 | Recipharm AB* | 29,901 | ||||||
3,141 | Recordati SpA | 156,704 | ||||||
5,605 | Roche Holding AG | 1,941,139 | ||||||
216 | Roche Holding AG | 74,037 | ||||||
2,000 | Rohto Pharmaceutical Co., Ltd. | 63,430 | ||||||
4,419 | Sanofi | 449,547 | ||||||
1,600 | Santen Pharmaceutical Co., Ltd. | 29,416 | ||||||
800 | Sawai Pharmaceutical Co., Ltd. | 41,085 | ||||||
1,300 | Seikagaku Corp. | 13,646 |
See accompanying notes to the financial statements.
26
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
2,600 | Shionogi & Co., Ltd. | $ | 162,781 | |||||
3,200 | Sumitomo Dainippon Pharma Co., Ltd. | 44,243 | ||||||
800 | Taisho Pharmaceutical Holdings Co., Ltd. | 48,967 | ||||||
7,400 | Takeda Pharmacuetical Co., Ltd. | 264,149 | ||||||
4,979 | Teva Pharmaceutical Industries, Ltd., ADR* | 61,391 | ||||||
3,519 | Teva Pharmaceutical Industries, Ltd.* | 43,220 | ||||||
800 | Torii Pharmaceutical Co., Ltd. | 23,008 | ||||||
1,200 | Towa Pharmaceutical Co., Ltd. | 22,172 | ||||||
1,400 | Tsumura & Co. | 36,530 | ||||||
1,144 | UCB SA | 132,406 | ||||||
46,000 | United Laboratories International Holdings, Ltd. | 39,798 | ||||||
34,791 | Vectura Group plc* | 41,827 | ||||||
209 | Vetoquinol SA | 14,365 | ||||||
1,667 | Vifor Pharma AG | 250,558 | ||||||
146 | Virbac SA* | 31,954 | ||||||
|
| |||||||
11,111,186 | ||||||||
|
| |||||||
Professional Services (2.2%): | ||||||||
4,336 | Adecco SA, Registered Shares | 203,211 | ||||||
2,215 | AF Poyry AB* | 47,493 | ||||||
1,278 | Akka Technologies SA* | 40,852 | ||||||
7,788 | ALS, Ltd. | 35,369 | ||||||
770 | Altech Corp. | 13,615 | ||||||
240 | Amadeus Fire AG* | 29,750 | ||||||
9,096 | Applus Services SA | 69,693 | ||||||
800 | Baycurrent Consulting, Inc. | 66,535 | ||||||
3,600 | Benefit One, Inc. | 72,318 | ||||||
1,800 | BeNEXT Group Inc. | 15,708 | ||||||
372 | Bertrandt AG | 14,660 | ||||||
7,058 | Bureau Veritas SA | 148,694 | ||||||
26,624 | Capita plc* | 14,521 | ||||||
180 | Danel Adir Yeoshua, Ltd. | 16,824 | ||||||
1,879 | DKSH Holding, Ltd. | 120,488 | ||||||
900 | EN-Japan, Inc. | 22,199 | ||||||
11,350 | Experian plc | 395,813 | ||||||
1,200 | FULLCAST Holdings Co., Ltd. | 16,093 | ||||||
900 | Funai Soken Holdings, Inc. | 20,248 | ||||||
175 | Groupe Crit* | 10,317 | ||||||
76,397 | Hays plc | 113,332 | ||||||
2,680 | Intertek Group plc | 180,380 | ||||||
3,227 | Intertrust NV(a) | 54,891 | ||||||
500 | IR Japan Holdings, Ltd. | 52,907 | ||||||
1,000 | Jac Recruitment Co., Ltd. | 10,598 | ||||||
5,154 | McMillan Shakespeare, Ltd. | 32,385 | ||||||
1,100 | Meitec Corp. | 52,962 | ||||||
1,497 | Morneau Shepell, Inc. | 34,949 | ||||||
700 | Nexyz Group Corp. | 6,676 | ||||||
2,500 | Nihon M&A Center, Inc. | 112,944 | ||||||
3,600 | Nomura Co., Ltd. | 29,975 | ||||||
3,000 | Outsourcing, Inc. | 18,952 | ||||||
18,606 | Pagegroup plc | 87,076 | ||||||
2,000 | Pasona Group, Inc. | 22,051 | ||||||
8,000 | Persol Holdings Co., Ltd. | 109,902 | ||||||
6,057 | Randstad NV | 269,461 | ||||||
9,800 | Recruit Holdings Co., Ltd. | 335,051 | ||||||
5,236 | RELX plc, ADR | 123,360 | ||||||
7,938 | RELX plc | 183,697 | ||||||
2,833 | Ricardo plc | 14,697 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
6,390 | Robert Walters plc | $ | 31,655 | |||||
1,561 | Seek, Ltd. | 23,685 | ||||||
91 | SGS SA, Registered Shares | 222,110 | ||||||
2,100 | SIGMAXYZ, Inc. | 31,790 | ||||||
2,400 | SMS Co., Ltd. | 53,830 | ||||||
2,421 | Stantec, Inc. | 74,688 | ||||||
1,400 | Stantec, Inc. | 43,225 | ||||||
7,669 | SThree plc | 25,692 | ||||||
1,100 | Tanseisha Co., Ltd. | 7,658 | ||||||
1,200 | Technopro Holdings, Inc. | 69,485 | ||||||
1,803 | Teleperformance* | 457,065 | ||||||
2,878 | Thomson Reuters Corp. | 195,618 | ||||||
1,065 | Tinexta SpA* | 14,269 | ||||||
1,100 | UT Group Co., Ltd.* | 25,040 | ||||||
8,714 | Wolters Kluwer NV | 679,726 | ||||||
600 | YAMADA Consulting Group Co., Ltd. | 7,470 | ||||||
3,100 | Yumeshin Holdings Co., Ltd.^ | 16,948 | ||||||
|
| |||||||
5,200,601 | ||||||||
|
| |||||||
Real Estate Management & Development (2.7%): | ||||||||
1,719 | ADO Properties SA*(a) | 46,754 | ||||||
3,100 | AEON Mall Co., Ltd. | 41,131 | ||||||
2,292 | Airport City, Ltd.* | 24,601 | ||||||
2,300 | Airport Facilities Co., Ltd. | 9,052 | ||||||
764 | Allreal Holding AG | 151,215 | ||||||
1,972 | Alony Hetz Properties & Invest | 19,591 | ||||||
492 | Alrov Properties And Lodgings, Ltd. | 11,858 | ||||||
700 | Altus Group, Ltd. | 21,035 | ||||||
2,393 | Amot Investments, Ltd. | 10,864 | ||||||
7,879 | Aroundtown SA | 45,094 | ||||||
28,100 | Ascendas India Trust | 27,263 | ||||||
2,512 | Ashtrom Properties, Ltd. | 8,543 | ||||||
46,000 | Asia Standard International Group, Ltd. | 5,336 | ||||||
3,271 | Atrium European Real Estate, Ltd. | 10,142 | ||||||
2,076 | Atrium Ljungberg AB, Class B | 29,213 | ||||||
45 | Bayside Land Corp. | 23,390 | ||||||
210 | Big Shopping Centers, Ltd. | 14,523 | ||||||
3,700 | Bukit Sembawang Estates, Ltd. | 10,261 | ||||||
1,686 | CA Immobilien Anlagen AG* | 56,108 | ||||||
19,838 | Capital & Counties Properties plc | 35,856 | ||||||
18,900 | CapitaLand, Ltd.* | 39,705 | ||||||
2,300 | Castellum AB | 42,930 | ||||||
1,089 | Catena AB | 42,866 | ||||||
2,794 | Cedar Woods Properties, Ltd. | 10,110 | ||||||
18,000 | Chinese Estates Holdings, Ltd. | 11,919 | ||||||
41,300 | Chip Eng Seng Corp., Ltd.* | 17,155 | ||||||
52,000 | Chuang’s Consortium International, Ltd. | 7,236 | ||||||
7,300 | City Developments, Ltd. | 44,242 | ||||||
1,684 | Citycon OYJ | 11,700 | ||||||
39,930 | CK Asset Holdings, Ltd. | 237,448 | ||||||
3,803 | CLS Holdings plc | 8,707 | ||||||
1,625 | Colliers International Group^ | 93,129 | ||||||
741 | Corestate Capital Holding SA* | 14,940 | ||||||
340,000 | CSI Properties, Ltd. | 10,669 | ||||||
1,700 | Daibiru Corp. | 15,537 | ||||||
1,200 | Daito Trust Construction Co., Ltd. | 110,272 | ||||||
11,500 | Daiwa House Industry Co., Ltd. | 271,274 | ||||||
887 | Deutsche Euroshop AG* | 12,503 |
See accompanying notes to the financial statements.
27
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
3,980 | Deutsche Wohnen SE | $ | 178,530 | |||||
2,618 | Dic Asset AG | 35,112 | ||||||
2,651 | Dios Fastigheter AB | 17,707 | ||||||
2,900 | Dream Unlimited Corp. | 19,142 | ||||||
34,000 | Emperor International Holdings | 5,652 | ||||||
2,667 | Entra ASA(a) | 34,100 | ||||||
3,263 | Fabege AB | 38,100 | ||||||
68,000 | Far East Consortium International, Ltd. | 22,345 | ||||||
687 | Fastighets AB Balder* | 26,151 | ||||||
1,529 | FirstService Corp. | 154,047 | ||||||
11,092 | Foxtons Group plc* | 5,286 | ||||||
16,000 | Frasers Property, Ltd. | 14,545 | ||||||
1,100 | Goldcrest Co., Ltd. | 15,048 | ||||||
17,039 | Grainger plc | 60,318 | ||||||
2,575 | Grand City Properties SA | 59,386 | ||||||
10,000 | Great Eagle Holdings, Ltd. | 25,128 | ||||||
17,100 | GuocoLand, Ltd. | 17,980 | ||||||
28,000 | Hang Lung Group, Ltd. | 65,144 | ||||||
24,984 | Hang Lung Properties, Ltd. | 59,230 | ||||||
1,200 | Heiwa Real Estate Co., Ltd. | 34,285 | ||||||
5,154 | Helical plc | 19,717 | ||||||
27,706 | Henderson Land Development Co., Ltd. | 104,923 | ||||||
37,840 | HKR International, Ltd. | 16,874 | ||||||
9,400 | Ho Bee Land, Ltd. | 14,255 | ||||||
18,500 | Hong Fok Corp., Ltd. | 9,476 | ||||||
21,600 | Hongkong Land Holdings, Ltd. | 89,403 | ||||||
2,049 | Hufvudstaden AB | 25,439 | ||||||
3,000 | Hulic Co., Ltd. | 28,418 | ||||||
11,000 | Hysan Development Co., Ltd. | 35,467 | ||||||
12,900 | Ichigo, Inc. | 32,336 | ||||||
242 | Immobel SA | 15,923 | ||||||
2,353 | IMMOFINANZ AG* | 40,138 | ||||||
1,386 | Instone Real Estate Group AG*(a) | 30,035 | ||||||
29 | Intershop Holdings AG | 17,350 | ||||||
2,000 | Invesque, Inc. | 4,980 | ||||||
164 | Investis Holding SA | 15,131 | ||||||
25,000 | K Wah International Holdings Ltd. | 10,832 | ||||||
2,000 | Katitas Co., Ltd. | 46,305 | ||||||
8,200 | Kenedix, Inc. | 40,414 | ||||||
22,225 | Kerry Properties, Ltd. | 57,422 | ||||||
21,647 | Klovern AB | 34,177 | ||||||
3,150 | Kojamo Oyj | 66,471 | ||||||
26,000 | Kowloon Development Co., Ltd. | 28,226 | ||||||
3,796 | Kungsleden AB | 28,246 | ||||||
11,400 | Lai Sun Development Co., Ltd. | 11,942 | ||||||
112,800 | Landing International Development, Ltd.* | 3,645 | ||||||
44,500 | Langham Hospitality Investment | 6,932 | ||||||
1,157 | LEG Immobilien AG* | 146,776 | ||||||
7,615 | Lend Lease Group | 65,333 | ||||||
5,100 | Leopalace21 Corp.* | 9,982 | ||||||
8,000 | Liu Chong Hing Investment, Ltd. | 7,279 | ||||||
4,644 | LSL Property Services plc | 11,504 | ||||||
578 | Melisron, Ltd. | 21,649 | ||||||
59,000 | Mingfa Group International Co., Ltd.* | 429 | ||||||
4,800 | Mitsubishi Estate Co., Ltd. | 71,388 | ||||||
4,100 | Mitsui Fudosan Co., Ltd. | 72,659 | ||||||
9,306 | Mivne Real Estate KD, Ltd.* | 16,804 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
255 | Mobimo Holding AG, Registered Shares* | $ | 73,721 | |||||
100 | Morguard Corp. | 9,372 | ||||||
15,087 | New World Development Co., Ltd. | 71,712 | ||||||
2,193 | Nexity SA | 70,877 | ||||||
800 | Nippon Commercial Development Co., Ltd. | 11,318 | ||||||
1,700 | Nisshin Group Holdings Co., Ltd. | 5,740 | ||||||
3,200 | Nomura Real Estate Holdings, Inc. | 59,412 | ||||||
3,463 | Nyfosa AB* | 23,563 | ||||||
1,024 | Olav Thon Eiendomsselskap ASA* | 14,915 | ||||||
2,400 | Open House Co., Ltd. | 82,226 | ||||||
17,900 | Oue, Ltd. | 15,321 | ||||||
50,363 | Oxley Holdings, Ltd. | 8,513 | ||||||
1,449 | PATRIZIA AG* | 35,074 | ||||||
1,195 | Platzer Fastigheter Holding AB, Class B | 10,188 | ||||||
94 | Plazza AG | 27,285 | ||||||
2,600 | Polytec Asset Holdings, Ltd. | 258 | ||||||
31,000 | Prospect Co., Ltd. | 12,332 | ||||||
948 | PSP Swiss Property AG | 106,689 | ||||||
700 | Raysum Co., Ltd. | 6,155 | ||||||
3,244 | Real Matters, Inc.* | 63,284 | ||||||
2,300 | Relo Group, Inc. | 43,262 | ||||||
977 | Sagax AB, Class B | 13,195 | ||||||
24,202 | Samhallsbyggnadsbolaget i Norden AB | 61,695 | ||||||
1,200 | SAMTY Co., Ltd. | 15,203 | ||||||
9,123 | Savills plc | 93,185 | ||||||
1,875 | Selvaag Bolig ASA | 11,103 | ||||||
7,103 | Servcorp, Ltd. | 11,399 | ||||||
2,600 | Shinoken Group Co., Ltd. | 20,871 | ||||||
795 | Shurgard Self Storage SA | 29,856 | ||||||
100,800 | Sinarmas Land, Ltd. | 12,677 | ||||||
34,825 | Sino Land Co., Ltd. | 43,850 | ||||||
5,000 | Soundwill Holdings, Ltd. | 4,434 | ||||||
8,938 | St. Modwen Properties plc | 38,226 | ||||||
1,900 | Sumitomo Realty & Development Co., Ltd. | 52,252 | ||||||
1,493 | Summit Real Estate Holdings, Ltd. | 13,621 | ||||||
1,800 | Sun Frontier Fudousan Co., Ltd. | 14,270 | ||||||
5,921 | Sun Hung Kai Properties, Ltd. | 75,460 | ||||||
10,646 | Swire Pacific, Ltd., Class A | 56,313 | ||||||
17,500 | Swire Pacific, Ltd., Class B | 16,698 | ||||||
13,600 | Swire Properties, Ltd. | 34,538 | ||||||
2,643 | Swiss Prime Site AG | 244,205 | ||||||
1,994 | TAG Immobilien AG | 47,498 | ||||||
21,000 | TAI Cheung Holdings, Ltd. | 13,338 | ||||||
4,200 | Takara Leben Co., Ltd. | 14,031 | ||||||
33,324 | The Wharf Holdings, Ltd.^ | 67,823 | ||||||
4,500 | Toc Co., Ltd. | 28,431 | ||||||
6,400 | Tokyo Tatemono Co., Ltd. | 73,465 | ||||||
9,000 | Tokyu Fudosan Holdings Corp. | 42,120 | ||||||
2,400 | Tosei Corp. | 25,322 | ||||||
2,676 | Tricon Capital Group, Inc. | 18,038 | ||||||
6,860 | U & I Group plc | 6,671 | ||||||
213 | UBM Development AG | 7,387 | ||||||
16,200 | UOL Group, Ltd. | 79,197 | ||||||
6,670 | Urban & Civic plc | 19,240 | ||||||
2,545 | Vonovia SE* | 155,885 | ||||||
3,228 | Wallenstam AB | 37,347 | ||||||
6 | Warteck Invest AG | 13,176 |
See accompanying notes to the financial statements.
28
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
6,203 | Watkin Jones plc | $ | 11,657 | |||||
10,000 | Wharf Real Estate Investment Co., Ltd. | 47,725 | ||||||
12,829 | Wheelock & Co., Ltd. | 107,201 | ||||||
2,034 | Wihlborgs Fastigheter AB | 33,259 | ||||||
20,700 | Wing Tai Holdings, Ltd. | 26,658 | ||||||
16,000 | Wing Tai Properties, Ltd. | 8,051 | ||||||
17 | Zug Estates Holding AG | 36,063 | ||||||
|
| |||||||
6,283,539 | ||||||||
|
| |||||||
Road & Rail (1.5%): | ||||||||
8,566 | A2B Australia, Ltd. | 4,814 | ||||||
52,525 | Aurizon Holdings, Ltd. | 178,781 | ||||||
400 | Canadian National Railway Co. | 35,394 | ||||||
5,353 | Canadian National Railway Co. | 474,116 | ||||||
1,009 | Canadian Pacific Railway, Ltd. | 257,638 | ||||||
800 | Central Japan Railway Co. | 123,854 | ||||||
1,200 | Chilled & Frozen Logistics Holdings Co., Ltd. | 17,606 | ||||||
52,900 | ComfortDelGro Corp., Ltd. | 55,178 | ||||||
346 | DSV PANALPINA A/S | 42,215 | ||||||
1,700 | East Japan Railway Co. | 117,826 | ||||||
8,727 | Europcar Mobility Group*(a) | 20,699 | ||||||
64,976 | FirstGroup plc* | 40,470 | ||||||
1,500 | Fukuyama Transporting Co., Ltd. | 52,391 | ||||||
4,083 | Go-Ahead Group plc | 42,015 | ||||||
1,000 | Hamakyorex Co., Ltd. | 28,795 | ||||||
2,400 | Hankyu Hanshin Holdings, Inc. | 81,133 | ||||||
2,200 | Hitachi Transport System, Ltd. | 58,771 | ||||||
1,100 | Ichinen Holdings Co., Ltd. | 12,243 | ||||||
206 | Jungfraubahn Holding AG, Registered Shares* | 26,772 | ||||||
2,500 | Keikyu Corp. | 38,273 | ||||||
700 | Keio Corp. | 39,986 | ||||||
1,200 | Keisei Electric Railway Co., Ltd. | 37,573 | ||||||
1,500 | Kintetsu Group Holdings Co., Ltd. | 67,382 | ||||||
400 | Maruzen Showa Unyu Co., Ltd. | 12,388 | ||||||
7,515 | MTR Corp., Ltd. | 38,871 | ||||||
2,700 | Nagoya Railroad Co., Ltd. | 76,227 | ||||||
2,400 | Nankai Electric Railway Co., Ltd. | 54,871 | ||||||
29,502 | National Express Group plc | 68,546 | ||||||
2,200 | Nikkon Holdings Co., Ltd. | 43,759 | ||||||
1,800 | Nippon Express Co., Ltd. | 93,180 | ||||||
2,100 | Nishi-Nippon Railroad Co., Ltd. | 56,889 | ||||||
5,199 | Nobina AB*(a) | 31,046 | ||||||
2,800 | Odakyu Electric Railway Co., Ltd. | 68,832 | ||||||
13,546 | Redde Northgate plc | 27,820 | ||||||
500 | Sakai Moving Service Co., Ltd. | 25,453 | ||||||
2,300 | Sankyu, Inc. | 86,425 | ||||||
6,200 | Seino Holdings Co., Ltd. | 81,059 | ||||||
9,200 | Senko Group Holdings Co., Ltd. | 68,320 | ||||||
823 | Sixt Leasing SE | 16,642 | ||||||
1,349 | Sixt SE | 69,364 | ||||||
984 | Sixt SE* | 75,057 | ||||||
2,000 | Sotetsu Holdings, Inc. | 53,361 | ||||||
31,768 | Stagecoach Group plc | 23,398 | ||||||
278 | Stef S.A.* | 22,605 | ||||||
5,661 | Tfi International, Inc. | 200,975 | ||||||
2,000 | Tobu Railway Co., Ltd. | 66,109 | ||||||
3,400 | Tokyu Corp. | 47,835 | ||||||
300 | Tonami Holdings Co., Ltd. | 15,736 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
3,913 | Tourism Holdings, Ltd. | $ | 4,983 | |||||
600 | Trancom Co., Ltd. | 38,527 | ||||||
20,000 | Transport International Holdings, Ltd. | 38,771 | ||||||
1,100 | West Japan Railway Co. | 61,689 | ||||||
|
| |||||||
3,422,663 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.8%): | ||||||||
2,200 | Advantest Corp. | 124,979 | ||||||
18,200 | Aem Holdings, Ltd. | 41,257 | ||||||
2,386 | ASM International NV | 367,957 | ||||||
8,119 | ASM Pacific Technology, Ltd. | 85,813 | ||||||
2,381 | ASML Holding NV, NYS | 876,278 | ||||||
4,404 | BE Semiconductor Industries NV | 195,827 | ||||||
45,000 | BOE Varitronix, Ltd. | 14,294 | ||||||
1,206 | Camtek, Ltd./Israel | 14,937 | ||||||
3,163 | Dialog Semiconductor plc* | 144,149 | ||||||
279 | Elmos Semiconductor SE | 6,751 | ||||||
2,300 | Ferrotec Holdings Corp. | 13,858 | ||||||
438 | First Sensor AG | 19,099 | ||||||
19,132 | Infineon Technologies AG | 447,140 | ||||||
2,200 | Japan Material Co., Ltd. | 34,502 | ||||||
1,600 | Lasertec Corp. | 150,893 | ||||||
1,090 | Melexis NV | 82,540 | ||||||
800 | Mimasu Semiconductor Industry | 17,186 | ||||||
1,700 | Mitsui High-Tec, Inc. | 25,520 | ||||||
1,078 | Nova Measuring Instruments, Ltd.* | 51,945 | ||||||
1,100 | Optorun Co., Ltd. | 25,842 | ||||||
20,800 | Renesas Electronics Corp.* | 106,446 | ||||||
700 | ROHM Co., Ltd. | 46,396 | ||||||
1,600 | Sanken Electric Co., Ltd. | 31,475 | ||||||
400 | Screen Holdings Co., Ltd. | 18,682 | ||||||
700 | Shibaura Mechatronics Corp. | 18,449 | ||||||
300 | Shindengen Electric Manufacturing Co., Ltd. | 5,977 | ||||||
2,100 | Shinko Electric Industries Co., Ltd. | 28,476 | ||||||
992 | Siltronic AG | 101,044 | ||||||
285 | SMA Solar Technology AG* | 8,830 | ||||||
823 | Soitec* | 91,547 | ||||||
10,083 | STMicroelectronics NV | 273,511 | ||||||
1,086 | SUESS MicroTec SE* | 17,595 | ||||||
10,600 | SUMCO Corp. | 162,300 | ||||||
1,100 | Tokyo Electron, Ltd. | 269,992 | ||||||
800 | Tokyo Seimitsu Co., Ltd. | 25,549 | ||||||
2,300 | Towa Corp. | 24,877 | ||||||
3,609 | Tower Semiconductor, Ltd.* | 68,896 | ||||||
300 | Tri Chemical Laboratories, Inc. | 32,112 | ||||||
386 | U-Blox AG* | 26,374 | ||||||
1,800 | Ulvac, Inc. | 51,976 | ||||||
1,200 | Yamaichi Electronics Co., Ltd. | 15,642 | ||||||
|
| |||||||
4,166,913 | ||||||||
|
| |||||||
Software (1.2%): | ||||||||
3,300 | Absolute Software Corp. | 33,574 | ||||||
1,800 | Access Co., Ltd. | 16,622 | ||||||
3,669 | Altium, Ltd. | 82,477 | ||||||
585 | AVEVA Group plc | 29,611 | ||||||
1,040 | Axway Software SA | 20,817 | ||||||
26,254 | BlackBerry, Ltd.* | 128,040 | ||||||
4,900 | Broadleaf Co., Ltd. | 23,952 |
See accompanying notes to the financial statements.
29
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
500 | Computer Engineering & Consulting, Ltd. | $ | 7,888 | |||||
301 | Constellation Software, Inc. | 339,913 | ||||||
1,400 | Cresco, Ltd. | 18,450 | ||||||
1,200 | Cybozu, Inc. | 37,361 | ||||||
323 | Dassault Systemes SA | 55,662 | ||||||
764 | Descartes Systems Group, Inc.* | 40,416 | ||||||
300 | Digital Arts, Inc. | 24,221 | ||||||
2,000 | Enghouse Systems, Ltd. | 106,822 | ||||||
800 | Fuji Soft, Inc. | 31,650 | ||||||
900 | Fukui Computer Holdings, Inc. | 22,975 | ||||||
8,509 | Hansen Technology, Ltd. | 17,101 | ||||||
916 | Hilan, Ltd.* | 36,902 | ||||||
8,800 | Infomart Corp. | 61,132 | ||||||
16,011 | Infomedia, Ltd. | 19,053 | ||||||
7,858 | Integrated Research, Ltd. | 20,889 | ||||||
7,413 | IRESS, Ltd. | 56,213 | ||||||
600 | Justsystems Corp. | 42,407 | ||||||
400 | Kinaxis, Inc.* | 57,186 | ||||||
1,361 | Lectra | 24,712 | ||||||
172 | Linedata Services | 5,350 | ||||||
1,195 | Magic Software Enterprises, Ltd. | 13,588 | ||||||
8,235 | Micro Focus International plc, ADR | 45,127 | ||||||
500 | Miroku Jyoho Service Co., Ltd. | 10,483 | ||||||
2,085 | Nemetschek SE | 143,044 | ||||||
249 | Netcompany Group A/S*(a) | 16,325 | ||||||
546 | NICE Systems, Ltd.* | 103,221 | ||||||
3,485 | Open Text Corp. | 148,043 | ||||||
600 | Open Text Corp. | 25,483 | ||||||
600 | Oracle Corp. | 70,807 | ||||||
2,000 | Rakus Co., Ltd. | 35,477 | ||||||
1,053 | RIB Software SE* | 34,340 | ||||||
3,268 | Sage Group plc | 27,172 | ||||||
2,059 | SAP SE | 286,580 | ||||||
3,474 | SDL plc* | 21,559 | ||||||
1,391 | SimCorp A/S | 149,878 | ||||||
1,731 | Software AG | 69,779 | ||||||
500 | SRA Holdings | 11,085 | ||||||
2,800 | Systena Corp. | 36,932 | ||||||
8,525 | Technology One, Ltd. | 51,822 | ||||||
1,295 | Temenos AG | 200,838 | ||||||
1,900 | Trend Micro, Inc. | 106,124 | ||||||
12,001 | Vista Group International, Ltd. | 11,202 | ||||||
|
| |||||||
2,980,305 | ||||||||
|
| |||||||
Specialty Retail (1.4%): | ||||||||
400 | ABC-Mart, Inc. | 23,406 | ||||||
16,866 | Accent Group, Ltd. | 16,342 | ||||||
10,400 | Adairs, Ltd. | 16,605 | ||||||
1,300 | Adastria Co., Ltd. | 20,785 | ||||||
900 | Alpen Co., Ltd. | 13,947 | ||||||
34,842 | AMA Group, Ltd. | 14,528 | ||||||
2,600 | Aoki Holdings, Inc. | 15,050 | ||||||
2,800 | Aoyama Trading Co., Ltd. | 19,017 | ||||||
3,236 | AP Eagers, Ltd. | 15,150 | ||||||
1,900 | Arcland Sakamoto Co., Ltd. | 33,362 | ||||||
2,500 | Autobacs Seven Co., Ltd. | 31,486 | ||||||
1,813 | Autocanada, Inc. | 14,291 | ||||||
2,300 | BIC Camera, Inc. | 24,372 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
6,038 | Bilia AB, Class A* | $ | 48,726 | |||||
3,245 | Byggmax Group AB* | 15,264 | ||||||
2,609 | Carasso Motors, Ltd. | 7,596 | ||||||
16,294 | Card Factory plc | 10,157 | ||||||
3,919 | Ceconomy AG* | 13,626 | ||||||
800 | Chiyoda Co., Ltd. | 8,777 | ||||||
18,000 | Chow Sang Sang Holdings International, Ltd. | 19,081 | ||||||
31,200 | Chow Tai Fook Jewellery Group, Ltd. | 29,966 | ||||||
4,700 | DCM Holdings Co., Ltd. | 53,937 | ||||||
39,375 | Dixons Carphone plc | 43,783 | ||||||
1,884 | Dufry AG, Registered Shares* | 55,669 | ||||||
5,850 | Dunelm Group plc | 86,161 | ||||||
4,900 | Edion Corp. | 49,655 | ||||||
77,300 | Esprit Holdings, Ltd.* | 8,449 | ||||||
400 | Fast Retailing Co., Ltd. | 229,053 | ||||||
104 | Fenix Outdoor International AG* | 9,364 | ||||||
1,290 | Fielmann AG | 86,720 | ||||||
878 | Fnac Darty SA* | 36,428 | ||||||
9,000 | Frasers Group plc* | 34,047 | ||||||
2,300 | Geo Holdings Corp. | 28,845 | ||||||
130,000 | Giordano International, Ltd. | 19,711 | ||||||
1,946 | Grandvision BV*(a) | 55,372 | ||||||
13,359 | Halfords Group plc | 25,224 | ||||||
8,861 | Hennes & Mauritz AB, Class B | 128,170 | ||||||
300 | Hikari Tsushin, Inc. | 68,331 | ||||||
483 | Hornbach Baumarkt AG | 15,486 | ||||||
721 | Hornbach Holding AG & Co. KGaA | 59,697 | ||||||
22,000 | I.T, Ltd. | 3,230 | ||||||
5,100 | Idom, Inc. | 23,523 | ||||||
5,629 | Industria de Diseno Textil SA | 148,814 | ||||||
5,883 | JB Hi-Fi, Ltd. | 175,385 | ||||||
20,178 | JD Sports Fashion plc | 155,340 | ||||||
700 | JINS Holdings, Inc. | 42,515 | ||||||
1,500 | Joshin Denki Co., Ltd. | 30,074 | ||||||
26,469 | Kathmandu Holdings, Ltd. | 19,243 | ||||||
1,700 | Keiyo Co., Ltd. | 11,650 | ||||||
39,018 | Kingfisher plc | 106,583 | ||||||
900 | Kohnan Shoji Co., Ltd. | 28,416 | ||||||
1,600 | Komeri Co., Ltd. | 40,883 | ||||||
5,800 | K’s Holding Corp. | 79,371 | ||||||
2,366 | Leon’s Furniture, Ltd. | 23,252 | ||||||
1,500 | Lixil Viva Corp. | 36,322 | ||||||
15,750 | L’occitane International SA | 26,402 | ||||||
19,046 | Lookers plc | 4,955 | ||||||
20,000 | Luk Fook Holdings International, Ltd. | 43,424 | ||||||
2,347 | Matas A/S* | 20,773 | ||||||
1,681 | Mekonomen AB* | 11,894 | ||||||
2,955 | Mobilezone Holding AG | 25,655 | ||||||
3,966 | Nick Scali, Ltd.^ | 17,790 | ||||||
1,900 | Nishimatsuya Chain Co., Ltd. | 19,566 | ||||||
400 | Nitori Co., Ltd. | 78,353 | ||||||
2,300 | Nojima Corp. | 58,040 | ||||||
40,000 | Oriental Watch Holdings | 10,231 | ||||||
1,400 | Pal Group Holdings Co., Ltd. | 16,882 | ||||||
76,677 | Pendragon plc* | 8,549 | ||||||
19,618 | Pets At Home Group plc | 58,023 | ||||||
2,736 | Premier Investments, Ltd. | 32,719 |
See accompanying notes to the financial statements.
30
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
61,088 | SA SA International Holdings, Ltd. | $ | 10,259 | |||||
1,800 | Shimachu Co., Ltd. | 49,925 | ||||||
400 | Shimamura Co., Ltd. | 27,079 | ||||||
2,900 | Sleep Country Canada Holdings, Inc.(a) | 34,333 | ||||||
9,886 | Super Retail Group, Ltd. | 55,585 | ||||||
3,968 | Superdry plc | 6,937 | ||||||
900 | T-Gaia Corp. | 16,963 | ||||||
1,300 | United Arrows, Ltd. | 21,992 | ||||||
2,400 | USS Co., Ltd. | 38,348 | ||||||
240 | Valora Holding AG | 45,862 | ||||||
8,200 | VT Holdings Co., Ltd. | 26,903 | ||||||
4,080 | WHSmith plc | 55,388 | ||||||
300 | Workman Co., Ltd. | 26,363 | ||||||
800 | World Co., Ltd. | 12,166 | ||||||
700 | Xebio Holdings Co., Ltd. | 5,446 | ||||||
2,913 | XXL ASA*(a) | 5,683 | ||||||
10,200 | Yamada Denki Co., Ltd. | 50,605 | ||||||
800 | Yellow Hat, Ltd. | 11,009 | ||||||
|
| |||||||
3,364,339 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.7%): | ||||||||
6,400 | Brother Industries, Ltd. | 115,340 | ||||||
6,500 | Canon, Inc. | 129,335 | ||||||
700 | EIZO Corp. | 26,357 | ||||||
900 | Elecom Co., Ltd. | 43,914 | ||||||
2,700 | FUJIFILM Holdings Corp. | 115,546 | ||||||
19,300 | Konica Minolta, Inc. | 66,638 | ||||||
4,346 | Logitech International SA, Class R^ | 283,446 | ||||||
1,931 | Logitech International SA, Class R | 125,943 | ||||||
1,900 | Maxell Holdings, Ltd. | 17,704 | ||||||
4,900 | Mcj Co., Ltd. | 38,914 | ||||||
6,900 | NEC Corp. | 330,948 | ||||||
1,300 | Noritsu Koki Co., Ltd. | 18,061 | ||||||
1,935 | Quadient | 28,181 | ||||||
10,400 | Ricoh Co., Ltd. | 74,224 | ||||||
600 | Roland Dg Corp. | 6,858 | ||||||
2,197 | S&T AG^ | 56,222 | ||||||
7,600 | Seiko Epson Corp. | 86,975 | ||||||
1,200 | Toshiba Tec Corp. | 45,847 | ||||||
4,400 | Wacom Co., Ltd. | 22,416 | ||||||
|
| |||||||
1,632,869 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.6%): | ||||||||
1,248 | Adidas AG* | 326,474 | ||||||
3,137 | Aritzia, Inc.* | 43,933 | ||||||
3,800 | Asics Corp. | 43,255 | ||||||
1,700 | Atsugi Co., Ltd. | 9,673 | ||||||
287 | Bijou Brigitte AG* | 9,248 | ||||||
1,383 | Brunello Cucinelli SpA* | 41,039 | ||||||
6,313 | Burberry Group plc | 124,905 | ||||||
364 | Calida Holding AG* | 11,064 | ||||||
408 | Canada Goose Holdings, Inc.* | 9,453 | ||||||
893 | Chargeurs SA | 13,360 | ||||||
4,311 | Cie Financiere Richemont SA | 274,593 | ||||||
35,102 | Coats Group plc | 24,327 | ||||||
485 | Delta-Galil Industries, Ltd. | 5,565 | ||||||
829 | Fox Wizel, Ltd. | 30,576 | ||||||
2,382 | Gildan Activewear, Inc. | 36,897 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
400 | Goldwin, Inc. | $ | 26,121 | |||||
900 | Gunze, Ltd. | 33,379 | ||||||
189 | Hermes International SA | 157,731 | ||||||
2,775 | Hugo Boss AG | 83,785 | ||||||
473 | Kering | 256,898 | ||||||
1,500 | Komatsu Matere Co., Ltd. | 10,292 | ||||||
700 | Kurabo Industries, Ltd. | 14,641 | ||||||
2,443 | LVMH Moet Hennessy Louis Vuitton SA | 1,069,941 | ||||||
5,170 | Moncler SpA | 197,389 | ||||||
3,560 | New Wave Group AB* | 11,906 | ||||||
5,000 | Onward Holdings Co., Ltd. | 14,752 | ||||||
9,893 | Ovs SpA*(a) | 10,742 | ||||||
44,000 | Pacific Textiles Holdings, Ltd. | 21,299 | ||||||
4,972 | Pandora A/S | 269,942 | ||||||
12,900 | Prada SpA* | 44,724 | ||||||
1,805 | Puma SE* | 139,182 | ||||||
1,469 | Salvatore Ferragamo Italia SpA* | 19,859 | ||||||
73,200 | Samsonite International SA*(a) | 74,286 | ||||||
2,100 | Sankyo Seiko Co., Ltd. | 8,625 | ||||||
500 | Sanyo Shokai, Ltd. | 3,311 | ||||||
2,500 | Seiren Co., Ltd. | 31,561 | ||||||
17,500 | Stella International Holdings, Ltd. | 18,032 | ||||||
507 | Swatch Group AG (The), Class B | 101,046 | ||||||
1,258 | Swatch Group AG (The), Registered Shares | 49,137 | ||||||
2,999 | Ted Baker plc | 3,130 | ||||||
60,000 | Texwinca Holdings, Ltd. | 8,868 | ||||||
404 | Tod’s SpA* | 11,964 | ||||||
3,200 | Tsi Holdings Co., Ltd. | 13,769 | ||||||
5,500 | Unitika, Ltd.* | 18,123 | ||||||
2,000 | Wacoal Holdings Corp. | 36,955 | ||||||
1,100 | Yondoshi Holdings, Inc. | 18,096 | ||||||
45,514 | Yue Yuen Industrial Holdings, Ltd. | 69,562 | ||||||
|
| |||||||
3,853,410 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
1,484 | Aareal Bank AG* | 28,910 | ||||||
3,618 | Deutsche Pfandbriefbank AG*(a) | 26,364 | ||||||
615 | Equitable Group, Inc. | 32,345 | ||||||
1,100 | Firm Capital Mortgage Investment Corp. | 9,125 | ||||||
1,626 | Genworth MI Canada, Inc. | 39,782 | ||||||
16,190 | Genworth Mortgage Insurance AU | 23,214 | ||||||
2,112 | Home Capital Group, Inc.* | 31,398 | ||||||
3,861 | MyState, Ltd. | 10,490 | ||||||
9,478 | Onesavings Bank plc | 31,121 | ||||||
10,978 | Paragon Banking Group plc | 47,573 | ||||||
3,600 | Timbercreek Financial Corp. | 22,782 | ||||||
|
| |||||||
303,104 | ||||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
9,038 | British American Tobacco plc | 347,195 | ||||||
16,387 | Imperial Brands plc, Class A | 312,009 | ||||||
13,100 | Japan Tobacco, Inc. | 243,089 | ||||||
3,118 | Scandinavian Tobacco Group A/S(a) | 45,969 | ||||||
1,787 | Swedish Match AB, Class B | 125,516 | ||||||
|
| |||||||
1,073,778 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.8%): | ||||||||
2,637 | AddTech AB, Class B | 105,883 | ||||||
1,000 | Alconix Corp. | 10,788 |
See accompanying notes to the financial statements.
31
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
13,653 | Ashtead Group plc | $ | 458,887 | |||||
653 | BayWa AG* | 21,092 | ||||||
2,337 | Beijer Ref AB | 70,508 | ||||||
1,271 | Bergman & Beving AB | 9,792 | ||||||
12,500 | BOC Aviation, Ltd.(a) | 80,285 | ||||||
388 | Bossard Holding AG | 59,255 | ||||||
5,765 | Brenntag AG | 302,620 | ||||||
2,745 | Bufab AB | 28,855 | ||||||
4,067 | Bunzl plc | 109,022 | ||||||
4,000 | CanWel Building Materials Group, Ltd. | 13,054 | ||||||
70,000 | China Strategic Holdings, Ltd.* | 253 | ||||||
400 | Daiichi Jitsugyo Co., Ltd. | 13,556 | ||||||
2,280 | Diploma plc | 50,867 | ||||||
3,513 | Ferguson plc | 287,333 | ||||||
8,200 | Finning International, Inc. | 111,818 | ||||||
7,815 | Grafton Group plc | 63,829 | ||||||
1,700 | Hanwa Co., Ltd. | 31,092 | ||||||
29,424 | Howden Joinery Group plc | 201,267 | ||||||
1,598 | Imcd Group NV* | 150,008 | ||||||
1,800 | Inaba Denki Sangyo Co., Ltd. | 40,098 | ||||||
1,800 | Inabata & Co., Ltd. | 21,719 | ||||||
2,143 | Indutrade AB* | 84,549 | ||||||
9,000 | Itochu Corp. | 193,842 | ||||||
2,600 | Iwatani Corp. | 90,843 | ||||||
616 | Jacquet Metal Service | 8,103 | ||||||
500 | Japan Pulp & Paper Co., Ltd. | 18,286 | ||||||
700 | Kamei Corp. | 6,614 | ||||||
900 | Kanaden Corp. | 10,764 | ||||||
1,700 | Kanamoto Co., Ltd. | 37,135 | ||||||
3,100 | Kanematsu Corp. | 37,040 | ||||||
5,365 | Kloeckner & Co. SE* | 29,236 | ||||||
14,200 | Marubeni Corp. | 64,241 | ||||||
900 | Maruka Corp. | 16,278 | ||||||
600 | Mitani Corp. | 37,038 | ||||||
6,700 | Mitsubishi Corp. | 141,074 | ||||||
8,600 | Mitsui & Co., Ltd. | 127,185 | ||||||
1,271 | Momentum Group AB, Class B | 16,276 | ||||||
1,800 | MonotaRo Co., Ltd. | 72,106 | ||||||
4,300 | Nagase & Co., Ltd. | 53,573 | ||||||
600 | Nichiden Corp. | 13,134 | ||||||
1,100 | Nippon Steel Trading Corp. | 34,642 | ||||||
1,200 | Nishio Rent All Co., Ltd. | 24,742 | ||||||
700 | Onoken Co., Ltd. | 7,959 | ||||||
5,062 | Reece, Ltd. | 32,336 | ||||||
9,256 | Rexel SA | 105,630 | ||||||
3,492 | Richelieu Hardware, Ltd. | 74,296 | ||||||
2,804 | Russel Metals, Inc. | 33,506 | ||||||
1,200 | Seika Corp. | 13,806 | ||||||
600 | Senshu Electric Co., Ltd. | 15,828 | ||||||
2,307 | Seven Group Holdings, Ltd. | 27,500 | ||||||
38,500 | Sojitz Corp. | 83,966 | ||||||
409 | Solar A/S | 15,893 | ||||||
17,864 | Speedy Hire plc | 12,514 | ||||||
800 | Sugimoto & Co., Ltd. | 13,805 | ||||||
6,600 | Sumitomo Corp. | 75,592 | ||||||
600 | Tomoe Engineering Co., Ltd. | 10,258 | ||||||
2,572 | Toromont Industries, Ltd. | 127,652 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
3,600 | Toyota Tsushu Corp. | $ | 91,182 | |||||
8,059 | Travis Perkins plc | 112,218 | ||||||
1,000 | Trusco Nakayama Corp. | 25,895 | ||||||
800 | Wajax Corp. | 4,951 | ||||||
2,700 | Wakita & Co., Ltd. | 23,155 | ||||||
2,700 | Yamazen Corp. | 22,670 | ||||||
800 | Yuasa Trading Co., Ltd. | 21,511 | ||||||
|
| |||||||
4,310,705 | ||||||||
|
| |||||||
Transportation Infrastructure (0.5%): | ||||||||
833 | Aena SME SA*(a) | 110,886 | ||||||
496 | Aeroports de Paris | 50,848 | ||||||
6,280 | Atlantia SpA* | 100,713 | ||||||
9,083 | Atlas Arteria, Ltd. | 41,697 | ||||||
8,117 | Auckland International Airport, Ltd. | 34,331 | ||||||
4,570 | Enav SpA(a) | 20,646 | ||||||
671 | Flughafen Zuerich AG* | 87,051 | ||||||
1,452 | Fraport AG | 63,263 | ||||||
2,198 | Getlink SE | 31,675 | ||||||
2,440 | Hamburger Hafen und Logistik AG* | 41,339 | ||||||
182,200 | Hutchison Port Holdings Trust | 17,677 | ||||||
1,940 | James Fisher & Sons plc | 32,739 | ||||||
400 | Japan Airport Terminal Co., Ltd. | 17,039 | ||||||
3,500 | Kamigumi Co., Ltd. | 68,653 | ||||||
2,100 | Mitsubishi Logistics Corp. | 54,164 | ||||||
400 | Nissin Corp. | 5,627 | ||||||
5,399 | Port of Tauranga, Ltd. | 26,997 | ||||||
32,017 | Qube Holdings, Ltd. | 64,583 | ||||||
15,500 | SATS, Ltd. | 31,916 | ||||||
17,118 | Signature Aviation plc | 49,118 | ||||||
3,800 | Sumitomo Warehouse Co., Ltd. (The) | 45,614 | ||||||
9,817 | Sydney Airport | 38,480 | ||||||
11,321 | Transurban Group | 110,517 | ||||||
2,729 | Westshore Terminals Investment Corp. | 33,595 | ||||||
|
| |||||||
1,179,168 | ||||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
15,034 | Pennon Group plc | 208,181 | ||||||
4,673 | Severn Trent plc | 143,351 | ||||||
45,000 | Siic Environment Holdings, Ltd.* | 6,626 | ||||||
8,586 | United Utilities Group plc | 96,700 | ||||||
|
| |||||||
454,858 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.4%): | ||||||||
1,292 | 1&1 Drillisch AG | 33,429 | ||||||
3,670 | Cellcom Israel, Ltd.* | 14,464 | ||||||
7,390 | Freenet AG | 118,576 | ||||||
88,000 | Hutchison Telecommunications Holdings, Ltd. | 13,975 | ||||||
27,900 | KDDI Corp. | 836,638 | ||||||
5,186 | Millicom International Cellular SA, SDR | 135,544 | ||||||
12,900 | NTT DoCoMo, Inc. | 344,174 | ||||||
1,000 | Okinawa Cellular Telephone Co. | 38,250 | ||||||
2,104 | Orange Belgium SA | 34,251 | ||||||
5,106 | Partner Communications Co.* | 22,701 | ||||||
1,900 | Rogers Communications, Inc., Class B | 76,355 | ||||||
1,708 | Rogers Communications, Inc., Class B | 68,645 | ||||||
35,000 | Smartone Telecommunications Ho | 18,748 | ||||||
9,900 | Softbank Corp. | 126,028 | ||||||
24,200 | SoftBank Group Corp. | 1,219,554 |
See accompanying notes to the financial statements.
32
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
21,800 | StarHub, Ltd. | $ | 20,493 | |||||
4,847 | Tele2 AB | 64,220 | ||||||
119,823 | Vodafone Group plc | 191,034 | ||||||
|
| |||||||
3,377,079 | ||||||||
|
| |||||||
Total Common Stocks (Cost $242,976,584) | 234,465,848 | |||||||
|
| |||||||
Preferred Stocks (0.4%): | ||||||||
Automobiles (0.4%): | ||||||||
1,600 | Bayerische Motoren Werke AG (BMW), 5.85%, 5/15/20 | 77,426 | ||||||
1,645 | Porsche Automobil Holding SE, 4.33%, 5/20/20* | 94,267 | ||||||
4,515 | Volkswagen AG, 3.61%, 5/8/20* | 682,739 | ||||||
|
| |||||||
854,432 | ||||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
361 | Henkel AG & Co. KGaA, 2.24%, 4/21/20 | 33,558 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $1,223,590) | 887,990 | |||||||
|
| |||||||
Warrant (0.0%†): | ||||||||
Energy Equipment & Services (0.0%†): | ||||||||
64,038 | Ezion Holdings, Ltd., 4/6/23 | — | ||||||
|
| |||||||
Total Warrant (Cost $—) | — | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Commercial Services & Supplies (0.0%†): | ||||||||
1,838 | de La Rue plc, Expires on 7/6/20* | 455 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Rights, continued | ||||||||
Construction & Engineering (0.0%†): | ||||||||
4,290 | ACS Actividades de Construccion y Servicios SA, Expires on 7/8/20* | $ | 6,692 | |||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
47,197 | Telefonica SA, Expires on 7/2/20* | 9,284 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
18,219 | Repsol SA, Expires on 7/7/20* | 8,868 | ||||||
|
| |||||||
Specialty Retail (0.0%†): | ||||||||
1,235 | Super Retail Group, Ltd., Expires on 7/6/20* | 733 | ||||||
|
| |||||||
Total Rights (Cost $27,015) | 26,032 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.9%): | ||||||||
2,074,246 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d) | 2,074,246 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 2,074,246 | ||||||
|
| |||||||
Total Investment Securities (Cost $246,301,435) — 100.2% | 237,454,116 | |||||||
Net other assets (liabilities) — (0.2)% | (532,448 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 236,921,668 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository Receipt
CVR—Contingency Valued Rights
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, 2020. The total value of securities on loan as of June 30, 2020 was $1,970,904. |
† | Represents less than 0.05%. |
(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, 2020. 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, 2020. |
(d) | The rate represents the effective yield at June 30, 2020. |
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
33
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (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, 2020:
(Unaudited)
Country | Percentage | |||
Australia | 6.2 | % | ||
Austria | 0.4 | % | ||
Belgium | 1.1 | % | ||
Bermuda | 0.1 | % | ||
Cambodia | — | %† | ||
Canada | 9.0 | % | ||
Cayman Islands | — | %† | ||
China | 0.2 | % | ||
Colombia | — | %† | ||
Denmark | 1.9 | % | ||
Egypt | 0.1 | % | ||
European Community | — | %† | ||
Faroe Islands | — | %† | ||
Finland | 1.6 | % | ||
France | 7.6 | % | ||
Germany | 7.2 | % | ||
Hong Kong | 2.5 | % | ||
India | — | %† | ||
Indonesia | — | %† | ||
Ireland | 1.2 | % | ||
Isle of Man | 0.1 | % | ||
Israel | 0.8 | % | ||
Italy | 2.6 | % |
Country | Percentage | |||
Japan | 24.3 | % | ||
Jersey | — | %† | ||
Liechtenstein | — | %† | ||
Luxembourg | 0.4 | % | ||
Macau | — | %† | ||
Malta | — | %† | ||
Mexico | — | %† | ||
Monaco | — | %† | ||
Netherlands | 3.8 | % | ||
New Zealand | 0.5 | % | ||
Norway | 0.8 | % | ||
Peru | — | %† | ||
Portugal | 0.2 | % | ||
Russian Federation | — | %† | ||
Singapore | 1.0 | % | ||
Spain | 2.1 | % | ||
Sweden | 3.0 | % | ||
Switzerland | 8.2 | % | ||
United Arab Emirates | — | %† | ||
United Kingdom | 12.0 | % | ||
United States | 1.1 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
See accompanying notes to the financial statements.
34
AZL DFA International Core Equity Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 246,301,435 | |||
|
| ||||
Investment securities, at value(a) | $ | 237,454,116 | |||
Interest and dividends receivable | 337,009 | ||||
Foreign currency, at value (cost $504,206) | 507,010 | ||||
Receivable for investments sold | 1,899,436 | ||||
Reclaims receivable | 980,417 | ||||
Prepaid expenses | 456 | ||||
|
| ||||
Total Assets | 241,178,444 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 1,094,120 | ||||
Payable for investments purchased | 799,919 | ||||
Payable for capital shares redeemed | 21,620 | ||||
Payable for collateral received on loaned securities | 2,074,246 | ||||
Manager fees payable | 150,790 | ||||
Administration fees payable | 5,472 | ||||
Distribution fees payable | 50,263 | ||||
Custodian fees payable | 18,917 | ||||
Administrative and compliance services fees payable | 554 | ||||
Transfer agent fees payable | 1,399 | ||||
Trustee fees payable | 3,324 | ||||
Other accrued liabilities | 36,152 | ||||
|
| ||||
Total Liabilities | 4,256,776 | ||||
|
| ||||
Net Assets | $ | 236,921,668 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 242,429,681 | |||
Total distributable earnings | (5,508,013 | ) | |||
|
| ||||
Net Assets | $ | 236,921,668 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 26,069,461 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.09 | |||
|
|
(a) | Includes securities on loan of $1,970,904. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,973,191 | |||
Income from securities lending | 23,367 | ||||
Foreign withholding tax | (480,586 | ) | |||
|
| ||||
Total Investment Income | 3,515,972 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,149,552 | ||||
Administration fees | 58,307 | ||||
Distribution fees | 302,513 | ||||
Custodian fees | 47,920 | ||||
Administrative and compliance services fees | 2,515 | ||||
Transfer agent fees | 3,073 | ||||
Trustee fees | 8,038 | ||||
Professional fees | 7,086 | ||||
Shareholder reports | 4,125 | ||||
Other expenses | 36,734 | ||||
|
| ||||
Total expenses before reductions | 1,619,863 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (242,012 | ) | |||
|
| ||||
Net expenses | 1,377,851 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,138,121 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | (3,516,319 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (34,212,456 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (37,728,775 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (35,590,654 | ) | ||
|
|
See accompanying notes to the financial statements.
35
AZL DFA International Core Equity Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,138,121 | $ | 5,673,610 | ||||||
Net realized gains/(losses) on investments | (3,516,319 | ) | (689,954 | ) | ||||||
Change in unrealized appreciation/depreciation on investments | (34,212,456 | ) | 45,781,004 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (35,590,654 | ) | 50,764,660 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (12,489,056 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (12,489,056 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 28,471,016 | 2,153,591 | ||||||||
Proceeds from dividends reinvested | — | 12,489,056 | ||||||||
Value of shares redeemed | (31,844,975 | ) | (30,075,836 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (3,373,959 | ) | (15,433,189 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (38,964,613 | ) | 22,842,415 | |||||||
Net Assets: | ||||||||||
Beginning of period | 275,886,281 | 253,043,866 | ||||||||
|
|
|
| |||||||
End of period | $ | 236,921,668 | $ | 275,886,281 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 3,619,610 | 216,549 | ||||||||
Dividends reinvested | — | 1,303,659 | ||||||||
Shares redeemed | (3,637,633 | ) | (2,929,634 | ) | ||||||
|
|
|
| |||||||
Change in shares | (18,023 | ) | (1,409,426 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
36
AZL DFA International Core Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 24, 2015 to December 31, 2015(a) | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.58 | $ | 9.20 | $ | 11.46 | $ | 9.21 | $ | 9.03 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.08 | (b) | 0.21 | (b) | 0.17 | 0.19 | 0.11 | 0.08 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.57 | ) | 1.65 | (2.16 | ) | 2.21 | 0.17 | (1.05 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.49 | ) | 1.86 | (1.99 | ) | 2.40 | 0.28 | (0.97 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.21 | ) | (0.15 | ) | (0.10 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.33 | ) | (0.06 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.48 | ) | (0.27 | ) | (0.15 | ) | (0.10 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 9.09 | $ | 10.58 | $ | 9.20 | $ | 11.46 | $ | 9.21 | $ | 9.03 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (14.08 | )%(d) | 20.72 | % | (17.65 | )% | 26.09 | % | 3.17 | % | (9.70 | )%(d) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 236,922 | $ | 275,886 | $ | 253,044 | $ | 258,959 | $ | 252,697 | $ | 170,273 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 1.77 | % | 2.09 | % | 1.63 | % | 1.48 | % | 1.62 | % | 1.19 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 1.34 | % | 1.33 | % | 1.38 | % | 1.41 | % | 1.39 | % | 1.39 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 1.14 | % | 1.13 | % | 1.18 | % | 1.21 | % | 1.19 | % | 1.19 | % | ||||||||||||||||||
Portfolio Turnover Rate | 13 | %(d) | 6 | % | 20 | % | 4 | % | 11 | % | 4 | %(d) |
(a) | For the period April 27, 2015 (commencement of share class) to December 31, 2015. |
(b) | Calculated using the average shares method. |
(c) | 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. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
37
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
38
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $2,320 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,074,246 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2021.
For the period ended June 30, 2020, 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, 2020, 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 SEC. 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
39
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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, 2020, $1,024 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 33,382,313 | $ | 201,083,535 | $ | — | # | $ | 234,465,848 | |||||||||||
Preferred Stocks+ | — | 887,990 | — | 887,990 | ||||||||||||||||
Warrants+ | — | — | # | — | — | |||||||||||||||
Rights+ | 24,844 | 1,188 | — | 26,032 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 2,074,246 | — | — | 2,074,246 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 35,481,403 | $ | 201,972,713 | $ | — | $ | 237,454,116 | ||||||||||||
|
|
|
|
|
|
|
|
+ | 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, 2020. |
40
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 30,551,849 | $ | 31,168,501 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $251,163,724. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 51,251,250 | ||
Unrealized (depreciation) | (26,605,659 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 24,645,591 | ||
|
|
As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL DFA International Core Equity Fund | $ | — | $ | 801,699 | $ | 801,699 |
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA International Core Equity Fund | $ | 4,021,220 | $ | 8,467,836 | $ | 12,489,056 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 6,243,461 | $ | — | $ | (801,699 | ) | $ | 24,640,878 | $ | 30,082,640 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and mark-to-market of futures contracts. |
41
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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.
42
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-PORT. 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.
43
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
44
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® DFA U.S. Core Equity Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 23 |
Page 23 |
Statements of Changes in Net Assets Page 24 |
Page 25 |
Notes to the Financial Statements Page 26 |
Page 30 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 1,000.00 | $ | 932.70 | $ | 4.08 | 0.85 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 1,000.00 | $ | 1,020.64 | $ | 4.27 | 0.85 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 25.1 | % | |||
Financials | 12.8 | ||||
Health Care | 12.6 | ||||
Consumer Discretionary | 12.6 | ||||
Industrials | 11.6 | ||||
Communication Services | 8.2 | ||||
Consumer Staples | 6.5 | ||||
Materials | 3.9 | ||||
Energy | 3.2 | ||||
Utilities | 2.9 | ||||
Real Estate | 0.2 | ||||
|
| ||||
Total Common Stocks | 99.6 | ||||
Rights | — | † | |||
Short-Term Securities Held as Collateral for Securities on Loan | 0.8 | ||||
Unaffiliated Investment Companies | 0.4 | ||||
|
| ||||
Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.6%): | ||||||||
Aerospace & Defense (1.4%): | ||||||||
1,810 | AAR Corp. | $ | 37,413 | |||||
3,468 | Aerojet Rocketdyne Holdings, Inc.* | 137,472 | ||||||
1,163 | AeroVironment, Inc.* | 92,610 | ||||||
712 | Astronics Corp.* | 7,519 | ||||||
415 | Astronics Corp., Class B*^ | 3,984 | ||||||
1,281 | Axon Enterprise, Inc.* | 125,705 | ||||||
5,356 | Boeing Co. (The) | 981,754 | ||||||
3,220 | BWX Technologies, Inc. | 182,381 | ||||||
685 | CPI Aerostructures, Inc.* | 2,254 | ||||||
1,202 | Cubic Corp. | 57,732 | ||||||
1,891 | Curtiss-Wright Corp. | 168,828 | ||||||
625 | Ducommun, Inc.* | 21,794 | ||||||
3,182 | General Dynamics Corp. | 475,582 | ||||||
769 | HEICO Corp. | 76,631 | ||||||
1,407 | HEICO Corp., Class A | 114,305 | ||||||
3,113 | Hexcel Corp. | 140,770 | ||||||
12,010 | Howmet Aerospace, Inc.* | 190,359 | ||||||
1,188 | Huntington Ingalls Industries, Inc. | 207,294 | ||||||
4,471 | Kratos Defense & Security Solutions, Inc.* | 69,882 | ||||||
1,779 | L3harris Technologies, Inc. | 301,843 | ||||||
3,152 | Lockheed Martin Corp. | 1,150,227 | ||||||
1,378 | Mercury Systems, Inc.* | 108,393 | ||||||
913 | Moog, Inc., Class A | 48,371 | ||||||
343 | National Presto Industries, Inc. | 29,975 | ||||||
1,970 | Northrop Grumman Corp. | 605,656 | ||||||
953 | Park Aerospace Corp., Class C | 10,616 | ||||||
15,464 | Raytheon Technologies Corp. | 952,891 | ||||||
2,910 | Spirit AeroSystems Holdings, Inc., Class A | 69,665 | ||||||
495 | Teledyne Technologies, Inc.* | 153,920 | ||||||
6,294 | Textron, Inc. | 207,136 | ||||||
521 | TransDigm Group, Inc. | 230,308 | ||||||
1,258 | Triumph Group, Inc. | 11,335 | ||||||
741 | Vectrus, Inc.* | 36,405 | ||||||
|
| |||||||
7,011,010 | ||||||||
|
| |||||||
Air Freight & Logistics (0.4%): | ||||||||
3,741 | Air Transport Services Group, Inc.* | 83,312 | ||||||
1,400 | Atlas Air Worldwide Holdings, Inc.* | 60,242 | ||||||
3,474 | C.H. Robinson Worldwide, Inc. | 274,654 | ||||||
1,026 | Echo Global Logistics, Inc.* | 22,182 | ||||||
3,087 | Expeditors International of Washington, Inc. | 234,735 | ||||||
3,417 | FedEx Corp. | 479,132 | ||||||
1,079 | Forward Air Corp. | 53,756 | ||||||
1,993 | Hub Group, Inc., Class A* | 95,385 | ||||||
3,266 | Radiant Logistics, Inc.* | 12,835 | ||||||
9,001 | United Parcel Service, Inc., Class B | 1,000,732 | ||||||
3,784 | XPO Logistics, Inc.* | 292,314 | ||||||
|
| |||||||
2,609,279 | ||||||||
|
| |||||||
Airlines (0.5%): | ||||||||
5,679 | Alaska Air Group, Inc. | 205,921 | ||||||
858 | Allegiant Travel Co. | 93,702 | ||||||
11,473 | American Airlines Group, Inc. | 149,952 | ||||||
1,140 | Copa Holdings SA, Class A | 57,638 | ||||||
14,911 | Delta Air Lines, Inc. | 418,254 | ||||||
2,644 | Hawaiian Holdings, Inc. | 37,122 | ||||||
12,051 | JetBlue Airways Corp.* | 131,356 | ||||||
2,917 | SkyWest, Inc. | 95,153 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Airlines, continued | ||||||||
14,880 | Southwest Airlines Co. | $ | 508,597 | |||||
3,618 | Spirit Airlines, Inc.*^ | 64,400 | ||||||
8,455 | United Airlines Holdings, Inc.* | 292,628 | ||||||
|
| |||||||
2,054,723 | ||||||||
|
| |||||||
Auto Components (0.6%): | ||||||||
2,780 | Adient plc* | 45,648 | ||||||
8,138 | American Axle & Manufacturing Holdings, Inc.* | 61,849 | ||||||
6,524 | Aptiv plc | 508,350 | ||||||
4,085 | Autoliv, Inc. | 263,523 | ||||||
8,940 | BorgWarner, Inc. | 315,581 | ||||||
2,411 | Cooper Tire & Rubber Co. | 66,568 | ||||||
1,256 | Cooper-Standard Holding, Inc.* | 16,642 | ||||||
7,352 | Dana, Inc. | 89,621 | ||||||
2,123 | Delphi Technologies plc* | 30,168 | ||||||
1,395 | Dorman Products, Inc.* | 93,563 | ||||||
1,599 | Fox Factory Holding Corp.* | 132,093 | ||||||
1,259 | Garrett Motion, Inc.* | 6,975 | ||||||
9,071 | Gentex Corp. | 233,760 | ||||||
1,620 | Gentherm, Inc.* | 63,018 | ||||||
10,334 | Goodyear Tire & Rubber Co. | 92,438 | ||||||
1,365 | Horizon Global Corp.* | 3,003 | ||||||
1,015 | LCI Industries | 116,705 | ||||||
2,642 | Lear Corp. | 288,031 | ||||||
3,637 | Modine Manufacturing Co.* | 20,076 | ||||||
1,190 | Motorcar Parts of America, Inc.* | 21,027 | ||||||
1,436 | Standard Motor Products, Inc. | 59,163 | ||||||
1,582 | Stoneridge, Inc.* | 32,684 | ||||||
275 | Strattec Security Corp. | 4,384 | ||||||
3,917 | Tenneco, Inc.* | 29,613 | ||||||
3,249 | Veoneer, Inc.*^ | 34,732 | ||||||
986 | Visteon Corp.* | 67,541 | ||||||
1,621 | VOXX International Corp.* | 9,369 | ||||||
|
| |||||||
2,706,125 | ||||||||
|
| |||||||
Automobiles (0.6%): | ||||||||
79,474 | Ford Motor Co. | 483,202 | ||||||
28,639 | General Motors Co. | 724,567 | ||||||
7,220 | Harley-Davidson, Inc. | 171,619 | ||||||
1,011 | Tesla, Inc.* | 1,091,688 | ||||||
1,652 | Winnebago Industries, Inc. | 110,056 | ||||||
|
| |||||||
2,581,132 | ||||||||
|
| |||||||
Banks (4.9%): | ||||||||
1,278 | 1st Source Corp. | 45,471 | ||||||
504 | ACNB Corp. | 13,195 | ||||||
954 | Allegiance Bancshares, Inc. | 24,222 | ||||||
661 | American National Bankshares, Inc. | 16,551 | ||||||
587 | American River Bankshares | 6,281 | ||||||
2,629 | Ameris Bancorp | 62,018 | ||||||
704 | Ames National Corp. | 13,897 | ||||||
958 | Arrow Financial Corp. | 28,481 | ||||||
5,524 | Associated Banc-Corp. | 75,568 | ||||||
1,160 | Atlantic Capital Bancshares, Inc.* | 14,106 | ||||||
4,019 | Atlantic Union Bankshares Corp. | 93,080 | ||||||
2,876 | Banc of California, Inc. | 31,147 | ||||||
1,639 | BancFirst Corp. | 66,494 | ||||||
2,831 | Bancorp, Inc. (The)* | 27,744 | ||||||
2,523 | BancorpSouth Bank | 57,373 |
See accompanying notes to the financial statements.
2
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
79,802 | Bank of America Corp. | $ | 1,895,297 | |||||
899 | Bank of Commerce Holdings | 6,814 | ||||||
1,489 | Bank of Hawaii Corp. | 91,439 | ||||||
902 | Bank of Marin Bancorp | 30,064 | ||||||
2,800 | Bank of Nt Butterfield & Son, Ltd. (The) | 68,292 | ||||||
4,810 | Bank OZK | 112,891 | ||||||
2,950 | BankUnited, Inc. | 59,738 | ||||||
1,829 | Banner Corp. | 69,502 | ||||||
1,189 | Bar Harbor Bankshares | 26,622 | ||||||
842 | BCB Bancorp, Inc. | 7,814 | ||||||
2,598 | Berkshire Hills Bancorp, Inc. | 28,630 | ||||||
2,016 | BOK Financial Corp. | 113,783 | ||||||
5,245 | Boston Private Financial Holdings, Inc. | 36,086 | ||||||
668 | Bridge Bancorp, Inc. | 15,257 | ||||||
5,107 | Brookline Bancorp, Inc. | 51,479 | ||||||
1,162 | Bryn Mawr Bank Corp. | 32,141 | ||||||
977 | Byline BanCorp, Inc. | 12,799 | ||||||
74 | C&F Financial Corp. | 2,461 | ||||||
5,075 | Cadence Bancorp | 44,965 | ||||||
843 | Camden National Corp. | 29,117 | ||||||
1,309 | Capital City Bank Group, Inc. | 27,424 | ||||||
3,399 | Cathay General Bancorp | 89,394 | ||||||
1,225 | CBTX, Inc. | 25,725 | ||||||
1,402 | Central Pacific Financial Corp. | 22,474 | ||||||
933 | Central Valley Community Bancorp | 14,359 | ||||||
273 | Century Bancorp, Inc. | 21,218 | ||||||
377 | Chemung Financial Corp. | 10,292 | ||||||
2,299 | CIT Group, Inc. | 47,658 | ||||||
21,616 | Citigroup, Inc. | 1,104,577 | ||||||
943 | Citizens & Northern Corp. | 19,473 | ||||||
8,004 | Citizens Financial Group, Inc. | 202,021 | ||||||
552 | Citizens Holding Co. | 13,800 | ||||||
904 | City Holding Co. | 58,914 | ||||||
938 | Civista Bancshares, Inc. | 14,445 | ||||||
735 | CNB Financial Corp. | 13,179 | ||||||
85 | Codorus Valley Bancorp, Inc. | 1,176 | ||||||
56 | Colony Bankcorp, Inc. | 659 | ||||||
3,326 | Columbia Banking System, Inc. | 94,275 | ||||||
4,900 | Comerica, Inc. | 186,690 | ||||||
3,237 | Commerce Bancshares, Inc. | 192,504 | ||||||
1,393 | Community Bank System, Inc. | 79,429 | ||||||
1,325 | Community Trust Bancorp, Inc. | 43,407 | ||||||
2,266 | ConnectOne Bancorp, Inc. | 36,528 | ||||||
1,845 | Cullen/Frost Bankers, Inc. | 137,840 | ||||||
1,643 | Customers Bancorp, Inc.* | 19,749 | ||||||
5,350 | CVB Financial Corp. | 100,259 | ||||||
1,882 | Eagle Bancorp, Inc. | 61,636 | ||||||
4,679 | East West Bancorp, Inc. | 169,567 | ||||||
1,229 | Enterprise Financial Services Corp. | 38,246 | ||||||
682 | Equity Bancshares, Inc.* | 11,894 | ||||||
312 | Evans Bancorp, Inc. | 7,257 | ||||||
13,238 | F.N.B. Corp. | 99,285 | ||||||
1,329 | Farmers National Banc Corp. | 15,762 | ||||||
1,542 | FB Financial Corp. | 38,195 | ||||||
11,843 | Fifth Third Bancorp | 228,333 | ||||||
1,053 | Financial Institutions, Inc. | 19,596 | ||||||
752 | First Bancorp | 18,860 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
10,711 | First Bancorp | $ | 59,874 | |||||
814 | First Bancorp, Inc. | 17,664 | ||||||
611 | First Bancshares, Inc. (The) | 13,748 | ||||||
2,931 | First Busey Corp. | 54,663 | ||||||
664 | First Business Financial Services, Inc. | 10,923 | ||||||
365 | First Citizens BancShares, Inc., Class A | 147,832 | ||||||
5,424 | First Commonwealth Financial Corp. | 44,911 | ||||||
1,419 | First Community Bankshares | 31,857 | ||||||
5,037 | First Financial Bancorp | 69,964 | ||||||
4,532 | First Financial Bankshares, Inc. | 130,929 | ||||||
536 | First Financial Corp. | 19,746 | ||||||
733 | First Financial Northwest, Inc. | 7,103 | ||||||
1,996 | First Foundation, Inc. | 32,615 | ||||||
1,512 | First Hawaiian, Inc. | 26,067 | ||||||
11,600 | First Horizon National Corp. | 115,536 | ||||||
1,244 | First Interstate BancSystem, Class A | 38,514 | ||||||
1,606 | First Merchants Corp. | 44,277 | ||||||
660 | First Mid Bancshares, Inc. | 17,312 | ||||||
4,022 | First Midwest Bancorp, Inc. | 53,694 | ||||||
1,573 | First of Long Island Corp. (The) | 25,703 | ||||||
2,517 | First Republic Bank | 266,777 | ||||||
2,253 | Flushing Financial Corp. | 25,955 | ||||||
322 | Franklin Financial Network, Inc. | 8,292 | ||||||
5,044 | Fulton Financial Corp. | 53,113 | ||||||
1,315 | German American Bancorp, Inc. | 40,897 | ||||||
3,017 | Glacier Bancorp, Inc. | 106,470 | ||||||
1,035 | Great Southern Bancorp, Inc. | 41,773 | ||||||
2,353 | Great Western Bancorp, Inc. | 32,377 | ||||||
4,107 | Hancock Whitney Corp. | 87,068 | ||||||
2,408 | Hanmi Financial Corp. | 23,382 | ||||||
3,310 | HarborOne BanCorp, Inc.* | 28,267 | ||||||
43 | Hawthorn Bancshares, Inc. | 840 | ||||||
1,853 | Heartland Financial USA, Inc. | 61,964 | ||||||
1,197 | Heritage Financial Corp. | 23,940 | ||||||
2,010 | Hertiage Commerce Corp. | 15,085 | ||||||
5,680 | Hilltop Holdings, Inc. | 104,796 | ||||||
4,922 | Home Bancshares, Inc. | 75,700 | ||||||
1,540 | Hometrust Bancshares, Inc. | 24,640 | ||||||
6,189 | Hope BanCorp, Inc. | 57,063 | ||||||
2,112 | Horizon Bancorp | 22,577 | ||||||
17,399 | Huntington Bancshares, Inc. | 157,200 | ||||||
1,730 | IBERIABANK Corp. | 78,784 | ||||||
855 | Independent Bank Corp. | 12,697 | ||||||
929 | Independent Bank Corp. | 62,327 | ||||||
2,071 | Independent Bank Group, Inc. | 83,917 | ||||||
3,359 | International Bancshares Corp. | 107,555 | ||||||
10,187 | Investors Bancorp, Inc. | 86,590 | ||||||
44,571 | JPMorgan Chase & Co. | 4,192,347 | ||||||
16,447 | KeyCorp | 200,324 | ||||||
2,859 | Lakeland Bancorp, Inc. | 32,678 | ||||||
1,656 | Lakeland Financial Corp. | 77,153 | ||||||
501 | Landmark Bancorp, Inc. | 12,380 | ||||||
712 | LCNB Corp. | 11,364 | ||||||
2,207 | Live Oak Bancshares, Inc. | 32,024 | ||||||
2,533 | M&T Bank Corp. | 263,356 | ||||||
2,571 | Macatawa Bank Corp. | 20,105 | ||||||
1,293 | Mercantile Bank Corp. | 29,222 |
See accompanying notes to the financial statements.
3
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
241 | Midland States BanCorp, Inc. | $ | 3,603 | |||||
638 | MidWestone Financial Group, Inc. | 12,760 | ||||||
1,805 | National Bank Holdings Corp. | 48,735 | ||||||
514 | National Bankshares, Inc. | 14,700 | ||||||
2,353 | NBT Bancorp, Inc. | 72,378 | ||||||
373 | Nicolet Bankshares, Inc.* | 20,440 | ||||||
510 | Northrim Bancorp, Inc. | 12,821 | ||||||
511 | Norwood Financial Corp. | 12,668 | ||||||
3,309 | OFG Bancorp | 44,241 | ||||||
440 | Ohio Valley Banc Corp. | 9,922 | ||||||
7,959 | Old National Bancorp | 109,516 | ||||||
2,225 | Old Second Bancorp, Inc. | 17,311 | ||||||
550 | Origin Bancorp, Inc. | 12,100 | ||||||
638 | Orrstown Financial Services, Inc. | 9,411 | ||||||
1,205 | Pacific Mercantile Bancorp* | 4,410 | ||||||
4,841 | Pacific Premier Bancorp, Inc. | 104,953 | ||||||
2,447 | PacWest Bancorp | 48,230 | ||||||
784 | Park National Corp. | 55,178 | ||||||
1,165 | Peapack-Gladstone Financial Corp. | 21,820 | ||||||
546 | Penns Woods Bancorp, Inc. | 12,400 | ||||||
608 | Peoples Bancorp of NC | 10,743 | ||||||
1,361 | Peoples Bancorp, Inc. | 28,962 | ||||||
11,228 | People’s United Financial, Inc. | 129,908 | ||||||
749 | People’s Utah BanCorp | 16,830 | ||||||
2,297 | Pinnacle Financial Partners, Inc. | 96,451 | ||||||
4,662 | PNC Financial Services Group, Inc. (The) | 490,489 | ||||||
2,484 | Popular, Inc. | 92,331 | ||||||
878 | Preferred Bank Los Angeles | 37,622 | ||||||
945 | Premier Financial Bancorp, Inc. | 12,115 | ||||||
2,791 | Prosperity Bancshares, Inc. | 165,730 | ||||||
606 | QCR Holdings, Inc. | 18,895 | ||||||
487 | Rbb BanCorp | 6,648 | ||||||
17,681 | Regions Financial Corp. | 196,613 | ||||||
2,997 | Renasant Co. | 74,625 | ||||||
1,417 | Republic Bancorp, Inc., Class A | 46,350 | ||||||
1,468 | S & T Bancorp, Inc. | 34,425 | ||||||
148 | Salisbury Bancorp, Inc. | 6,067 | ||||||
1,838 | Sandy Spring Bancorp, Inc. | 45,546 | ||||||
1,879 | Seacoast Banking Corp of Florida* | 38,332 | ||||||
1,252 | Select Bancorp, Inc.* | 10,191 | ||||||
2,629 | ServisFirst Bancshares, Inc. | 94,013 | ||||||
1,113 | Shore Bancshares, Inc. | 12,343 | ||||||
1,028 | Sierra Bancorp | 19,409 | ||||||
1,436 | Signature Bank | 153,537 | ||||||
4,534 | Simmons First National Corp., Class A | 77,577 | ||||||
2,840 | South State Corp. | 135,354 | ||||||
2,003 | Southern National Bancorp | 19,409 | ||||||
2,264 | Southside Bancshares, Inc. | 62,758 | ||||||
7,203 | Sterling Bancorp | 84,419 | ||||||
1,432 | Stock Yards Bancorp, Inc. | 57,566 | ||||||
557 | Summit Financial Group, Inc. | 9,179 | ||||||
1,102 | SVB Financial Group* | 237,514 | ||||||
5,125 | Synovus Financial Corp. | 105,216 | ||||||
5,120 | TCF Financial Corp. | 150,630 | ||||||
1,633 | Texas Capital Bancshares, Inc.* | 50,411 | ||||||
490 | Tompkins Financial Corp. | 31,737 | ||||||
3,776 | TowneBank | 71,140 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
1,726 | TriCo Bancshares | $ | 52,557 | |||||
2,154 | Tristate Capital Holdings, Inc.* | 33,839 | ||||||
1,501 | Triumph BanCorp, Inc.* | 36,429 | ||||||
13,838 | Truist Financial Corp. | 519,617 | ||||||
3,028 | Trustmark Corp. | 74,247 | ||||||
20,169 | U.S. Bancorp | 742,623 | ||||||
2,075 | UMB Financial Corp. | 106,966 | ||||||
6,312 | Umpqua Holdings Corp. | 67,160 | ||||||
5,281 | United Bankshares, Inc. | 146,072 | ||||||
3,244 | United Community Banks, Inc. | 65,269 | ||||||
1,190 | United Security Bancshares | 7,961 | ||||||
42 | Unity Bancorp, Inc. | 601 | ||||||
1,914 | Univest Financial Corp. | 30,892 | ||||||
13,568 | Valley National Bancorp | 106,102 | ||||||
1,113 | Washington Trust Bancorp | 36,451 | ||||||
2,517 | Webster Financial Corp. | 72,011 | ||||||
40,035 | Wells Fargo & Co. | 1,024,895 | ||||||
2,998 | WesBanco, Inc. | 60,889 | ||||||
1,062 | West Bancorp | 18,574 | ||||||
1,287 | Westamerica Bancorp | 73,900 | ||||||
3,900 | Western Alliance Bancorp | 147,693 | ||||||
2,102 | Wintrust Financial Corp. | 91,689 | ||||||
5,488 | Zions Bancorp | 186,592 | ||||||
|
| |||||||
21,402,561 | ||||||||
|
| |||||||
Beverages (1.5%): | ||||||||
225 | Boston Beer Co., Inc. (The), Class A*^ | 120,746 | ||||||
1,105 | Brown-Forman Corp., Class A | 63,615 | ||||||
4,134 | Brown-Forman Corp., Class B | 263,170 | ||||||
48,072 | Coca-Cola Co. (The) | 2,147,857 | ||||||
285 | Coca-Cola Consolidated, Inc. | 65,319 | ||||||
1,420 | Constellation Brands, Inc., Class C | 248,429 | ||||||
787 | Craft Brewers Alliance, Inc.* | 12,112 | ||||||
2,891 | Keurig Dr Pepper, Inc. | 82,104 | ||||||
615 | MGP Ingredients, Inc. | 22,574 | ||||||
3,243 | Molson Coors Brewing Co., Class B | 111,429 | ||||||
4,050 | Monster Beverage Corp.* | 280,746 | ||||||
1,132 | National Beverage Corp.* | 69,075 | ||||||
22,776 | PepsiCo, Inc. | 3,012,354 | ||||||
|
| |||||||
6,499,530 | ||||||||
|
| |||||||
Biotechnology (2.7%): | ||||||||
18,635 | AbbVie, Inc. | 1,829,585 | ||||||
2,144 | ACADIA Pharmaceuticals, Inc.* | 103,920 | ||||||
737 | Acceleron Pharma, Inc.* | 70,214 | ||||||
3,866 | Acorda Therapeutics, Inc.* | 2,840 | ||||||
3,964 | Adverum Biotechnologies, Inc.* | 82,768 | ||||||
436 | Agios Pharmaceuticals, Inc.* | 23,317 | ||||||
7,184 | Akebia Therapeutics, Inc.* | 97,559 | ||||||
3,713 | Alexion Pharmaceuticals, Inc.* | 416,747 | ||||||
1,012 | Alkermes plc* | 19,638 | ||||||
959 | Alnylam Pharmaceuticals, Inc.* | 142,037 | ||||||
2,354 | AMAG Pharmaceuticals, Inc.* | 18,008 | ||||||
8,202 | Amgen, Inc. | 1,934,525 | ||||||
955 | AnaptysBio, Inc.* | 21,335 | ||||||
2,151 | Arena Pharmaceuticals, Inc.* | 135,405 | ||||||
1,753 | Arrowhead Pharmaceuticals, Inc.* | 75,712 | ||||||
1,907 | Atara Biotherapeutics, Inc.* | 27,785 |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
898 | Avrobio, Inc.* | $ | 15,670 | |||||
3,613 | Biogen, Inc.* | 966,658 | ||||||
2,087 | BioMarin Pharmaceutical, Inc.* | 257,411 | ||||||
1,469 | Bluebird Bio, Inc.* | 89,668 | ||||||
718 | Concert Pharmaceuticals, Inc.* | 7,144 | ||||||
1,545 | Deciphera Pharmaceuticals, Inc.* | 92,267 | ||||||
1,534 | Denali Therapeutics, Inc.*^ | 37,092 | ||||||
233 | Eagle Pharmaceuticals, Inc.* | 11,179 | ||||||
1,656 | Emergent Biosolutions, Inc.* | 130,956 | ||||||
1,013 | Enanta Pharmaceuticals, Inc.* | 50,863 | ||||||
2,306 | Epizyme, Inc.* | 37,034 | ||||||
1,906 | Exact Sciences Corp.* | 165,708 | ||||||
9,933 | Exelixis, Inc.* | 235,809 | ||||||
1,444 | Fibrogen, Inc.* | 58,525 | ||||||
2,400 | Five Prime Therapeutics, Inc.* | 14,640 | ||||||
1,432 | G1 Therapeutics, Inc.* | 34,740 | ||||||
16,406 | Gilead Sciences, Inc. | 1,262,278 | ||||||
1,929 | Global Blood Therapeutics, Inc.* | 121,778 | ||||||
779 | Glycomimetics Industries* | 2,929 | ||||||
1,961 | Incyte Corp.* | 203,885 | ||||||
953 | Insmed, Inc.* | 26,246 | ||||||
2,177 | Intellia Therapeutics, Inc.*^ | 45,761 | ||||||
1,964 | Ionis Pharmaceuticals, Inc.* | 115,797 | ||||||
4,399 | Ironwood Pharmaceuticals, Inc.* | 45,398 | ||||||
1,605 | Karyopharm Therapeutics, Inc.* | 30,399 | ||||||
1,263 | Kura Oncology, Inc.* | 20,587 | ||||||
526 | Ligand Pharmaceuticals, Inc., Class B* | 58,833 | ||||||
1,449 | Macrogenics, Inc.* | 40,456 | ||||||
194 | Madrigal Pharmaceuticals, Inc.* | 21,971 | ||||||
4,868 | Momenta Pharmaceuticals, Inc.* | 161,958 | ||||||
3,689 | Myriad Genetics, Inc.* | 41,833 | ||||||
715 | Neurocrine Biosciences, Inc.* | 87,230 | ||||||
1,522 | ObsEva SA* | 8,965 | ||||||
10,235 | OPKO Health, Inc.*^ | 34,901 | ||||||
9,565 | PDL BioPharma, Inc.* | 27,834 | ||||||
1,720 | Prothena Corp. plc* | 17,991 | ||||||
687 | Regeneron Pharmaceuticals, Inc.* | 428,448 | ||||||
1,384 | REGENXBIO, Inc.* | 50,973 | ||||||
1,271 | Repligen Corp.* | 157,108 | ||||||
1,882 | Retrophin, Inc.* | 38,412 | ||||||
1,053 | Rhythm Pharmaceuticals, Inc.* | 23,482 | ||||||
2,600 | Rocket Pharmaceuticals, Inc.* | 54,418 | ||||||
1,793 | Sage Therapeutics, Inc.* | 74,553 | ||||||
6,888 | Sangamo Therapeutics, Inc.* | 61,716 | ||||||
660 | Sarepta Therapeutics, Inc.* | 105,824 | ||||||
1,210 | Seattle Genetics, Inc.* | 205,603 | ||||||
2,126 | Spectrum Pharmaceuticals, Inc.* | 7,186 | ||||||
1,104 | Ultragenyx Pharmaceutical, Inc.* | 86,355 | ||||||
1,559 | United Therapeutics Corp.* | 188,639 | ||||||
2,321 | Vanda Pharmaceuticals, Inc.* | 26,552 | ||||||
1,880 | Vertex Pharmaceuticals, Inc.* | 545,783 | ||||||
2,446 | Xencor, Inc.* | 79,226 | ||||||
|
| |||||||
11,718,067 | ||||||||
|
| |||||||
Building Products (0.8%): | ||||||||
3,264 | A.O. Smith Corp. | 153,800 | ||||||
1,915 | AAON, Inc. | 103,965 | ||||||
2,557 | Advanced Drainage Systems, Inc. | 126,316 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
1,795 | Allegion plc | $ | 183,485 | |||||
938 | American Woodmark Corp.* | 70,960 | ||||||
1,085 | Apogee Enterprises, Inc. | 24,998 | ||||||
1,778 | Armstrong Flooring, Inc.* | 5,316 | ||||||
1,537 | Armstrong World Industries, Inc. | 119,825 | ||||||
5,385 | Builders FirstSource, Inc.* | 111,470 | ||||||
9,689 | Carrier Global Corp. | 215,290 | ||||||
3,362 | Cornerstone Building Brands, Inc.* | 20,374 | ||||||
889 | Csw Industrials, Inc. | 61,439 | ||||||
3,634 | Fortune Brands Home & Security, Inc. | 232,322 | ||||||
1,576 | Gibraltar Industries, Inc.* | 75,664 | ||||||
2,893 | Griffon Corp. | 53,578 | ||||||
1,209 | Insteel Industries, Inc. | 23,056 | ||||||
4,386 | Jeld-Wen Holding, Inc.* | 70,658 | ||||||
11,473 | Johnson Controls International plc | 391,687 | ||||||
617 | Lennox International, Inc. | 143,755 | ||||||
3,994 | Masco Corp. | 200,539 | ||||||
1,451 | Masonite International Corp.* | 112,859 | ||||||
3,117 | Owens Corning | 173,804 | ||||||
1,648 | Patrick Industries, Inc. | 100,940 | ||||||
3,615 | PGT Innovations, Inc.* | 56,683 | ||||||
1,925 | Quanex Building Products Corp. | 26,719 | ||||||
5,228 | Resideo Technologies, Inc.* | 61,272 | ||||||
1,453 | Simpson Manufacturing Co., Inc. | 122,575 | ||||||
3,025 | Trane Technologies plc | 269,164 | ||||||
1,627 | Trex Co., Inc.* | 211,624 | ||||||
2,320 | UFP Industries, Inc. | 114,863 | ||||||
|
| |||||||
3,639,000 | ||||||||
|
| |||||||
Capital Markets (2.9%): | ||||||||
1,837 | Affiliated Managers Group, Inc. | 136,967 | ||||||
3,965 | Ameriprise Financial, Inc. | 594,909 | ||||||
1,834 | Ares Management Corp., Class A | 72,810 | ||||||
2,502 | Artisan Partners Asset Management, Inc., Class A | 81,315 | ||||||
11,695 | Bank of New York Mellon Corp. (The) | 452,012 | ||||||
14,937 | BGC Partners, Inc., Class A | 40,927 | ||||||
1,297 | BlackRock, Inc., Class A | 705,685 | ||||||
4,934 | Blackstone Group, Inc. (The), Class A | 279,560 | ||||||
2,377 | Blucora, Inc.* | 27,145 | ||||||
3,965 | Brightsphere Investment Group, Inc. | 49,404 | ||||||
1,842 | Cboe Global Markets, Inc. | 171,822 | ||||||
12,621 | Charles Schwab Corp. (The) | 425,833 | ||||||
2,792 | CME Group, Inc. | 453,812 | ||||||
1,396 | Cohen & Steers, Inc. | 94,998 | ||||||
190 | Diamond Hill Investment Group | 21,597 | ||||||
2,917 | Donnelley Financial Solutions, Inc.* | 24,503 | ||||||
5,873 | E*TRADE Financial Corp. | 292,064 | ||||||
3,982 | Eaton Vance Corp. | 153,705 | ||||||
696 | FactSet Research Systems, Inc. | 228,615 | ||||||
4,054 | Federated Investors, Inc., Class B | 96,080 | ||||||
8,195 | Franklin Resources, Inc. | 171,849 | ||||||
3,237 | Gain Capital Holdings, Inc. | 19,487 | ||||||
388 | GAMCO Investors, Inc., Class A | 5,164 | ||||||
3,445 | Goldman Sachs Group, Inc. | 680,801 | ||||||
1,743 | Greenhill & Co., Inc. | 17,413 | ||||||
211 | Hennessy Advisors, Inc. | 1,669 | ||||||
1,166 | Houlihan Lokey, Inc. | 64,876 | ||||||
2,679 | Interactive Brokers Group, Inc., Class A | 111,902 |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
5,754 | Intercontinental Exchange, Inc. | $ | 527,066 | |||||
597 | INTL FCStone, Inc.* | 32,835 | ||||||
13,284 | Invesco, Ltd. | 142,936 | ||||||
4,134 | Janus Henderson Group plc | 87,475 | ||||||
7,968 | KKR & Co., Inc., Class A | 246,052 | ||||||
3,497 | Lazard, Ltd., Class A | 100,119 | ||||||
2,912 | Legg Mason, Inc. | 144,872 | ||||||
2,674 | LPL Financial Holdings, Inc. | 209,642 | ||||||
510 | MarketAxess Holdings, Inc. | 255,469 | ||||||
1,429 | Moelis & Co., Class A | 44,528 | ||||||
2,252 | Moody’s Corp. | 618,692 | ||||||
17,584 | Morgan Stanley | 849,306 | ||||||
1,357 | Morningstar, Inc. | 191,296 | ||||||
962 | MSCI, Inc., Class A | 321,135 | ||||||
3,024 | Nasdaq, Inc. | 361,277 | ||||||
4,098 | Northern Trust Corp. | 325,135 | ||||||
1,024 | Oppenheimer Holdings, Class A | 22,313 | ||||||
784 | Piper Jaffray Cos., Inc. | 46,381 | ||||||
940 | PJT Partners, Inc. | 48,260 | ||||||
1,113 | Pzena Investment Management, Inc. | 6,055 | ||||||
2,834 | Raymond James Financial, Inc. | 195,064 | ||||||
2,390 | S&P Global, Inc. | 787,457 | ||||||
3,335 | SEI Investments Co. | 183,358 | ||||||
660 | Silvercrest Asset Management Group, Inc., Class A | 8,389 | ||||||
5,751 | State Street Corp. | 365,476 | ||||||
2,637 | Stifel Financial Corp. | 125,073 | ||||||
3,026 | T. Rowe Price Group, Inc. | 373,711 | ||||||
10,267 | TD Ameritrade Holding Corp. | 373,513 | ||||||
1,429 | Virtu Financial, Inc., Class A | 33,724 | ||||||
438 | Virtus Investment Partners, Inc. | 50,935 | ||||||
4,662 | Waddell & Reed Financial, Inc., Class A | 72,308 | ||||||
425 | Westwood Holdings, Inc. | 6,694 | ||||||
7,874 | WisdomTree Investments, Inc. | 27,323 | ||||||
|
| |||||||
12,660,793 | ||||||||
|
| |||||||
Chemicals (2.3%): | ||||||||
2,746 | AdvanSix, Inc.* | 32,238 | ||||||
2,536 | Air Products & Chemicals, Inc. | 612,342 | ||||||
2,746 | Albemarle Corp. | 212,019 | ||||||
1,157 | American Vanguard Corp. | 15,920 | ||||||
2,194 | Ashland Global Holdings, Inc. | 151,605 | ||||||
12,296 | Axalta Coating Systems, Ltd.* | 277,275 | ||||||
1,138 | Balchem Corp. | 107,951 | ||||||
2,532 | Cabot Corp. | 93,811 | ||||||
2,172 | Celanese Corp., Series A | 187,530 | ||||||
8,733 | CF Industries Holdings, Inc. | 245,747 | ||||||
533 | Chase Corp. | 54,633 | ||||||
4,033 | Chemours Co. (The) | 61,907 | ||||||
578 | Core Molding Technologies, Inc.* | 2,381 | ||||||
12,806 | Corteva, Inc. | 343,073 | ||||||
9,564 | Dow, Inc. | 389,829 | ||||||
8,169 | DuPont de Nemours, Inc. | 434,019 | ||||||
2,765 | Eastman Chemical Co. | 192,555 | ||||||
3,033 | Ecolab, Inc. | 603,414 | ||||||
12,316 | Element Solutions, Inc.* | 133,629 | ||||||
5,990 | Ferro Corp.* | 71,521 | ||||||
2,634 | FMC Corp. | 262,399 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
3,222 | Futurefuel Corp. | $ | 38,503 | |||||
3,313 | GCP Applied Technologies, Inc.* | 61,556 | ||||||
1,438 | H.B. Fuller Co. | 64,135 | ||||||
9,602 | Huntsman Corp. | 172,548 | ||||||
962 | Ingevity Corp.* | 50,572 | ||||||
571 | Innospec, Inc. | 44,110 | ||||||
1,701 | International Flavors & Fragrances, Inc. | 208,304 | ||||||
14,982 | Intrepid Potash, Inc.* | 14,832 | ||||||
783 | Koppers Holdings, Inc.* | 14,752 | ||||||
2,348 | Kraton Corp.* | 40,573 | ||||||
4,741 | Kronos Worldwide, Inc. | 49,354 | ||||||
4,167 | Linde plc | 883,863 | ||||||
2,160 | Livent Corp.*^ | 13,306 | ||||||
1,233 | LSB Industries, Inc.* | 1,430 | ||||||
11,017 | LyondellBasell Industries NV, Class A | 724,037 | ||||||
1,816 | Minerals Technologies, Inc. | 85,225 | ||||||
8,529 | Mosaic Co. (The) | 106,698 | ||||||
441 | NewMarket Corp. | 176,612 | ||||||
7,103 | Olin Corp. | 81,613 | ||||||
3,051 | PolyOne Corp. | 80,028 | ||||||
5,695 | PPG Industries, Inc. | 604,011 | ||||||
1,630 | PQ Group Holdings, Inc.* | 21,581 | ||||||
3,631 | Rayonier Advanced Materials, Inc.* | 10,203 | ||||||
2,581 | RPM International, Inc. | 193,730 | ||||||
1,648 | Scotts Miracle-Gro Co. (The) | 221,607 | ||||||
1,975 | Sensient Technologies Corp. | 103,016 | ||||||
1,345 | Sherwin Williams Co. | 777,207 | ||||||
893 | Stepan Co. | 86,710 | ||||||
1,627 | Trecora Resources* | 10,201 | ||||||
1,070 | Tredegar Corp. | 16,478 | ||||||
2,086 | Trinseo SA | 46,226 | ||||||
4,906 | Tronox Holdings plc, Class A | 35,421 | ||||||
6,023 | Valvoline, Inc. | 116,425 | ||||||
4,276 | Venator Materials plc* | 7,654 | ||||||
2,512 | W.R. Grace & Co. | 127,635 | ||||||
3,172 | Westlake Chemical Corp. | 170,178 | ||||||
|
| |||||||
9,946,132 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.9%): | ||||||||
2,302 | ABM Industries, Inc. | 83,563 | ||||||
2,927 | ACCO Brands Corp. | 20,782 | ||||||
11,570 | ADT, Inc.^ | 92,329 | ||||||
3,173 | Advanced Disposal Services, Inc.* | 95,729 | ||||||
4,271 | ARC Document Solutions, Inc. | 4,271 | ||||||
1,844 | Brady Corp., Class A | 86,336 | ||||||
1,144 | Brink’s Co. (The) | 52,063 | ||||||
1,028 | Casella Waste Systems, Inc.* | 53,579 | ||||||
2,003 | CECO Environmental Corp.* | 13,200 | ||||||
912 | Cimpress plc* | 69,622 | ||||||
1,047 | Cintas Corp. | 278,879 | ||||||
5,206 | Civeo Corp.* | 3,210 | ||||||
2,044 | Clean Harbors, Inc.* | 122,599 | ||||||
2,965 | Copart, Inc.* | 246,896 | ||||||
5,346 | Covanta Holding Corp. | 51,268 | ||||||
859 | Deluxe Corp. | 20,221 | ||||||
1,613 | Ennis, Inc. | 29,260 | ||||||
2,148 | Healthcare Services Group, Inc. | 52,540 | ||||||
1,042 | Heritage-Crystal Clean, Inc.* | 18,193 |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
2,205 | Herman Miller, Inc. | $ | 52,060 | |||||
2,271 | HNI Corp. | 69,424 | ||||||
4,215 | IAA, Inc.* | 162,573 | ||||||
4,002 | Interface, Inc. | 32,576 | ||||||
5,118 | KAR Auction Services, Inc. | 70,424 | ||||||
2,829 | Kimball International, Inc., Class B | 32,703 | ||||||
2,754 | Knoll, Inc. | 33,571 | ||||||
1,875 | Matthews International Corp., Class A | 35,813 | ||||||
1,011 | McGrath Rentcorp | 54,604 | ||||||
2,162 | Mobile Mini, Inc. | 63,779 | ||||||
1,035 | MSA Safety, Inc. | 118,445 | ||||||
1,552 | NL Industries, Inc. | 5,292 | ||||||
1,763 | PICO Holdings, Inc.* | 14,862 | ||||||
8,238 | Pitney Bowes, Inc. | 21,419 | ||||||
2,606 | Quad Graphics, Inc. | 8,470 | ||||||
3,455 | Republic Services, Inc., Class A | 283,483 | ||||||
4,020 | Rollins, Inc. | 170,408 | ||||||
2,114 | RR Donnelley & Sons Co. | 2,516 | ||||||
1,467 | SP Plus Corp.* | 30,382 | ||||||
5,403 | Steelcase, Inc., Class A | 65,160 | ||||||
2,586 | Stericycle, Inc.* | 144,764 | ||||||
1,534 | Team, Inc.* | 8,544 | ||||||
1,842 | Tetra Tech, Inc. | 145,739 | ||||||
542 | UniFirst Corp. | 96,991 | ||||||
1,141 | US Ecology, Inc. | 38,657 | ||||||
1,003 | Viad Corp. | 19,077 | ||||||
824 | Vse Corp. | 25,865 | ||||||
5,482 | Waste Management, Inc. | 580,598 | ||||||
|
| |||||||
3,782,739 | ||||||||
|
| |||||||
Communications Equipment (1.1%): | ||||||||
1,772 | Acacia Communications, Inc.* | 119,061 | ||||||
2,109 | ADTRAN, Inc. | 23,051 | ||||||
752 | Applied Optoelectronics, Inc.*^ | 8,174 | ||||||
1,560 | Arista Networks, Inc.* | 327,648 | ||||||
1,829 | CalAmp Corp.* | 14,650 | ||||||
2,202 | Calix, Inc.* | 32,810 | ||||||
2,888 | Ciena Corp.* | 156,414 | ||||||
52,195 | Cisco Systems, Inc. | 2,434,376 | ||||||
6,102 | CommScope Holding Co., Inc.* | 50,830 | ||||||
316 | Communications Systems, Inc. | 1,602 | ||||||
1,822 | Comtech Telecommunications Corp. | 30,774 | ||||||
1,262 | Digi International, Inc.* | 14,702 | ||||||
1,548 | EchoStar Corp., Class A* | 43,282 | ||||||
1,189 | EMCORE Corp.* | 3,781 | ||||||
1,236 | F5 Networks, Inc.* | 172,397 | ||||||
7,060 | Harmonic, Inc.* | 33,535 | ||||||
11,833 | Infinera Corp.* | 70,051 | ||||||
1,013 | InterDigital, Inc. | 57,366 | ||||||
5,828 | Juniper Networks, Inc. | 133,228 | ||||||
909 | KVH Industries, Inc.* | 8,117 | ||||||
1,533 | Lumentum Holdings, Inc.* | 124,832 | ||||||
1,806 | Motorola Solutions, Inc. | 253,075 | ||||||
2,444 | NETGEAR, Inc.* | 63,275 | ||||||
3,156 | NetScout Systems, Inc.* | 80,667 | ||||||
589 | Palo Alto Networks, Inc.* | 135,276 | ||||||
807 | Plantronics, Inc.^ | 11,847 | ||||||
3,679 | Ribbon Communications, Inc.* | 14,458 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
338 | Ubiquiti, Inc. | $ | 59,001 | |||||
2,004 | ViaSat, Inc.* | 76,893 | ||||||
6,628 | Viavi Solutions, Inc.* | 84,441 | ||||||
|
| |||||||
4,639,614 | ||||||||
|
| |||||||
Construction & Engineering (0.4%): | ||||||||
4,533 | AECOM* | 170,350 | ||||||
800 | Aegion Corp.* | 12,696 | ||||||
2,172 | Ameresco, Inc., Class A* | 60,338 | ||||||
1,719 | Arcosa, Inc. | 72,542 | ||||||
1,245 | Argan, Inc. | 58,988 | ||||||
1,358 | Comfort Systems USA, Inc. | 55,339 | ||||||
2,183 | Construction Partners, Inc., Class A* | 38,770 | ||||||
1,425 | Dycom Industries, Inc.* | 58,268 | ||||||
2,278 | EMCOR Group, Inc. | 150,667 | ||||||
2,848 | Fluor Corp. | 34,404 | ||||||
2,377 | Granite Construction, Inc. | 45,496 | ||||||
5,343 | Great Lakes Dredge & Dock Co.* | 49,476 | ||||||
1,221 | IES Holdings, Inc.* | 28,291 | ||||||
2,047 | Jacobs Engineering Group, Inc. | 173,586 | ||||||
3,504 | MasTec, Inc.* | 157,224 | ||||||
1,578 | MYR Group, Inc.* | 50,354 | ||||||
574 | NV5 Global, Inc.* | 29,176 | ||||||
2,101 | Orion Group Holdings, Inc.* | 6,597 | ||||||
3,094 | Primoris Services Corp. | 54,949 | ||||||
5,039 | Quanta Services, Inc. | 197,681 | ||||||
2,791 | Tutor Perini Corp.* | 33,994 | ||||||
568 | Valmont Industries, Inc. | 64,536 | ||||||
5,058 | WillScot Corp.* | 62,163 | ||||||
|
| |||||||
1,665,885 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
961 | Eagle Materials, Inc., Class A | 67,481 | ||||||
1,145 | Martin Marietta Materials, Inc. | 236,523 | ||||||
5,020 | Summit Materials, Inc., Class A* | 80,722 | ||||||
1,308 | U.S. Concrete, Inc.* | 32,438 | ||||||
353 | U.S. Lime & Minerals, Inc. | 29,807 | ||||||
2,021 | Vulcan Materials Co. | 234,133 | ||||||
|
| |||||||
681,104 | ||||||||
|
| |||||||
Consumer Finance (0.8%): | ||||||||
7,604 | Ally Financial, Inc. | 150,787 | ||||||
8,890 | American Express Co. | 846,328 | ||||||
144 | Asta Funding, Inc.* | 1,862 | ||||||
4,697 | Capital One Financial Corp. | 293,985 | ||||||
1,912 | Consumer Portfolio Services, Inc.* | 5,411 | ||||||
670 | Credit Acceptance Corp.*^ | 280,737 | ||||||
7,659 | Discover Financial Services | 383,639 | ||||||
2,110 | Encore Capital Group, Inc.*^ | 72,120 | ||||||
1,910 | Enova International, Inc.* | 28,402 | ||||||
3,948 | EZCORP, Inc., Class A* | 24,872 | ||||||
1,460 | Firstcash, Inc. | 98,521 | ||||||
1,425 | Green Dot Corp., Class A* | 69,939 | ||||||
5,431 | LendingClub Corp.* | 24,711 | ||||||
9,170 | Navient Corp. | 64,465 | ||||||
1,462 | Nelnet, Inc., Class A | 69,796 | ||||||
750 | Nicholas Financial, Inc.* | 5,783 | ||||||
5,999 | Onemain Holdings, Inc. | 147,215 | ||||||
2,661 | PRA Group, Inc.* | 102,874 |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Consumer Finance, continued | ||||||||
960 | Regional Mgmt Corp.* | $ | 17,002 | |||||
10,164 | Santander Consumer USA Holdings, Inc.^ | 187,119 | ||||||
13,802 | SLM Corp. | 97,028 | ||||||
16,752 | Synchrony Financial | 371,224 | ||||||
505 | World Acceptance Corp.* | 33,088 | ||||||
|
| |||||||
3,376,908 | ||||||||
|
| |||||||
Containers & Packaging (0.7%): | ||||||||
21,700 | Amcor plc | 221,557 | ||||||
2,245 | AptarGroup, Inc. | 251,395 | ||||||
1,901 | Avery Dennison Corp. | 216,885 | ||||||
5,579 | Ball Corp. | 387,686 | ||||||
5,745 | Berry Global Group, Inc.* | 254,618 | ||||||
4,160 | Crown Holdings, Inc.* | 270,941 | ||||||
13,900 | Graphic Packaging Holding Co. | 194,461 | ||||||
1,930 | Greif, Inc., Class A | 66,411 | ||||||
1,110 | Greif, Inc., Class B | 46,431 | ||||||
10,021 | International Paper Co. | 352,839 | ||||||
2,608 | Myers Industries, Inc. | 37,946 | ||||||
6,963 | O-I Glass, Inc. | 62,528 | ||||||
2,417 | Packaging Corp. of America | 241,217 | ||||||
3,591 | Sealed Air Corp. | 117,964 | ||||||
5,030 | Silgan Holdings, Inc. | 162,922 | ||||||
3,834 | Sonoco Products Co. | 200,480 | ||||||
538 | UFP Technologies, Inc.* | 23,704 | ||||||
4,190 | WestRock Co. | 118,409 | ||||||
|
| |||||||
3,228,394 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
2,074 | Core Markt Holdngs Co., Inc. | 51,757 | ||||||
1,267 | Funko, Inc., Class A*^ | 7,349 | ||||||
3,727 | Genuine Parts Co. | 324,100 | ||||||
5,971 | LKQ Corp.* | 156,440 | ||||||
759 | Pool Corp. | 206,349 | ||||||
811 | Weyco Group, Inc. | 17,509 | ||||||
|
| |||||||
763,504 | ||||||||
|
| |||||||
Diversified Consumer Services (0.3%): | ||||||||
1,744 | Adtalem Global Education, Inc.* | 54,326 | ||||||
1,304 | American Public Education, Inc.* | 38,598 | ||||||
928 | Bright Horizons Family Solutions, Inc.* | 108,762 | ||||||
1,464 | Carriage Services, Inc. | 26,528 | ||||||
1,830 | Chegg, Inc.* | 123,086 | ||||||
506 | Collectors Universe, Inc. | 17,346 | ||||||
2,913 | Frontdoor, Inc.* | 129,133 | ||||||
112 | Graham Holdings Co., Class B | 38,379 | ||||||
1,763 | Grand Canyon Education, Inc.* | 159,605 | ||||||
5,239 | H&R Block, Inc. | 74,813 | ||||||
8,803 | Houghton Mifflin Harcourt Co.* | 15,933 | ||||||
1,702 | K12, Inc.* | 46,362 | ||||||
3,406 | Laureate Education, Inc.* | 33,941 | ||||||
2,522 | Perdoceo Education Corp.* | 40,175 | ||||||
1,309 | Regis Corp.* | 10,708 | ||||||
3,783 | Service Corp. International | 147,121 | ||||||
3,452 | ServiceMaster Global Holdings, Inc.* | 123,202 | ||||||
825 | Strategic Education, Inc. | 126,761 | ||||||
1,696 | Universal Technical Institute, Inc.* | 11,787 | ||||||
1,419 | WW International, Inc.* | 36,014 | ||||||
|
| |||||||
1,362,580 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Financial Services (0.9%): | ||||||||
20,001 | Berkshire Hathaway, Inc., Class B* | $ | 3,570,380 | |||||
2,704 | Cannae Holdings, Inc.* | 111,134 | ||||||
8,500 | Equitable Holdings, Inc. | 163,965 | ||||||
6,286 | Jefferies Financial Group, Inc. | 97,747 | ||||||
827 | Marlin Business Services, Inc. | 6,996 | ||||||
4,869 | On Deck Capital, Inc.* | 3,498 | ||||||
2,777 | Voya Financial, Inc. | 129,547 | ||||||
|
| |||||||
4,083,267 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.1%): | ||||||||
398 | Anterix, Inc.* | 18,045 | ||||||
104,312 | AT&T, Inc. | 3,153,352 | ||||||
1,019 | ATN International, Inc. | 61,721 | ||||||
41,808 | CenturyLink, Inc. | 419,334 | ||||||
3,035 | Cincinnati Bell, Inc.* | 45,070 | ||||||
1,533 | Cogent Communications Holdings, Inc. | 118,593 | ||||||
4,558 | Consolidated Communications Holdings, Inc.* | 30,858 | ||||||
1,994 | IDT Corp.* | 13,021 | ||||||
4,575 | Iridium Communications, Inc.* | 116,388 | ||||||
4,045 | Orbcomm, Inc.* | 15,573 | ||||||
90,336 | Verizon Communications, Inc. | 4,980,223 | ||||||
5,536 | Vonage Holdings Corp.* | 55,692 | ||||||
|
| |||||||
9,027,870 | ||||||||
|
| |||||||
Electric Utilities (1.4%): | ||||||||
1,814 | ALLETE, Inc. | 99,063 | ||||||
3,658 | Alliant Energy Corp. | 174,999 | ||||||
5,015 | American Electric Power Co., Inc. | 399,395 | ||||||
1,163 | Avangrid, Inc. | 48,823 | ||||||
7,267 | Duke Energy Corp. | 580,560 | ||||||
4,999 | Edison International | 271,496 | ||||||
1,593 | El Paso Electric Co. | 106,731 | ||||||
2,654 | Entergy Corp. | 248,972 | ||||||
3,485 | Evergy, Inc. | 206,626 | ||||||
3,630 | Eversource Energy | 302,270 | ||||||
9,675 | Exelon Corp. | 351,106 | ||||||
5,940 | FirstEnergy Corp. | 230,353 | ||||||
1,272 | Genie Energy, Ltd., Class B | 9,362 | ||||||
3,281 | Hawaiian Electric Industries, Inc. | 118,313 | ||||||
1,676 | IDACORP, Inc. | 146,432 | ||||||
1,426 | MGE Energy, Inc. | 91,991 | ||||||
4,715 | NextEra Energy, Inc. | 1,132,401 | ||||||
5,238 | OGE Energy Corp. | 159,026 | ||||||
1,672 | Otter Tail Corp. | 64,857 | ||||||
1,175 | PG&E Corp.* | 10,422 | ||||||
1,787 | Pinnacle West Capital Corp. | 130,969 | ||||||
2,755 | PNM Resources, Inc. | 105,902 | ||||||
2,522 | Portland General Electric Co. | 105,445 | ||||||
10,230 | PPL Corp. | 264,343 | ||||||
10,839 | Southern Co. (The) | 562,001 | ||||||
5,593 | Xcel Energy, Inc. | 349,563 | ||||||
|
| |||||||
6,271,421 | ||||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
1,491 | Acuity Brands, Inc. | 142,748 | ||||||
926 | Allied Motion Technologies, Inc. | 32,688 | ||||||
4,022 | AMETEK, Inc. | 359,446 | ||||||
2,063 | Atkore International Group, Inc.* | 56,423 | ||||||
1,175 | AZZ, Inc. | 40,326 |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
4,436 | Eaton Corp. plc | $ | 388,061 | |||||
7,574 | Emerson Electric Co. | 469,816 | ||||||
1,159 | Encore Wire Corp. | 56,582 | ||||||
1,495 | EnerSys | 96,248 | ||||||
1,919 | Generac Holdings, Inc.* | 233,984 | ||||||
7,206 | GrafTech International, Ltd. | 57,504 | ||||||
2,006 | Hubbell, Inc. | 251,472 | ||||||
1,831 | LSI Industries, Inc. | 11,847 | ||||||
5,836 | nVent Electric plc | 109,308 | ||||||
606 | Powell Industries, Inc. | 16,598 | ||||||
400 | Preformed Line Products Co. | 20,004 | ||||||
1,766 | Regal-Beloit Corp. | 154,207 | ||||||
1,997 | Rockwell Automation, Inc. | 425,361 | ||||||
5,452 | Sensata Technologies Holding plc* | 202,978 | ||||||
4,883 | Sunrun, Inc.* | 96,293 | ||||||
1,298 | Thermon Group Holdings, Inc.* | 18,912 | ||||||
1,704 | Tpi Composites, Inc.* | 39,822 | ||||||
|
| |||||||
3,280,628 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.3%): | ||||||||
3,639 | Amphenol Corp., Class A | 348,653 | ||||||
2,582 | Arlo Technologies, Inc.* | 6,662 | ||||||
2,648 | Arrow Electronics, Inc.* | 181,891 | ||||||
2,249 | Avnet, Inc. | 62,713 | ||||||
1,234 | Badger Meter, Inc. | 77,643 | ||||||
550 | Bel Fuse, Inc., Class B | 5,902 | ||||||
2,225 | Belden, Inc. | 72,424 | ||||||
1,721 | Benchmark Electronics, Inc. | 37,174 | ||||||
2,500 | CDW Corp. | 290,450 | ||||||
2,111 | Cognex Corp. | 126,069 | ||||||
687 | Coherent, Inc.* | 89,983 | ||||||
13,918 | Corning, Inc. | 360,476 | ||||||
1,576 | CTS Corp. | 31,583 | ||||||
2,838 | Daktronics, Inc. | 12,345 | ||||||
1,977 | Dolby Laboratories, Inc., Class A | 130,225 | ||||||
876 | ePlus, Inc.* | 61,916 | ||||||
1,526 | Fabrinet* | 95,253 | ||||||
1,007 | FARO Technologies, Inc.* | 53,975 | ||||||
10,405 | Fitbit, Inc., Class A* | 67,216 | ||||||
21,372 | Flex, Ltd.* | 219,063 | ||||||
4,299 | FLIR Systems, Inc. | 174,410 | ||||||
640 | Frequency Electronics, Inc.* | 5,606 | ||||||
1,676 | Insight Enterprises, Inc.* | 82,459 | ||||||
959 | IPG Photonics Corp.* | 153,814 | ||||||
1,449 | Itron, Inc.* | 95,996 | ||||||
7,168 | Jabil, Inc. | 229,949 | ||||||
3,466 | Keysight Technologies, Inc.* | 349,303 | ||||||
1,603 | Kimball Electronics, Inc.* | 21,705 | ||||||
4,037 | Knowles Corp.* | 61,605 | ||||||
725 | Littlelfuse, Inc. | 123,707 | ||||||
2,290 | Methode Electronics, Inc., Class A | 71,585 | ||||||
915 | MTS Systems Corp. | 16,095 | ||||||
3,415 | National Instruments Corp. | 132,195 | ||||||
902 | Novanta, Inc.* | 96,307 | ||||||
594 | OSI Systems, Inc.* | 44,336 | ||||||
1,445 | PC Connection, Inc. | 66,990 | ||||||
1,291 | Plexus Corp.* | 91,093 | ||||||
793 | Rogers Corp.* | 98,808 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
2,240 | Sanmina Corp.* | $ | 56,090 | |||||
1,757 | ScanSource, Inc.* | 42,326 | ||||||
2,124 | SYNNEX Corp. | 254,391 | ||||||
3,729 | TE Connectivity, Ltd. | 304,100 | ||||||
1,453 | Tech Data Corp.* | 210,685 | ||||||
3,861 | Trimble, Inc.* | 166,757 | ||||||
6,321 | TTM Technologies, Inc.* | 74,967 | ||||||
6,420 | Vishay Intertechnology, Inc. | 98,033 | ||||||
966 | Zebra Technologies Corp., Class A* | 247,248 | ||||||
|
| |||||||
5,702,176 | ||||||||
|
| |||||||
Energy Equipment & Services (0.4%): | ||||||||
7,479 | Archrock, Inc. | 48,539 | ||||||
12,902 | Baker Hughes Co. | 198,561 | ||||||
519 | Bristow Group, Inc.* | 7,230 | ||||||
6,215 | ChampionX Corp.* | 60,658 | ||||||
1,347 | Core Laboratories NV^ | 27,371 | ||||||
2,169 | Dril-Quip, Inc.* | 64,615 | ||||||
2,010 | Exterran Corp.* | 10,834 | ||||||
6,125 | Forum Energy Technologies, Inc.* | 3,235 | ||||||
13,037 | Frank’s International NV* | 29,073 | ||||||
760 | Geospace Technologies Corp.*^ | 5,715 | ||||||
1,086 | Gulf Island Fabrication, Inc.* | 3,334 | ||||||
26,656 | Halliburton Co. | 345,994 | ||||||
7,826 | Helix Energy Solutions Group, Inc.* | 27,156 | ||||||
2,727 | Helmerich & Payne, Inc. | 53,204 | ||||||
892 | KLX Energy Services Holdings, Inc.*^ | 1,918 | ||||||
2,181 | Liberty Oilfield Services, Inc., Class A^ | 11,952 | ||||||
1,436 | Mammoth Energy Services, Inc.* | 1,694 | ||||||
1,750 | Matrix Service Co.* | 17,010 | ||||||
359 | Nabors Industries, Ltd.*^ | 13,290 | ||||||
8,395 | National Oilwell Varco, Inc. | 102,839 | ||||||
935 | Natural Gas Services Group* | 5,862 | ||||||
4,799 | Newpark Resources, Inc.* | 10,702 | ||||||
12,646 | NexTier Oilfield Solutions, Inc.* | 30,983 | ||||||
12,057 | Noble Corp. plc* | 3,872 | ||||||
4,818 | Oceaneering International, Inc.* | 30,787 | ||||||
3,066 | Oil States International, Inc.* | 14,564 | ||||||
6,531 | Patterson-UTI Energy, Inc. | 22,663 | ||||||
6,172 | Propetro Holding Corp.* | 31,724 | ||||||
4,475 | RPC, Inc.*^ | 13,783 | ||||||
18,183 | Schlumberger, Ltd. | 334,385 | ||||||
1,291 | SEACOR Holdings, Inc.* | 36,561 | ||||||
493 | SEACOR Marine Holdings, Inc.*^ | 1,257 | ||||||
3,974 | Select Energy Services, Inc.* | 19,473 | ||||||
13,590 | TechnipFMC plc | 92,955 | ||||||
4,086 | TETRA Technologies, Inc.* | 2,184 | ||||||
2,510 | Tidewater, Inc.* | 14,031 | ||||||
14,584 | Transocean, Ltd.* | 26,689 | ||||||
4,546 | U.S. Silica Holdings, Inc. | 16,411 | ||||||
|
| |||||||
1,743,108 | ||||||||
|
| |||||||
Entertainment (1.2%): | ||||||||
6,261 | Activision Blizzard, Inc. | 475,210 | ||||||
3,433 | AMC Entertainment Holdings, Inc., Class A^ | 14,728 | ||||||
4,383 | Cinemark Holdings, Inc. | 50,624 | ||||||
2,138 | Electronic Arts, Inc.* | 282,323 | ||||||
1,834 | Eros International plc*^ | 5,795 |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
2,858 | Imax Corp.* | $ | 32,038 | |||||
247 | Liberty Braves Group, Class A* | 4,960 | ||||||
527 | Liberty Braves Group, Class C* | 10,403 | ||||||
619 | Liberty Media Corp-Liberty Formula One, Class A* | 18,062 | ||||||
4,974 | Liberty Media Corp-Liberty Formula One, Class C* | 157,726 | ||||||
2,111 | Lions Gate Entertainment Corp., Class A* | 15,643 | ||||||
2,411 | Lions Gate Entertainment Corp., Class B* | 16,467 | ||||||
2,762 | Live Nation Entertainment, Inc.* | 122,439 | ||||||
540 | Madison Square Garden Entertainment Corp.* | 40,500 | ||||||
1,459 | Marcus Corp. | 19,361 | ||||||
4,352 | Netflix, Inc.* | 1,980,333 | ||||||
1,419 | Reading International, Inc., Class A*^ | 6,031 | ||||||
294 | Rosetta Stone, Inc.* | 4,957 | ||||||
755 | Spotify Technology SA* | 194,933 | ||||||
1,662 | Take-Two Interactive Software, Inc.* | 231,965 | ||||||
12,888 | Walt Disney Co. (The) | 1,437,140 | ||||||
1,208 | World Wrestling Entertainment, Inc., Class A | 52,488 | ||||||
31,714 | Zynga, Inc.* | 302,552 | ||||||
|
| |||||||
5,476,678 | ||||||||
|
| |||||||
Food & Staples Retailing (1.4%): | ||||||||
5,026 | BJ’s Wholesale Club Holdings, Inc.* | 187,319 | ||||||
1,222 | Casey’s General Stores, Inc. | 182,713 | ||||||
4,253 | Costco Wholesale Corp. | 1,289,551 | ||||||
1,267 | Ingles Markets, Inc., Class A | 54,570 | ||||||
19,769 | Kroger Co. (The) | 669,181 | ||||||
1,720 | Natural Grocers by Vitamin Cottage, Inc. | 25,594 | ||||||
3,362 | Performance Food Group Co.* | 97,969 | ||||||
884 | PriceSmart, Inc. | 53,332 | ||||||
1,864 | Rite Aid Corp.*^ | 31,800 | ||||||
3,281 | SpartanNash Co. | 69,721 | ||||||
4,494 | Sprouts Farmers Market, Inc.* | 115,001 | ||||||
8,242 | Sysco Corp. | 450,508 | ||||||
1,610 | The Andersons, Inc. | 22,154 | ||||||
1,143 | The Chefs’ Warehouse, Inc.* | 15,522 | ||||||
3,347 | United Natural Foods, Inc.* | 60,949 | ||||||
9,226 | US Foods Holding Corp.* | 181,937 | ||||||
738 | Village Super Market, Inc., Class A | 20,457 | ||||||
11,281 | Walgreens Boots Alliance, Inc. | 478,202 | ||||||
15,608 | Walmart, Inc. | 1,869,525 | ||||||
1,607 | Weis Markets, Inc. | 80,543 | ||||||
|
| |||||||
5,956,548 | ||||||||
|
| |||||||
Food Products (1.4%): | ||||||||
9,610 | Archer-Daniels-Midland Co. | 383,439 | ||||||
3,898 | B&G Foods, Inc.^ | 95,033 | ||||||
4,805 | Bunge, Ltd. | 197,630 | ||||||
808 | Calavo Growers, Inc. | 50,831 | ||||||
1,477 | Cal-Maine Foods, Inc.* | 65,697 | ||||||
5,711 | Campbell Soup Co. | 283,437 | ||||||
8,140 | Conagra Brands, Inc. | 286,284 | ||||||
4,717 | Darling Ingredients, Inc.* | 116,133 | ||||||
5,447 | Dean Foods Co.* | 435 | ||||||
1,004 | Farmer Brothers Co.* | 7,369 | ||||||
7,961 | Flowers Foods, Inc. | 178,008 | ||||||
2,396 | Fresh Del Monte Produce, Inc. | 58,990 | ||||||
6,906 | General Mills, Inc. | 425,755 | ||||||
3,802 | Hain Celestial Group, Inc. (The)* | 119,801 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
1,995 | Hershey Co. (The) | $ | 258,592 | |||||
3,476 | Hormel Foods Corp. | 167,787 | ||||||
6,244 | Hostess Brands, Inc.* | 76,302 | ||||||
2,764 | Ingredion, Inc. | 229,412 | ||||||
576 | J & J Snack Foods Corp. | 73,227 | ||||||
2,059 | JM Smucker Co. (The) | 217,863 | ||||||
300 | John B Sanfilippo And Son, Inc. | 25,599 | ||||||
3,437 | Kellogg Co. | 227,048 | ||||||
6,403 | Kraft Heinz Co. (The) | 204,192 | ||||||
2,371 | Lamb Weston Holdings, Inc. | 151,578 | ||||||
902 | Lancaster Colony Corp. | 139,801 | ||||||
1,028 | Landec Corp.* | 8,183 | ||||||
2,276 | McCormick & Co. | 408,337 | ||||||
389 | McCormick & Co., Inc.^ | 69,106 | ||||||
10,630 | Mondelez International, Inc., Class A | 543,511 | ||||||
4,222 | Pilgrim’s Pride Corp.* | 71,310 | ||||||
2,703 | Post Holdings, Inc.* | 236,837 | ||||||
854 | Sanderson Farms, Inc. | 98,970 | ||||||
29 | Seaboard Corp. | 85,081 | ||||||
677 | Seneca Foods Corp., Class A* | 22,889 | ||||||
3,045 | Simply Good Foods Co. (The)* | 56,576 | ||||||
1,897 | Tootsie Roll Industries, Inc.^ | 65,010 | ||||||
2,341 | TreeHouse Foods, Inc.* | 102,536 | ||||||
5,547 | Tyson Foods, Inc., Class A | 331,211 | ||||||
|
| |||||||
6,139,800 | ||||||||
|
| |||||||
Gas Utilities (0.3%): | ||||||||
1,922 | Atmos Energy Corp. | 191,393 | ||||||
439 | Chesapeake Utilities Corp. | 36,876 | ||||||
2,716 | National Fuel Gas Co. | 113,882 | ||||||
3,160 | New Jersey Resources Corp. | 103,174 | ||||||
1,115 | Northwest Natural Holding Co. | 62,206 | ||||||
1,624 | ONE Gas, Inc. | 125,129 | ||||||
232 | RGC Resources, Inc. | 5,607 | ||||||
2,958 | South Jersey Industries, Inc. | 73,920 | ||||||
1,754 | Southwest Gas Holdings, Inc. | 121,114 | ||||||
1,545 | Spire, Inc. | 101,522 | ||||||
5,539 | UGI Corp. | 176,140 | ||||||
|
| |||||||
1,110,963 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.6%): | ||||||||
12,621 | Abbott Laboratories | 1,153,937 | ||||||
763 | ABIOMED, Inc.* | 184,310 | ||||||
2,269 | Accuray, Inc.* | 4,606 | ||||||
849 | Align Technology, Inc.* | 233,000 | ||||||
2,726 | AngioDynamics, Inc.* | 27,723 | ||||||
955 | Anika Therapeutics, Inc.* | 36,032 | ||||||
66 | Atrion Corp. | 42,043 | ||||||
1,897 | Avanos Medical, Inc.* | 55,753 | ||||||
5,747 | Baxter International, Inc. | 494,817 | ||||||
2,187 | Becton Dickinson & Co. | 523,283 | ||||||
11,126 | Boston Scientific Corp.* | 390,634 | ||||||
1,208 | Cantel Medical Corp. | 53,430 | ||||||
789 | CONMED Corp. | 56,800 | ||||||
862 | Cooper Cos., Inc. (The) | 244,498 | ||||||
1,619 | CryoLife, Inc.* | 31,036 | ||||||
4,597 | Danaher Corp. | 812,888 | ||||||
3,380 | Dentsply Sirona, Inc. | 148,923 |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
693 | DexCom, Inc.* | $ | 280,942 | |||||
6,159 | Edwards Lifesciences Corp.* | 425,648 | ||||||
1,790 | Envista Holdings Corp.* | 37,751 | ||||||
2,271 | Globus Medical, Inc., Class A* | 108,349 | ||||||
1,463 | Haemonetics Corp.* | 131,026 | ||||||
392 | Heska Corp.*^ | 36,523 | ||||||
1,363 | Hill-Rom Holdings, Inc. | 149,630 | ||||||
5,482 | Hologic, Inc.* | 312,474 | ||||||
774 | ICU Medical, Inc.* | 142,656 | ||||||
1,506 | IDEXX Laboratories, Inc.* | 497,221 | ||||||
433 | Inogen, Inc.* | 15,380 | ||||||
489 | Insulet Corp.* | 94,993 | ||||||
1,457 | Integer Holdings Corp.* | 106,434 | ||||||
2,946 | Integra LifeSciences Holdings Corp.* | 138,433 | ||||||
821 | Intuitive Surgical, Inc.* | 467,830 | ||||||
2,327 | Invacare Corp. | 14,823 | ||||||
1,705 | Lantheus Holdings, Inc.* | 24,382 | ||||||
809 | LeMaitre Vascular, Inc. | 21,358 | ||||||
1,168 | LivaNova plc* | 56,216 | ||||||
647 | Masimo Corp.* | 147,510 | ||||||
9,940 | Medtronic plc | 911,497 | ||||||
3,164 | Meridian Bioscience, Inc.* | 73,690 | ||||||
1,466 | Merit Medical Systems, Inc.* | 66,923 | ||||||
1,935 | Natus Medical, Inc.* | 42,222 | ||||||
804 | Neogen Corp.* | 62,390 | ||||||
952 | Novocure, Ltd.* | 56,454 | ||||||
1,366 | NuVasive, Inc.* | 76,032 | ||||||
2,205 | OraSure Technologies, Inc.* | 25,644 | ||||||
1,074 | Orthofix Medical, Inc.* | 34,368 | ||||||
630 | Penumbra, Inc.* | 112,657 | ||||||
700 | Quidel Corp.* | 156,618 | ||||||
2,049 | ResMed, Inc. | 393,408 | ||||||
3,310 | RTI Surgical, Inc.* | 10,526 | ||||||
624 | SeaSpine Holdings Corp.* | 6,533 | ||||||
1,207 | Steris plc | 185,202 | ||||||
2,573 | Stryker Corp. | 463,629 | ||||||
631 | Teleflex, Inc. | 229,671 | ||||||
227 | Utah Medical Products, Inc. | 20,117 | ||||||
1,961 | Varex Imaging Corp.* | 29,709 | ||||||
1,458 | Varian Medical Systems, Inc.* | 178,634 | ||||||
775 | West Pharmaceutical Services, Inc. | 176,057 | ||||||
1,577 | Zimmer Biomet Holdings, Inc. | 188,231 | ||||||
|
| |||||||
11,203,504 | ||||||||
|
| |||||||
Health Care Providers & Services (2.8%): | ||||||||
3,551 | Acadia Healthcare Co., Inc.* | 89,201 | ||||||
634 | Addus HomeCare Corp.* | 58,683 | ||||||
864 | Amedisys, Inc.* | 171,539 | ||||||
3,943 | AmerisourceBergen Corp. | 397,336 | ||||||
1,394 | AMN Healthcare Services, Inc.* | 63,065 | ||||||
2,561 | Anthem, Inc. | 673,492 | ||||||
724 | BioTelemetry, Inc.* | 32,718 | ||||||
9,264 | Brookdale Senior Living, Inc.* | 27,329 | ||||||
5,011 | Cardinal Health, Inc. | 261,524 | ||||||
6,068 | Centene Corp.* | 385,621 | ||||||
297 | Chemed Corp. | 133,968 | ||||||
5,455 | Cigna Corp. | 1,023,631 | ||||||
7,171 | Community Health Systems, Inc.* | 21,585 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
922 | CorVel Corp.* | $ | 65,361 | |||||
1,589 | Covetrus, Inc.* | 28,427 | ||||||
1,177 | Cross Country Healthcare, Inc.* | 7,250 | ||||||
19,322 | CVS Health Corp. | 1,255,349 | ||||||
3,446 | DaVita, Inc.* | 272,716 | ||||||
3,452 | Encompass Health Corp. | 213,782 | ||||||
1,585 | Ensign Group, Inc. (The) | 66,332 | ||||||
78 | Five Star Senior Living, Inc.* | 304 | ||||||
502 | Guardant Health, Inc.* | 40,727 | ||||||
1,531 | Hanger, Inc.* | 25,353 | ||||||
2,975 | HCA Healthcare, Inc. | 288,754 | ||||||
2,772 | Henry Schein, Inc.* | 161,857 | ||||||
1,719 | Humana, Inc. | 666,542 | ||||||
2,629 | InfuSystems Holdings, Inc.* | 30,339 | ||||||
1,732 | Laboratory Corp. of America Holdings* | 287,703 | ||||||
925 | LHC Group, Inc.* | 161,246 | ||||||
1,471 | Magellan Health, Inc.* | 107,354 | ||||||
3,022 | McKesson Corp. | 463,635 | ||||||
3,346 | MEDNAX, Inc.* | 57,217 | ||||||
1,417 | Molina Healthcare, Inc.* | 252,198 | ||||||
1,075 | National Healthcare Corp. | 68,198 | ||||||
1,219 | National Research Corp. | 70,958 | ||||||
4,172 | Owens & Minor, Inc. | 31,791 | ||||||
4,695 | Patterson Cos., Inc. | 103,290 | ||||||
629 | Petiq, Inc.* | 21,914 | ||||||
2,269 | Premier, Inc., Class A* | 77,781 | ||||||
835 | Providence Service Corp.* | 65,890 | ||||||
2,544 | Quest Diagnostics, Inc. | 289,914 | ||||||
2,518 | RadNet, Inc.* | 39,961 | ||||||
2,778 | Select Medical Holdings Corp.* | 40,920 | ||||||
2,133 | Surgery Partners, Inc.* | 24,679 | ||||||
3,992 | Tenet Healthcare Corp.* | 72,295 | ||||||
792 | The Pennant Group, Inc.* | 17,899 | ||||||
1,303 | Triple-S Management Corp., Class B* | 24,783 | ||||||
577 | U.S. Physical Therapy, Inc. | 46,749 | ||||||
10,359 | UnitedHealth Group, Inc. | 3,055,386 | ||||||
2,273 | Universal Health Services, Inc., Class B | 211,139 | ||||||
|
| |||||||
12,055,685 | ||||||||
|
| |||||||
Health Care Technology (0.3%): | ||||||||
8,903 | Allscripts Healthcare Solutions, Inc.* | 60,273 | ||||||
5,791 | Cerner Corp. | 396,973 | ||||||
6,000 | Change Healthcare, Inc.* | 67,200 | ||||||
339 | Computer Programs & Systems, Inc. | 7,726 | ||||||
4,037 | Evolent Health, Inc., Class A* | 28,743 | ||||||
1,357 | HealthStream, Inc.* | 30,030 | ||||||
3,154 | HMS Holdings Corp.* | 102,158 | ||||||
2,464 | NextGen Healthcare, Inc.* | 27,055 | ||||||
1,095 | Omnicell, Inc.* | 77,329 | ||||||
1,047 | Simulations Plus, Inc. | 62,632 | ||||||
670 | Teladoc Health, Inc.* | 127,863 | ||||||
841 | Veeva Systems, Inc., Class A* | 197,147 | ||||||
|
| |||||||
1,185,129 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.8%): | ||||||||
8,356 | Aramark | 188,595 | ||||||
2,451 | BBX Capital Corp. | 6,226 | ||||||
6 | Biglari Holdings, Inc., Class A* | 2,010 |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
67 | Biglari Holdings, Inc., Class B* | $ | 4,622 | |||||
813 | BJ’s Restaurants, Inc. | 17,024 | ||||||
3,499 | Bloomin’ Brands, Inc. | 37,299 | ||||||
1,968 | Brinker International, Inc. | 47,232 | ||||||
7,300 | Caesars Entertainment Corp.* | 88,549 | ||||||
6,877 | Carnival Corp., Class A^ | 112,921 | ||||||
2,943 | Carrols Restaurant Group, Inc.* | 14,244 | ||||||
2,158 | Cheesecake Factory, Inc. (The)^ | 49,461 | ||||||
291 | Chipotle Mexican Grill, Inc.* | 306,236 | ||||||
1,693 | Choice Hotels International, Inc. | 133,578 | ||||||
1,279 | Churchill Downs, Inc. | 170,299 | ||||||
1,178 | Chuy’s Holdings, Inc.* | 17,529 | ||||||
1,026 | Cracker Barrel Old Country Store, Inc. | 113,794 | ||||||
3,400 | Darden Restaurants, Inc. | 257,618 | ||||||
1,410 | Dave & Buster’s Entertainment, Inc.^ | 18,795 | ||||||
2,144 | Del Taco Restaurants, Inc.* | 12,714 | ||||||
2,291 | Denny’s Corp.* | 23,139 | ||||||
684 | Dine Brands Global, Inc. | 28,796 | ||||||
556 | Domino’s Pizza, Inc. | 205,409 | ||||||
2,338 | Dunkin’ Brands Group, Inc. | 152,508 | ||||||
1,288 | El Pollo Loco Holdings, Inc.*^ | 19,011 | ||||||
1,112 | Eldorado Resorts, Inc.*^ | 44,547 | ||||||
1,277 | Fiesta Restaurant Group, Inc.* | 8,147 | ||||||
2,724 | Hilton Grand Vacations, Inc.* | 53,254 | ||||||
3,956 | Hilton Worldwide Holdings, Inc. | 290,568 | ||||||
1,051 | Hyatt Hotels Corp., Class A | 52,855 | ||||||
6,233 | International Game Technology plc | 55,474 | ||||||
721 | Jack in the Box, Inc. | 53,419 | ||||||
6,294 | Las Vegas Sands Corp. | 286,629 | ||||||
2,136 | Luby’s, Inc.* | 3,097 | ||||||
2,747 | Marriott International, Inc., Class A | 235,500 | ||||||
1,381 | Marriott Vacations Worldwide Corp. | 113,532 | ||||||
7,162 | McDonald’s Corp. | 1,321,173 | ||||||
10,392 | MGM Resorts International | 174,586 | ||||||
341 | Nathans Famous, Inc. | 19,178 | ||||||
5,162 | Norwegian Cruise Line Holdings, Ltd.*^ | 84,812 | ||||||
884 | Papa John’s International, Inc. | 70,198 | ||||||
2,376 | Penn National Gaming, Inc.* | 72,563 | ||||||
2,093 | Planet Fitness, Inc., Class A* | 126,773 | ||||||
3,664 | Playa Hotels & Resorts NV* | 13,264 | ||||||
763 | Potbelly Corp.* | 1,740 | ||||||
1,501 | Red Lion Hotels Corp.*^ | 3,497 | ||||||
878 | Red Robin Gourmet Burgers*^ | 8,956 | ||||||
1,400 | Red Rock Resorts, Inc. | 15,274 | ||||||
3,592 | Royal Caribbean Cruises, Ltd.^ | 180,678 | ||||||
2,527 | Ruth’s Hospitality Group, Inc. | 20,620 | ||||||
3,394 | Scientific Games Corp., Class A* | 52,471 | ||||||
2,359 | SeaWorld Entertainment, Inc.* | 34,937 | ||||||
1,629 | Six Flags Entertainment Corp. | 31,293 | ||||||
11,517 | Starbucks Corp. | 847,535 | ||||||
2,721 | Texas Roadhouse, Inc., Class A | 143,043 | ||||||
1,318 | Vail Resorts, Inc. | 240,074 | ||||||
6,284 | Wendy’s Co. (The) | 136,866 | ||||||
898 | Wingstop, Inc. | 124,795 | ||||||
3,177 | Wyndham Destinations, Inc. | 89,528 | ||||||
3,177 | Wyndham Hotels & Resorts, Inc. | 135,404 | ||||||
2,365 | Wynn Resorts, Ltd. | 176,169 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
3,299 | Yum! Brands, Inc. | $ | 286,716 | |||||
|
| |||||||
7,636,774 | ||||||||
|
| |||||||
Household Durables (1.0%): | ||||||||
1,886 | Beazer Homes USA, Inc.* | 18,992 | ||||||
274 | Cavco Industries, Inc.* | 52,841 | ||||||
1,523 | Century Communities, Inc.* | 46,695 | ||||||
6,636 | D.R. Horton, Inc. | 367,965 | ||||||
1,137 | Dixie Group, Inc. (The)* | 1,069 | ||||||
1,910 | Ethan Allen Interiors, Inc. | 22,595 | ||||||
431 | Flexsteel Industries, Inc.^ | 5,444 | ||||||
3,402 | Garmin, Ltd. | 331,695 | ||||||
2,761 | GoPro, Inc., Class A* | 13,142 | ||||||
2,219 | Green Brick Partners, Inc.* | 26,295 | ||||||
941 | Helen of Troy, Ltd.* | 177,435 | ||||||
500 | Hooker Furniture Corp. | 9,725 | ||||||
1,333 | Installed Building Products, Inc.* | 91,684 | ||||||
931 | iRobot Corp.*^ | 78,111 | ||||||
4,456 | KB Home | 136,710 | ||||||
2,231 | La-Z-Boy, Inc. | 60,371 | ||||||
5,447 | Leggett & Platt, Inc. | 191,462 | ||||||
5,073 | Lennar Corp., Class A | 312,598 | ||||||
119 | Lennar Corp., Class B | 5,485 | ||||||
1,206 | LGI Homes, Inc.* | 106,164 | ||||||
1,017 | Lifetime Brands, Inc. | 6,834 | ||||||
2,531 | M.D.C. Holdings, Inc. | 90,357 | ||||||
1,880 | M/I Homes, Inc.* | 64,747 | ||||||
3,168 | Meritage Corp.* | 241,148 | ||||||
2,105 | Mohawk Industries, Inc.* | 214,205 | ||||||
12,433 | Newell Brands, Inc. | 197,436 | ||||||
69 | NVR, Inc.* | 224,854 | ||||||
8,076 | PulteGroup, Inc. | 274,826 | ||||||
122 | Roku, Inc.* | 14,217 | ||||||
1,588 | Skyline Champion Corp.* | 38,652 | ||||||
6,506 | Taylor Morrison Home Corp., Class A* | 125,501 | ||||||
1,501 | Tempur Sealy International, Inc.* | 107,997 | ||||||
2,183 | Toll Brothers, Inc. | 71,144 | ||||||
1,321 | TopBuild Corp.* | 150,290 | ||||||
4,276 | TRI Pointe Group, Inc.* | 62,814 | ||||||
2,153 | Tupperware Brands Corp.^ | 10,227 | ||||||
718 | Universal Electronics, Inc.* | 33,617 | ||||||
2,420 | Whirlpool Corp. | 313,463 | ||||||
1,918 | Zagg, Inc.*^ | 6,023 | ||||||
|
| |||||||
4,304,830 | ||||||||
|
| |||||||
Household Products (1.3%): | ||||||||
2,499 | Central Garden & Pet Co., Class A* | 84,441 | ||||||
4,962 | Church & Dwight Co., Inc. | 383,563 | ||||||
2,165 | Clorox Co. (The) | 474,936 | ||||||
11,277 | Colgate-Palmolive Co. | 826,153 | ||||||
2,884 | Energizer Holdings, Inc. | 136,961 | ||||||
3,563 | Kimberly-Clark Corp. | 503,630 | ||||||
333 | Oil-Dri Corp of America | 11,555 | ||||||
27,164 | Procter & Gamble Co. (The) | 3,247,999 | ||||||
2,129 | Spectrum Brands Holdings, Inc. | 97,721 | ||||||
295 | WD-40 Co. | 58,499 | ||||||
|
| |||||||
5,825,458 | ||||||||
|
|
See accompanying notes to the financial statements.
12
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Independent Power and Renewable Electricity Producers (0.2%): | ||||||||
10,688 | AES Corp. (The) | $ | 154,869 | |||||
5,810 | Atlantic Power Corp.* | 11,620 | ||||||
3,840 | Atlantica Sustainable Infrastructure plc | 111,744 | ||||||
1,323 | Clearway Energy, Inc., Class A | 27,743 | ||||||
2,753 | Clearway Energy, Inc., Class C | 63,484 | ||||||
6,130 | NRG Energy, Inc. | 199,593 | ||||||
1,858 | Ormat Technologies, Inc. | 117,964 | ||||||
3,858 | TerraForm Power, Inc., Class A | 71,142 | ||||||
13,537 | Vistra Energy Corp. | 252,059 | ||||||
|
| |||||||
1,010,218 | ||||||||
|
| |||||||
Industrial Conglomerates (0.9%): | ||||||||
9,396 | 3M Co. | 1,465,681 | ||||||
2,058 | Carlisle Cos., Inc. | 246,281 | ||||||
64,642 | General Electric Co. | 441,505 | ||||||
8,301 | Honeywell International, Inc. | 1,200,242 | ||||||
1,736 | Raven Industries, Inc. | 37,341 | ||||||
876 | Roper Technologies, Inc. | 340,116 | ||||||
|
| |||||||
3,731,166 | ||||||||
|
| |||||||
Insurance (2.9%): | ||||||||
7,012 | Aflac, Inc. | 252,642 | ||||||
275 | Alleghany Corp. | 134,514 | ||||||
6,922 | Allstate Corp. (The) | 671,364 | ||||||
2,395 | AMBAC Financial Group, Inc.* | 34,296 | ||||||
3,511 | American Equity Investment Life Holding Co. | 86,757 | ||||||
2,547 | American Financial Group, Inc. | 161,633 | ||||||
10,777 | American International Group, Inc. | 336,027 | ||||||
409 | American National Insurance Co. | 29,477 | ||||||
907 | Amerisafe, Inc. | 55,472 | ||||||
4,352 | Aon plc, Class A | 838,196 | ||||||
7,386 | Arch Capital Group, Ltd.* | 211,608 | ||||||
1,501 | Argo Group International Holdings, Ltd. | 52,280 | ||||||
3,149 | Arthur J. Gallagher & Co. | 306,996 | ||||||
1,955 | Assurant, Inc. | 201,932 | ||||||
3,247 | Assured Guaranty, Ltd. | 79,259 | ||||||
5,206 | Athene Holding, Ltd., Class A* | 162,375 | ||||||
2,351 | Axis Capital Holdings, Ltd. | 95,357 | ||||||
3,603 | Brighthouse Financial, Inc.* | 100,235 | ||||||
4,866 | Brown & Brown, Inc. | 198,338 | ||||||
4,750 | Chubb, Ltd. | 601,444 | ||||||
3,163 | Cincinnati Financial Corp. | 202,527 | ||||||
2,176 | Citizens, Inc.*^ | 13,034 | ||||||
1,199 | CNA Financial Corp. | 38,548 | ||||||
2,354 | Crawford & Co. | 16,549 | ||||||
2,915 | Crawford & Co., Class A | 22,999 | ||||||
1,631 | Donegal Group, Inc., Class A | 23,193 | ||||||
800 | eHealth, Inc.* | 78,592 | ||||||
1,993 | Employers Holdings, Inc. | 60,089 | ||||||
447 | Enstar Group, Ltd.* | 68,288 | ||||||
664 | Erie Indemnity Co., Class A | 127,422 | ||||||
748 | Everest Re Group, Ltd. | 154,238 | ||||||
1,025 | FBL Financial Group, Inc., Class A | 36,787 | ||||||
1,054 | FedNat Holding Co. | 11,668 | ||||||
6,772 | Fidelity National Financial, Inc. | 207,630 | ||||||
3,746 | First American Financial Corp. | 179,883 | ||||||
21,335 | Genworth Financial, Inc., Class A* | 49,284 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
695 | Global Indemnity, Ltd. | $ | 16,638 | |||||
2,457 | Globe Life, Inc. | 182,383 | ||||||
2,383 | Greenlight Capital Re, Ltd.* | 15,537 | ||||||
1,469 | Hallmark Financial Services, Inc.* | 5,127 | ||||||
1,263 | Hanover Insurance Group, Inc. (The) | 127,980 | ||||||
10,034 | Hartford Financial Services Group, Inc. (The) | 386,811 | ||||||
397 | HCI Group, Inc. | 18,333 | ||||||
387 | Heritage Insurance Holdings, Inc. | 5,066 | ||||||
2,388 | Horace Mann Educators Corp. | 87,711 | ||||||
1,317 | Independence Holding Co. | 40,287 | ||||||
153 | Investors Title Co. | 18,562 | ||||||
1,283 | James River Group Holdings | 57,735 | ||||||
2,246 | Kemper Corp. | 162,880 | ||||||
152 | Kinsale Capital Group, Inc. | 23,592 | ||||||
3,278 | Lincoln National Corp. | 120,598 | ||||||
5,372 | Loews Corp. | 184,206 | ||||||
5,556 | Maiden Holdings, Ltd.* | 6,889 | ||||||
242 | Markel Corp.* | 223,407 | ||||||
5,461 | Marsh & McLennan Cos., Inc. | 586,348 | ||||||
1,688 | Mercury General Corp. | 68,786 | ||||||
8,570 | MetLife, Inc. | 312,976 | ||||||
4,959 | National General Holdings Corp. | 107,164 | ||||||
162 | National Western Life Group, Inc., Class A | 32,917 | ||||||
9,717 | Old Republic International Corp. | 158,484 | ||||||
1,670 | Primerica, Inc. | 194,722 | ||||||
5,300 | Principal Financial Group, Inc. | 220,162 | ||||||
2,111 | ProAssurance Corp. | 30,546 | ||||||
7,624 | Progressive Corp. (The) | 610,759 | ||||||
6,443 | Prudential Financial, Inc. | 392,379 | ||||||
1,719 | Reinsurance Group of America, Inc. | 134,838 | ||||||
830 | RenaissanceRe Holdings, Ltd. | 141,955 | ||||||
1,252 | RLI Corp. | 102,789 | ||||||
854 | Safety Insurance Group, Inc. | 65,126 | ||||||
2,198 | Selective Insurance Group, Inc. | 115,923 | ||||||
2,664 | State Auto Financial Corp. | 47,552 | ||||||
1,761 | Stewart Information Services Corp. | 57,250 | ||||||
5,145 | Third Point Reinsurance, Ltd.* | 38,639 | ||||||
1,767 | Tiptree, Inc., Class A | 11,397 | ||||||
5,503 | Travelers Cos., Inc. (The) | 627,616 | ||||||
1,438 | United Fire Group, Inc. | 39,847 | ||||||
2,794 | United Insurance Holdings Co. | 21,849 | ||||||
1,869 | Universal Insurance Holdings, Inc. | 33,175 | ||||||
5,839 | Unum Group | 96,869 | ||||||
140 | White Mountains Insurance Group, Ltd. | 124,316 | ||||||
1,549 | Willis Towers Watson plc | 305,076 | ||||||
2,831 | WR Berkley Corp. | 162,188 | ||||||
|
| |||||||
12,426,323 | ||||||||
|
| |||||||
Interactive Media & Services (3.1%): | ||||||||
2,187 | Alphabet, Inc., Class A* | 3,101,275 | ||||||
2,203 | Alphabet, Inc., Class C* | 3,114,183 | ||||||
1,229 | Cargurus, Inc.* | 31,155 | ||||||
3,783 | Cars.com, Inc.* | 21,790 | ||||||
2,881 | DHI Group, Inc.* | 6,050 | ||||||
26,308 | Facebook, Inc., Class A* | 5,973,758 | ||||||
728 | IAC/InterActiveCorp.* | 235,435 | ||||||
5,384 | Liberty TripAdvisor Holdings, Inc., Class A* | 11,468 | ||||||
1,146 | Match Group, Inc.*^ | 122,679 |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services, continued | ||||||||
1,563 | QuinStreet, Inc.* | $ | 16,349 | |||||
4,440 | Snap, Inc., Class A* | 104,296 | ||||||
2,297 | The Meet Group, Inc. (The)* | 14,333 | ||||||
1,344 | Travelzoo, Inc.* | 7,580 | ||||||
2,514 | TripAdvisor, Inc. | 47,791 | ||||||
6,966 | TrueCar, Inc.* | 17,972 | ||||||
10,559 | Twitter, Inc.* | 314,553 | ||||||
2,068 | Yelp, Inc.* | 47,833 | ||||||
664 | Zedge, Inc., Class B* | 983 | ||||||
1,125 | Zillow Group, Inc., Class A* | 64,665 | ||||||
2,298 | Zillow Group, Inc., Class C* | 132,388 | ||||||
|
| |||||||
13,386,536 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (3.6%): | ||||||||
2,093 | 1-800 Flowers.com, Inc., Class A* | 41,902 | ||||||
4,826 | Amazon.com, Inc.* | 13,314,064 | ||||||
532 | Booking Holdings, Inc.* | 847,124 | ||||||
11,611 | eBay, Inc. | 608,997 | ||||||
2,028 | Etsy, Inc.* | 215,434 | ||||||
1,839 | Expedia Group, Inc. | 151,166 | ||||||
210 | Groupon, Inc.*^ | 3,805 | ||||||
2,772 | Grubhub, Inc.* | 194,872 | ||||||
2,242 | Lands’ End, Inc.*^ | 18,026 | ||||||
1,546 | Leaf Group, Ltd.* | 5,674 | ||||||
1,736 | Liquidity Services, Inc.* | 10,347 | ||||||
1,164 | PetMed Express, Inc. | 41,485 | ||||||
4,088 | Quotient Technology, Inc.* | 29,924 | ||||||
8,810 | Qurate Retail, Inc., Class A* | 83,695 | ||||||
981 | Shutterstock, Inc. | 34,306 | ||||||
585 | Stamps.com, Inc.* | 107,459 | ||||||
1,006 | Wayfair, Inc., Class A* | 198,796 | ||||||
|
| |||||||
15,907,076 | ||||||||
|
| |||||||
IT Services (5.1%): | ||||||||
7,346 | Accenture plc, Class C | 1,577,333 | ||||||
2,369 | Akamai Technologies, Inc.* | 253,696 | ||||||
2,523 | Alliance Data Systems Corp. | 113,838 | ||||||
2,873 | Amdocs, Ltd. | 174,908 | ||||||
7,134 | Automatic Data Processing, Inc. | 1,062,181 | ||||||
2,392 | Black Knight, Inc.* | 173,564 | ||||||
3,165 | Booz Allen Hamilton Holding Corp. | 246,205 | ||||||
2,603 | Broadridge Financial Solutions, Inc. | 328,473 | ||||||
843 | CACI International, Inc., Class A* | 182,830 | ||||||
2,591 | Cardtronics plc* | 62,132 | ||||||
687 | Cass Information Systems, Inc. | 26,814 | ||||||
6,964 | Cognizant Technology Solutions Corp., Class A | 395,694 | ||||||
6,347 | Conduent, Inc.* | 15,169 | ||||||
2,751 | CoreLogic, Inc. | 184,922 | ||||||
1,424 | CSG Systems International, Inc. | 58,939 | ||||||
11,161 | DXC Technology Co. | 184,157 | ||||||
513 | Endurance International Group Holdings, Inc.* | 2,067 | ||||||
577 | EPAM Systems, Inc.* | 145,410 | ||||||
1,986 | Euronet Worldwide, Inc.* | 190,299 | ||||||
2,060 | Evertec, Inc. | 57,886 | ||||||
1,320 | Exlservice Holdings, Inc.* | 83,688 | ||||||
6,468 | Fidelity National Information Services, Inc. | 867,294 | ||||||
4,458 | Fiserv, Inc.* | 435,190 | ||||||
1,423 | FleetCor Technologies, Inc.* | 357,927 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
1,826 | Gartner, Inc.* | $ | 221,549 | |||||
6,266 | Genpact, Ltd. | 228,834 | ||||||
3,060 | Global Payments, Inc. | 519,037 | ||||||
2,119 | GoDaddy, Inc., Class A* | 155,386 | ||||||
2,548 | GTT Communications, Inc.*^ | 20,792 | ||||||
1,357 | Hackett Group, Inc. (The) | 18,374 | ||||||
16,318 | International Business Machines Corp. | 1,970,725 | ||||||
1,038 | Jack Henry & Associates, Inc. | 191,023 | ||||||
5,179 | KBR, Inc. | 116,786 | ||||||
3,666 | Leidos Holdings, Inc. | 343,394 | ||||||
2,160 | Limelight Networks, Inc.* | 15,898 | ||||||
1,817 | LiveRamp Holdings, Inc.* | 77,168 | ||||||
1,140 | ManTech International Corp., Class A | 78,079 | ||||||
11,393 | MasterCard, Inc., Class A | 3,368,909 | ||||||
2,057 | Maximus, Inc. | 144,916 | ||||||
403 | MongoDB, Inc.* | 91,215 | ||||||
2,359 | NIC, Inc. | 54,163 | ||||||
839 | Okta, Inc.* | 167,993 | ||||||
7,229 | Paychex, Inc. | 547,597 | ||||||
7,840 | PayPal Holdings, Inc.* | 1,365,963 | ||||||
1,054 | Perficient, Inc.* | 37,712 | ||||||
3,968 | Perspecta, Inc. | 92,177 | ||||||
840 | PFSweb, Inc.* | 5,611 | ||||||
6,698 | Sabre Corp. | 53,986 | ||||||
1,873 | Science Applications International Corp. | 145,495 | ||||||
3,035 | Servicesource International, Inc.* | 4,795 | ||||||
1,296 | Square, Inc., Class A* | 136,002 | ||||||
3,966 | Steel Connect, Inc.* | 2,380 | ||||||
2,283 | Sykes Enterprises, Inc.* | 63,148 | ||||||
3,331 | Teradata Corp.* | 69,285 | ||||||
2,048 | TTEC Holdings, Inc. | 95,355 | ||||||
2,010 | Twilio, Inc., Class A* | 441,034 | ||||||
3,021 | Unisys Corp.* | 32,959 | ||||||
1,183 | VeriSign, Inc.* | 244,680 | ||||||
1,675 | Virtusa Corp.* | 54,387 | ||||||
19,669 | Visa, Inc., Class A | 3,799,460 | ||||||
6,143 | Western Union Co. | 132,812 | ||||||
1,400 | WEX, Inc.* | 231,014 | ||||||
|
| |||||||
22,520,709 | ||||||||
|
| |||||||
Leisure Products (0.3%): | ||||||||
2,298 | Acushnet Holdings Corp. | 79,947 | ||||||
2,964 | Brunswick Corp. | 189,726 | ||||||
3,826 | Callaway Golf Co. | 66,993 | ||||||
658 | Escalade, Inc. | 9,186 | ||||||
3,535 | Hasbro, Inc. | 264,947 | ||||||
503 | Johnson Outdoors, Inc., Class A | 45,783 | ||||||
531 | Malibu Boats, Inc.* | 27,585 | ||||||
662 | Marine Products Corp. | 9,169 | ||||||
6,035 | Mattel, Inc.* | 58,358 | ||||||
1,932 | Nautilus Group, Inc.* | 17,910 | ||||||
2,234 | Polaris, Inc. | 206,757 | ||||||
3,582 | Smith & Wesson Brands, Inc.* | 77,085 | ||||||
2,859 | Vista Outdoor, Inc.* | 41,313 | ||||||
|
| |||||||
1,094,759 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.9%): | ||||||||
2,589 | Agilent Technologies, Inc. | 228,790 | ||||||
427 | Bio-Rad Laboratories, Inc., Class A* | 192,786 |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services, continued | ||||||||
482 | Bio-Techne Corp. | $ | 127,282 | |||||
5,159 | Bruker Corp. | 209,868 | ||||||
940 | Charles River Laboratories International, Inc.* | 163,889 | ||||||
1,979 | Harvard Bioscience, Inc.* | 6,135 | ||||||
1,009 | Illumina, Inc.* | 373,683 | ||||||
1,931 | IQVIA Holdings, Inc.* | 273,970 | ||||||
2,457 | Luminex Corp. | 79,926 | ||||||
1,150 | Medpace Holdings, Inc.* | 106,973 | ||||||
412 | Mettler-Toledo International, Inc.* | 331,887 | ||||||
1,400 | Neogenomics, Inc.* | 43,372 | ||||||
1,490 | PerkinElmer, Inc. | 146,154 | ||||||
1,655 | PRA Health Sciences, Inc.* | 161,015 | ||||||
2,622 | Syneos Health, Inc.* | 152,732 | ||||||
2,965 | Thermo Fisher Scientific, Inc. | 1,074,338 | ||||||
907 | Waters Corp.* | 163,623 | ||||||
|
| |||||||
3,836,423 | ||||||||
|
| |||||||
Machinery (2.7%): | ||||||||
2,603 | AGCO Corp. | 144,362 | ||||||
228 | Alamo Group, Inc. | 23,402 | ||||||
737 | Albany International Corp., Class A | 43,269 | ||||||
4,381 | Allison Transmission Holdings, Inc. | 161,133 | ||||||
1,335 | Altra Industrial Motion Corp. | 42,533 | ||||||
929 | Astec Industries, Inc. | 43,022 | ||||||
1,993 | Barnes Group, Inc. | 78,843 | ||||||
837 | Blue Bird Corp.* | 12,547 | ||||||
2,517 | Briggs & Stratton Corp.^ | 3,297 | ||||||
9,848 | Caterpillar, Inc. | 1,245,771 | ||||||
1,019 | Chart Industries, Inc.* | 49,411 | ||||||
1,284 | CIRCOR International, Inc.* | 32,716 | ||||||
4,064 | Colfax Corp.* | 113,386 | ||||||
1,526 | Columbus McKinnon Corp. | 51,045 | ||||||
2,706 | Commercial Vehicle Group, Inc.* | 7,820 | ||||||
1,945 | Crane Co. | 115,650 | ||||||
3,578 | Cummins, Inc. | 619,924 | ||||||
4,965 | Deere & Co. | 780,250 | ||||||
562 | DMC Global, Inc. | 15,511 | ||||||
4,360 | Donaldson Co., Inc. | 202,827 | ||||||
1,324 | Douglas Dynamics, Inc. | 46,499 | ||||||
2,663 | Dover Corp. | 257,139 | ||||||
2,898 | Enerpac Tool Group Corp. | 51,005 | ||||||
1,120 | EnPro Industries, Inc. | 55,205 | ||||||
951 | ESCO Technologies, Inc. | 80,388 | ||||||
2,747 | Evoqua Water Technologies Co.* | 51,094 | ||||||
2,959 | Federal Signal Corp. | 87,971 | ||||||
4,708 | Flowserve Corp. | 134,272 | ||||||
5,869 | Fortive Corp. | 397,097 | ||||||
1,521 | Franklin Electric Co., Inc. | 79,883 | ||||||
694 | FreightCar America, Inc.* | 861 | ||||||
889 | Gencor Industries, Inc.* | 11,237 | ||||||
1,617 | Gorman-Rupp Co. (The) | 50,256 | ||||||
3,181 | Graco, Inc. | 152,656 | ||||||
2,503 | Harsco Corp.* | 33,816 | ||||||
1,370 | Helios Technologies, Inc. | 51,033 | ||||||
2,888 | Hillenbrand, Inc. | 78,178 | ||||||
490 | Hurco Cos, Inc. | 13,705 | ||||||
896 | Hyster-Yale Materials Handling, Inc., Class A | 34,639 | ||||||
1,615 | IDEX Corp. | 255,235 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
4,117 | Illinois Tool Works, Inc. | $ | 719,857 | |||||
5,321 | Ingersoll-Rand, Inc.* | 149,627 | ||||||
3,090 | ITT, Inc. | 181,507 | ||||||
1,157 | John Bean Technologies Corp. | 99,525 | ||||||
598 | Kadant, Inc. | 59,597 | ||||||
2,960 | Kennametal, Inc. | 84,982 | ||||||
787 | L.B. Foster Co., Class A* | 10,050 | ||||||
1,806 | Lincoln Electric Holdings, Inc. | 152,137 | ||||||
539 | Lindsay Corp. | 49,701 | ||||||
774 | Lydall, Inc.* | 10,495 | ||||||
1,213 | Manitex International, Inc.* | 6,029 | ||||||
2,529 | Manitowoc Co., Inc. (The)* | 27,516 | ||||||
4,260 | Meritor, Inc.* | 84,348 | ||||||
1,601 | Middleby Corp. (The)* | 126,383 | ||||||
2,406 | Mueller Industries, Inc. | 63,951 | ||||||
7,183 | Mueller Water Products, Inc., Class A | 67,736 | ||||||
2,868 | Navistar International Corp.* | 80,878 | ||||||
1,258 | NN, Inc. | 5,963 | ||||||
1,155 | Nordson Corp. | 219,115 | ||||||
158 | Omega Flex, Inc. | 16,716 | ||||||
2,269 | Oshkosh Corp. | 162,506 | ||||||
4,844 | Otis Worldwide Corp. | 275,430 | ||||||
5,069 | PACCAR, Inc. | 379,415 | ||||||
3,096 | Parker Hannifin Corp. | 567,404 | ||||||
1,058 | Park-Ohio Holdings Corp. | 17,552 | ||||||
5,836 | Pentair plc | 221,710 | ||||||
976 | Proto Labs, Inc.* | 109,771 | ||||||
660 | RBC Bearings, Inc.* | 88,466 | ||||||
5,687 | REV Group, Inc. | 34,691 | ||||||
5,156 | Rexnord Corp. | 150,297 | ||||||
612 | Shyft Group, Inc. (The) | 10,306 | ||||||
1,567 | Snap-On, Inc. | 217,045 | ||||||
1,562 | SPX Corp.* | 64,276 | ||||||
2,004 | SPX FLOW, Inc.* | 75,030 | ||||||
775 | Standex International Corp. | 44,601 | ||||||
2,392 | Stanley Black & Decker, Inc. | 333,397 | ||||||
793 | Tennant Co. | 51,553 | ||||||
3,523 | Terex Corp. | 66,127 | ||||||
1,612 | The Greenbrier Cos., Inc. | 36,673 | ||||||
3,355 | Timken Co. | 152,619 | ||||||
3,046 | Titan International, Inc. | 4,447 | ||||||
2,013 | Toro Co. (The) | 133,542 | ||||||
2,213 | TriMas Corp.* | 53,001 | ||||||
5,158 | Trinity Industries, Inc. | 109,814 | ||||||
4,006 | Wabash National Corp. | 42,544 | ||||||
3,488 | Wabtec Corp. | 200,804 | ||||||
960 | Watts Water Technologies, Inc., Class A | 77,760 | ||||||
4,275 | Welbilt, Inc.* | 26,035 | ||||||
2,272 | Woodward, Inc. | 176,194 | ||||||
2,483 | Xylem, Inc. | 161,296 | ||||||
|
| |||||||
11,969,307 | ||||||||
|
| |||||||
Marine (0.1%): | ||||||||
7,028 | Costamare, Inc. | 39,075 | ||||||
1,680 | Eagle Bulk Shipping, Inc.*^ | 3,679 | ||||||
1,300 | Genco Shipping & Trading, Ltd. | 8,164 | ||||||
1,331 | Golden Ocean Group, Ltd.^ | 5,164 | ||||||
1,948 | Kirby Corp.* | 104,335 |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Marine, continued | ||||||||
1,541 | Matson, Inc. | $ | 44,843 | |||||
147 | Scorpio Bulkers, Inc. | 2,249 | ||||||
|
| |||||||
207,509 | ||||||||
|
| |||||||
Media (1.6%): | ||||||||
1,468 | A.H. Belo Corp., Class A | 2,540 | ||||||
4,725 | Altice USA, Inc., Class A* | 106,502 | ||||||
2,029 | AMC Networks, Inc., Class A* | 47,458 | ||||||
108 | Cable One, Inc. | 191,684 | ||||||
1,877 | Charter Communications, Inc., Class A* | 957,345 | ||||||
1,661 | Clear Channel Outdoor Holdings, Inc.* | 1,727 | ||||||
57,913 | Comcast Corp., Class A | 2,257,448 | ||||||
2,952 | comScore, Inc.* | 9,151 | ||||||
9,763 | Discovery Communications, Inc., Class C* | 188,035 | ||||||
4,410 | Discovery, Inc., Class A* | 93,051 | ||||||
5,909 | DISH Network Corp., Class A* | 203,920 | ||||||
4,131 | E.W. Scripps Co. (The), Class A | 36,146 | ||||||
4,691 | Emerald Holding, Inc. | 14,448 | ||||||
8,164 | Entercom Communications Corp. | 11,266 | ||||||
4,792 | Entravision Communications Corp., Class A | 6,853 | ||||||
6,577 | Fox Corp., Class A | 176,395 | ||||||
4,958 | Fox Corp., Class B | 133,073 | ||||||
7,573 | Gannett Co, Inc.* | 10,451 | ||||||
2,933 | GCI Liberty, Inc., Class A* | 208,595 | ||||||
4,886 | Gray Television, Inc.* | 68,160 | ||||||
16,410 | Interpublic Group of Cos., Inc. (The) | 281,596 | ||||||
1,262 | John Wiley & Sons, Inc., Class A | 49,218 | ||||||
192 | John Wiley & Sons, Inc., Class B | 7,288 | ||||||
563 | Liberty Broadband Corp., Class A* | 68,793 | ||||||
2,286 | Liberty Broadband Corp., Class C* | 283,373 | ||||||
1,489 | Liberty Latin America, Ltd.* | 14,473 | ||||||
6,974 | Liberty Latin America, Ltd., Class C* | 65,835 | ||||||
4,073 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 140,315 | ||||||
2,477 | Liberty SiriusXM Group, Class A* | 85,506 | ||||||
143 | Loral Space & Communications Inc. | 2,791 | ||||||
2,502 | Marchex, Inc., Class B* | 3,953 | ||||||
1,649 | Meredith Corp. | 23,993 | ||||||
3,759 | MSG Networks, Inc., Class A* | 37,402 | ||||||
3,726 | National CineMedia, Inc. | 11,066 | ||||||
3,530 | New York Times Co. (The), Class A | 148,366 | ||||||
10,643 | News Corp., Class A | 126,226 | ||||||
2,563 | News Corp., Class B | 30,628 | ||||||
2,115 | Nexstar Media Group, Inc., Class A | 177,004 | ||||||
6,016 | Omnicom Group, Inc. | 328,474 | ||||||
1,853 | Scholastic Corp. | 55,479 | ||||||
10,861 | Sirius XM Holdings, Inc. | 63,754 | ||||||
1,895 | TechTarget, Inc.* | 56,907 | ||||||
8,978 | Tegna, Inc. | 100,015 | ||||||
933 | Tribune Publishing Co. | 9,321 | ||||||
445 | ViacomCBS, Inc., Class A^ | 11,392 | ||||||
9,841 | ViacomCBS, Inc., Class B | 229,492 | ||||||
|
| |||||||
7,136,908 | ||||||||
|
| |||||||
Metals & Mining (0.6%): | ||||||||
6,163 | Alcoa Corp.* | 69,272 | ||||||
4,528 | Allegheny Technologies, Inc.* | 46,140 | ||||||
799 | Ampco-Pittsburgh Corp.* | 2,453 | ||||||
3,002 | Arconic Corp.* | 41,818 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
2,296 | Carpenter Technology Corp. | $ | 55,747 | |||||
4,968 | Century Aluminum Co.* | 35,422 | ||||||
13,050 | Cleveland-Cliffs, Inc.^ | 72,036 | ||||||
12,366 | Coeur Mining, Inc.* | 62,819 | ||||||
6,147 | Commercial Metals Co. | 125,399 | ||||||
1,713 | Compass Minerals International, Inc. | 83,509 | ||||||
7,323 | Ferroglobe plc* | 3,631 | ||||||
9,823 | Ferroglobe Unit*(a) | – | ||||||
25,980 | Freeport-McMoRan, Inc. | 300,589 | ||||||
2,945 | Gold Resource Corp. | 12,104 | ||||||
943 | Haynes International, Inc. | 22,028 | ||||||
23,972 | Hecla Mining Co. | 78,388 | ||||||
151 | Kaiser Aluminum Corp. | 11,117 | ||||||
643 | Materion Corp. | 39,538 | ||||||
12,309 | McEwen Mining, Inc.* | 12,432 | ||||||
9,007 | Newmont Corp. | 556,093 | ||||||
6,125 | Nucor Corp. | 253,636 | ||||||
700 | Olympic Steel, Inc. | 8,225 | ||||||
2,353 | Reliance Steel & Aluminum Co. | 223,370 | ||||||
990 | Royal Gold, Inc. | 123,077 | ||||||
1,500 | Ryerson Holding Corp.* | 8,445 | ||||||
1,365 | Schnitzer Steel Industries, Inc., Class A | 24,079 | ||||||
1,946 | Southern Copper Corp. | 77,392 | ||||||
9,644 | Steel Dynamics, Inc. | 251,612 | ||||||
3,673 | SunCoke Energy, Inc. | 10,872 | ||||||
701 | Synalloy Corp.* | 5,243 | ||||||
2,052 | TimkenSteel Corp.* | 7,982 | ||||||
7,131 | United States Steel Corp.^ | 51,486 | ||||||
548 | Universal Stainless & Alloy Products, Inc.* | 4,713 | ||||||
4,099 | Warrior Met Coal, Inc. | 63,084 | ||||||
2,198 | Worthington Industries, Inc. | 81,985 | ||||||
|
| |||||||
2,825,736 | ||||||||
|
| |||||||
Multiline Retail (0.6%): | ||||||||
2,583 | Big Lots, Inc. | 108,486 | ||||||
1,248 | Dillard’s, Inc., Class A^ | 32,186 | ||||||
3,071 | Dollar General Corp. | 585,056 | ||||||
5,745 | Dollar Tree, Inc.* | 532,447 | ||||||
6,791 | Kohl’s Corp. | 141,049 | ||||||
15,105 | Macy’s, Inc.^ | 103,922 | ||||||
5,858 | Nordstrom, Inc.^ | 90,740 | ||||||
2,055 | Ollie’s Bargain Outlet Holdings, Inc.* | 200,671 | ||||||
8,114 | Target Corp. | 973,112 | ||||||
|
| |||||||
2,767,669 | ||||||||
|
| |||||||
Multi-Utilities (0.8%): | ||||||||
3,133 | Ameren Corp. | 220,438 | ||||||
1,884 | Avista Corp. | 68,559 | ||||||
1,784 | Black Hills Corp. | 101,081 | ||||||
7,105 | CenterPoint Energy, Inc. | 132,650 | ||||||
4,180 | CMS Energy Corp. | 244,196 | ||||||
4,077 | Consolidated Edison, Inc. | 293,259 | ||||||
8,084 | Dominion Energy, Inc. | 656,258 | ||||||
2,587 | DTE Energy Co. | 278,103 | ||||||
7,317 | MDU Resources Group, Inc. | 162,291 | ||||||
6,003 | NiSource, Inc. | 136,508 | ||||||
1,765 | NorthWestern Corp. | 96,228 | ||||||
5,550 | Public Service Enterprise Group, Inc. | 272,838 |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multi-Utilities, continued | ||||||||
3,046 | Sempra Energy | $ | 357,083 | |||||
844 | Unitil Corp. | 37,828 | ||||||
3,038 | WEC Energy Group, Inc. | 266,281 | ||||||
|
| |||||||
3,323,601 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.8%): | ||||||||
332 | Adams Resources & Energy, Inc. | 8,888 | ||||||
7,652 | Antero Resources Corp.*^ | 19,436 | ||||||
11,405 | Apache Corp. | 153,968 | ||||||
1,256 | Arch Resources, Inc.* | 35,683 | ||||||
1,988 | Berry Corp. | 9,602 | ||||||
1,149 | Bonanza Creek Energy, Inc.* | 17,028 | ||||||
5,677 | Cabot Oil & Gas Corp. | 97,531 | ||||||
275 | California Resources Corp.*^ | 336 | ||||||
28,192 | Callon Petroleum Co.*^ | 32,421 | ||||||
6,243 | Centennial Resource Development, Inc., Class A*^ | 5,556 | ||||||
3,933 | Cheniere Energy, Inc.* | 190,043 | ||||||
27,148 | Chevron Corp. | 2,422,415 | ||||||
4,711 | Cimarex Energy Co. | 129,505 | ||||||
7,534 | Clean Energy Fuel Corp.* | 16,725 | ||||||
10,708 | CNX Resources Corp.* | 92,624 | ||||||
3,602 | Concho Resources, Inc. | 185,503 | ||||||
23,835 | ConocoPhillips Co. | 1,001,547 | ||||||
1,846 | CONSOL Energy, Inc.* | 9,359 | ||||||
1,423 | Contango Oil & Gas Co.* | 3,259 | ||||||
10,215 | Continental Resources, Inc.^ | 179,069 | ||||||
4,149 | CVR Energy, Inc. | 83,436 | ||||||
4,054 | Delek US Holdings, Inc. | 70,580 | ||||||
35,565 | Denbury Resources, Inc.* | 9,820 | ||||||
16,542 | Devon Energy Corp. | 187,586 | ||||||
8,860 | DHT Holdings, Inc. | 45,452 | ||||||
918 | Diamondback Energy, Inc. | 38,391 | ||||||
107 | Dorian LPG, Ltd.* | 828 | ||||||
5,391 | Enlink Midstream LLC | 13,154 | ||||||
12,459 | EOG Resources, Inc. | 631,173 | ||||||
10,783 | EQT Corp. | 128,318 | ||||||
2,812 | Equitrans Midstream Corp. | 23,368 | ||||||
42,973 | Exxon Mobil Corp. | 1,921,753 | ||||||
4,505 | Gaslog, Ltd.^ | 12,659 | ||||||
2,514 | Green Plains, Inc.*^ | 25,681 | ||||||
8,600 | Gulfport Energy Corp.* | 9,374 | ||||||
5,198 | Hess Corp. | 269,308 | ||||||
10,617 | HighPoint Resources Corp.* | 3,132 | ||||||
4,760 | HollyFrontier Corp. | 138,992 | ||||||
1,180 | International Seaways, Inc. | 19,281 | ||||||
21,831 | Kinder Morgan, Inc. | 331,176 | ||||||
17,233 | Kosmos Energy, Ltd. | 28,607 | ||||||
609 | Laredo Petroleum, Inc.* | 8,441 | ||||||
17,859 | Marathon Oil Corp. | 109,297 | ||||||
12,790 | Marathon Petroleum Corp. | 478,090 | ||||||
6,316 | Matador Resources Co.* | 53,686 | ||||||
1,037 | Montage Resources Corp.* | 4,096 | ||||||
6,993 | Murphy Oil Corp. | 96,503 | ||||||
7,953 | Noble Energy, Inc. | 71,259 | ||||||
10,234 | Northern Oil & Gas, Inc.*^ | 8,585 | ||||||
11,184 | Oasis Petroleum, Inc.*^ | 8,388 | ||||||
25,500 | Occidental Petroleum Corp. | 466,650 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
6,873 | ONEOK, Inc. | $ | 228,321 | |||||
1,401 | Panhandle Oil & Gas, Inc., Class A | 3,755 | ||||||
2,936 | PAR Pacific Holdings, Inc.* | 26,395 | ||||||
6,891 | Parsley Energy, Inc., Class A | 73,596 | ||||||
5,640 | PBF Energy, Inc., Class A | 57,754 | ||||||
5,513 | PDC Energy, Inc.* | 68,582 | ||||||
4,173 | Peabody Energy Corp. | 12,018 | ||||||
787 | Penn Virginia Corp.* | 7,500 | ||||||
4,501 | Phillips 66 | 323,622 | ||||||
3,262 | Pioneer Natural Resources Co. | 318,697 | ||||||
6 | PrimeEnergy Resources Corp.* | 427 | ||||||
11,578 | QEP Resources, Inc. | 14,936 | ||||||
4,715 | Range Resources Corp. | 26,545 | ||||||
2,004 | Renewable Energy Group, Inc.* | 49,659 | ||||||
374 | REX American Resources Corp.* | 25,944 | ||||||
1,820 | Ring Energy, Inc.*^ | 2,111 | ||||||
3,448 | Scorpio Tankers, Inc.^ | 44,169 | ||||||
6,460 | SFL Corp., Ltd. | 60,014 | ||||||
6,397 | SM Energy Co. | 23,989 | ||||||
22,197 | Southwestern Energy Co.* | 56,824 | ||||||
3,310 | Talos Energy, Inc.* | 30,452 | ||||||
4,483 | Targa Resources Corp. | 89,974 | ||||||
6,407 | Teekay Shipping Corp.*^ | 15,377 | ||||||
1,031 | Teekay Tankers, Ltd., Class A*^ | 13,217 | ||||||
4,537 | Valero Energy Corp. | 266,866 | ||||||
14,709 | Williams Cos., Inc. | 279,765 | ||||||
3,515 | World Fuel Services Corp. | 90,546 | ||||||
13,673 | WPX Energy, Inc.* | 87,234 | ||||||
|
| |||||||
12,205,851 | ||||||||
|
| |||||||
Paper & Forest Products (0.1%): | ||||||||
2,211 | Boise Cascade Co. | 83,156 | ||||||
1,659 | Clearwater Paper Corp.* | 59,940 | ||||||
3,283 | Domtar Corp. | 69,304 | ||||||
4,040 | Louisiana-Pacific Corp. | 103,625 | ||||||
5,575 | Mercer International, Inc. | 45,492 | ||||||
617 | Neenah, Inc. | 30,517 | ||||||
2,520 | P.H. Glatfelter Co. | 40,446 | ||||||
5,870 | Resolute Forest Products* | 12,386 | ||||||
1,565 | Schweitzer-Mauduit International, Inc. | 52,287 | ||||||
2,251 | Verso Corp. | 26,922 | ||||||
|
| |||||||
524,075 | ||||||||
|
| |||||||
Personal Products (0.3%): | ||||||||
12,350 | Coty, Inc., Class A | 55,205 | ||||||
1,562 | e.l.f. Beauty, Inc.* | 29,787 | ||||||
2,453 | Edgewell Personal Care Co.* | 76,435 | ||||||
2,928 | Estee Lauder Co., Inc. (The), Class A | 552,455 | ||||||
4,410 | Herbalife Nutrition, Ltd.* | 198,362 | ||||||
1,355 | Inter Parfums, Inc. | 65,243 | ||||||
609 | Medifast, Inc.^ | 84,511 | ||||||
6,899 | Natura & Co. Holding SA, ADR | 100,104 | ||||||
1,236 | Natures Sunshine Products, Inc.* | 11,136 | ||||||
2,377 | Nu Skin Enterprises, Inc., Class A | 90,873 | ||||||
340 | United-Guardian, Inc. | 5,026 | ||||||
864 | Usana Health Sciences, Inc.* | 63,444 | ||||||
|
| |||||||
1,332,581 | ||||||||
|
|
See accompanying notes to the financial statements.
17
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals (3.4%): | ||||||||
2,003 | Amphastar Pharmaceuticals, Inc.* | $ | 44,987 | |||||
900 | ANI Pharmaceuticals, Inc.* | 29,106 | ||||||
885 | Assembly Biosciences, Inc.* | 20,638 | ||||||
17,646 | Bristol-Myers Squibb Co. | 1,037,585 | ||||||
3,249 | Catalent, Inc.* | 238,152 | ||||||
4,376 | Corcept Therapeutics, Inc.* | 73,604 | ||||||
1,468 | Cumberland Pharmaceuticals, Inc.* | 4,888 | ||||||
1,054 | Cymabay Therapeutics, Inc.* | 3,678 | ||||||
6,155 | Elanco Animal Health, Inc.* | 132,025 | ||||||
11,000 | Eli Lilly & Co. | 1,805,980 | ||||||
8,827 | Endo International plc* | 30,276 | ||||||
5,527 | Horizon Therapeutics plc* | 307,191 | ||||||
3,292 | Innoviva, Inc.* | 46,022 | ||||||
2,219 | Intra-Cellular Therapies, Inc.* | 56,962 | ||||||
1,888 | Jazz Pharmaceuticals plc* | 208,322 | ||||||
32,655 | Johnson & Johnson Co. | 4,592,273 | ||||||
2,281 | Lannett Co., Inc.* | 16,560 | ||||||
4,828 | Mallinckrodt plc* | 12,939 | ||||||
31,487 | Merck & Co., Inc. | 2,434,890 | ||||||
11,018 | Mylan NV* | 177,169 | ||||||
3,567 | Nektar Therapeutics* | 82,612 | ||||||
1,317 | Otonomy, Inc.* | 4,768 | ||||||
3,223 | Perrigo Co. plc | 178,135 | ||||||
69,635 | Pfizer, Inc. | 2,277,065 | ||||||
793 | Phibro Animal Health Corp., Class A | 20,832 | ||||||
2,480 | Prestige Consumer Healthcare, Inc.* | 93,149 | ||||||
318 | Reata Pharmaceuticals, Inc., Class A* | 49,614 | ||||||
1,463 | Revance Therapeutics, Inc.* | 35,726 | ||||||
1,789 | Supernus Pharmaceuticals, Inc.* | 42,489 | ||||||
923 | Taro Pharmaceutical Industries, Ltd.* | 61,370 | ||||||
6,077 | Zoetis, Inc. | 832,792 | ||||||
1,297 | Zogenix, Inc.* | 35,032 | ||||||
|
| |||||||
14,986,831 | ||||||||
|
| |||||||
Professional Services (0.6%): | ||||||||
2,183 | ASGN, Inc.* | 145,562 | ||||||
494 | Barrett Business Services, Inc. | 26,246 | ||||||
3,154 | CBIZ, Inc.* | 75,601 | ||||||
216 | CoStar Group, Inc.* | 153,505 | ||||||
456 | CRA International, Inc. | 18,012 | ||||||
1,098 | Equifax, Inc. | 188,724 | ||||||
1,734 | Exponent, Inc. | 140,333 | ||||||
825 | Forrester Research, Inc.* | 26,433 | ||||||
1,382 | FTI Consulting, Inc.* | 158,308 | ||||||
1,205 | Heidrick & Struggles International, Inc. | 26,052 | ||||||
466 | Hill International, Inc.* | 708 | ||||||
1,113 | Huron Consulting Group, Inc.* | 49,250 | ||||||
795 | ICF International, Inc. | 51,540 | ||||||
3,095 | InnerWorkings, Inc.* | 4,085 | ||||||
740 | Insperity, Inc. | 47,900 | ||||||
2,223 | Kelly Services, Inc., Class A | 35,157 | ||||||
1,154 | Kforce, Inc. | 33,755 | ||||||
2,258 | Korn Ferry | 69,388 | ||||||
2,100 | ManpowerGroup, Inc. | 144,375 | ||||||
659 | Mistras Group, Inc.* | 2,603 | ||||||
11,810 | Nielsen Holdings plc | 175,497 | ||||||
2,125 | Resources Connection, Inc. | 25,436 | ||||||
3,340 | Robert Half International, Inc. | 176,452 | ||||||
2,719 | TransUnion | 236,662 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
2,194 | TriNet Group, Inc.* | $ | 133,702 | |||||
2,213 | Trueblue, Inc.* | 33,793 | ||||||
1,755 | Verisk Analytics, Inc. | 298,702 | ||||||
633 | Willdan Group, Inc.* | 15,831 | ||||||
|
| |||||||
2,493,612 | ||||||||
|
| |||||||
Real Estate Management & Development (0.2%): | ||||||||
400 | Altisource Portfolio Solutions* | 5,896 | ||||||
6,325 | CBRE Group, Inc., Class A* | 286,016 | ||||||
339 | CTO Realty Growth, Inc. | 13,391 | ||||||
2,451 | Cushman & Wakefield plc*^ | 30,539 | ||||||
279 | Forestar Group, Inc.* | 4,207 | ||||||
232 | FRP Holdings, Inc.* | 9,415 | ||||||
318 | Griffin Industrial Realty, Inc. | 17,226 | ||||||
1,280 | Howard Hughes Corp. (The)* | 66,496 | ||||||
1,691 | Jones Lang LaSalle, Inc. | 174,951 | ||||||
5,360 | Kennedy-Wilson Holdings, Inc. | 81,579 | ||||||
2,112 | Marcus & Millichap, Inc.* | 60,952 | ||||||
6,929 | Newmark Group, Inc. | 33,675 | ||||||
997 | Rafael Holdings, Inc., Class B* | 14,327 | ||||||
910 | RE/MAX Holdings, Inc., Class A | 28,601 | ||||||
7,526 | Realogy Holdings Corp. | 55,768 | ||||||
1,447 | Tejon Ranch Co.* | 20,837 | ||||||
1,038 | The RMR Group, Inc., Class A | 30,590 | ||||||
3,157 | The St Joe Co.* | 61,309 | ||||||
|
| |||||||
995,775 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
767 | AMERCO, Inc. | 231,780 | ||||||
1,475 | ArcBest Corp. | 39,102 | ||||||
2,770 | Avis Budget Group, Inc.* | 63,405 | ||||||
1,699 | Covenant Transportation Group, Inc., Class A* | 24,517 | ||||||
9,525 | CSX Corp. | 664,274 | ||||||
4,179 | Heartland Express, Inc. | 87,007 | ||||||
8,317 | Hertz Global Holdings, Inc.*^ | 11,727 | ||||||
2,532 | J.B. Hunt Transport Services, Inc. | 304,701 | ||||||
1,863 | Kansas City Southern | 278,127 | ||||||
5,109 | Knight-Swift Transportation Holdings, Inc. | 213,096 | ||||||
1,359 | Landstar System, Inc. | 152,629 | ||||||
3,359 | Marten Transport, Ltd. | 84,512 | ||||||
3,283 | Norfolk Southern Corp. | 576,396 | ||||||
2,287 | Old Dominion Freight Line, Inc. | 387,852 | ||||||
400 | P.A.M. Transportation SVCS* | 12,300 | ||||||
1,902 | Ryder System, Inc. | 71,344 | ||||||
1,212 | Saia, Inc.* | 134,750 | ||||||
2,500 | Schneider National, Inc., Class B | 61,675 | ||||||
8,999 | Union Pacific Corp. | 1,521,461 | ||||||
2,010 | Universal Logistics Holdings, Inc. | 34,934 | ||||||
1,023 | USA Truck, Inc.* | 7,928 | ||||||
3,284 | Werner Enterprises, Inc. | 142,953 | ||||||
1,829 | YRC Worldwide, Inc.*^ | 3,384 | ||||||
|
| |||||||
5,109,854 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.7%): | ||||||||
1,056 | Advanced Energy Industries, Inc.* | 71,586 | ||||||
10,275 | Advanced Micro Devices, Inc.* | 540,568 | ||||||
2,031 | Alpha & Omega Semiconductor, Ltd.* | 22,097 | ||||||
1,392 | Ambarella, Inc.* | 63,754 | ||||||
12,824 | Amkor Technology, Inc.* | 157,863 |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
3,989 | Analog Devices, Inc. | $ | 489,211 | |||||
11,578 | Applied Materials, Inc. | 699,890 | ||||||
1,615 | Axcelis Technologies, Inc.* | 44,978 | ||||||
1,701 | AXT, Inc.* | 8,097 | ||||||
4,392 | Broadcom, Inc. | 1,386,159 | ||||||
2,129 | Brooks Automation, Inc. | 94,187 | ||||||
697 | Cabot Microelectronics Corp. | 97,259 | ||||||
437 | CEVA, Inc.* | 16,353 | ||||||
1,665 | Cirrus Logic, Inc.* | 102,864 | ||||||
2,261 | Cohu, Inc. | 39,206 | ||||||
3,350 | Cree, Inc.* | 198,287 | ||||||
2,201 | Diodes, Inc.* | 111,591 | ||||||
4,553 | Entegris, Inc. | 268,855 | ||||||
3,383 | First Solar, Inc.* | 167,459 | ||||||
2,971 | FormFactor, Inc.* | 87,139 | ||||||
1,314 | GSI Technology, Inc.* | 9,435 | ||||||
948 | Ichor Holdings, Ltd.* | 25,198 | ||||||
975 | Inphi Corp.* | 114,563 | ||||||
69,415 | Intel Corp. | 4,153,098 | ||||||
2,674 | KLA Corp. | 520,040 | ||||||
2,537 | Kulicke & Soffa Industries, Inc. | 52,846 | ||||||
2,388 | Lam Research Corp. | 772,422 | ||||||
3,622 | Lattice Semiconductor Corp.* | 102,829 | ||||||
2,991 | MA-COM Technology Solutions Holdings, Inc.* | 102,741 | ||||||
9,656 | Marvell Technology Group, Ltd. | 338,540 | ||||||
3,942 | Maxim Integrated Products, Inc. | 238,925 | ||||||
3,353 | MaxLinear, Inc., Class A* | 71,955 | ||||||
3,353 | Microchip Technology, Inc. | 353,104 | ||||||
16,572 | Micron Technology, Inc.* | 853,789 | ||||||
1,905 | MKS Instruments, Inc. | 215,722 | ||||||
521 | Monolithic Power Systems, Inc. | 123,477 | ||||||
1,500 | Neophotonics Corp.* | 13,320 | ||||||
150 | NVE Corp. | 9,275 | ||||||
5,911 | NVIDIA Corp. | 2,245,648 | ||||||
13,231 | ON Semiconductor Corp.* | 262,238 | ||||||
2,597 | Onto Innovation, Inc.* | 88,402 | ||||||
1,438 | PDF Solutions, Inc.* | 28,127 | ||||||
5,010 | Photronics, Inc.* | 55,761 | ||||||
760 | Power Integrations, Inc. | 89,779 | ||||||
1,918 | Qorvo, Inc.* | 211,997 | ||||||
14,354 | Qualcomm, Inc. | 1,309,228 | ||||||
5,880 | Rambus, Inc.* | 89,376 | ||||||
1,305 | Semtech Corp.* | 68,147 | ||||||
867 | Silicon Laboratories, Inc.* | 86,934 | ||||||
2,976 | Skyworks Solutions, Inc. | 380,511 | ||||||
1,751 | SMART Global Holdings, Inc.* | 47,592 | ||||||
1,239 | SolarEdge Technologies, Inc.* | 171,949 | ||||||
1,129 | Synaptics, Inc.* | 67,875 | ||||||
2,449 | Teradyne, Inc. | 206,965 | ||||||
14,865 | Texas Instruments, Inc. | 1,887,409 | ||||||
1,678 | Ultra Clean Holdings, Inc.* | 37,973 | ||||||
1,049 | Universal Display Corp. | 156,951 | ||||||
3,598 | Veeco Instruments, Inc.* | 48,537 | ||||||
3,469 | Xilinx, Inc. | 341,315 | ||||||
|
| |||||||
20,621,396 | ||||||||
|
| |||||||
Software (7.5%): | ||||||||
4,253 | ACI Worldwide, Inc.* | 114,788 | ||||||
4,527 | Adobe, Inc.* | 1,970,649 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
1,923 | Alarm.com Holding, Inc.* | $ | 124,630 | |||||
591 | Alteryx, Inc., Class A* | 97,089 | ||||||
1,009 | American Software, Inc., Class A | 15,902 | ||||||
1,301 | Anaplan, Inc.* | 58,948 | ||||||
988 | ANSYS, Inc.* | 288,229 | ||||||
1,609 | Aspen Technology, Inc.* | 166,708 | ||||||
447 | Atlassian Corp. plc, Class A* | 80,581 | ||||||
2,335 | Autodesk, Inc.* | 558,509 | ||||||
1,157 | Avalara, Inc.* | 153,985 | ||||||
5,114 | Avaya Holdings Corp.* | 63,209 | ||||||
2,272 | Aware, Inc.* | 7,452 | ||||||
1,606 | Blackbaud, Inc. | 91,670 | ||||||
794 | Bottomline Technologies, Inc.* | 40,311 | ||||||
4,124 | Cadence Design Systems, Inc.* | 395,739 | ||||||
3,648 | CDK Global, Inc. | 151,100 | ||||||
1,053 | Cerence, Inc.* | 43,005 | ||||||
1,607 | Ceridian HCM Holding, Inc.* | 127,387 | ||||||
1,606 | Citrix Systems, Inc. | 237,543 | ||||||
505 | CommVault Systems, Inc.* | 19,544 | ||||||
533 | Coupa Software, Inc.* | 147,662 | ||||||
824 | DocuSign, Inc.* | 141,901 | ||||||
3,824 | Dropbox, Inc., Class A* | 83,248 | ||||||
1,380 | Ebix, Inc.^ | 30,857 | ||||||
990 | Envestnet, Inc.* | 72,805 | ||||||
429 | Everbridge, Inc.* | 59,356 | ||||||
573 | Fair Isaac Corp.* | 239,537 | ||||||
1,784 | FireEye, Inc.* | 21,720 | ||||||
764 | Five9, Inc.* | 84,552 | ||||||
2,585 | Fortinet, Inc.* | 354,843 | ||||||
977 | Globant SA* | 146,403 | ||||||
1,145 | Guidewire Software, Inc.* | 126,923 | ||||||
750 | HubSpot, Inc.* | 168,263 | ||||||
2,587 | Intuit, Inc. | 766,244 | ||||||
2,307 | J2 Global, Inc.* | 145,825 | ||||||
1,431 | LogMeIn, Inc. | 121,306 | ||||||
1,365 | Manhattan Associates, Inc.* | 128,583 | ||||||
90,378 | Microsoft Corp. | 18,392,828 | ||||||
430 | MicroStrategy, Inc., Class A* | 50,865 | ||||||
600 | New Relic, Inc.* | 41,340 | ||||||
11,359 | NortonLifeLock, Inc. | 225,249 | ||||||
5,919 | Nuance Communications, Inc.* | 149,780 | ||||||
1,722 | OneSpan, Inc.* | 48,095 | ||||||
35,145 | Oracle Corp. | 1,942,465 | ||||||
916 | Paycom Software, Inc.* | 283,713 | ||||||
912 | Paylocity Holding Corp.* | 133,052 | ||||||
963 | Pegasystems, Inc. | 97,427 | ||||||
1,395 | Progress Software Corp. | 54,056 | ||||||
886 | Proofpoint, Inc.* | 98,452 | ||||||
1,755 | PTC, Inc.* | 136,521 | ||||||
1,224 | Qualys, Inc.* | 127,320 | ||||||
2,745 | RealNetworks, Inc.* | 3,569 | ||||||
1,867 | RealPage, Inc.* | 121,374 | ||||||
371 | RingCentral, Inc., Class A* | 105,739 | ||||||
4,404 | Rubicon Project, Inc.* | 29,375 | ||||||
5,321 | Salesforce.com, Inc.* | 996,783 | ||||||
1,200 | Sapiens International Corp. NV | 33,576 | ||||||
2,393 | SeaChange International, Inc.* | 3,613 |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
574 | ServiceNow, Inc.* | $ | 232,504 | |||||
2,514 | Slack Technologies, Inc., Class A*^ | 78,160 | ||||||
3,309 | SolarWinds Corp.*^ | 58,470 | ||||||
967 | Splunk, Inc.* | 192,143 | ||||||
4,889 | SS&C Technologies Holdings, Inc. | 276,131 | ||||||
2,279 | Synchronoss Technologies, Inc.* | 8,045 | ||||||
1,946 | Synopsys, Inc.* | 379,470 | ||||||
327 | The Trade Desk, Inc., Class A* | 132,926 | ||||||
409 | Tyler Technologies, Inc.* | 141,874 | ||||||
2,230 | Verint Systems, Inc.* | 100,751 | ||||||
742 | VMware, Inc., Class A*^ | 114,906 | ||||||
494 | Workday, Inc., Class A* | 92,556 | ||||||
7,046 | Xperi Holding Corp. | 103,999 | ||||||
1,173 | Zscaler, Inc.* | 128,444 | ||||||
|
| |||||||
32,762,577 | ||||||||
|
| |||||||
Specialty Retail (2.7%): | ||||||||
2,187 | Aaron’s, Inc. | 99,290 | ||||||
4,015 | Abercrombie & Fitch Co., Class A | 42,720 | ||||||
1,285 | Advance Auto Parts, Inc. | 183,048 | ||||||
7,096 | American Eagle Outfitters, Inc.^ | 77,346 | ||||||
492 | America’s Car Mart, Inc.* | 43,232 | ||||||
1,133 | Asbury Automotive Group, Inc.* | 87,615 | ||||||
462 | Ascena Retail Group, Inc.*^ | 675 | ||||||
3,229 | At Home Group, Inc.*^ | 20,956 | ||||||
4,080 | AutoNation, Inc.* | 153,326 | ||||||
266 | AutoZone, Inc.* | 300,080 | ||||||
3,164 | Barnes & Noble Education, Inc.* | 5,062 | ||||||
5,744 | Bed Bath & Beyond, Inc.^ | 60,886 | ||||||
6,912 | Best Buy Co, Inc. | 603,210 | ||||||
1,657 | Big 5 Sporting Goods Corp.^ | 3,215 | ||||||
1,519 | Boot Barn Holdings, Inc.* | 32,750 | ||||||
583 | Build-A-Bear Workshop, Inc.* | 1,271 | ||||||
1,261 | Burlington Stores, Inc.* | 248,329 | ||||||
2,280 | Caleres, Inc. | 19,015 | ||||||
4,191 | CarMax, Inc.* | 375,304 | ||||||
1,987 | Cato Corp., Class A | 16,254 | ||||||
7,822 | Chico’s FAS, Inc. | 10,794 | ||||||
881 | Citi Trends, Inc. | 17,814 | ||||||
1,572 | Conn’s, Inc.* | 15,861 | ||||||
3,425 | Designer Brands, Inc., Class A | 23,187 | ||||||
2,768 | Dick’s Sporting Goods, Inc. | 114,208 | ||||||
6,313 | Express, Inc.* | 9,722 | ||||||
1,392 | Five Below, Inc.* | 148,819 | ||||||
3,262 | Floor & Decor Holdings, Inc., Class A* | 188,054 | ||||||
4,013 | Foot Locker, Inc. | 117,019 | ||||||
199 | Francesca’s Holdings Corp.*^ | 766 | ||||||
6,630 | GameStop Corp., Class A*^ | 28,774 | ||||||
16,161 | Gap, Inc. (The) | 203,952 | ||||||
1,571 | Genesco, Inc.* | 34,028 | ||||||
1,000 | Group 1 Automotive, Inc. | 65,970 | ||||||
4,368 | Guess?, Inc. | 42,239 | ||||||
1,166 | Haverty Furniture Cos., Inc. | 18,656 | ||||||
1,874 | Hibbett Sports, Inc.* | 39,242 | ||||||
10,569 | Home Depot, Inc. (The) | 2,647,639 | ||||||
1,293 | Hudson, Ltd., Class A* | 6,297 | ||||||
4,361 | L Brands, Inc. | 65,284 | ||||||
875 | Lithia Motors, Inc., Class A | 132,414 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
9,427 | Lowe’s Cos., Inc. | $ | 1,273,776 | |||||
1,427 | MarineMax, Inc.* | 31,951 | ||||||
7,372 | Michaels Cos., Inc. (The)*^ | 52,120 | ||||||
1,401 | Monro, Inc. | 76,971 | ||||||
1,077 | Murphy U.S.A., Inc.* | 121,259 | ||||||
1,200 | National Vision Holdings, Inc.* | 36,624 | ||||||
25,774 | Office Depot, Inc. | 60,569 | ||||||
927 | O’Reilly Automotive, Inc.* | 390,888 | ||||||
3,739 | Penske Automotive Group, Inc. | 144,737 | ||||||
1,792 | Rent-A-Center, Inc. | 49,853 | ||||||
522 | RH* | 129,926 | ||||||
6,117 | Ross Stores, Inc. | 521,413 | ||||||
5,608 | Sally Beauty Holdings, Inc.* | 70,268 | ||||||
600 | Shoe Carnival, Inc. | 17,562 | ||||||
1,393 | Signet Jewelers, Ltd. | 14,306 | ||||||
1,230 | Sleep Number Corp.* | 51,217 | ||||||
1,332 | Sonic Automotive, Inc., Class A | 42,504 | ||||||
1,606 | Sportsman’s Warehouse Holdings, Inc.* | 22,886 | ||||||
289 | Tandy Leather Factory, Inc.* | 965 | ||||||
848 | The Buckle, Inc.^ | 13,297 | ||||||
988 | The Children’s Place, Inc.^ | 36,971 | ||||||
2,708 | Tiffany & Co. | 330,214 | ||||||
854 | Tilly’s, Inc. | 4,842 | ||||||
19,916 | TJX Cos., Inc. (The) | 1,006,953 | ||||||
2,445 | Tractor Supply Co. | 322,227 | ||||||
1,247 | Ulta Beauty, Inc.* | 253,665 | ||||||
5,535 | Urban Outfitters, Inc.* | 84,243 | ||||||
2,949 | Williams-Sonoma, Inc. | 241,847 | ||||||
285 | Winmark Corp. | 48,803 | ||||||
2,204 | Zumiez, Inc.* | 60,346 | ||||||
|
| |||||||
11,817,526 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (5.4%): | ||||||||
6,315 | 3D Systems Corp.* | 44,142 | ||||||
59,468 | Apple, Inc. | 21,693,926 | ||||||
728 | AstroNova, Inc. | 5,795 | ||||||
2,354 | Avid Technology, Inc.* | 17,114 | ||||||
1,874 | Dell Technologies, Inc., Class C* | 102,958 | ||||||
23,803 | Hewlett Packard Enterprise Co. | 231,603 | ||||||
17,855 | HP, Inc. | 311,213 | ||||||
5,127 | NCR Corp.* | 88,800 | ||||||
4,382 | NetApp, Inc. | 194,429 | ||||||
6,529 | Pure Storage, Inc., Class A* | 113,148 | ||||||
5,941 | Seagate Technology plc | 287,604 | ||||||
2,522 | Stratasys, Ltd.*^ | 39,999 | ||||||
4,585 | Western Digital Corp. | 202,428 | ||||||
7,974 | Xerox Holdings Corp. | 121,922 | ||||||
|
| |||||||
23,455,081 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.9%): | ||||||||
5,725 | Capri Holdings, Ltd.* | 89,482 | ||||||
1,710 | Carter’s, Inc. | 137,997 | ||||||
2,553 | Columbia Sportswear Co. | 205,721 | ||||||
2,493 | Crocs, Inc.* | 91,792 | ||||||
810 | Culp, Inc. | 6,974 | ||||||
936 | Deckers Outdoor Corp.* | 183,821 | ||||||
3,440 | Fossil Group, Inc.* | 15,996 | ||||||
2,480 | G-III Apparel Group, Ltd.* | 32,959 |
See accompanying notes to the financial statements.
20
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
13,052 | Hanesbrands, Inc. | $ | 147,357 | |||||
795 | Kontoor Brands, Inc. | 14,159 | ||||||
1,147 | Lululemon Athletica, Inc.* | 357,876 | ||||||
1,551 | Movado Group, Inc. | 16,813 | ||||||
16,014 | Nike, Inc., Class B | 1,570,172 | ||||||
1,259 | Oxford Industries, Inc. | 55,409 | ||||||
1,797 | PVH Corp. | 86,346 | ||||||
1,477 | Ralph Lauren Corp. | 107,112 | ||||||
570 | Rocky Brands, Inc. | 11,719 | ||||||
4,898 | Skechers U.S.A., Inc., Class A* | 153,699 | ||||||
2,686 | Steven Madden, Ltd. | 66,317 | ||||||
700 | Superior Group of Cos., Inc. | 9,380 | ||||||
8,132 | Tapestry, Inc. | 107,993 | ||||||
5,109 | Under Armour, Inc., Class A* | 49,762 | ||||||
3,746 | Under Armour, Inc., Class C* | 33,115 | ||||||
1,027 | Unifi, Inc.* | 13,228 | ||||||
802 | Vera Bradley, Inc.* | 3,561 | ||||||
4,448 | VF Corp. | 271,061 | ||||||
3,237 | Wolverine World Wide, Inc. | 77,073 | ||||||
|
| |||||||
3,916,894 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.5%): | ||||||||
3,384 | Axos Financial, Inc.* | 74,719 | ||||||
1,591 | BankFinancial Corp. | 13,364 | ||||||
7,721 | Capitol Federal Financial, Inc. | 85,008 | ||||||
2,223 | Columbia Financial, Inc.* | 31,022 | ||||||
2,791 | Dime Community Bancshares, Inc. | 38,320 | ||||||
855 | ESSA Bancorp, Inc. | 11,902 | ||||||
3,469 | Essent Group, Ltd. | 125,821 | ||||||
403 | Federal Agricultural Mortgage Corp. | 25,796 | ||||||
408 | First Capital, Inc.^ | 28,344 | ||||||
2,446 | Flagstar Bancorp, Inc. | 71,986 | ||||||
8 | Greene County Bancorp, Inc. | 178 | ||||||
155 | Hingham Institution for Savings | 26,006 | ||||||
1,670 | HomeStreet, Inc. | 41,099 | ||||||
413 | IF Bancorp, Inc. | 6,798 | ||||||
966 | Impac Mortgage Holdings, Inc.* | 1,633 | ||||||
5,948 | Kearny Financial Corp. | 48,655 | ||||||
1,249 | Kentucky First Federal Bancorp | 8,543 | ||||||
750 | Lake Shore Bancorp, Inc. | 9,300 | ||||||
194 | LendingTree, Inc.* | 56,169 | ||||||
3,570 | Meridian Bancorp, Inc. | 41,412 | ||||||
2,468 | Meta Financial Group, Inc. | 44,844 | ||||||
14,868 | MGIC Investment Corp. | 121,770 | ||||||
4,623 | Mr Cooper Group, Inc.* | 57,510 | ||||||
13,097 | New York Community Bancorp, Inc. | 133,590 | ||||||
3,378 | NMI Holdings, Inc., Class A* | 54,318 | ||||||
2,984 | Northfield Bancorp, Inc. | 34,376 | ||||||
6,785 | Northwest Bancshares, Inc. | 69,377 | ||||||
3,232 | Oceanfirst Financial Corp. | 56,980 | ||||||
503 | Oconee Federal Financial Corp. | 12,962 | ||||||
6,975 | Ocwen Financial Corp.* | 4,631 | ||||||
2,417 | PennyMac Financial Services, Inc. | 101,006 | ||||||
2,584 | Premier Financial Corp. | 45,659 | ||||||
679 | Provident Financial Holdings, Inc. | 9,105 | ||||||
3,181 | Provident Financial Services, Inc. | 45,965 | ||||||
6,456 | Radian Group, Inc. | 100,133 | ||||||
420 | Riverview Bancorp, Inc. | 2,373 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance, continued | ||||||||
561 | Southern Missouri Bancorp, Inc. | $ | 13,632 | |||||
1,764 | Sterling Bancorp, Inc. | 6,315 | ||||||
733 | Territorial Bancorp, Inc. | 17,438 | ||||||
5,381 | TFS Financial Corp. | 77,002 | ||||||
7,273 | TrustCo Bank Corp NY | 46,038 | ||||||
3,136 | Washington Federal, Inc. | 84,170 | ||||||
2,036 | Waterstone Financial, Inc. | 30,194 | ||||||
1,546 | Wawlker & Dunlop, Inc. | 78,552 | ||||||
1,498 | Western New England BanCorp, Inc. | 8,673 | ||||||
2,825 | WSFS Financial Corp. | 81,078 | ||||||
|
| |||||||
2,083,766 | ||||||||
|
| |||||||
Tobacco (0.6%): | ||||||||
31,047 | Altria Group, Inc. | 1,218,595 | ||||||
15,537 | Philip Morris International, Inc. | 1,088,522 | ||||||
1,284 | Universal Corp. | 54,583 | ||||||
6,874 | Vector Group, Ltd. | 69,152 | ||||||
|
| |||||||
2,430,852 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.7%): | ||||||||
5,044 | Air Lease Corp. | 147,739 | ||||||
1,198 | Applied Industrial Technologies, Inc. | 74,743 | ||||||
2,840 | Beacon Roofing Supply, Inc.* | 74,891 | ||||||
3,066 | BMC Stock Holdings, Inc.* | 77,079 | ||||||
1,592 | CAI International, Inc.* | 26,523 | ||||||
644 | DXP Enterprises, Inc.* | 12,822 | ||||||
10,196 | Fastenal Co. | 436,796 | ||||||
876 | GATX Corp. | 53,418 | ||||||
2,334 | GMS, Inc.* | 57,393 | ||||||
1,700 | H&E Equipment Services, Inc. | 31,416 | ||||||
6,084 | HD Supply Holdings, Inc.* | 210,811 | ||||||
1,767 | Herc Holdings, Inc.* | 54,300 | ||||||
1,307 | Huttig Building Products, Inc.* | 1,464 | ||||||
870 | Kaman Corp., Class A | 36,192 | ||||||
5,217 | MRC Global, Inc.* | 30,832 | ||||||
2,233 | MSC Industrial Direct Co., Inc., Class A | 162,585 | ||||||
5,453 | NOW, Inc.* | 47,059 | ||||||
1,902 | Rush Enterprises, Inc., Class A | 78,857 | ||||||
1,003 | SiteOne Landscape Supply, Inc.* | 114,312 | ||||||
2,034 | Systemax, Inc. | 41,778 | ||||||
2,654 | Textainer Group Holdings, Ltd.* | 21,710 | ||||||
651 | Titan Machinery, Inc.* | 7,070 | ||||||
1,007 | Transcat, Inc.* | 26,041 | ||||||
3,334 | Triton International, Ltd. | 100,820 | ||||||
2,434 | United Rentals, Inc.* | 362,763 | ||||||
5,820 | Univar Solutions, Inc.* | 98,125 | ||||||
1,184 | Veritiv Corp.* | 20,081 | ||||||
1,174 | W.W. Grainger, Inc. | 368,824 | ||||||
902 | Watsco, Inc. | 160,285 | ||||||
84 | Watsco, Inc., Class B | 13,642 | ||||||
2,560 | WESCO International, Inc.* | 89,882 | ||||||
|
| |||||||
3,040,253 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%†): | ||||||||
2,859 | Macquarie Infrastructure Corp. | 87,743 | ||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
1,327 | American States Water Co. | 104,342 | ||||||
2,485 | American Water Works Co., Inc. | 319,720 | ||||||
491 | Artesian Resources Corp. | 17,818 |
See accompanying notes to the financial statements.
21
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Water Utilities, continued | ||||||||
1,743 | California Water Service Group | $ | 83,141 | |||||
3,223 | Essential Utilities, Inc. | 136,140 | ||||||
979 | Middlesex Water Co. | 65,769 | ||||||
669 | Pure Cycle Corp.* | 6,148 | ||||||
1,234 | SJW Group | 76,644 | ||||||
772 | York Water Co. (The) | 37,025 | ||||||
|
| |||||||
846,747 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
2,055 | Boingo Wireless, Inc.* | 27,373 | ||||||
2,203 | Shenandoah Telecommunications Co. | 108,585 | ||||||
1,649 | Spok Holdings, Inc. | 15,418 | ||||||
4,354 | Telephone & Data Systems, Inc. | 86,558 | ||||||
6,658 | T-Mobile USA, Inc.* | 693,430 | ||||||
1,695 | United States Cellular Corp.* | 52,325 | ||||||
|
| |||||||
983,689 | ||||||||
|
| |||||||
Total Common Stocks (Cost $341,339,397) | 435,171,962 | |||||||
|
| |||||||
Preferred Stock (0.0%†): | ||||||||
Trading Companies & Distributors (0.0%†): | ||||||||
1,076 | WESCO International, Inc., Series A, 10.63% | 28,536 | ||||||
|
| |||||||
Total Preferred Stock (Cost $28,514) | 28,536 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Biotechnology (0.0%†): | ||||||||
3,743 | Achillion Pharm CVR, Expires on 1/29/21* | 1,721 | ||||||
|
| |||||||
Diversified Financial Services (0.0%†): | ||||||||
2,411 | NewStar Financial, Inc. CVR, Expires on 12/31/49* | 245 | ||||||
|
| |||||||
Media (0.0%†): | ||||||||
9,820 | Media General, Inc. CVR, Expires on 12/31/49* | 921 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.0%†): | ||||||||
6,658 | T-Mobile USA, Inc., Expires on 7/28/20* | 1,119 | ||||||
|
| |||||||
Total Rights (Cost $4,345) | 4,006 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.8%): | ||||||||
3,448,512 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c) | $ | 3,448,512 | |||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 3,448,512 | ||||||
|
| |||||||
Unaffiliated Investment Companies (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
1,918,381 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(c) | 1,918,381 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $1,918,381) | 1,918,381 | |||||||
|
| |||||||
Total Investment Securities (Cost $346,739,149) — 100.8%(d) | 440,571,397 | |||||||
Net other assets (liabilities) — (0.8)% | (3,327,528 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 437,243,869 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository 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, 2020. The total value of securities on loan as of June 30, 2020 was $3,360,222. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. 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, 2020. |
(c) | The rate represents the effective yield at June 30, 2020. |
Amounts shown as “—” are either $0 or rounds to less than $1. |
See accompanying notes to the financial statements.
22
AZL DFA U.S. Core Equity Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 346,739,149 | |||
|
| ||||
Investment securities, at value(a) | $ | 440,571,397 | |||
Interest and dividends receivable | 335,943 | ||||
Receivable for investments sold | 310,258 | ||||
Reclaims receivable | 3,743 | ||||
Prepaid expenses | 814 | ||||
|
| ||||
Total Assets | 441,222,155 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 2,230 | ||||
Payable for investments purchased | 210,685 | ||||
Payable for collateral received on loaned securities | 3,448,512 | ||||
Manager fees payable | 195,935 | ||||
Administration fees payable | 3,298 | ||||
Distribution fees payable | 90,710 | ||||
Custodian fees payable | 4,181 | ||||
Administrative and compliance services fees payable | 830 | ||||
Transfer agent fees payable | 1,135 | ||||
Trustee fees payable | 4,935 | ||||
Other accrued liabilities | 15,835 | ||||
|
| ||||
Total Liabilities | 3,978,286 | ||||
|
| ||||
Net Assets | $ | 437,243,869 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 287,931,496 | |||
Total distributable earnings | 149,312,373 | ||||
|
| ||||
Net Assets | $ | 437,243,869 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 34,633,275 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.62 | |||
|
|
(a) | Includes securities on loan of $3,360,222. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 4,344,396 | |||
Income from securities lending | 31,874 | ||||
Foreign withholding tax | (2,180 | ) | |||
|
| ||||
Total Investment Income | 4,374,090 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,765,133 | ||||
Administration fees | 73,879 | ||||
Distribution fees | 551,604 | ||||
Custodian fees | 10,703 | ||||
Administrative and compliance services fees | 3,709 | ||||
Transfer agent fees | 2,562 | ||||
Trustee fees | 11,855 | ||||
Professional fees | 10,490 | ||||
Shareholder reports | 6,119 | ||||
Other expenses | 5,552 | ||||
|
| ||||
Total expenses before reductions | 2,441,606 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (573,667 | ) | |||
|
| ||||
Net expenses | 1,867,939 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,506,151 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities | 15,301,351 | ||||
Change in net unrealized appreciation/depreciation on securities | (45,665,280 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (30,363,929 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (27,857,778 | ) | ||
|
|
See accompanying notes to the financial statements.
23
AZL DFA U.S. Core Equity Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,506,151 | $ | 5,053,450 | ||||||
Net realized gains/(losses) on investments | 15,301,351 | 32,472,338 | ||||||||
Change in unrealized appreciation/depreciation on investments | (45,665,280 | ) | 90,102,485 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (27,857,778 | ) | 127,628,273 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (36,227,548 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (36,227,548 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 47,012,256 | 2,050,767 | ||||||||
Proceeds from dividends reinvested | — | 36,227,548 | ||||||||
Value of shares redeemed | (78,228,787 | ) | (96,897,568 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (31,216,531 | ) | (58,619,253 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (59,074,309 | ) | 32,781,472 | |||||||
Net Assets: | ||||||||||
Beginning of period | 496,318,178 | 463,536,706 | ||||||||
|
|
|
| |||||||
End of period | $ | 437,243,869 | $ | 496,318,178 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 4,449,022 | 163,172 | ||||||||
Dividends reinvested | — | 2,969,471 | ||||||||
Shares redeemed | (6,499,107 | ) | (7,394,237 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,050,085 | ) | (4,261,594 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
24
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 24, 2015 to December 31, 2015(a) | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.53 | $ | 11.32 | $ | 12.76 | $ | 10.74 | $ | 9.49 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | (b) | 0.13 | (b) | 0.16 | 0.15 | 0.13 | 0.08 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.98 | ) | 3.08 | (1.06 | ) | 2.04 | 1.21 | (0.59 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.91 | ) | 3.21 | (0.90 | ) | 2.19 | 1.34 | (0.51 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.15 | ) | (0.14 | ) | (0.09 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.85 | ) | (0.39 | ) | (0.03 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.00 | ) | (0.54 | ) | (0.17 | ) | (0.09 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 12.62 | $ | 13.53 | $ | 11.32 | $ | 12.76 | $ | 10.74 | $ | 9.49 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (6.73 | )%(d) | 29.36 | % | (7.52 | )% | 20.45 | % | 14.25 | % | (5.10 | )%(d) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 437,244 | $ | 496,318 | $ | 463,537 | $ | 584,221 | $ | 582,088 | $ | 557,576 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 1.14 | % | 1.03 | % | 1.00 | % | 1.02 | % | 1.24 | % | 1.12 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 1.11 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.12 | % | ||||||||||||||||||
Expenses Net of Reductions (e) | 0.85 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.86 | % | ||||||||||||||||||
Portfolio Turnover Rate | 10 | %(d) | 4 | % | 4 | % | 2 | % | 10 | % | 12 | %(d) |
(a) | For the period April 27, 2015 (commencement of share class) to December 31, 2015. |
(b) | Calculated using the average shares method. |
(c) | 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. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
25
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
26
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $3,160 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,448,512 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2021.
For the period ended June 30, 2020, 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, 2020, 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 SEC. 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
27
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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, 2020, $1,867 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 435,171,962 | $ | — | $ | — | # | $ | 435,171,962 | |||||||||||
Preferred Stocks+ | 28,536 | — | — | 28,536 | ||||||||||||||||
Rights+ | 1,119 | 2,887 | — | 4,006 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 3,448,512 | — | — | 3,448,512 | ||||||||||||||||
Unaffiliated Investment Companies | 1,918,381 | — | — | 1,918,381 | ||||||||||||||||
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Total Investments | $ | 440,568,510 | $ | 2,887 | $ | — | $ | 440,571,397 | ||||||||||||
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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, 2020. |
28
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 46,571,846 | $ | 74,809,090 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $359,308,347. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 175,683,818 | ||
Unrealized (depreciation) | (36,166,993 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 139,516,825 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 5,481,514 | $ | 30,746,034 | $ | 36,227,548 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 5,364,452 | $ | 32,288,876 | $ | — | $ | 139,516,825 | $ | 177,170,153 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 75% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
30
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
31
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® DFA U.S. Small Cap Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 19 |
Page 19 |
Statements of Changes in Net Assets Page 20 |
Page 21 |
Notes to the Financial Statements Page 22 |
Page 26 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,000.00 | $ | 848.20 | $ | 4.73 | 1.03 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,000.00 | $ | 1,019.74 | $ | 5.17 | 1.03 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 19.7 | % | |||
Financials | 19.4 | ||||
Consumer Discretionary | 15.8 | ||||
Information Technology | 14.0 | ||||
Health Care | 11.3 | ||||
Materials | 5.5 | ||||
Consumer Staples | 4.4 | ||||
Utilities | 3.5 | ||||
Communication Services | 3.0 | ||||
Energy | 2.6 | ||||
Real Estate | 0.6 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.8 | ||||
Rights | — | † | |||
Short-Term Securities Held as Collateral for Securities on Loan | 2.3 | ||||
Unaffiliated Investment Companies | 0.5 | ||||
|
| ||||
Total Investment Securities | 102.6 | ||||
Net other assets (liabilities) | (2.6 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.7%): | ||||||||
Aerospace & Defense (1.0%): | ||||||||
1,397 | AAR Corp. | $ | 28,876 | |||||
8,494 | Aerojet Rocketdyne Holdings, Inc.* | 336,703 | ||||||
2,231 | AeroVironment, Inc.* | 177,655 | ||||||
2,615 | Astronics Corp.* | 27,614 | ||||||
392 | Astronics Corp., Class B* | 3,763 | ||||||
2,366 | Axon Enterprise, Inc.* | 232,176 | ||||||
685 | CPI Aerostructures, Inc.* | 2,254 | ||||||
2,316 | Cubic Corp. | 111,237 | ||||||
1,011 | Curtiss-Wright Corp. | 90,262 | ||||||
766 | Ducommun, Inc.* | 26,710 | ||||||
3,376 | Innovative Solutions & Support, Inc.* | 16,880 | ||||||
7,599 | Kratos Defense & Security Solutions, Inc.* | 118,772 | ||||||
2,488 | Mercury Systems, Inc.* | 195,706 | ||||||
3,788 | Moog, Inc., Class A | 200,688 | ||||||
685 | National Presto Industries, Inc. | 59,862 | ||||||
2,564 | Park Aerospace Corp., Class C | 28,563 | ||||||
621 | Triumph Group, Inc. | 5,595 | ||||||
759 | Vectrus, Inc.* | 37,290 | ||||||
|
| |||||||
1,700,606 | ||||||||
|
| |||||||
Air Freight & Logistics (0.3%): | ||||||||
738 | Air T, Inc.* | 8,118 | ||||||
6,274 | Air Transport Services Group, Inc.* | 139,722 | ||||||
1,862 | Atlas Air Worldwide Holdings, Inc.* | 80,122 | ||||||
2,655 | Echo Global Logistics, Inc.* | 57,401 | ||||||
3,297 | Forward Air Corp. | 164,257 | ||||||
3,916 | Hub Group, Inc., Class A* | 187,419 | ||||||
5,212 | Radiant Logistics, Inc.* | 20,483 | ||||||
|
| |||||||
657,522 | ||||||||
|
| |||||||
Airlines (0.4%): | ||||||||
1,224 | Alaska Air Group, Inc. | 44,382 | ||||||
1,930 | Allegiant Travel Co. | 210,775 | ||||||
899 | Copa Holdings SA, Class A | 45,453 | ||||||
5,520 | Hawaiian Holdings, Inc. | 77,501 | ||||||
7,404 | JetBlue Airways Corp.* | 80,704 | ||||||
2,689 | SkyWest, Inc. | 87,715 | ||||||
4,325 | Spirit Airlines, Inc.*^ | 76,985 | ||||||
|
| |||||||
623,515 | ||||||||
|
| |||||||
Auto Components (1.4%): | ||||||||
4,726 | Adient plc* | 77,601 | ||||||
12,952 | American Axle & Manufacturing Holdings, Inc.* | 98,435 | ||||||
5,531 | Cooper Tire & Rubber Co. | 152,711 | ||||||
2,216 | Cooper-Standard Holding, Inc.* | 29,362 | ||||||
11,599 | Dana, Inc. | 141,392 | ||||||
2,148 | Delphi Technologies plc* | 30,523 | ||||||
2,293 | Dorman Products, Inc.* | 153,792 | ||||||
3,775 | Fox Factory Holding Corp.* | 311,852 | ||||||
2,583 | Garrett Motion, Inc.* | 14,310 | ||||||
3,693 | Gentherm, Inc.* | 143,658 | ||||||
10,353 | Goodyear Tire & Rubber Co. | 92,608 | ||||||
1,680 | Horizon Global Corp.* | 3,696 | ||||||
2,652 | LCI Industries | 304,926 | ||||||
7,745 | Modine Manufacturing Co.* | 42,752 | ||||||
1,911 | Motorcar Parts of America, Inc.* | 33,767 | ||||||
1,992 | Shiloh Industries, Inc.* | 3,227 | ||||||
2,844 | Standard Motor Products, Inc. | 117,173 | ||||||
3,162 | Stoneridge, Inc.* | 65,327 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
1,139 | Tenneco, Inc.*^ | $ | 8,611 | |||||
472 | Veoneer, Inc.*^ | 5,046 | ||||||
3,073 | Visteon Corp.* | 210,501 | ||||||
|
| |||||||
2,041,270 | ||||||||
|
| |||||||
Automobiles (0.4%): | ||||||||
9,054 | Harley-Davidson, Inc. | 215,214 | ||||||
1,766 | Thor Industries, Inc. | 188,132 | ||||||
3,431 | Winnebago Industries, Inc. | 228,573 | ||||||
|
| |||||||
631,919 | ||||||||
|
| |||||||
Banks (10.5%): | ||||||||
1,584 | 1st Constitution Bancorp | 19,642 | ||||||
3,186 | 1st Source Corp. | 113,358 | ||||||
410 | ACNB Corp. | 10,734 | ||||||
880 | Allegiance Bancshares, Inc. | 22,343 | ||||||
1,339 | American National Bankshares, Inc. | 33,529 | ||||||
346 | American River Bankshares | 3,702 | ||||||
5,216 | Ameris Bancorp | 123,045 | ||||||
1,649 | Ames National Corp. | 32,551 | ||||||
1,809 | Arrow Financial Corp. | 53,782 | ||||||
11,230 | Associated Banc-Corp. | 153,626 | ||||||
1,465 | Atlantic Capital Bancshares, Inc.* | 17,814 | ||||||
5,589 | Atlantic Union Bankshares Corp. | 129,441 | ||||||
13 | Auburn National Bancorp, Inc. | 742 | ||||||
3,062 | Banc of California, Inc. | 33,161 | ||||||
3,358 | BancFirst Corp. | 136,234 | ||||||
4,986 | Bancorp, Inc. (The)* | 48,863 | ||||||
8,217 | BancorpSouth Bank | 186,855 | ||||||
2,653 | Bank of Commerce Holdings | 20,110 | ||||||
3,143 | Bank of Hawaii Corp. | 193,012 | ||||||
993 | Bank of Marin Bancorp | 33,097 | ||||||
3,717 | Bank of Nt Butterfield & Son, Ltd. (The) | 90,658 | ||||||
485 | Bank of South Carolina Corp. | 8,143 | ||||||
9,638 | Bank OZK | 226,204 | ||||||
6,355 | BankUnited, Inc. | 128,689 | ||||||
2,472 | Banner Corp. | 93,936 | ||||||
1,610 | Bar Harbor Bankshares | 36,048 | ||||||
1,217 | Baycom Corp.* | 15,711 | ||||||
595 | BCB Bancorp, Inc. | 5,522 | ||||||
3,918 | Berkshire Hills Bancorp, Inc. | 43,176 | ||||||
5,250 | BOK Financial Corp. | 296,309 | ||||||
6,599 | Boston Private Financial Holdings, Inc. | 45,401 | ||||||
2,206 | Bridge Bancorp, Inc. | 50,385 | ||||||
6,518 | Brookline Bancorp, Inc. | 65,701 | ||||||
1,666 | Bryn Mawr Bank Corp. | 46,082 | ||||||
3,046 | Byline BanCorp, Inc. | 39,903 | ||||||
227 | C&F Financial Corp. | 7,548 | ||||||
8,434 | Cadence Bancorp | 74,725 | ||||||
1,274 | California First National Bancorp | 19,429 | ||||||
436 | Cambridge Bancorp | 25,829 | ||||||
1,659 | Camden National Corp. | 57,302 | ||||||
1,471 | Capital City Bank Group, Inc. | 30,817 | ||||||
5,878 | Cathay General Bancorp | 154,591 | ||||||
1,646 | CBTX, Inc. | 34,566 | ||||||
2,313 | Central Pacific Financial Corp. | 37,077 | ||||||
1,141 | Central Valley Community Bancorp | 17,560 | ||||||
511 | Century Bancorp, Inc. | 39,715 |
See accompanying notes to the financial statements.
2
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
668 | Chemung Financial Corp. | $ | 18,236 | |||||
6,348 | CIT Group, Inc. | 131,594 | ||||||
2,009 | Citizens & Northern Corp. | 41,486 | ||||||
718 | Citizens Holding Co. | 17,950 | ||||||
1,550 | City Holding Co. | 101,014 | ||||||
822 | Civista Bancshares, Inc. | 12,659 | ||||||
2,165 | CNB Financial Corp. | 38,818 | ||||||
85 | Codorus Valley Bancorp, Inc. | 1,176 | ||||||
56 | Colony Bankcorp, Inc. | 659 | ||||||
5,518 | Columbia Banking System, Inc. | 156,408 | ||||||
4,416 | Community Bank System, Inc. | 251,800 | ||||||
3,296 | Community Bankers Trust Corp. | 18,128 | ||||||
1,343 | Community Trust Bancorp, Inc. | 43,997 | ||||||
525 | Community West Bancshares | 4,615 | ||||||
2,880 | ConnectOne Bancorp, Inc. | 46,426 | ||||||
1,894 | Cullen/Frost Bankers, Inc. | 141,501 | ||||||
4,048 | Customers Bancorp, Inc.* | 48,657 | ||||||
10,472 | CVB Financial Corp. | 196,245 | ||||||
609 | Eagle Bancorp Montana, Inc. | 10,584 | ||||||
2,865 | Eagle Bancorp, Inc. | 93,829 | ||||||
1,676 | East West Bancorp, Inc. | 60,738 | ||||||
2,149 | Enterprise Financial Services Corp. | 66,877 | ||||||
924 | Equity Bancshares, Inc.* | 16,115 | ||||||
534 | Evans Bancorp, Inc. | 12,421 | ||||||
22,062 | F.N.B. Corp. | 165,465 | ||||||
2,582 | Farmers National Banc Corp. | 30,623 | ||||||
242 | Fauquier Bankshares, Inc. | 3,606 | ||||||
1,412 | FB Financial Corp. | 34,975 | ||||||
1,909 | Financial Institutions, Inc. | 35,526 | ||||||
15,526 | First Bancorp | 86,790 | ||||||
2,293 | First Bancorp | 57,508 | ||||||
1,491 | First Bancorp, Inc. | 32,355 | ||||||
1,053 | First Bancshares, Inc. (The) | 23,693 | ||||||
3,647 | First Busey Corp. | 68,017 | ||||||
940 | First Business Financial Services, Inc. | 15,463 | ||||||
728 | First Citizens BancShares, Inc., Class A | 294,854 | ||||||
7,111 | First Commonwealth Financial Corp. | 58,879 | ||||||
2,206 | First Community Bankshares | 49,525 | ||||||
7,453 | First Financial Bancorp | 103,522 | ||||||
9,472 | First Financial Bankshares, Inc. | 273,646 | ||||||
1,112 | First Financial Corp. | 40,966 | ||||||
1,717 | First Financial Northwest, Inc. | 16,638 | ||||||
3,058 | First Foundation, Inc. | 49,968 | ||||||
9,186 | First Hawaiian, Inc. | 158,367 | ||||||
5,864 | First Horizon National Corp. | 58,405 | ||||||
402 | First Internet BanCorp | 6,681 | ||||||
3,323 | First Interstate BancSystem, Class A | 102,880 | ||||||
4,019 | First Merchants Corp. | 110,804 | ||||||
320 | First Mid Bancshares, Inc. | 8,394 | ||||||
8,868 | First Midwest Bancorp, Inc. | 118,388 | ||||||
2,907 | First of Long Island Corp. (The) | 47,500 | ||||||
28 | First Savings Financial Group | 1,213 | ||||||
234 | First United Corp. | 3,122 | ||||||
908 | First US Bancshares, Inc. | 6,265 | ||||||
2,675 | Flushing Financial Corp. | 30,816 | ||||||
601 | Franklin Financial Network, Inc. | 15,476 | ||||||
11,396 | Fulton Financial Corp. | 120,000 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
2,237 | German American Bancorp, Inc. | $ | 69,571 | |||||
7,009 | Glacier Bancorp, Inc. | 247,348 | ||||||
1,038 | Great Southern Bancorp, Inc. | 41,894 | ||||||
3,789 | Great Western Bancorp, Inc. | 52,137 | ||||||
5,990 | Hancock Whitney Corp. | 126,988 | ||||||
4,153 | Hanmi Financial Corp. | 40,326 | ||||||
3,865 | HarborOne BanCorp, Inc.* | 33,007 | ||||||
43 | Hawthorn Bancshares, Inc. | 840 | ||||||
2,494 | Heartland Financial USA, Inc. | 83,399 | ||||||
2,978 | Heritage Financial Corp. | 59,560 | ||||||
4,406 | Hertiage Commerce Corp. | 33,067 | ||||||
15,083 | Hilltop Holdings, Inc. | 278,280 | ||||||
11,946 | Home Bancshares, Inc. | 183,729 | ||||||
2,418 | Hometrust Bancshares, Inc. | 38,688 | ||||||
9,043 | Hope BanCorp, Inc. | 83,376 | ||||||
3,456 | Horizon Bancorp | 36,945 | ||||||
2,493 | IBERIABANK Corp. | 113,531 | ||||||
2,544 | Independent Bank Corp. | 170,677 | ||||||
3,214 | Independent Bank Group, Inc. | 130,231 | ||||||
4,638 | International Bancshares Corp. | 148,509 | ||||||
18,070 | Investors Bancorp, Inc. | 153,595 | ||||||
3,767 | Lakeland Bancorp, Inc. | 43,057 | ||||||
2,781 | Lakeland Financial Corp. | 129,567 | ||||||
862 | Landmark Bancorp, Inc. | 21,300 | ||||||
1,512 | LCNB Corp. | 24,132 | ||||||
1,000 | Limestone Bancorp, Inc.* | 13,150 | ||||||
2,612 | Live Oak Bancshares, Inc. | 37,900 | ||||||
5,225 | Macatawa Bank Corp. | 40,860 | ||||||
1,048 | Mackinac Financial Corp. | 10,868 | ||||||
2,059 | Mercantile Bank Corp. | 46,533 | ||||||
2,051 | Midland States BanCorp, Inc. | 30,662 | ||||||
1,441 | MidWestone Financial Group, Inc. | 28,820 | ||||||
2,052 | National Bank Holdings Corp. | 55,404 | ||||||
1,069 | National Bankshares, Inc. | 30,573 | ||||||
3,226 | NBT Bancorp, Inc. | 99,232 | ||||||
744 | Nicolet Bankshares, Inc.* | 40,771 | ||||||
1,136 | Northeast Bank | 19,937 | ||||||
657 | Northrim Bancorp, Inc. | 16,517 | ||||||
609 | Norwood Financial Corp. | 15,097 | ||||||
4,316 | OFG Bancorp | 57,705 | ||||||
183 | Ohio Valley Banc Corp. | 4,127 | ||||||
11,997 | Old National Bancorp | 165,079 | ||||||
1,004 | Old Point Financial Corp. | 15,311 | ||||||
3,314 | Old Second Bancorp, Inc. | 25,783 | ||||||
1,182 | Origin Bancorp, Inc. | 26,004 | ||||||
1,765 | Orrstown Financial Services, Inc. | 26,034 | ||||||
1,718 | Pacific Mercantile Bancorp* | 6,288 | ||||||
6,537 | Pacific Premier Bancorp, Inc. | 141,722 | ||||||
7,685 | PacWest Bancorp | 151,471 | ||||||
1,296 | Park National Corp. | 91,212 | ||||||
1,636 | Parke Bancorp, Inc. | 22,168 | ||||||
2,284 | Peapack-Gladstone Financial Corp. | 42,779 | ||||||
1,452 | Penns Woods Bancorp, Inc. | 32,975 | ||||||
434 | Peoples Bancorp of NC | 7,669 | ||||||
1,794 | Peoples Bancorp, Inc. | 38,176 | ||||||
8,100 | People’s United Financial, Inc. | 93,717 | ||||||
1,452 | People’s Utah BanCorp | 32,626 |
See accompanying notes to the financial statements.
3
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
5,765 | Pinnacle Financial Partners, Inc. | $ | 242,072 | |||||
2,348 | Popular, Inc. | 87,276 | ||||||
1,985 | Preferred Bank Los Angeles | 85,057 | ||||||
1,193 | Premier Financial Bancorp, Inc. | 15,294 | ||||||
1,118 | QCR Holdings, Inc. | 34,859 | ||||||
351 | Rbb BanCorp | 4,791 | ||||||
4,074 | Renasant Co. | 101,443 | ||||||
1,482 | Republic Bancorp, Inc., Class A | 48,476 | ||||||
6,466 | Republic First Bancorp, Inc.* | 15,777 | ||||||
2,862 | S & T Bancorp, Inc. | 67,114 | ||||||
320 | Salisbury Bancorp, Inc. | 13,117 | ||||||
3,392 | Sandy Spring Bancorp, Inc. | 84,054 | ||||||
552 | SB Financial Group, Inc. | 9,174 | ||||||
625 | SB One BanCorp | 12,313 | ||||||
3,980 | Seacoast Banking Corp of Florida* | 81,192 | ||||||
1,252 | Select Bancorp, Inc.* | 10,191 | ||||||
3,948 | ServisFirst Bancshares, Inc. | 141,180 | ||||||
2,325 | Shore Bancshares, Inc. | 25,784 | ||||||
2,333 | Sierra Bancorp | 44,047 | ||||||
8,970 | Simmons First National Corp., Class A | 153,477 | ||||||
5,254 | South State Corp. | 250,406 | ||||||
562 | Southern First Bancshares, Inc.* | 15,573 | ||||||
2,309 | Southern National Bancorp | 22,374 | ||||||
2,694 | Southside Bancshares, Inc. | 74,678 | ||||||
1,629 | Spirit of Texas Bancshares, Inc.* | 20,053 | ||||||
13,673 | Sterling Bancorp | 160,248 | ||||||
2,857 | Stock Yards Bancorp, Inc. | 114,851 | ||||||
682 | Summit Financial Group, Inc. | 11,239 | ||||||
1,203 | Summit State Bank | 11,681 | ||||||
9,356 | Synovus Financial Corp. | 192,079 | ||||||
8,055 | TCF Financial Corp. | 236,978 | ||||||
2,882 | Texas Capital Bancshares, Inc.* | 88,967 | ||||||
1,140 | Tompkins Financial Corp. | 73,838 | ||||||
5,191 | TowneBank | 97,798 | ||||||
2,468 | TriCo Bancshares | 75,151 | ||||||
3,463 | Tristate Capital Holdings, Inc.* | 54,404 | ||||||
1,894 | Triumph BanCorp, Inc.* | 45,967 | ||||||
4,644 | Trustmark Corp. | 113,871 | ||||||
3,534 | UMB Financial Corp. | 182,178 | ||||||
15,566 | Umpqua Holdings Corp. | 165,622 | ||||||
249 | Union Bankshares, Inc. | 4,661 | ||||||
450 | United Bancshares, Inc. | 8,055 | ||||||
8,118 | United Bankshares, Inc. | 224,544 | ||||||
5,829 | United Community Banks, Inc. | 117,279 | ||||||
916 | United Security Bancshares | 6,128 | ||||||
42 | Unity Bancorp, Inc. | 601 | ||||||
1,651 | Univest Financial Corp. | 26,647 | ||||||
31,471 | Valley National Bancorp | 246,103 | ||||||
1,563 | Veritex Holdings, Inc. | 27,665 | ||||||
2,267 | Washington Trust Bancorp | 74,244 | ||||||
5,822 | Webster Financial Corp. | 166,567 | ||||||
4,985 | WesBanco, Inc. | 101,245 | ||||||
2,380 | West Bancorp | 41,626 | ||||||
3,422 | Westamerica Bancorp | 196,491 | ||||||
5,807 | Western Alliance Bancorp | 219,911 | ||||||
3,888 | Wintrust Financial Corp. | 169,595 | ||||||
|
| |||||||
15,545,861 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages (0.4%): | ||||||||
547 | Boston Beer Co., Inc. (The), Class A*^ | $ | 293,548 | |||||
664 | Coca-Cola Consolidated, Inc. | 152,182 | ||||||
1,920 | Craft Brewers Alliance, Inc.* | 29,549 | ||||||
2,240 | MGP Ingredients, Inc. | 82,219 | ||||||
634 | National Beverage Corp.* | 38,687 | ||||||
985 | Willamette Valley Vineyards, Inc.* | 5,959 | ||||||
|
| |||||||
602,144 | ||||||||
|
| |||||||
Biotechnology (3.2%): | ||||||||
838 | Abeona Therapeutics, Inc.* | 2,443 | ||||||
1,733 | AC Immune SA*^ | 11,663 | ||||||
4,449 | Acorda Therapeutics, Inc.* | 3,268 | ||||||
10,022 | Aduro Biotech, Inc.* | 23,151 | ||||||
3,308 | Adverum Biotechnologies, Inc.* | 69,071 | ||||||
1,728 | Agios Pharmaceuticals, Inc.* | 92,413 | ||||||
5,784 | Akebia Therapeutics, Inc.* | 78,547 | ||||||
473 | Albireo Pharma, Inc.* | 12,530 | ||||||
10,706 | Alkermes plc* | 207,750 | ||||||
1,397 | AMAG Pharmaceuticals, Inc.*^ | 10,687 | ||||||
6,621 | Amicus Therapeutics, Inc.* | 99,845 | ||||||
1,449 | AnaptysBio, Inc.* | 32,371 | ||||||
1,103 | Applied Genetic Technologies Corp.* | 6,111 | ||||||
1,800 | Arcus Biosciences, Inc.* | 44,532 | ||||||
6,613 | Ardelyx, Inc.* | 45,762 | ||||||
1,538 | Arena Pharmaceuticals, Inc.* | 96,817 | ||||||
6,341 | Arrowhead Pharmaceuticals, Inc.* | 273,868 | ||||||
4,292 | Atara Biotherapeutics, Inc.* | 62,534 | ||||||
1,663 | Avrobio, Inc.* | 29,019 | ||||||
1,280 | Biospecifics Technologies Corp.* | 78,438 | ||||||
926 | Bluebird Bio, Inc.* | 56,523 | ||||||
4,360 | Calithera Biosciences, Inc.* | 23,021 | ||||||
1,371 | Caredx, Inc.* | 48,575 | ||||||
1,053 | Catalyst Biosciences, Inc.* | 6,181 | ||||||
5,557 | Catalyst Pharmaceuticals, Inc.* | 25,673 | ||||||
2,202 | ChemoCentryx, Inc.* | 126,703 | ||||||
10,291 | Chimerix, Inc.* | 31,902 | ||||||
3,561 | Concert Pharmaceuticals, Inc.* | 35,432 | ||||||
836 | CRISPR Therapeutics AG* | 61,438 | ||||||
992 | Cytomx Therapeutics, Inc.* | 8,263 | ||||||
2,112 | Denali Therapeutics, Inc.*^ | 51,068 | ||||||
1,115 | Eagle Pharmaceuticals, Inc.* | 53,498 | ||||||
3,763 | Emergent Biosolutions, Inc.* | 297,578 | ||||||
1,500 | Enanta Pharmaceuticals, Inc.* | 75,315 | ||||||
5,981 | Fibrogen, Inc.* | 242,410 | ||||||
2,224 | Five Prime Therapeutics, Inc.* | 13,566 | ||||||
1,520 | G1 Therapeutics, Inc.* | 36,875 | ||||||
1,199 | Global Blood Therapeutics, Inc.* | 75,693 | ||||||
1,738 | Glycomimetics Industries* | 6,535 | ||||||
1,300 | Gritstone Oncology, Inc.* | 8,632 | ||||||
592 | ImmuCell Corp.* | 2,788 | ||||||
2,155 | Intellia Therapeutics, Inc.*^ | 45,298 | ||||||
9,256 | Ironwood Pharmaceuticals, Inc.* | 95,522 | ||||||
4,709 | IVERIC Bio, Inc.* | 24,016 | ||||||
3,800 | Jounce Therapeutics, Inc.* | 26,220 | ||||||
2,769 | Kindred Biosciences, Inc.* | 12,433 | ||||||
514 | Kiniksa Pharmaceuticals, Ltd., Class A* | 13,097 | ||||||
2,093 | Kura Oncology, Inc.* | 34,116 | ||||||
1,114 | Ligand Pharmaceuticals, Inc., Class B* | 124,601 | ||||||
3,749 | Macrogenics, Inc.* | 104,672 |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
1,039 | Madrigal Pharmaceuticals, Inc.* | $ | 117,667 | |||||
2,522 | Magenta Therapeutics, Inc.* | 18,940 | ||||||
900 | MediciNova, Inc.*^ | 4,878 | ||||||
2,138 | Mersana Therapeutics, Inc.* | 50,029 | ||||||
1,300 | Minerva Neurosciences, Inc.*^ | 4,693 | ||||||
514 | Momenta Pharmaceuticals, Inc.* | 17,101 | ||||||
5,691 | Myriad Genetics, Inc.* | 64,536 | ||||||
687 | ObsEva SA* | 4,046 | ||||||
26,516 | OPKO Health, Inc.*^ | 90,420 | ||||||
14,857 | PDL BioPharma, Inc.* | 43,234 | ||||||
1,429 | Pfenex, Inc.* | 11,932 | ||||||
1,800 | Protagonist Therapeutics, Inc.* | 31,788 | ||||||
2,626 | Prothena Corp. plc* | 27,468 | ||||||
580 | PTC Therapeutics, Inc.* | 29,429 | ||||||
1,300 | Recro Pharma, Inc. | 5,915 | ||||||
969 | REGENXBIO, Inc.* | 35,688 | ||||||
1,434 | Repligen Corp.* | 177,257 | ||||||
3,247 | Retrophin, Inc.* | 66,271 | ||||||
506 | Rhythm Pharmaceuticals, Inc.* | 11,284 | ||||||
1,925 | Rigel Pharmaceuticals, Inc.* | 3,523 | ||||||
2,562 | Rocket Pharmaceuticals, Inc.* | 53,623 | ||||||
2,027 | Sage Therapeutics, Inc.* | 84,283 | ||||||
2,359 | Sangamo Therapeutics, Inc.* | 21,137 | ||||||
6,556 | Spectrum Pharmaceuticals, Inc.* | 22,159 | ||||||
1,000 | Syndax Pharmaceuticals, Inc.* | 14,820 | ||||||
905 | Syros Pharmaceuticals, Inc.* | 9,647 | ||||||
1,873 | Translate Bio, Inc.* | 33,564 | ||||||
1,978 | Ultragenyx Pharmaceutical, Inc.* | 154,719 | ||||||
2,176 | United Therapeutics Corp.* | 263,296 | ||||||
3,525 | Vanda Pharmaceuticals, Inc.* | 40,326 | ||||||
3,262 | Vericel Corp.* | 45,081 | ||||||
4,488 | Viking Therapeutics, Inc.*^ | 32,358 | ||||||
1,685 | Voyager Therapeutics, Inc.* | 21,265 | ||||||
3,844 | Xencor, Inc.* | 124,507 | ||||||
|
| |||||||
4,785,348 | ||||||||
|
| |||||||
Building Products (2.0%): | ||||||||
5,984 | AAON, Inc. | 324,871 | ||||||
3,754 | Advanced Drainage Systems, Inc. | 185,448 | ||||||
1,833 | American Woodmark Corp.* | 138,666 | ||||||
2,881 | Apogee Enterprises, Inc. | 66,378 | ||||||
3,226 | Armstrong Flooring, Inc.* | 9,646 | ||||||
3,236 | Armstrong World Industries, Inc. | 252,279 | ||||||
13,207 | Builders FirstSource, Inc.* | 273,385 | ||||||
3,446 | Cornerstone Building Brands, Inc.* | 20,883 | ||||||
815 | Csw Industrials, Inc. | 56,325 | ||||||
1,117 | Gibraltar Industries, Inc.* | 53,627 | ||||||
2,794 | Insteel Industries, Inc. | 53,282 | ||||||
2,330 | Jeld-Wen Holding, Inc.* | 37,536 | ||||||
1,360 | Owens Corning | 75,834 | ||||||
3,005 | Patrick Industries, Inc. | 184,056 | ||||||
7,162 | PGT Innovations, Inc.* | 112,300 | ||||||
3,536 | Quanex Building Products Corp. | 49,080 | ||||||
3,705 | Resideo Technologies, Inc.* | 43,423 | ||||||
4,618 | Simpson Manufacturing Co., Inc. | 389,574 | ||||||
3,749 | Trex Co., Inc.* | 487,631 | ||||||
2,113 | UFP Industries, Inc. | 104,615 | ||||||
|
| |||||||
2,918,839 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets (2.5%): | ||||||||
3,660 | Affiliated Managers Group, Inc. | $ | 272,890 | |||||
4,154 | Artisan Partners Asset Management, Inc., Class A | 135,005 | ||||||
20,760 | BGC Partners, Inc., Class A | 56,882 | ||||||
1,300 | Blucora, Inc.* | 14,846 | ||||||
5,851 | Brightsphere Investment Group, Inc. | 72,903 | ||||||
4,207 | Cohen & Steers, Inc. | 286,287 | ||||||
473 | Diamond Hill Investment Group | 53,766 | ||||||
2,638 | Donnelley Financial Solutions, Inc.* | 22,159 | ||||||
6,265 | Eaton Vance Corp. | 241,829 | ||||||
7,007 | Federated Investors, Inc., Class B | 166,066 | ||||||
8,015 | Gain Capital Holdings, Inc. | 48,250 | ||||||
1,776 | GAMCO Investors, Inc., Class A | 23,639 | ||||||
3,795 | Greenhill & Co., Inc. | 37,912 | ||||||
1,753 | Hamilton Lane, Inc. | 118,100 | ||||||
211 | Hennessy Advisors, Inc. | 1,669 | ||||||
2,974 | Houlihan Lokey, Inc. | 165,473 | ||||||
5,220 | Interactive Brokers Group, Inc., Class A | 218,039 | ||||||
2,101 | INTL FCStone, Inc.* | 115,555 | ||||||
14,214 | Janus Henderson Group plc | 300,768 | ||||||
7,972 | Lazard, Ltd., Class A | 228,238 | ||||||
3,606 | Legg Mason, Inc. | 179,399 | ||||||
2,775 | Manning & Napier, Inc. | 7,937 | ||||||
4,442 | Moelis & Co., Class A | 138,413 | ||||||
1,741 | Oppenheimer Holdings, Class A | 37,936 | ||||||
284 | Piper Jaffray Cos., Inc. | 16,801 | ||||||
1,718 | PJT Partners, Inc. | 88,202 | ||||||
2,624 | Pzena Investment Management, Inc. | 14,275 | ||||||
3,824 | Safeguard Scientifics, Inc. | 26,768 | ||||||
1,619 | Silvercrest Asset Management Group, Inc., Class A | 20,577 | ||||||
5,350 | Stifel Financial Corp. | 253,751 | ||||||
207 | Value Line, Inc. | 5,587 | ||||||
7,929 | Virtu Financial, Inc., Class A | 187,124 | ||||||
693 | Virtus Investment Partners, Inc. | 80,589 | ||||||
1,478 | Westwood Holdings, Inc. | 23,279 | ||||||
14,884 | WisdomTree Investments, Inc. | 51,647 | ||||||
|
| |||||||
3,712,561 | ||||||||
|
| |||||||
Chemicals (3.1%): | ||||||||
1,064 | Advanced Emmissions Solutions | 5,160 | ||||||
3,852 | AdvanSix, Inc.* | 45,222 | ||||||
1,429 | Agrofresh Solutions, Inc.*^ | 4,330 | ||||||
3,405 | American Vanguard Corp. | 46,853 | ||||||
4,098 | Ashland Global Holdings, Inc. | 283,171 | ||||||
2,630 | Axalta Coating Systems, Ltd.* | 59,307 | ||||||
3,763 | Balchem Corp. | 356,957 | ||||||
4,362 | Cabot Corp. | 161,612 | ||||||
1,025 | Chase Corp. | 105,063 | ||||||
9,570 | Chemours Co. (The) | 146,900 | ||||||
1,403 | Core Molding Technologies, Inc.* | 5,780 | ||||||
18,384 | Element Solutions, Inc.* | 199,466 | ||||||
4,923 | Ferro Corp.* | 58,781 | ||||||
2,318 | Flotek Industries, Inc.* | 2,782 | ||||||
4,677 | Futurefuel Corp. | 55,890 | ||||||
4,477 | GCP Applied Technologies, Inc.* | 83,183 | ||||||
5,221 | H.B. Fuller Co. | 232,857 | ||||||
1,335 | Hawkins, Inc. | 56,844 | ||||||
15,712 | Huntsman Corp. | 282,345 | ||||||
2,407 | Ingevity Corp.* | 126,536 |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
2,580 | Innospec, Inc. | $ | 199,305 | |||||
14,475 | Intrepid Potash, Inc.* | 14,330 | ||||||
1,147 | Koppers Holdings, Inc.* | 21,609 | ||||||
3,713 | Kraton Corp.* | 64,161 | ||||||
6,883 | Kronos Worldwide, Inc. | 71,652 | ||||||
10,519 | Livent Corp.*^ | 64,797 | ||||||
4,373 | LSB Industries, Inc.* | 5,073 | ||||||
4,153 | Minerals Technologies, Inc. | 194,900 | ||||||
11,750 | Mosaic Co. (The) | 146,993 | ||||||
155 | NewMarket Corp. | 62,074 | ||||||
1,786 | Northern Technologies International Corp. | 14,252 | ||||||
11,486 | Olin Corp. | 131,974 | ||||||
3,797 | PolyOne Corp. | 99,595 | ||||||
8,061 | PQ Group Holdings, Inc.* | 106,728 | ||||||
5,893 | Rayonier Advanced Materials, Inc.* | 16,559 | ||||||
2,468 | Sensient Technologies Corp. | 128,731 | ||||||
2,235 | Stepan Co. | 217,019 | ||||||
3,421 | Trecora Resources* | 21,450 | ||||||
2,589 | Tredegar Corp. | 39,871 | ||||||
2,135 | Trinseo SA | 47,312 | ||||||
10,917 | Tronox Holdings plc, Class A | 78,821 | ||||||
12,811 | Valvoline, Inc. | 247,637 | ||||||
8,372 | Venator Materials plc* | 14,986 | ||||||
4,535 | W.R. Grace & Co. | 230,423 | ||||||
|
| |||||||
4,559,291 | ||||||||
|
| |||||||
Commercial Services & Supplies (2.7%): | ||||||||
6,854 | ABM Industries, Inc. | 248,800 | ||||||
11,413 | ACCO Brands Corp. | 81,032 | ||||||
675 | Acme United Corp. | 15,512 | ||||||
462 | Advanced Disposal Services, Inc.* | 13,939 | ||||||
1,580 | AMREP Corp.* | 7,126 | ||||||
5,450 | Brady Corp., Class A | 255,169 | ||||||
3,182 | BrightView Holdings, Inc.* | 35,638 | ||||||
4,155 | Brink’s Co. (The) | 189,094 | ||||||
4,778 | Casella Waste Systems, Inc.* | 249,029 | ||||||
5,965 | CECO Environmental Corp.* | 39,309 | ||||||
2,582 | Cimpress plc* | 197,110 | ||||||
5,239 | Civeo Corp.* | 3,230 | ||||||
2,332 | Clean Harbors, Inc.* | 139,873 | ||||||
325 | CompX International, Inc. | 4,492 | ||||||
15,089 | Covanta Holding Corp. | 144,704 | ||||||
1,356 | Deluxe Corp. | 31,920 | ||||||
2,494 | Ennis, Inc. | 45,241 | ||||||
3,351 | Healthcare Services Group, Inc. | 81,965 | ||||||
7,474 | Herman Miller, Inc. | 176,461 | ||||||
4,977 | HNI Corp. | 152,147 | ||||||
540 | IAA, Inc.* | 20,828 | ||||||
6,334 | Interface, Inc. | 51,559 | ||||||
5,879 | Kimball International, Inc., Class B | 67,961 | ||||||
6,368 | Knoll, Inc. | 77,626 | ||||||
2,508 | Matthews International Corp., Class A | 47,903 | ||||||
2,466 | McGrath Rentcorp | 133,189 | ||||||
5,478 | Mobile Mini, Inc. | 161,601 | ||||||
2,856 | MSA Safety, Inc. | 326,840 | ||||||
2,566 | NL Industries, Inc. | 8,750 | ||||||
2,198 | Perma-Fix Environmental Services, Inc.* | 14,045 | ||||||
3,566 | PICO Holdings, Inc.* | 30,061 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
12,465 | Pitney Bowes, Inc. | $ | 32,409 | |||||
5,379 | Quad Graphics, Inc. | 17,482 | ||||||
8,004 | RR Donnelley & Sons Co. | 9,525 | ||||||
1,749 | SP Plus Corp.* | 36,222 | ||||||
9,998 | Steelcase, Inc., Class A | 120,576 | ||||||
4,115 | Team, Inc.* | 22,921 | ||||||
3,865 | Tetra Tech, Inc. | 305,799 | ||||||
1,516 | UniFirst Corp. | 271,288 | ||||||
3,000 | US Ecology, Inc. | 101,640 | ||||||
3,364 | Virco Manufacturing Co.* | 8,814 | ||||||
1,477 | Vse Corp. | 46,363 | ||||||
|
| |||||||
4,025,193 | ||||||||
|
| |||||||
Communications Equipment (0.9%): | ||||||||
620 | Acacia Communications, Inc.* | 41,658 | ||||||
5,938 | ADTRAN, Inc. | 64,902 | ||||||
1,444 | Applied Optoelectronics, Inc.*^ | 15,696 | ||||||
900 | BK Technologies Corp. | 3,051 | ||||||
4,095 | CalAmp Corp.* | 32,801 | ||||||
7,919 | Calix, Inc.* | 117,993 | ||||||
3,508 | Casa Systems, Inc.* | 14,593 | ||||||
980 | Clearfield, Inc.* | 13,681 | ||||||
3,616 | ClearOne, Inc.* | 7,232 | ||||||
1,300 | CommScope Holding Co., Inc.* | 10,829 | ||||||
316 | Communications Systems, Inc. | 1,602 | ||||||
1,983 | Comtech Telecommunications Corp. | 33,493 | ||||||
2,559 | Digi International, Inc.* | 29,812 | ||||||
3,591 | EchoStar Corp., Class A* | 100,404 | ||||||
6,028 | EMCORE Corp.* | 19,169 | ||||||
7,327 | Harmonic, Inc.* | 34,803 | ||||||
11,610 | Infinera Corp.* | 68,731 | ||||||
2,422 | InterDigital, Inc. | 137,158 | ||||||
3,225 | KVH Industries, Inc.* | 28,799 | ||||||
2,336 | NETGEAR, Inc.* | 60,479 | ||||||
6,225 | NetScout Systems, Inc.* | 159,111 | ||||||
2,391 | Network-1 Technologies, Inc. | 5,177 | ||||||
131 | Optical Cable Corp.* | 328 | ||||||
300 | Plantronics, Inc.^ | 4,404 | ||||||
7,260 | Ribbon Communications, Inc.* | 28,532 | ||||||
3,617 | ViaSat, Inc.* | 138,784 | ||||||
14,754 | Viavi Solutions, Inc.* | 187,967 | ||||||
|
| |||||||
1,361,189 | ||||||||
|
| |||||||
Construction & Engineering (1.1%): | ||||||||
524 | Aegion Corp.* | 8,316 | ||||||
3,475 | Ameresco, Inc., Class A* | 96,536 | ||||||
3,991 | Arcosa, Inc. | 168,420 | ||||||
952 | Argan, Inc. | 45,106 | ||||||
4,298 | Comfort Systems USA, Inc. | 175,144 | ||||||
3,785 | Dycom Industries, Inc.* | 154,769 | ||||||
1,499 | EMCOR Group, Inc. | 99,144 | ||||||
4,300 | Granite Construction, Inc. | 82,302 | ||||||
4,498 | Great Lakes Dredge & Dock Co.* | 41,651 | ||||||
1,979 | IES Holdings, Inc.* | 45,853 | ||||||
2,864 | MasTec, Inc.* | 128,508 | ||||||
2,091 | MYR Group, Inc.* | 66,724 | ||||||
1,479 | Northwest Pipe Co.* | 37,079 | ||||||
1,180 | NV5 Global, Inc.* | 59,979 |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
5,203 | Orion Group Holdings, Inc.* | $ | 16,337 | |||||
1,563 | Primoris Services Corp. | 27,759 | ||||||
2,143 | Quanta Services, Inc. | 84,070 | ||||||
3,151 | Sterling Construction Co., Inc.* | 32,991 | ||||||
4,317 | The Goldfield Corp.* | 16,016 | ||||||
1,290 | Tutor Perini Corp.* | 15,712 | ||||||
2,118 | Valmont Industries, Inc. | 240,647 | ||||||
2,770 | WillScot Corp.* | 34,043 | ||||||
|
| |||||||
1,677,106 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
1,180 | Eagle Materials, Inc., Class A | 82,859 | ||||||
1,261 | Forterra, Inc.* | 14,073 | ||||||
4,132 | Summit Materials, Inc., Class A* | 66,442 | ||||||
2,142 | U.S. Concrete, Inc.* | 53,122 | ||||||
720 | U.S. Lime & Minerals, Inc. | 60,797 | ||||||
|
| |||||||
277,293 | ||||||||
|
| |||||||
Consumer Finance (1.0%): | ||||||||
195 | Asta Funding, Inc.* | 2,521 | ||||||
2,191 | Atlanticus Holdings Corp.* | 22,655 | ||||||
5,088 | Consumer Portfolio Services, Inc.* | 14,399 | ||||||
3,041 | Curo Group Holdings Corp. | 24,845 | ||||||
3,868 | Encore Capital Group, Inc.*^ | 132,208 | ||||||
4,461 | Enova International, Inc.* | 66,335 | ||||||
5,775 | EZCORP, Inc., Class A* | 36,383 | ||||||
4,689 | Firstcash, Inc. | 316,413 | ||||||
3,912 | Green Dot Corp., Class A* | 192,001 | ||||||
5,920 | LendingClub Corp.* | 26,936 | ||||||
14,462 | Navient Corp. | 101,668 | ||||||
2,147 | Nelnet, Inc., Class A | 102,498 | ||||||
1,556 | Nicholas Financial, Inc.* | 11,997 | ||||||
3,069 | Onemain Holdings, Inc. | 75,313 | ||||||
3,211 | PRA Group, Inc.* | 124,137 | ||||||
1,376 | Regional Mgmt Corp.* | 24,369 | ||||||
31,926 | SLM Corp. | 224,440 | ||||||
638 | World Acceptance Corp.* | 41,802 | ||||||
|
| |||||||
1,540,920 | ||||||||
|
| |||||||
Containers & Packaging (0.6%): | ||||||||
16,926 | Graphic Packaging Holding Co. | 236,794 | ||||||
3,300 | Greif, Inc., Class A | 113,553 | ||||||
1,290 | Greif, Inc., Class B | 53,961 | ||||||
5,009 | Myers Industries, Inc. | 72,881 | ||||||
7,172 | O-I Glass, Inc. | 64,405 | ||||||
2,388 | Sealed Air Corp. | 78,446 | ||||||
4,885 | Silgan Holdings, Inc. | 158,225 | ||||||
1,332 | UFP Technologies, Inc.* | 58,688 | ||||||
|
| |||||||
836,953 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
12 | AMCON Distributing Co. | 676 | ||||||
4,391 | Core Markt Holdngs Co., Inc. | 109,578 | ||||||
1,626 | Educational Development Corp. | 15,642 | ||||||
1,655 | Weyco Group, Inc. | 35,731 | ||||||
|
| |||||||
161,627 | ||||||||
|
| |||||||
Diversified Consumer Services (1.3%): | ||||||||
3,726 | Adtalem Global Education, Inc.* | 116,065 | ||||||
2,153 | American Public Education, Inc.* | 63,729 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services, continued | ||||||||
2,338 | Carriage Services, Inc. | $ | 42,365 | |||||
1,667 | Collectors Universe, Inc. | 57,145 | ||||||
5,801 | Frontdoor, Inc.* | 257,158 | ||||||
318 | Graham Holdings Co., Class B | 108,969 | ||||||
3,138 | Grand Canyon Education, Inc.* | 284,083 | ||||||
14,560 | H&R Block, Inc. | 207,917 | ||||||
11,941 | Houghton Mifflin Harcourt Co.* | 21,613 | ||||||
3,468 | K12, Inc.* | 94,468 | ||||||
3,822 | Laureate Education, Inc.* | 38,086 | ||||||
7,486 | Perdoceo Education Corp.* | 119,252 | ||||||
2,561 | Regis Corp.* | 20,949 | ||||||
4,031 | ServiceMaster Global Holdings, Inc.* | 143,866 | ||||||
1,432 | Strategic Education, Inc. | 220,027 | ||||||
5,156 | Universal Technical Institute, Inc.* | 35,834 | ||||||
2,647 | WW International, Inc.* | 67,181 | ||||||
3,362 | Zovio, Inc.* | 10,288 | ||||||
|
| |||||||
1,908,995 | ||||||||
|
| |||||||
Diversified Financial Services (0.2%): | ||||||||
3,167 | Cannae Holdings, Inc.* | 130,164 | ||||||
8,851 | Jefferies Financial Group, Inc. | 137,633 | ||||||
1,617 | Marlin Business Services, Inc. | 13,680 | ||||||
3,296 | On Deck Capital, Inc.* | 2,368 | ||||||
|
| |||||||
283,845 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.9%): | ||||||||
1,146 | Anterix, Inc.* | 51,960 | ||||||
1,599 | ATN International, Inc. | 96,851 | ||||||
8,538 | Cincinnati Bell, Inc.* | 126,789 | ||||||
5,915 | Cogent Communications Holdings, Inc. | 457,585 | ||||||
5,491 | Consolidated Communications Holdings, Inc.* | 37,174 | ||||||
4,115 | IDT Corp.* | 26,871 | ||||||
13,452 | Iridium Communications, Inc.* | 342,219 | ||||||
8,713 | Orbcomm, Inc.* | 33,545 | ||||||
16,913 | Vonage Holdings Corp.* | 170,145 | ||||||
|
| |||||||
1,343,139 | ||||||||
|
| |||||||
Electric Utilities (1.0%): | ||||||||
3,264 | ALLETE, Inc. | 178,247 | ||||||
3,353 | El Paso Electric Co. | 224,651 | ||||||
3,043 | Genie Energy, Ltd., Class B | 22,396 | ||||||
5,125 | Hawaiian Electric Industries, Inc. | 184,808 | ||||||
496 | IDACORP, Inc. | 43,336 | ||||||
3,785 | MGE Energy, Inc. | 244,170 | ||||||
3,794 | Otter Tail Corp. | 147,169 | ||||||
6,951 | PNM Resources, Inc. | 267,196 | ||||||
2,371 | Portland General Electric Co. | 99,132 | ||||||
2,565 | Spark Energy, Inc. | 18,135 | ||||||
|
| |||||||
1,429,240 | ||||||||
|
| |||||||
Electrical Equipment (1.3%): | ||||||||
1,042 | Acuity Brands, Inc. | 99,761 | ||||||
1,259 | Allied Motion Technologies, Inc. | 44,443 | ||||||
3,364 | American Superconductor Corp.* | 27,349 | ||||||
634 | Atkore International Group, Inc.* | 17,340 | ||||||
2,918 | AZZ, Inc. | 100,146 | ||||||
1,427 | Encore Wire Corp. | 69,666 | ||||||
4,605 | EnerSys | 296,470 | ||||||
4,312 | Enphase Energy, Inc.* | 205,122 | ||||||
411 | Espey Manufacturing & Electronics Corp. | 7,118 |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
727 | Generac Holdings, Inc.* | $ | 88,643 | |||||
13,581 | GrafTech International, Ltd. | 108,376 | ||||||
4,534 | LSI Industries, Inc. | 29,335 | ||||||
12,193 | nVent Electric plc | 228,375 | ||||||
569 | Powell Industries, Inc. | 15,585 | ||||||
864 | Preformed Line Products Co. | 43,209 | ||||||
3,194 | Regal-Beloit Corp. | 278,900 | ||||||
75 | Servotronics, Inc.* | 570 | ||||||
3,134 | Sunrun, Inc.* | 61,802 | ||||||
2,714 | Thermon Group Holdings, Inc.* | 39,543 | ||||||
3,104 | Ultralife Corp.* | 21,759 | ||||||
1,934 | Vicor Corp.* | 139,151 | ||||||
1,545 | Vivint Solar, Inc.*^ | 15,296 | ||||||
|
| |||||||
1,937,959 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.9%): | ||||||||
2,011 | ADDvantage Technologies Group, Inc.* | 6,918 | ||||||
6,544 | Arlo Technologies, Inc.* | 16,884 | ||||||
307 | Arrow Electronics, Inc.* | 21,088 | ||||||
4,301 | Avnet, Inc. | 119,933 | ||||||
3,313 | Badger Meter, Inc. | 208,454 | ||||||
254 | Bel Fuse, Inc., Class A | 2,535 | ||||||
1,595 | Bel Fuse, Inc., Class B | 17,114 | ||||||
3,457 | Belden, Inc. | 112,525 | ||||||
896 | Benchmark Electronics, Inc. | 19,354 | ||||||
1,548 | Coherent, Inc.* | 202,757 | ||||||
1,111 | CTS Corp. | 22,264 | ||||||
6,442 | Daktronics, Inc. | 28,023 | ||||||
1,365 | Data I/O Corp.* | 4,600 | ||||||
2,934 | Fabrinet* | 183,140 | ||||||
1,553 | FARO Technologies, Inc.* | 83,241 | ||||||
5,586 | Fitbit, Inc., Class A* | 36,086 | ||||||
5,064 | Flex, Ltd.* | 51,906 | ||||||
640 | Frequency Electronics, Inc.* | 5,606 | ||||||
646 | IEC Electronics Corp.* | 6,221 | ||||||
2,502 | Insight Enterprises, Inc.* | 123,098 | ||||||
3,899 | Itron, Inc.* | 258,309 | ||||||
3,661 | Jabil, Inc. | 117,445 | ||||||
2,556 | Kimball Electronics, Inc.* | 34,608 | ||||||
6,754 | Knowles Corp.* | 103,066 | ||||||
1,566 | Littlelfuse, Inc. | 267,207 | ||||||
187 | Mesa Labs, Inc. | 40,542 | ||||||
4,193 | Methode Electronics, Inc., Class A | 131,073 | ||||||
2,201 | MTS Systems Corp. | 38,716 | ||||||
2,608 | Napco Security Technologies, Inc.* | 61,001 | ||||||
700 | National Instruments Corp. | 27,097 | ||||||
3,067 | Novanta, Inc.* | 327,463 | ||||||
2,208 | OSI Systems, Inc.* | 164,805 | ||||||
1,564 | PAR Technology Corp.*^ | 46,811 | ||||||
1,667 | PC Connection, Inc. | 77,282 | ||||||
1,875 | Perceptron, Inc.* | 6,206 | ||||||
2,944 | Plexus Corp.* | 207,729 | ||||||
1,727 | RF Industries, Ltd. | 8,048 | ||||||
1,262 | Rogers Corp.* | 157,245 | ||||||
7,484 | Sanmina Corp.* | 187,399 | ||||||
1,880 | ScanSource, Inc.* | 45,289 | ||||||
2,050 | SYNNEX Corp. | 245,529 | ||||||
1,738 | Tech Data Corp.* | 252,010 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
7,788 | TTM Technologies, Inc.* | $ | 92,366 | |||||
9,022 | Vishay Intertechnology, Inc. | 137,766 | ||||||
999 | Vishay Precision Group, Inc.* | 24,555 | ||||||
989 | Wayside Technology Group, Inc. | 25,417 | ||||||
3,952 | Wireless Telecom Group, Inc.* | 3,924 | ||||||
|
| |||||||
4,360,655 | ||||||||
|
| |||||||
Energy Equipment & Services (0.7%): | ||||||||
7,188 | Archrock, Inc. | 46,650 | ||||||
3,231 | Aspen Aerogels, Inc.* | 21,260 | ||||||
1,279 | Bristow Group, Inc.* | 17,816 | ||||||
2,978 | Cactus, Inc., Class A | 61,436 | ||||||
3,788 | ChampionX Corp.* | 36,971 | ||||||
3,563 | Core Laboratories NV | 72,401 | ||||||
1,457 | Dawson Geophysical Co.* | 2,098 | ||||||
2,539 | Dril-Quip, Inc.* | 75,637 | ||||||
4,307 | Exterran Corp.* | 23,215 | ||||||
16,167 | Frank’s International NV* | 36,052 | ||||||
145 | FTS International, Inc.*^ | 1,001 | ||||||
1,260 | Geospace Technologies Corp.*^ | 9,475 | ||||||
2,641 | Gulf Island Fabrication, Inc.* | 8,108 | ||||||
7,520 | Helix Energy Solutions Group, Inc.* | 26,094 | ||||||
5,207 | Helmerich & Payne, Inc. | 101,588 | ||||||
749 | Ion Geophysical*^ | 1,753 | ||||||
2,658 | KLX Energy Services Holdings, Inc.*^ | 5,715 | ||||||
595 | Mammoth Energy Services, Inc.* | 702 | ||||||
3,068 | Matrix Service Co.* | 29,821 | ||||||
494 | Nabors Industries, Ltd.*^ | 18,288 | ||||||
3,419 | National Oilwell Varco, Inc. | 41,883 | ||||||
2,316 | Natural Gas Services Group* | 14,521 | ||||||
11,883 | Newpark Resources, Inc.* | 26,499 | ||||||
6,877 | NexTier Oilfield Solutions, Inc.* | 16,849 | ||||||
6,841 | Oceaneering International, Inc.* | 43,714 | ||||||
3,039 | Oil States International, Inc.* | 14,435 | ||||||
9,819 | Patterson-UTI Energy, Inc. | 34,072 | ||||||
2,252 | Propetro Holding Corp.* | 11,575 | ||||||
4,432 | RPC, Inc.* | 13,651 | ||||||
1,503 | SEACOR Holdings, Inc.* | 42,565 | ||||||
1,598 | SEACOR Marine Holdings, Inc.* | 4,075 | ||||||
1,229 | Select Energy Services, Inc.* | 6,022 | ||||||
1,537 | Solaris Oilfield Infrastructure, Inc. | 11,405 | ||||||
5,480 | TETRA Technologies, Inc.* | 2,929 | ||||||
1,075 | Tidewater, Inc.* | 6,009 | ||||||
20,620 | Transocean, Ltd.* | 37,735 | ||||||
5,730 | U.S. Silica Holdings, Inc. | 20,685 | ||||||
16,905 | Valaris plc*^ | 11,020 | ||||||
|
| |||||||
955,725 | ||||||||
|
| |||||||
Entertainment (0.3%): | ||||||||
3,922 | AMC Entertainment Holdings, Inc., Class A^ | 16,825 | ||||||
2,527 | Ballantyne Strong, Inc.* | 4,144 | ||||||
4,904 | Cinemark Holdings, Inc. | 56,641 | ||||||
2,242 | Eros International plc*^ | 7,085 | ||||||
4,000 | Glu Mobile, Inc.* | 37,080 | ||||||
2,533 | Imax Corp.* | 28,395 | ||||||
783 | Liberty Braves Group, Class A* | 15,723 | ||||||
2,677 | Liberty Braves Group, Class C* | 52,844 | ||||||
7,207 | Lions Gate Entertainment Corp., Class A* | 53,404 |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
7,603 | Lions Gate Entertainment Corp., Class B* | $ | 51,928 | |||||
870 | Marcus Corp. | 11,545 | ||||||
2,715 | Reading International, Inc., Class A*^ | 11,539 | ||||||
700 | Rosetta Stone, Inc.* | 11,802 | ||||||
951 | World Wrestling Entertainment, Inc., Class A | 41,321 | ||||||
|
| |||||||
400,276 | ||||||||
|
| |||||||
Food & Staples Retailing (0.9%): | ||||||||
8,214 | BJ’s Wholesale Club Holdings, Inc.* | 306,136 | ||||||
1,910 | Ingles Markets, Inc., Class A | 82,264 | ||||||
4,259 | Natural Grocers by Vitamin Cottage, Inc. | 63,374 | ||||||
4,226 | Performance Food Group Co.* | 123,146 | ||||||
2,982 | PriceSmart, Inc. | 179,904 | ||||||
305 | Rite Aid Corp.*^ | 5,203 | ||||||
2,176 | SpartanNash Co. | 46,240 | ||||||
6,074 | Sprouts Farmers Market, Inc.* | 155,434 | ||||||
2,872 | The Andersons, Inc. | 39,519 | ||||||
2,406 | The Chefs’ Warehouse, Inc.* | 32,673 | ||||||
3,444 | United Natural Foods, Inc.* | 62,715 | ||||||
2,675 | US Foods Holding Corp.* | 52,751 | ||||||
1,832 | Village Super Market, Inc., Class A | 50,783 | ||||||
2,676 | Weis Markets, Inc. | 134,121 | ||||||
|
| |||||||
1,334,263 | ||||||||
|
| |||||||
Food Products (1.8%): | ||||||||
444 | Alico, Inc. | 13,835 | ||||||
7,475 | B&G Foods, Inc.^ | 182,241 | ||||||
1,945 | Calavo Growers, Inc. | 122,360 | ||||||
3,264 | Cal-Maine Foods, Inc.* | 145,183 | ||||||
1,318 | Coffee Holding Co., Inc.* | 3,928 | ||||||
12,764 | Darling Ingredients, Inc.* | 314,249 | ||||||
13,942 | Dean Foods Co.* | 1,114 | ||||||
2,411 | Farmer Brothers Co.* | 17,697 | ||||||
3,522 | Flowers Foods, Inc. | 78,752 | ||||||
1,800 | Fresh Del Monte Produce, Inc. | 44,316 | ||||||
942 | Freshpet, Inc.* | 78,808 | ||||||
7,073 | Hain Celestial Group, Inc. (The)* | 222,869 | ||||||
4,577 | Hostess Brands, Inc.* | 55,931 | ||||||
1,810 | J & J Snack Foods Corp. | 230,104 | ||||||
760 | John B Sanfilippo And Son, Inc. | 64,851 | ||||||
1,919 | Lancaster Colony Corp. | 297,425 | ||||||
2,754 | Landec Corp.* | 21,922 | ||||||
2,175 | Limoneira Co. | 31,516 | ||||||
1,220 | Rocky Mountain Chocolate Factory, Inc. | 5,185 | ||||||
1,716 | Sanderson Farms, Inc. | 198,867 | ||||||
46 | Seaboard Corp. | 134,956 | ||||||
927 | Seneca Foods Corp., Class A* | 31,342 | ||||||
12 | Seneca Foods Corp., Class B* | 381 | ||||||
6,525 | Simply Good Foods Co. (The)* | 121,235 | ||||||
2,865 | Tootsie Roll Industries, Inc.^ | 98,184 | ||||||
4,330 | TreeHouse Foods, Inc.* | 189,654 | ||||||
|
| |||||||
2,706,905 | ||||||||
|
| |||||||
Gas Utilities (1.0%): | ||||||||
1,504 | Chesapeake Utilities Corp. | 126,336 | ||||||
4,265 | National Fuel Gas Co. | 178,831 | ||||||
5,705 | New Jersey Resources Corp. | 186,268 | ||||||
2,636 | Northwest Natural Holding Co. | 147,062 | ||||||
2,605 | ONE Gas, Inc. | 200,715 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities, continued | ||||||||
873 | RGC Resources, Inc. | $ | 21,100 | |||||
6,748 | South Jersey Industries, Inc. | 168,633 | ||||||
2,172 | Southwest Gas Holdings, Inc. | 149,977 | ||||||
3,801 | Spire, Inc. | 249,765 | ||||||
|
| |||||||
1,428,687 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.1%): | ||||||||
6,691 | Accuray, Inc.* | 13,583 | ||||||
5,021 | AngioDynamics, Inc.* | 51,064 | ||||||
1,309 | Anika Therapeutics, Inc.* | 49,389 | ||||||
2,698 | AtriCure, Inc.* | 121,275 | ||||||
228 | Atrion Corp. | 145,238 | ||||||
3,336 | Avanos Medical, Inc.* | 98,045 | ||||||
2,841 | Axogen, Inc.* | 26,251 | ||||||
2,329 | Cantel Medical Corp. | 103,012 | ||||||
572 | Cardiovascular Systems, Inc.* | 18,047 | ||||||
1,804 | CONMED Corp. | 129,870 | ||||||
2,635 | CryoLife, Inc.* | 50,513 | ||||||
1,118 | Elctromed, Inc.* | 17,206 | ||||||
4,664 | Envista Holdings Corp.* | 98,364 | ||||||
427 | Fonar Corp.* | 9,125 | ||||||
987 | Haemonetics Corp.* | 88,396 | ||||||
608 | Heska Corp.*^ | 56,647 | ||||||
1,373 | ICU Medical, Inc.* | 253,058 | ||||||
1,629 | Inogen, Inc.* | 57,862 | ||||||
2,580 | Integer Holdings Corp.* | 188,469 | ||||||
5,748 | Integra LifeSciences Holdings Corp.* | 270,098 | ||||||
199 | IntriCon Corp.* | 2,690 | ||||||
4,509 | Invacare Corp. | 28,722 | ||||||
850 | iRadimed Corp.* | 19,729 | ||||||
2,006 | IRIDEX Corp.* | 4,253 | ||||||
249 | Kewaunee Scientific CP | 2,313 | ||||||
4,878 | Lantheus Holdings, Inc.* | 69,755 | ||||||
2,690 | LeMaitre Vascular, Inc. | 71,016 | ||||||
3,540 | LivaNova plc* | 170,380 | ||||||
6,577 | Meridian Bioscience, Inc.* | 153,178 | ||||||
5,338 | Merit Medical Systems, Inc.* | 243,680 | ||||||
2,701 | Natus Medical, Inc.* | 58,936 | ||||||
3,332 | Neogen Corp.* | 258,563 | ||||||
4,707 | NuVasive, Inc.* | 261,992 | ||||||
6,333 | OraSure Technologies, Inc.* | 73,653 | ||||||
1,199 | Orthofix Medical, Inc.* | 38,368 | ||||||
574 | Orthopediatrics Corp.* | 25,118 | ||||||
2,378 | Oxford Immunotec Global plc* | 30,914 | ||||||
2,977 | Quidel Corp.* | 666,073 | ||||||
10,930 | RTI Surgical, Inc.* | 34,757 | ||||||
2,363 | SeaSpine Holdings Corp.* | 24,741 | ||||||
2,000 | Sientra, Inc.* | 7,740 | ||||||
1,684 | STAAR Surgical Co.* | 103,633 | ||||||
950 | Surmodics, Inc.* | 41,078 | ||||||
923 | Tactile Systems Technology, Inc.* | 38,240 | ||||||
554 | Utah Medical Products, Inc. | 49,095 | ||||||
2,566 | Varex Imaging Corp.* | 38,875 | ||||||
7,300 | Wright Medical Group NV* | 216,956 | ||||||
|
| |||||||
4,579,960 | ||||||||
|
| |||||||
Health Care Providers & Services (2.6%): | ||||||||
6,333 | Acadia Healthcare Co., Inc.* | 159,085 | ||||||
1,084 | Addus HomeCare Corp.* | 100,335 |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
2,613 | Amedisys, Inc.* | $ | 518,786 | |||||
1,150 | American Renal Associates Holdings, Inc.* | 7,498 | ||||||
5,421 | AMN Healthcare Services, Inc.* | 245,246 | ||||||
3,573 | BioTelemetry, Inc.* | 161,464 | ||||||
12,012 | Brookdale Senior Living, Inc.* | 35,435 | ||||||
10,972 | Community Health Systems, Inc.* | 33,026 | ||||||
2,011 | CorVel Corp.* | 142,560 | ||||||
1,032 | Covetrus, Inc.* | 18,462 | ||||||
2,958 | Cross Country Healthcare, Inc.* | 18,221 | ||||||
6,408 | Ensign Group, Inc. (The) | 268,175 | ||||||
190 | Five Star Senior Living, Inc.* | 741 | ||||||
1,259 | Hanger, Inc.* | 20,849 | ||||||
3,529 | InfuSystems Holdings, Inc.* | 40,725 | ||||||
1,543 | Joint Corp. (The)* | 23,562 | ||||||
1,511 | LHC Group, Inc.* | 263,398 | ||||||
1,752 | Magellan Health, Inc.* | 127,861 | ||||||
6,017 | MEDNAX, Inc.* | 102,891 | ||||||
1,187 | National Healthcare Corp. | 75,303 | ||||||
2,297 | National Research Corp. | 133,708 | ||||||
1,331 | Option Care Health, Inc.* | 18,474 | ||||||
7,794 | Owens & Minor, Inc. | 59,390 | ||||||
7,060 | Patterson Cos., Inc. | 155,320 | ||||||
1,995 | Petiq, Inc.* | 69,506 | ||||||
4,815 | Premier, Inc., Class A* | 165,058 | ||||||
1,177 | Providence Service Corp.* | 92,877 | ||||||
1,080 | Psychemedics Corp. | 5,940 | ||||||
7,682 | R1 RCM, Inc.* | 85,654 | ||||||
5,677 | RadNet, Inc.* | 90,094 | ||||||
15,826 | Select Medical Holdings Corp.* | 233,117 | ||||||
1,331 | Surgery Partners, Inc.* | 15,400 | ||||||
7,377 | Tenet Healthcare Corp.* | 133,597 | ||||||
1,837 | The Pennant Group, Inc.* | 41,516 | ||||||
2,495 | Triple-S Management Corp., Class B* | 47,455 | ||||||
1,399 | U.S. Physical Therapy, Inc. | 113,347 | ||||||
|
| |||||||
3,824,076 | ||||||||
|
| |||||||
Health Care Technology (0.6%): | ||||||||
13,105 | Allscripts Healthcare Solutions, Inc.* | 88,721 | ||||||
3,434 | Castlight Health, Inc., Class B* | 2,850 | ||||||
1,388 | Computer Programs & Systems, Inc. | 31,633 | ||||||
4,068 | Evolent Health, Inc., Class A* | 28,964 | ||||||
2,627 | HealthStream, Inc.* | 58,136 | ||||||
5,891 | HMS Holdings Corp.* | 190,809 | ||||||
5,093 | Inovalon Holdings, Inc., Class A* | 98,091 | ||||||
4,954 | NextGen Healthcare, Inc.* | 54,395 | ||||||
3,050 | Omnicell, Inc.* | 215,391 | ||||||
2,026 | Simulations Plus, Inc. | 121,195 | ||||||
2,241 | Vocera Communications, Inc.* | 47,509 | ||||||
|
| |||||||
937,694 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (2.6%): | ||||||||
1,724 | BBQ Holdings, Inc.* | 5,646 | ||||||
4,748 | BBX Capital Corp. | 12,060 | ||||||
3 | Biglari Holdings, Inc., Class A* | 1,005 | ||||||
168 | Biglari Holdings, Inc., Class B* | 11,589 | ||||||
2,915 | BJ’s Restaurants, Inc. | 61,040 | ||||||
9,405 | Bloomin’ Brands, Inc. | 100,257 | ||||||
2,784 | Brinker International, Inc. | 66,816 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
4,497 | Carrols Restaurant Group, Inc.* | $ | 21,765 | |||||
5,129 | Cheesecake Factory, Inc. (The)^ | 117,557 | ||||||
2,165 | Choice Hotels International, Inc. | 170,819 | ||||||
1,429 | Churchill Downs, Inc. | 190,271 | ||||||
2,299 | Chuy’s Holdings, Inc.* | 34,209 | ||||||
1,626 | Cracker Barrel Old Country Store, Inc. | 180,340 | ||||||
3,275 | Dave & Buster’s Entertainment, Inc.^ | 43,656 | ||||||
2,980 | Del Taco Restaurants, Inc.* | 17,671 | ||||||
5,460 | Denny’s Corp.* | 55,146 | ||||||
495 | Dine Brands Global, Inc. | 20,840 | ||||||
3,712 | Dover Motorsports, Inc. | 5,754 | ||||||
2,394 | El Pollo Loco Holdings, Inc.* | 35,335 | ||||||
2,468 | Eldorado Resorts, Inc.*^ | 98,868 | ||||||
9,422 | Extended Stay America, Inc. | 105,432 | ||||||
4,357 | Fiesta Restaurant Group, Inc.* | 27,798 | ||||||
378 | Flanigan’s Enterprises, Inc. | 5,670 | ||||||
2,816 | Hilton Grand Vacations, Inc.* | 55,053 | ||||||
4,444 | International Game Technology plc | 39,552 | ||||||
2,200 | Jack in the Box, Inc. | 162,998 | ||||||
2,108 | Lindblad Expeditions Holdings, Inc.* | 16,274 | ||||||
5,681 | Luby’s, Inc.* | 8,237 | ||||||
3,017 | Marriott Vacations Worldwide Corp. | 248,028 | ||||||
597 | Nathans Famous, Inc. | 33,575 | ||||||
1,669 | Noodles & Co.* | 10,097 | ||||||
3,969 | Papa John’s International, Inc. | 315,177 | ||||||
4,883 | Penn National Gaming, Inc.* | 149,127 | ||||||
1,446 | Playa Hotels & Resorts NV* | 5,235 | ||||||
1,540 | Playags, Inc.* | 5,205 | ||||||
3,185 | Potbelly Corp.* | 7,262 | ||||||
3,634 | Red Lion Hotels Corp.*^ | 8,467 | ||||||
1,368 | Red Robin Gourmet Burgers*^ | 13,954 | ||||||
662 | Red Rock Resorts, Inc. | 7,222 | ||||||
4,652 | Ruth’s Hospitality Group, Inc. | 37,960 | ||||||
3,369 | Scientific Games Corp., Class A* | 52,085 | ||||||
3,059 | SeaWorld Entertainment, Inc.* | 45,304 | ||||||
2,320 | Shake Shack, Inc., Class A* | 122,914 | ||||||
3,391 | Six Flags Entertainment Corp. | 65,141 | ||||||
4,645 | Texas Roadhouse, Inc., Class A | 244,188 | ||||||
11,880 | Wendy’s Co. (The) | 258,746 | ||||||
2,153 | Wingstop, Inc. | 299,202 | ||||||
5,923 | Wyndham Destinations, Inc. | 166,910 | ||||||
2,364 | Wyndham Hotels & Resorts, Inc. | 100,754 | ||||||
|
| |||||||
3,868,211 | ||||||||
|
| |||||||
Household Durables (2.6%): | ||||||||
608 | Bassett Furniture Industries, Inc. | 4,469 | ||||||
771 | Cavco Industries, Inc.* | 148,687 | ||||||
2,344 | Century Communities, Inc.* | 71,867 | ||||||
3,024 | Dixie Group, Inc. (The)* | 2,843 | ||||||
2,958 | Ethan Allen Interiors, Inc. | 34,993 | ||||||
820 | Flexsteel Industries, Inc.^ | 10,357 | ||||||
2,516 | Helen of Troy, Ltd.* | 474,417 | ||||||
670 | Hooker Furniture Corp. | 13,032 | ||||||
2,905 | Installed Building Products, Inc.* | 199,806 | ||||||
3,224 | iRobot Corp.*^ | 270,494 | ||||||
7,925 | KB Home | 243,139 | ||||||
1,138 | Koss Corp.* | 1,525 | ||||||
5,387 | La-Z-Boy, Inc. | 145,772 |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
4,380 | Leggett & Platt, Inc. | $ | 153,957 | |||||
1,324 | LGI Homes, Inc.* | 116,552 | ||||||
2,522 | Lifetime Brands, Inc. | 16,948 | ||||||
7,014 | M.D.C. Holdings, Inc. | 250,400 | ||||||
4,157 | M/I Homes, Inc.* | 143,167 | ||||||
6,186 | Meritage Corp.* | 470,877 | ||||||
723 | P & F Industries, Inc., Class A | 3,615 | ||||||
2,534 | Purple Innovation, Inc.* | 45,612 | ||||||
3,692 | Skyline Champion Corp.* | 89,863 | ||||||
4,300 | Sonos, Inc.* | 62,909 | ||||||
9,383 | Taylor Morrison Home Corp., Class A* | 180,998 | ||||||
2,725 | Tempur Sealy International, Inc.* | 196,064 | ||||||
2,542 | Toll Brothers, Inc. | 82,844 | ||||||
2,041 | TopBuild Corp.* | 232,205 | ||||||
9,280 | TRI Pointe Group, Inc.* | 136,323 | ||||||
4,563 | Tupperware Brands Corp.^ | 21,674 | ||||||
1,460 | Universal Electronics, Inc.* | 68,357 | ||||||
4,044 | Zagg, Inc.*^ | 12,698 | ||||||
|
| |||||||
3,906,464 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
1,115 | Central Garden & Pet Co.* | 40,129 | ||||||
3,036 | Central Garden & Pet Co., Class A* | 102,586 | ||||||
4,718 | Energizer Holdings, Inc. | 224,058 | ||||||
1,767 | Ocean Bio-Chem, Inc. | 24,650 | ||||||
940 | Oil-Dri Corp of America | 32,618 | ||||||
1,701 | Spectrum Brands Holdings, Inc. | 78,076 | ||||||
1,285 | WD-40 Co. | 254,815 | ||||||
|
| |||||||
756,932 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.6%): | ||||||||
22,978 | Atlantic Power Corp.* | 45,956 | ||||||
4,220 | Atlantica Sustainable Infrastructure plc | 122,802 | ||||||
2,815 | Clearway Energy, Inc., Class A | 59,031 | ||||||
5,480 | Clearway Energy, Inc., Class C | 126,369 | ||||||
5,924 | Ormat Technologies, Inc. | 376,114 | ||||||
4,607 | TerraForm Power, Inc., Class A | 84,953 | ||||||
|
| |||||||
815,225 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
3,840 | Raven Industries, Inc. | 82,598 | ||||||
|
| |||||||
Insurance (3.2%): | ||||||||
2,802 | AMBAC Financial Group, Inc.* | 40,125 | ||||||
7,081 | American Equity Investment Life Holding Co. | 174,972 | ||||||
1,783 | American National Insurance Co. | 128,501 | ||||||
2,529 | Amerisafe, Inc. | 154,674 | ||||||
2,482 | Argo Group International Holdings, Ltd. | 86,448 | ||||||
6,296 | Assured Guaranty, Ltd. | 153,685 | ||||||
1,583 | Axis Capital Holdings, Ltd. | 64,206 | ||||||
3,478 | Brighthouse Financial, Inc.* | 96,758 | ||||||
5,374 | Citizens, Inc.*^ | 32,190 | ||||||
3,445 | Crawford & Co. | 24,218 | ||||||
4,636 | Crawford & Co., Class A | 36,578 | ||||||
2,691 | Donegal Group, Inc., Class A | 38,266 | ||||||
2,004 | eHealth, Inc.* | 196,873 | ||||||
2,020 | Employers Holdings, Inc. | 60,903 | ||||||
1,225 | Enstar Group, Ltd.* | 187,143 | ||||||
2,039 | FBL Financial Group, Inc., Class A | 73,180 | ||||||
2,111 | FedNat Holding Co. | 23,369 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
10,826 | Genworth Financial, Inc., Class A* | $ | 25,008 | |||||
1,050 | Global Indemnity, Ltd. | 25,137 | ||||||
1,094 | Goosehead Insurance, Inc.* | 82,225 | ||||||
3,055 | Greenlight Capital Re, Ltd.* | 19,919 | ||||||
1,752 | Hallmark Financial Services, Inc.* | 6,114 | ||||||
2,024 | Hanover Insurance Group, Inc. (The) | 205,092 | ||||||
1,170 | HCI Group, Inc. | 54,031 | ||||||
569 | Heritage Insurance Holdings, Inc. | 7,448 | ||||||
3,468 | Horace Mann Educators Corp. | 127,380 | ||||||
1,651 | Independence Holding Co. | 50,504 | ||||||
253 | Investors Title Co. | 30,694 | ||||||
1,943 | James River Group Holdings | 87,435 | ||||||
1,724 | Kemper Corp. | 125,024 | ||||||
1,473 | Kingstone Co., Inc. | 6,511 | ||||||
1,784 | Kinsale Capital Group, Inc. | 276,894 | ||||||
12,677 | Maiden Holdings, Ltd.* | 15,719 | ||||||
4,187 | Mercury General Corp. | 170,620 | ||||||
7,678 | National General Holdings Corp. | 165,922 | ||||||
198 | National Western Life Group, Inc., Class A | 40,232 | ||||||
929 | NI Holdings, Inc.* | 13,721 | ||||||
6,495 | Old Republic International Corp. | 105,933 | ||||||
927 | Primerica, Inc. | 108,088 | ||||||
4,148 | ProAssurance Corp. | 60,022 | ||||||
180 | Protective Insurance Corp. | 3,154 | ||||||
3,350 | RLI Corp. | 275,034 | ||||||
1,234 | Safety Insurance Group, Inc. | 94,105 | ||||||
4,516 | Selective Insurance Group, Inc. | 238,173 | ||||||
3,755 | State Auto Financial Corp. | 67,027 | ||||||
2,715 | Stewart Information Services Corp. | 88,265 | ||||||
204 | The National Security Group, Inc. | 2,621 | ||||||
6,247 | Third Point Reinsurance, Ltd.* | 46,915 | ||||||
2,849 | Tiptree, Inc., Class A | 18,376 | ||||||
587 | Trupanion, Inc.*^ | 25,059 | ||||||
2,000 | United Fire Group, Inc. | 55,420 | ||||||
4,002 | United Insurance Holdings Co. | 31,296 | ||||||
2,274 | Universal Insurance Holdings, Inc. | 40,364 | ||||||
12,895 | Unum Group | 213,928 | ||||||
244 | White Mountains Insurance Group, Ltd. | 216,666 | ||||||
|
| |||||||
4,798,165 | ||||||||
|
| |||||||
Interactive Media & Services (0.4%): | ||||||||
5,278 | Cargurus, Inc.* | 133,798 | ||||||
3,666 | Cars.com, Inc.* | 21,116 | ||||||
6,181 | DHI Group, Inc.* | 12,980 | ||||||
7,846 | Liberty TripAdvisor Holdings, Inc., Class A* | 16,712 | ||||||
4,193 | QuinStreet, Inc.* | 43,859 | ||||||
7,131 | The Meet Group, Inc. (The)* | 44,497 | ||||||
2,073 | Travelzoo, Inc.* | 11,692 | ||||||
7,741 | TripAdvisor, Inc. | 147,157 | ||||||
11,137 | TrueCar, Inc.* | 28,733 | ||||||
3,909 | Yelp, Inc.* | 90,415 | ||||||
1,473 | Zedge, Inc., Class B* | 2,180 | ||||||
|
| |||||||
553,139 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.7%): | ||||||||
4,886 | 1-800 Flowers.com, Inc., Class A* | 97,818 | ||||||
576 | Groupon, Inc.*^ | 10,437 | ||||||
3,052 | Grubhub, Inc.* | 214,556 |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
1,300 | Lands’ End, Inc.*^ | $ | 10,452 | |||||
3,938 | Leaf Group, Ltd.* | 14,452 | ||||||
3,018 | Liquidity Services, Inc.* | 17,987 | ||||||
3,081 | PetMed Express, Inc. | 109,807 | ||||||
5,840 | Quotient Technology, Inc.* | 42,749 | ||||||
16,641 | Qurate Retail, Inc., Class A* | 158,090 | ||||||
4,084 | Shutterstock, Inc. | 142,817 | ||||||
1,086 | Stamps.com, Inc.* | 199,487 | ||||||
|
| |||||||
1,018,652 | ||||||||
|
| |||||||
IT Services (2.7%): | ||||||||
1,437 | Alliance Data Systems Corp. | 64,837 | ||||||
1,700 | Brightcove, Inc.* | 13,396 | ||||||
592 | CACI International, Inc., Class A* | 128,393 | ||||||
4,472 | Cardtronics plc* | 107,239 | ||||||
1,474 | Cass Information Systems, Inc. | 57,530 | ||||||
11,403 | Conduent, Inc.* | 27,253 | ||||||
5,061 | CoreLogic, Inc. | 340,201 | ||||||
3,532 | CSG Systems International, Inc. | 146,189 | ||||||
758 | CSP, Inc. | 6,155 | ||||||
8,470 | DXC Technology Co. | 139,755 | ||||||
4,290 | Endurance International Group Holdings, Inc.* | 17,289 | ||||||
922 | Euronet Worldwide, Inc.* | 88,346 | ||||||
4,623 | Evertec, Inc. | 129,906 | ||||||
2,000 | Evo Payments, Inc.* | 45,660 | ||||||
3,066 | Exlservice Holdings, Inc.* | 194,384 | ||||||
1,053 | Greensky, Inc.*^ | 5,160 | ||||||
4,964 | GTT Communications, Inc.*^ | 40,506 | ||||||
4,599 | Hackett Group, Inc. (The) | 62,270 | ||||||
439 | I3 Verticals, Inc.* | 13,280 | ||||||
11,668 | KBR, Inc. | 263,114 | ||||||
10,373 | Limelight Networks, Inc.* | 76,345 | ||||||
4,958 | LiveRamp Holdings, Inc.* | 210,566 | ||||||
2,106 | ManTech International Corp., Class A | 144,240 | ||||||
2,575 | Maximus, Inc. | 181,409 | ||||||
7,514 | NIC, Inc. | 172,521 | ||||||
862 | Paysign, Inc.* | 8,370 | ||||||
3,115 | Perficient, Inc.* | 111,455 | ||||||
10,981 | Perspecta, Inc. | 255,090 | ||||||
3,168 | PFSweb, Inc.* | 21,162 | ||||||
5,763 | Sabre Corp. | 46,450 | ||||||
1,072 | Science Applications International Corp. | 83,273 | ||||||
8,429 | Servicesource International, Inc.* | 13,318 | ||||||
1,555 | StarTek, Inc.* | 7,899 | ||||||
10,553 | Steel Connect, Inc.* | 6,333 | ||||||
4,816 | Switch, Inc., Class A | 85,821 | ||||||
4,608 | Sykes Enterprises, Inc.* | 127,457 | ||||||
6,624 | Teradata Corp.* | 137,779 | ||||||
5,068 | TTEC Holdings, Inc. | 235,967 | ||||||
7,332 | Unisys Corp.* | 79,992 | ||||||
3,544 | Verra Mobility Corp.* | 36,432 | ||||||
3,309 | Virtusa Corp.* | 107,443 | ||||||
|
| |||||||
4,040,185 | ||||||||
|
| |||||||
Leisure Products (1.0%): | ||||||||
5,053 | Acushnet Holdings Corp. | 175,794 | ||||||
3,005 | Brunswick Corp. | 192,349 | ||||||
6,323 | Callaway Golf Co. | 110,716 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
1,402 | Escalade, Inc. | $ | 19,572 | |||||
723 | Johnson Outdoors, Inc., Class A | 65,807 | ||||||
1,830 | Malibu Boats, Inc.* | 95,069 | ||||||
2,419 | Marine Products Corp. | 33,503 | ||||||
850 | Mastercraft Boat Holdings, Inc.* | 16,193 | ||||||
15,270 | Mattel, Inc.* | 147,661 | ||||||
4,982 | Nautilus Group, Inc.* | 46,183 | ||||||
1,238 | Polaris, Inc. | 114,577 | ||||||
8,017 | Smith & Wesson Brands, Inc.* | 172,526 | ||||||
7,141 | Vista Outdoor, Inc.* | 103,187 | ||||||
3,612 | YETI Holdings, Inc.* | 154,341 | ||||||
|
| |||||||
1,447,478 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.4%): | ||||||||
2,434 | Codexis, Inc.* | 27,748 | ||||||
7,407 | Enzo Biochem, Inc.* | 16,592 | ||||||
1,116 | Fluidigm Corp.* | 4,475 | ||||||
7,018 | Harvard Bioscience, Inc.* | 21,756 | ||||||
4,475 | Luminex Corp. | 145,572 | ||||||
1,865 | Medpace Holdings, Inc.* | 173,482 | ||||||
7,114 | Neogenomics, Inc.* | 220,391 | ||||||
603 | Syneos Health, Inc.* | 35,125 | ||||||
|
| |||||||
645,141 | ||||||||
|
| |||||||
Machinery (5.4%): | ||||||||
5,140 | AGCO Corp. | 285,063 | ||||||
1,154 | Alamo Group, Inc. | 118,447 | ||||||
3,091 | Albany International Corp., Class A | 181,473 | ||||||
8,019 | Allison Transmission Holdings, Inc. | 294,938 | ||||||
1,094 | Altra Industrial Motion Corp. | 34,855 | ||||||
806 | Art’s-Way Manufacturing Co.* | 1,910 | ||||||
2,041 | Astec Industries, Inc. | 94,519 | ||||||
5,949 | Barnes Group, Inc. | 235,342 | ||||||
2,530 | Blue Bird Corp.* | 37,925 | ||||||
2,245 | Briggs & Stratton Corp.^ | 2,941 | ||||||
2,762 | Chart Industries, Inc.* | 133,929 | ||||||
1,959 | CIRCOR International, Inc.* | 49,915 | ||||||
8,051 | Colfax Corp.* | 224,623 | ||||||
3,105 | Columbus McKinnon Corp. | 103,862 | ||||||
5,525 | Commercial Vehicle Group, Inc.* | 15,967 | ||||||
1,486 | Crane Co. | 88,358 | ||||||
1,676 | DMC Global, Inc. | 46,258 | ||||||
2,578 | Douglas Dynamics, Inc. | 90,539 | ||||||
500 | Eastern Co. (The) | 8,935 | ||||||
6,598 | Enerpac Tool Group Corp. | 116,125 | ||||||
1,516 | EnPro Industries, Inc. | 74,724 | ||||||
1,803 | ESCO Technologies, Inc. | 152,408 | ||||||
4,291 | Evoqua Water Technologies Co.* | 79,813 | ||||||
7,008 | Federal Signal Corp. | 208,348 | ||||||
4,486 | Flowserve Corp. | 127,941 | ||||||
5,128 | Franklin Electric Co., Inc. | 269,322 | ||||||
2,281 | FreightCar America, Inc.* | 2,828 | ||||||
11,753 | Gates Industrial Corp. plc* | 120,821 | ||||||
1,765 | Gencor Industries, Inc.* | 22,310 | ||||||
2,837 | Gorman-Rupp Co. (The) | 88,174 | ||||||
459 | Graham Corp. | 5,848 | ||||||
7,484 | Harsco Corp.* | 101,109 | ||||||
3,615 | Helios Technologies, Inc. | 134,659 |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
785 | Hurco Cos, Inc. | $ | 21,956 | |||||
1,014 | Hyster-Yale Materials Handling, Inc., Class A | 39,201 | ||||||
450 | ITT, Inc. | 26,433 | ||||||
3,043 | John Bean Technologies Corp. | 261,759 | ||||||
288 | Kadant, Inc. | 28,702 | ||||||
9,594 | Kennametal, Inc. | 275,443 | ||||||
1,529 | L.B. Foster Co., Class A* | 19,525 | ||||||
1,187 | Lincoln Electric Holdings, Inc. | 99,993 | ||||||
755 | Lindsay Corp. | 69,619 | ||||||
829 | Lydall, Inc.* | 11,241 | ||||||
3,228 | Manitex International, Inc.* | 16,043 | ||||||
2,653 | Manitowoc Co., Inc. (The)* | 28,865 | ||||||
8,377 | Meritor, Inc.* | 165,865 | ||||||
1,808 | Middleby Corp. (The)* | 142,724 | ||||||
728 | Miller Industries, Inc. | 21,673 | ||||||
5,894 | Mueller Industries, Inc. | 156,663 | ||||||
18,801 | Mueller Water Products, Inc., Class A | 177,293 | ||||||
5,988 | Navistar International Corp.* | 168,862 | ||||||
3,562 | NN, Inc. | 16,884 | ||||||
738 | Omega Flex, Inc.^ | 78,080 | ||||||
2,028 | Park-Ohio Holdings Corp. | 33,645 | ||||||
1,756 | Proto Labs, Inc.* | 197,497 | ||||||
1,956 | RBC Bearings, Inc.* | 262,181 | ||||||
3,472 | REV Group, Inc. | 21,179 | ||||||
12,642 | Rexnord Corp. | 368,513 | ||||||
2,848 | Shyft Group, Inc. (The) | 47,960 | ||||||
1,692 | SPX Corp.* | 69,626 | ||||||
1,085 | SPX FLOW, Inc.* | 40,622 | ||||||
1,636 | Standex International Corp. | 94,152 | ||||||
466 | Taylor Devices, Inc.* | 4,660 | ||||||
1,866 | Tennant Co. | 121,309 | ||||||
8,442 | Terex Corp. | 158,456 | ||||||
800 | The Exone Co.*^ | 6,840 | ||||||
3,586 | The Greenbrier Cos., Inc. | 81,582 | ||||||
5,130 | Timken Co. | 233,364 | ||||||
7,930 | Titan International, Inc. | 11,578 | ||||||
5,270 | TriMas Corp.* | 126,217 | ||||||
8,103 | Trinity Industries, Inc. | 172,513 | ||||||
1,747 | Twin Disc, Inc.* | 9,678 | ||||||
4,530 | Wabash National Corp. | 48,109 | ||||||
3,172 | Watts Water Technologies, Inc., Class A | 256,932 | ||||||
16,047 | Welbilt, Inc.* | 97,726 | ||||||
1,156 | Woodward, Inc. | 89,648 | ||||||
|
| |||||||
7,935,040 | ||||||||
|
| |||||||
Marine (0.3%): | ||||||||
7,920 | Costamare, Inc. | 44,035 | ||||||
4,337 | Genco Shipping & Trading, Ltd. | 27,236 | ||||||
3,685 | Kirby Corp.* | 197,368 | ||||||
5,648 | Matson, Inc. | 164,357 | ||||||
315 | Scorpio Bulkers, Inc. | 4,820 | ||||||
|
| |||||||
437,816 | ||||||||
|
| |||||||
Media (1.0%): | ||||||||
3,904 | A.H. Belo Corp., Class A | 6,754 | ||||||
3,021 | AMC Networks, Inc., Class A* | 70,661 | ||||||
478 | Beasley Broadcast Group, Inc., Class A | 1,162 | ||||||
1,782 | Boston Omaha Corp.* | 28,512 | ||||||
23,234 | Central Eurpoean Media Enterprises* | 82,248 | ||||||
4,066 | Clear Channel Outdoor Holdings, Inc.* | 4,229 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
7,836 | comScore, Inc.* | $ | 24,292 | |||||
144 | Daily Journal Corp.*^ | 38,880 | ||||||
6,258 | E.W. Scripps Co. (The), Class A | 54,758 | ||||||
3,323 | Emerald Holding, Inc. | 10,235 | ||||||
6,123 | Entercom Communications Corp. | 8,450 | ||||||
11,865 | Entravision Communications Corp., Class A | 16,967 | ||||||
5,880 | Gannett Co, Inc.* | 8,114 | ||||||
7,594 | Gray Television, Inc.* | 105,936 | ||||||
2,892 | Hemisphere Media Group* | 28,428 | ||||||
4,052 | John Wiley & Sons, Inc., Class A | 158,028 | ||||||
3,964 | Liberty Latin America, Ltd.* | 38,530 | ||||||
9,235 | Liberty Latin America, Ltd., Class C* | 87,179 | ||||||
500 | Loral Space & Communications Inc. | 9,760 | ||||||
6,655 | Marchex, Inc., Class B* | 10,515 | ||||||
4,388 | Meredith Corp. | 63,845 | ||||||
3,571 | MSG Networks, Inc., Class A*^ | 35,531 | ||||||
10,941 | National CineMedia, Inc. | 32,495 | ||||||
2,159 | New York Times Co. (The), Class A | 90,743 | ||||||
2,788 | Nexstar Media Group, Inc., Class A | 233,327 | ||||||
1,732 | Scholastic Corp. | 51,856 | ||||||
2,708 | TechTarget, Inc.* | 81,321 | ||||||
10,206 | Tegna, Inc. | 113,695 | ||||||
2,169 | Tribune Publishing Co. | 21,668 | ||||||
8,158 | Urban One, Inc.* | 15,582 | ||||||
|
| |||||||
1,533,701 | ||||||||
|
| |||||||
Metals & Mining (1.1%): | ||||||||
7,273 | Alcoa Corp.* | 81,749 | ||||||
7,802 | Allegheny Technologies, Inc.* | 79,502 | ||||||
2,124 | Ampco-Pittsburgh Corp.* | 6,521 | ||||||
5,867 | Carpenter Technology Corp. | 142,451 | ||||||
3,100 | Century Aluminum Co.* | 22,103 | ||||||
15,071 | Cleveland-Cliffs, Inc.^ | 83,192 | ||||||
16,167 | Coeur Mining, Inc.* | 82,128 | ||||||
12,903 | Commercial Metals Co. | 263,220 | ||||||
3,500 | Compass Minerals International, Inc. | 170,624 | ||||||
13,641 | Ferroglobe plc* | 6,765 | ||||||
13,641 | Ferroglobe Unit*(a) | — | ||||||
1,805 | Gold Resource Corp. | 7,419 | ||||||
1,557 | Haynes International, Inc. | 36,372 | ||||||
37,410 | Hecla Mining Co. | 122,331 | ||||||
931 | Kaiser Aluminum Corp. | 68,540 | ||||||
1,545 | Materion Corp. | 95,002 | ||||||
9,373 | McEwen Mining, Inc.* | 9,467 | ||||||
2,868 | Ryerson Holding Corp.* | 16,147 | ||||||
1,487 | Schnitzer Steel Industries, Inc., Class A | 26,231 | ||||||
3,318 | SunCoke Energy, Inc. | 9,821 | ||||||
1,789 | Synalloy Corp.* | 13,382 | ||||||
4,467 | TimkenSteel Corp.* | 17,377 | ||||||
6,784 | United States Steel Corp.^ | 48,980 | ||||||
1,458 | Universal Stainless & Alloy Products, Inc.* | 12,539 | ||||||
684 | Warrior Met Coal, Inc. | 10,527 | ||||||
3,959 | Worthington Industries, Inc. | 147,671 | ||||||
|
| |||||||
1,580,061 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
4,142 | Big Lots, Inc. | 173,964 | ||||||
654 | Dillard’s, Inc., Class A^ | 16,867 | ||||||
5,813 | Kohl’s Corp. | 120,736 | ||||||
3,428 | Macy’s, Inc.^ | 23,585 |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multiline Retail, continued | ||||||||
5,996 | Nordstrom, Inc.^ | $ | 92,878 | |||||
2,527 | Ollie’s Bargain Outlet Holdings, Inc.* | 246,761 | ||||||
|
| |||||||
674,791 | ||||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
5,117 | Avista Corp. | 186,208 | ||||||
2,243 | Black Hills Corp. | 127,088 | ||||||
806 | MDU Resources Group, Inc. | 17,877 | ||||||
3,792 | NorthWestern Corp. | 206,740 | ||||||
1,778 | Unitil Corp. | 79,690 | ||||||
|
| |||||||
617,603 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.9%): | ||||||||
816 | Adams Resources & Energy, Inc. | 21,844 | ||||||
1,985 | Antero Midstream Corp. | 10,124 | ||||||
2,307 | Antero Resources Corp.*^ | 5,860 | ||||||
1,558 | Apache Corp. | 21,033 | ||||||
1,638 | Arch Resources, Inc.* | 46,536 | ||||||
1,954 | Ardmore Shipping Corp. | 8,480 | ||||||
564 | Berry Corp. | 2,724 | ||||||
2,422 | Bonanza Creek Energy, Inc.* | 35,894 | ||||||
2,193 | California Resources Corp.*^ | 2,675 | ||||||
23,301 | Callon Petroleum Co.*^ | 26,796 | ||||||
3,036 | Centennial Resource Development, Inc., Class A*^ | 2,702 | ||||||
3,046 | Cimarex Energy Co. | 83,735 | ||||||
16,914 | Clean Energy Fuel Corp.* | 37,549 | ||||||
15,819 | CNX Resources Corp.* | 136,833 | ||||||
2,015 | CONSOL Energy, Inc.* | 10,216 | ||||||
1,914 | Contango Oil & Gas Co.* | 4,383 | ||||||
5,547 | CVR Energy, Inc. | 111,550 | ||||||
5,713 | Delek US Holdings, Inc. | 99,463 | ||||||
39,156 | Denbury Resources, Inc.* | 10,811 | ||||||
2,142 | Devon Energy Corp. | 24,290 | ||||||
16,266 | DHT Holdings, Inc. | 83,445 | ||||||
4,012 | Dorian LPG, Ltd.* | 31,053 | ||||||
416 | Earthstone Energy, Inc.* | 1,181 | ||||||
17,427 | Enlink Midstream LLC | 42,522 | ||||||
19,984 | EQT Corp. | 237,809 | ||||||
13,891 | Equitrans Midstream Corp. | 115,434 | ||||||
2,943 | Evolution Petroleum Corp. | 8,240 | ||||||
10,643 | Gaslog, Ltd.^ | 29,907 | ||||||
1,561 | Green Plains, Inc.*^ | 15,946 | ||||||
9,417 | Gulfport Energy Corp.* | 10,265 | ||||||
9,079 | HighPoint Resources Corp.* | 2,678 | ||||||
1,791 | HollyFrontier Corp. | 52,297 | ||||||
2,520 | International Seaways, Inc. | 41,177 | ||||||
34,496 | Kosmos Energy, Ltd. | 57,263 | ||||||
725 | Laredo Petroleum, Inc.* | 10,049 | ||||||
1,631 | Marathon Oil Corp. | 9,982 | ||||||
9,030 | Matador Resources Co.* | 76,755 | ||||||
290 | Montage Resources Corp.* | 1,146 | ||||||
6,809 | Murphy Oil Corp. | 93,964 | ||||||
1,403 | Noble Energy, Inc. | 12,571 | ||||||
20,513 | Nordic American Tankers, Ltd.^ | 83,283 | ||||||
3,092 | Northern Oil & Gas, Inc.*^ | 2,594 | ||||||
18,805 | Oasis Petroleum, Inc.*^ | 14,104 | ||||||
5,300 | Overseas Shipholding Group, Inc.* | 9,858 | ||||||
2,410 | Panhandle Oil & Gas, Inc., Class A | 6,459 | ||||||
2,838 | PAR Pacific Holdings, Inc.* | 25,514 | ||||||
5,341 | Parsley Energy, Inc., Class A | 57,042 | ||||||
6,480 | PBF Energy, Inc., Class A | 66,355 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
7,105 | PDC Energy, Inc.* | $ | 88,386 | |||||
5,636 | Peabody Energy Corp. | 16,232 | ||||||
523 | Penn Virginia Corp.* | 4,984 | ||||||
6 | PrimeEnergy Resources Corp.* | 427 | ||||||
12,864 | QEP Resources, Inc. | 16,595 | ||||||
12,188 | Range Resources Corp. | 68,618 | ||||||
5,239 | Renewable Energy Group, Inc.* | 129,822 | ||||||
300 | REX American Resources Corp.* | 20,811 | ||||||
3,561 | Ring Energy, Inc.*^ | 4,131 | ||||||
1,533 | SandRidge Energy, Inc.* | 1,978 | ||||||
3,705 | Scorpio Tankers, Inc.^ | 47,461 | ||||||
8,803 | SFL Corp., Ltd. | 81,780 | ||||||
7,278 | SM Energy Co. | 27,293 | ||||||
32,445 | Southwestern Energy Co.* | 83,059 | ||||||
1,352 | Talos Energy, Inc.* | 12,438 | ||||||
971 | Targa Resources Corp. | 19,488 | ||||||
1,980 | Teekay Shipping Corp.*^ | 4,752 | ||||||
2,363 | Teekay Tankers, Ltd., Class A*^ | 30,294 | ||||||
8,709 | W&T Offshore, Inc.*^ | 19,857 | ||||||
5,239 | World Fuel Services Corp. | 134,956 | ||||||
14,861 | WPX Energy, Inc.* | 94,813 | ||||||
|
| |||||||
2,810,566 | ||||||||
|
| |||||||
Paper & Forest Products (0.6%): | ||||||||
4,216 | Boise Cascade Co. | 158,564 | ||||||
2,174 | Clearwater Paper Corp.* | 78,547 | ||||||
5,761 | Domtar Corp. | 121,615 | ||||||
6,293 | Louisiana-Pacific Corp. | 161,415 | ||||||
5,170 | Mercer International, Inc. | 42,187 | ||||||
1,778 | Neenah, Inc. | 87,940 | ||||||
3,299 | P.H. Glatfelter Co. | 52,949 | ||||||
12,394 | Resolute Forest Products* | 26,151 | ||||||
3,522 | Schweitzer-Mauduit International, Inc. | 117,670 | ||||||
3,241 | Verso Corp. | 38,762 | ||||||
|
| |||||||
885,800 | ||||||||
|
| |||||||
Personal Products (0.6%): | ||||||||
881 | Coty, Inc., Class A | 3,938 | ||||||
3,582 | e.l.f. Beauty, Inc.* | 68,309 | ||||||
2,807 | Edgewell Personal Care Co.* | 87,466 | ||||||
2,136 | Inter Parfums, Inc. | 102,848 | ||||||
900 | Lifevantage Corp.* | 12,168 | ||||||
537 | Mannatech, Inc. | 7,942 | ||||||
1,121 | Medifast, Inc.^ | 155,561 | ||||||
7,676 | Natura & Co. Holding SA, ADR | 111,379 | ||||||
1,387 | Natural Alternatives International, Inc.* | 9,543 | ||||||
369 | Natural Health Trends Corp. | 2,103 | ||||||
2,857 | Natures Sunshine Products, Inc.* | 25,742 | ||||||
2,622 | Nu Skin Enterprises, Inc., Class A | 100,239 | ||||||
340 | United-Guardian, Inc. | 5,026 | ||||||
2,605 | Usana Health Sciences, Inc.* | 191,285 | ||||||
|
| |||||||
883,549 | ||||||||
|
| |||||||
Pharmaceuticals (1.4%): | ||||||||
1,372 | Aerie Pharmaceuticals, Inc.*^ | 20,251 | ||||||
3,129 | Amphastar Pharmaceuticals, Inc.* | 70,277 | ||||||
1,566 | ANI Pharmaceuticals, Inc.* | 50,644 | ||||||
1,496 | Aratana Therapeutics- CVR*(a) | — | ||||||
1,561 | Assembly Biosciences, Inc.* | 36,403 | ||||||
4,744 | Assertio Holdings, Inc.* | 4,066 | ||||||
2,200 | BioDelivery Sciences International, Inc.* | 9,592 |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
1,754 | Collegium Pharmaceutical, Inc.* | $ | 30,695 | |||||
7,702 | Corcept Therapeutics, Inc.* | 129,548 | ||||||
3,415 | Cumberland Pharmaceuticals, Inc.* | 11,372 | ||||||
1,891 | Cymabay Therapeutics, Inc.* | 6,600 | ||||||
14,088 | Endo International plc* | 48,322 | ||||||
6,907 | Horizon Therapeutics plc* | 383,890 | ||||||
8,270 | Innoviva, Inc.* | 115,615 | ||||||
2,755 | Intra-Cellular Therapies, Inc.* | 70,721 | ||||||
1,144 | Kala Pharmaceuticals, Inc.*^ | 12,023 | ||||||
4,227 | Lannett Co., Inc.* | 30,688 | ||||||
3,492 | Mallinckrodt plc* | 9,359 | ||||||
12,061 | Nektar Therapeutics* | 279,332 | ||||||
2,308 | Otonomy, Inc.* | 8,355 | ||||||
2,834 | Pacira BioSciences, Inc.* | 148,699 | ||||||
1,714 | Phibro Animal Health Corp., Class A | 45,027 | ||||||
4,069 | Prestige Consumer Healthcare, Inc.* | 152,831 | ||||||
1,980 | Revance Therapeutics, Inc.* | 48,352 | ||||||
6,222 | SIGA Technologies, Inc.* | 36,772 | ||||||
8,452 | Strongbridge Biopharma plc* | 31,949 | ||||||
5,032 | Supernus Pharmaceuticals, Inc.* | 119,510 | ||||||
1,805 | Taro Pharmaceutical Industries, Ltd.* | 120,014 | ||||||
1,478 | Zogenix, Inc.* | 39,921 | ||||||
|
| |||||||
2,070,828 | ||||||||
|
| |||||||
Professional Services (1.9%): | ||||||||
1,888 | Acacia Research Corp.* | 7,722 | ||||||
5,362 | ASGN, Inc.* | 357,538 | ||||||
848 | Barrett Business Services, Inc. | 45,054 | ||||||
4,636 | CBIZ, Inc.* | 111,125 | ||||||
490 | CRA International, Inc. | 19,355 | ||||||
5,032 | Exponent, Inc. | 407,241 | ||||||
1,712 | Forrester Research, Inc.* | 54,852 | ||||||
1,595 | Franklin Covey Co.* | 34,133 | ||||||
4,109 | FTI Consulting, Inc.* | 470,687 | ||||||
2,202 | GP Strategies Corp.* | 18,893 | ||||||
2,274 | Heidrick & Struggles International, Inc. | 49,164 | ||||||
1,654 | Huron Consulting Group, Inc.* | 73,190 | ||||||
1,623 | ICF International, Inc. | 105,219 | ||||||
5,892 | InnerWorkings, Inc.* | 7,777 | ||||||
1,529 | Insperity, Inc. | 98,972 | ||||||
2,489 | Kelly Services, Inc., Class A | 39,364 | ||||||
2,511 | Kforce, Inc. | 73,447 | ||||||
5,647 | Korn Ferry | 173,532 | ||||||
4,003 | ManpowerGroup, Inc. | 275,206 | ||||||
1,332 | Mastech Digital, Inc.*^ | 34,539 | ||||||
3,943 | Mistras Group, Inc.* | 15,575 | ||||||
518 | Nielsen Holdings plc | 7,697 | ||||||
4,033 | Resources Connection, Inc. | 48,275 | ||||||
4,676 | TriNet Group, Inc.* | 284,955 | ||||||
2,289 | Trueblue, Inc.* | 34,953 | ||||||
1,352 | Upwork, Inc.* | 19,523 | ||||||
4,212 | Volt Information Sciences, Inc.* | 5,433 | ||||||
505 | Willdan Group, Inc.* | 12,630 | ||||||
|
| |||||||
2,886,051 | ||||||||
|
| |||||||
Real Estate Management & Development (0.6%): | ||||||||
2,400 | Altisource Portfolio Solutions* | 35,376 | ||||||
395 | CKX Lands, Inc.* | 3,160 | ||||||
920 | CTO Realty Growth, Inc. | 36,340 | ||||||
2,704 | Cushman & Wakefield plc*^ | 33,692 | ||||||
1,972 | Forestar Group, Inc.* | 29,738 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
504 | FRP Holdings, Inc.* | $ | 20,452 | |||||
376 | Griffin Industrial Realty, Inc. | 20,368 | ||||||
2,012 | Howard Hughes Corp. (The)* | 104,523 | ||||||
10 | J.W. Mays, Inc.* | 211 | ||||||
60 | Jones Lang LaSalle, Inc. | 6,208 | ||||||
9,642 | Kennedy-Wilson Holdings, Inc. | 146,752 | ||||||
4,214 | Marcus & Millichap, Inc.* | 121,616 | ||||||
1,035 | Maui Land & Pineapple Co.* | 11,489 | ||||||
5,383 | Newmark Group, Inc. | 26,161 | ||||||
2,057 | Rafael Holdings, Inc., Class B* | 29,559 | ||||||
1,547 | RE/MAX Holdings, Inc., Class A | 48,622 | ||||||
8,369 | Realogy Holdings Corp. | 62,014 | ||||||
308 | Stratus Properties, Inc.* | 6,101 | ||||||
3,421 | Tejon Ranch Co.* | 49,262 | ||||||
1,076 | The RMR Group, Inc., Class A | 31,710 | ||||||
3,981 | The St Joe Co.* | 77,311 | ||||||
|
| |||||||
900,665 | ||||||||
|
| |||||||
Road & Rail (1.1%): | ||||||||
1,803 | ArcBest Corp. | 47,798 | ||||||
7,925 | Avis Budget Group, Inc.* | 181,403 | ||||||
2,278 | Covenant Transportation Group, Inc., Class A* | 32,872 | ||||||
8,584 | Heartland Express, Inc. | 178,719 | ||||||
5,530 | Hertz Global Holdings, Inc.* | 7,797 | ||||||
2,688 | Landstar System, Inc. | 301,889 | ||||||
3,666 | Marten Transport, Ltd. | 92,237 | ||||||
948 | Ryder System, Inc. | 35,559 | ||||||
2,735 | Saia, Inc.* | 304,077 | ||||||
2,170 | Schneider National, Inc., Class B | 53,534 | ||||||
2,735 | Universal Logistics Holdings, Inc. | 47,534 | ||||||
988 | USA Truck, Inc.* | 7,657 | ||||||
8,552 | Werner Enterprises, Inc. | 372,269 | ||||||
4,526 | YRC Worldwide, Inc.*^ | 8,373 | ||||||
|
| |||||||
1,671,718 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.7%): | ||||||||
2,991 | Advanced Energy Industries, Inc.* | 202,760 | ||||||
3,814 | Alpha & Omega Semiconductor, Ltd.* | 41,496 | ||||||
1,892 | Ambarella, Inc.* | 86,654 | ||||||
26,884 | Amkor Technology, Inc.* | 330,942 | ||||||
1,301 | Amtech Systems, Inc.* | 6,336 | ||||||
3,183 | Axcelis Technologies, Inc.* | 88,647 | ||||||
2,777 | AXT, Inc.* | 13,219 | ||||||
5,573 | Brooks Automation, Inc. | 246,550 | ||||||
2,508 | Cabot Microelectronics Corp. | 349,965 | ||||||
1,462 | CEVA, Inc.* | 54,708 | ||||||
5,549 | Cirrus Logic, Inc.* | 342,817 | ||||||
3,421 | Cohu, Inc. | 59,320 | ||||||
2,097 | Cree, Inc.* | 124,121 | ||||||
522 | Cyberoptics Corp.* | 16,814 | ||||||
5,955 | Diodes, Inc.* | 301,919 | ||||||
3,285 | DSP Group, Inc.* | 52,166 | ||||||
1,149 | Entegris, Inc. | 67,848 | ||||||
2,289 | First Solar, Inc.* | 113,306 | ||||||
6,622 | FormFactor, Inc.* | 194,223 | ||||||
4,679 | GSI Technology, Inc.* | 33,595 | ||||||
1,254 | Ichor Holdings, Ltd.* | 33,331 | ||||||
1,271 | Impinj, Inc.* | 34,914 | ||||||
1,745 | Inphi Corp.* | 205,038 | ||||||
1,349 | inTest Corp.* | 4,546 | ||||||
4,825 | Kulicke & Soffa Industries, Inc. | 100,505 |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
12,204 | Lattice Semiconductor Corp.* | $ | 346,472 | |||||
1,636 | MagnaChip Semiconductor Corp.* | 16,851 | ||||||
4,333 | MaxLinear, Inc., Class A* | 92,986 | ||||||
286 | MKS Instruments, Inc. | 32,387 | ||||||
6,163 | Neophotonics Corp.* | 54,727 | ||||||
807 | NVE Corp. | 49,897 | ||||||
4,389 | Onto Innovation, Inc.* | 149,402 | ||||||
2,739 | PDF Solutions, Inc.* | 53,575 | ||||||
6,256 | Photronics, Inc.* | 69,629 | ||||||
2,109 | Pixelworks, Inc.* | 6,812 | ||||||
2,975 | Power Integrations, Inc. | 351,436 | ||||||
9,474 | Rambus, Inc.* | 144,005 | ||||||
4,245 | Semtech Corp.* | 221,674 | ||||||
2,812 | Silicon Laboratories, Inc.* | 281,959 | ||||||
1,208 | SMART Global Holdings, Inc.* | 32,833 | ||||||
1,698 | SolarEdge Technologies, Inc.* | 235,649 | ||||||
2,469 | Synaptics, Inc.* | 148,436 | ||||||
3,049 | Ultra Clean Holdings, Inc.* | 68,999 | ||||||
3,647 | Veeco Instruments, Inc.* | 49,198 | ||||||
|
| |||||||
5,512,667 | ||||||||
|
| |||||||
Software (3.2%): | ||||||||
4,807 | 2u, Inc.* | 182,474 | ||||||
3,492 | A10 Networks, Inc.* | 23,781 | ||||||
9,468 | ACI Worldwide, Inc.* | 255,540 | ||||||
994 | Agilysys, Inc.* | 17,832 | ||||||
2,538 | Alarm.com Holding, Inc.* | 164,488 | ||||||
2,147 | Altair Engineering, Inc.* | 85,343 | ||||||
3,594 | American Software, Inc., Class A | 56,641 | ||||||
752 | Appfolio, Inc.* | 122,358 | ||||||
935 | Asure Software, Inc.* | 6,012 | ||||||
4,177 | Avaya Holdings Corp.* | 51,628 | ||||||
2,785 | Aware, Inc.* | 9,135 | ||||||
3,147 | Blackbaud, Inc. | 179,631 | ||||||
620 | Blackline, Inc.* | 51,404 | ||||||
2,196 | Bottomline Technologies, Inc.* | 111,491 | ||||||
2,350 | BSQUARE Corp.* | 3,690 | ||||||
900 | ChannelAdvisor Corp.* | 14,256 | ||||||
2,728 | CommVault Systems, Inc.* | 105,574 | ||||||
2,986 | Cornerstone OnDemand, Inc.* | 115,140 | ||||||
7,287 | Digital Turbine, Inc.* | 91,598 | ||||||
3,015 | Ebix, Inc.^ | 67,415 | ||||||
2,928 | Envestnet, Inc.* | 215,325 | ||||||
5,614 | Finjan Holdings, Inc.* | 8,646 | ||||||
14,159 | FireEye, Inc.* | 172,386 | ||||||
4,113 | GlobalSCAPE, Inc. | 40,102 | ||||||
2,105 | Globant SA* | 315,434 | ||||||
3,122 | J2 Global, Inc.* | 197,342 | ||||||
1,662 | LogMeIn, Inc. | 140,888 | ||||||
3,173 | Manhattan Associates, Inc.* | 298,896 | ||||||
562 | MicroStrategy, Inc., Class A* | 66,479 | ||||||
3,326 | Mimecast, Ltd.* | 138,561 | ||||||
1,064 | New Relic, Inc.* | 73,310 | ||||||
3,961 | OneSpan, Inc.* | 110,631 | ||||||
378 | Paylocity Holding Corp.* | 55,146 | ||||||
4,295 | Progress Software Corp. | 166,431 | ||||||
1,068 | QAD, Inc. | 44,087 | ||||||
2,317 | Qualys, Inc.* | 241,014 | ||||||
9,078 | Rubicon Project, Inc.* | 60,550 | ||||||
5,408 | SailPoint Technologies Holding, Inc.* | 143,150 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
769 | Sapiens International Corp. NV | $ | 21,517 | |||||
6,367 | SeaChange International, Inc.* | 9,614 | ||||||
1,739 | Secureworks Corp.* | 19,877 | ||||||
539 | Shotspotter, Inc.* | 13,583 | ||||||
684 | Sps Commerce, Inc.* | 51,382 | ||||||
5,449 | Synacor, Inc.* | 6,157 | ||||||
3,280 | Synchronoss Technologies, Inc.* | 11,578 | ||||||
7,906 | Telenav, Inc.* | 43,404 | ||||||
870 | Upland Software, Inc.* | 30,241 | ||||||
4,311 | Verint Systems, Inc.* | 194,771 | ||||||
11,535 | Xperi Holding Corp. | 170,257 | ||||||
|
| |||||||
4,776,190 | ||||||||
|
| |||||||
Specialty Retail (3.6%): | ||||||||
5,461 | Aaron’s, Inc. | 247,929 | ||||||
3,905 | Abercrombie & Fitch Co., Class A | 41,549 | ||||||
13,115 | American Eagle Outfitters, Inc.^ | 142,954 | ||||||
537 | America’s Car Mart, Inc.* | 47,186 | ||||||
1,933 | Asbury Automotive Group, Inc.* | 149,479 | ||||||
660 | Ascena Retail Group, Inc.* | 964 | ||||||
3,093 | At Home Group, Inc.*^ | 20,074 | ||||||
6,085 | AutoNation, Inc.* | 228,674 | ||||||
7,305 | Barnes & Noble Education, Inc.* | 11,688 | ||||||
7,174 | Bed Bath & Beyond, Inc.^ | 76,044 | ||||||
4,102 | Big 5 Sporting Goods Corp.^ | 7,958 | ||||||
3,574 | Boot Barn Holdings, Inc.* | 77,055 | ||||||
1,732 | Build-A-Bear Workshop, Inc.* | 3,776 | ||||||
3,926 | Caleres, Inc. | 32,743 | ||||||
2,599 | Cato Corp., Class A | 21,260 | ||||||
16,720 | Chico’s FAS, Inc. | 23,074 | ||||||
1,594 | Citi Trends, Inc. | 32,231 | ||||||
3,051 | Conn’s, Inc.*^ | 30,785 | ||||||
7,160 | Designer Brands, Inc., Class A | 48,473 | ||||||
5,615 | Dick’s Sporting Goods, Inc. | 231,675 | ||||||
11,002 | Express, Inc.* | 16,943 | ||||||
605 | Five Below, Inc.* | 64,681 | ||||||
4,493 | Floor & Decor Holdings, Inc., Class A* | 259,021 | ||||||
7,967 | Foot Locker, Inc. | 232,318 | ||||||
367 | Francesca’s Holdings Corp.*^ | 1,413 | ||||||
5,741 | GameStop Corp., Class A*^ | 24,916 | ||||||
9,045 | Gap, Inc. (The) | 114,148 | ||||||
2,011 | Genesco, Inc.* | 43,558 | ||||||
693 | Group 1 Automotive, Inc. | 45,717 | ||||||
7,980 | Guess?, Inc. | 77,167 | ||||||
2,764 | Haverty Furniture Cos., Inc. | 44,224 | ||||||
2,944 | Hibbett Sports, Inc.* | 61,647 | ||||||
6,371 | L Brands, Inc. | 95,374 | ||||||
2,615 | Lithia Motors, Inc., Class A | 395,727 | ||||||
1,529 | Lumber Liquidators Holdings, Inc.* | 21,192 | ||||||
2,422 | MarineMax, Inc.* | 54,229 | ||||||
8,315 | Michaels Cos., Inc. (The)*^ | 58,787 | ||||||
3,427 | Monro, Inc. | 188,279 | ||||||
3,685 | Murphy U.S.A., Inc.* | 414,893 | ||||||
5,224 | National Vision Holdings, Inc.* | 159,436 | ||||||
42,056 | Office Depot, Inc. | 98,832 | ||||||
5,676 | Penske Automotive Group, Inc. | 219,718 | ||||||
3,598 | Rent-A-Center, Inc. | 100,096 | ||||||
1,289 | RH* | 320,832 | ||||||
7,968 | Sally Beauty Holdings, Inc.* | 99,839 | ||||||
4,149 | Signet Jewelers, Ltd. | 42,610 |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
2,722 | Sleep Number Corp.* | $ | 113,344 | |||||
2,525 | Sonic Automotive, Inc., Class A | 80,573 | ||||||
2,363 | Sportsman’s Warehouse Holdings, Inc.* | 33,673 | ||||||
289 | Tandy Leather Factory, Inc.* | 965 | ||||||
5,592 | The Buckle, Inc. | 87,683 | ||||||
1,798 | The Children’s Place, Inc.^ | 67,281 | ||||||
6,893 | The Container Store Group, Inc.* | 22,333 | ||||||
2,271 | Tilly’s, Inc. | 12,877 | ||||||
6,609 | Urban Outfitters, Inc.* | 100,589 | ||||||
399 | Winmark Corp. | 68,325 | ||||||
3,106 | Zumiez, Inc.* | 85,042 | ||||||
|
| |||||||
5,403,853 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
6,969 | 3D Systems Corp.* | 48,713 | ||||||
1,308 | AstroNova, Inc. | 10,412 | ||||||
7,288 | Avid Technology, Inc.* | 52,984 | ||||||
1,901 | CCUR Holdings, Inc. | 6,083 | ||||||
7,802 | NCR Corp.* | 135,131 | ||||||
16,452 | Pure Storage, Inc., Class A* | 285,113 | ||||||
3,811 | Stratasys, Ltd.*^ | 60,442 | ||||||
2,418 | Super Micro Computer, Inc.* | 68,647 | ||||||
1,590 | TransAct Technologies, Inc. | 7,282 | ||||||
|
| |||||||
674,807 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.6%): | ||||||||
5,043 | Capri Holdings, Ltd.* | 78,822 | ||||||
2,989 | Carter’s, Inc. | 241,212 | ||||||
200 | Columbia Sportswear Co. | 16,116 | ||||||
6,030 | Crocs, Inc.* | 222,025 | ||||||
2,291 | Culp, Inc. | 19,726 | ||||||
2,476 | Deckers Outdoor Corp.* | 486,263 | ||||||
1,291 | Fossil Group, Inc.*^ | 6,003 | ||||||
5,012 | G-III Apparel Group, Ltd.* | 66,609 | ||||||
23,604 | Hanesbrands, Inc. | 266,490 | ||||||
3,853 | Kontoor Brands, Inc. | 68,622 | ||||||
816 | Lakeland Industries, Inc.*^ | 18,303 | ||||||
2,340 | Oxford Industries, Inc. | 102,983 | ||||||
348 | PVH Corp. | 16,721 | ||||||
1,515 | Rocky Brands, Inc. | 31,148 | ||||||
2,940 | Skechers U.S.A., Inc., Class A* | 92,257 | ||||||
8,248 | Steven Madden, Ltd. | 203,643 | ||||||
1,599 | Tapestry, Inc. | 21,235 | ||||||
2,457 | Under Armour, Inc., Class A* | 23,931 | ||||||
14,317 | Under Armour, Inc., Class C* | 126,562 | ||||||
957 | Unifi, Inc.* | 12,326 | ||||||
1,916 | Vera Bradley, Inc.* | 8,507 | ||||||
8,858 | Wolverine World Wide, Inc. | 210,909 | ||||||
|
| |||||||
2,340,413 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (2.1%): | ||||||||
6,216 | Axos Financial, Inc.* | 137,249 | ||||||
2,838 | BankFinancial Corp. | 23,839 | ||||||
2,024 | Bridgewater Bancshares, Inc.* | 20,746 | ||||||
10,099 | Capitol Federal Financial, Inc. | 111,190 | ||||||
280 | Citizens Community Bancorp, Inc. | 1,921 | ||||||
6,764 | Columbia Financial, Inc.* | 94,392 | ||||||
3,896 | Dime Community Bancshares, Inc. | 53,492 | ||||||
1,537 | ESSA Bancorp, Inc. | 21,395 | ||||||
4,198 | Essent Group, Ltd. | 152,261 | ||||||
696 | Federal Agricultural Mortgage Corp. | 44,551 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance, continued | ||||||||
242 | First Capital, Inc.^ | $ | 16,812 | |||||
6,849 | Flagstar Bancorp, Inc. | 201,566 | ||||||
659 | FS Bancorp, Inc. | 25,418 | ||||||
195 | Guaranty Federal Bankshares, Inc. | 2,974 | ||||||
301 | Hingham Institution for Savings | 50,502 | ||||||
629 | HMN Financial, Inc.* | 9,240 | ||||||
973 | Home Bancorp, Inc. | 26,028 | ||||||
43 | Home Federal Bancorp, Inc. | 1,075 | ||||||
1,829 | HomeStreet, Inc. | 45,012 | ||||||
869 | IF Bancorp, Inc. | 14,304 | ||||||
865 | Impac Mortgage Holdings, Inc.* | 1,462 | ||||||
4,902 | Kearny Financial Corp. | 40,098 | ||||||
390 | Kentucky First Federal Bancorp | 2,668 | ||||||
955 | LendingTree, Inc.* | 276,500 | ||||||
800 | Luther Burbank Corp. | 8,000 | ||||||
940 | Malvern Bancorp, Inc.* | 11,966 | ||||||
600 | Merchants BanCorp | 11,094 | ||||||
3,912 | Meridian Bancorp, Inc. | 45,379 | ||||||
3,591 | Meta Financial Group, Inc. | 65,248 | ||||||
7,203 | Mr Cooper Group, Inc.* | 89,605 | ||||||
676 | MSB Financial Corp. | 7,436 | ||||||
13,183 | New York Community Bancorp, Inc. | 134,467 | ||||||
4,642 | NMI Holdings, Inc., Class A* | 74,643 | ||||||
4,278 | Northfield Bancorp, Inc. | 49,283 | ||||||
9,597 | Northwest Bancshares, Inc. | 98,129 | ||||||
4,063 | Oceanfirst Financial Corp. | 71,631 | ||||||
198 | Oconee Federal Financial Corp. | 5,102 | ||||||
16,927 | Ocwen Financial Corp.* | 11,240 | ||||||
2,010 | PCSB Financial Corp. | 25,487 | ||||||
6,013 | PennyMac Financial Services, Inc. | 251,282 | ||||||
2,359 | Premier Financial Corp. | 41,684 | ||||||
1,677 | Provident Financial Holdings, Inc. | 22,489 | ||||||
2,873 | Provident Financial Services, Inc. | 41,515 | ||||||
1,685 | Prudential Bancorp, Inc. | 20,287 | ||||||
1,982 | Riverview Bancorp, Inc. | 11,198 | ||||||
3,176 | Security National Financial Corp., Class A* | 21,422 | ||||||
671 | Severn Bancorp, Inc. | 4,348 | ||||||
707 | Southern Missouri Bancorp, Inc. | 17,180 | ||||||
1,053 | Sterling Bancorp, Inc. | 3,770 | ||||||
1,815 | Territorial Bancorp, Inc. | 43,179 | ||||||
7,314 | TrustCo Bank Corp NY | 46,298 | ||||||
5,637 | Washington Federal, Inc. | 151,297 | ||||||
2,217 | Waterstone Financial, Inc. | 32,878 | ||||||
3,922 | Wawlker & Dunlop, Inc. | 199,277 | ||||||
3,601 | Western New England BanCorp, Inc. | 20,850 | ||||||
3,988 | WSFS Financial Corp. | 114,456 | ||||||
35 | WVS Financial Corp. | 461 | ||||||
|
| |||||||
3,127,276 | ||||||||
|
| |||||||
Tobacco (0.1%): | ||||||||
491 | Turning Point Brands, Inc.^ | 12,231 | ||||||
975 | Universal Corp. | 41,447 | ||||||
14,329 | Vector Group, Ltd. | 144,150 | ||||||
|
| |||||||
197,828 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.7%): | ||||||||
4,708 | Air Lease Corp. | 137,897 | ||||||
4,342 | Applied Industrial Technologies, Inc. | 270,897 | ||||||
7,390 | Beacon Roofing Supply, Inc.* | 194,874 | ||||||
5,882 | BMC Stock Holdings, Inc.* | 147,873 | ||||||
1,906 | CAI International, Inc.* | 31,754 |
See accompanying notes to the financial statements.
17
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
2,504 | DXP Enterprises, Inc.* | $ | 49,855 | |||||
1,463 | EVI Industries, Inc.*^ | 31,762 | ||||||
2,365 | GATX Corp. | 144,218 | ||||||
120 | GMS, Inc.* | 2,951 | ||||||
1,239 | H&E Equipment Services, Inc. | 22,897 | ||||||
853 | HD Supply Holdings, Inc.* | 29,556 | ||||||
1,516 | Herc Holdings, Inc.* | 46,587 | ||||||
2,033 | Kaman Corp., Class A | 84,573 | ||||||
989 | Lawson Products, Inc.* | 31,905 | ||||||
4,569 | MRC Global, Inc.* | 27,003 | ||||||
1,136 | MSC Industrial Direct Co., Inc., Class A | 82,712 | ||||||
7,964 | NOW, Inc.* | 68,729 | ||||||
2,681 | Rush Enterprises, Inc., Class A | 111,154 | ||||||
2,476 | SiteOne Landscape Supply, Inc.* | 282,190 | ||||||
3,203 | Systemax, Inc. | 65,790 | ||||||
7,847 | Textainer Group Holdings, Ltd.* | 64,188 | ||||||
2,765 | Titan Machinery, Inc.* | 30,028 | ||||||
577 | Transcat, Inc.* | 14,921 | ||||||
5,731 | Triton International, Ltd. | 173,305 | ||||||
5,651 | Univar Solutions, Inc.* | 95,276 | ||||||
2,676 | Veritiv Corp.* | 45,385 | ||||||
4,418 | WESCO International, Inc.* | 155,116 | ||||||
|
| |||||||
2,443,396 | ||||||||
|
| |||||||
Transportation Infrastructure (0.1%): | ||||||||
5,157 | Macquarie Infrastructure Corp. | 158,268 | ||||||
|
| |||||||
Water Utilities (0.6%): | ||||||||
3,765 | American States Water Co. | 296,042 | ||||||
1,221 | Artesian Resources Corp. | 44,310 | ||||||
5,139 | California Water Service Group | 245,130 | ||||||
2,756 | Consolidated Water Co., Ltd. | 39,769 | ||||||
1,275 | Middlesex Water Co. | 85,655 | ||||||
2,502 | Pure Cycle Corp.* | 22,993 | ||||||
1,815 | SJW Group | 112,730 | ||||||
1,259 | York Water Co. (The) | 60,382 | ||||||
|
| |||||||
907,011 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.5%): | ||||||||
4,604 | Boingo Wireless, Inc.* | 61,325 | ||||||
6,518 | Shenandoah Telecommunications Co. | 321,272 | ||||||
2,722 | Spok Holdings, Inc. | 25,451 | ||||||
9,308 | Telephone & Data Systems, Inc. | 185,043 | ||||||
2,672 | United States Cellular Corp.* | 82,485 | ||||||
|
| |||||||
675,576 | ||||||||
|
| |||||||
Total Common Stocks (Cost $148,504,155) | 148,128,240 | |||||||
|
|
Contracts, Principal Amount | Fair Value | |||||||
Preferred Stocks (0.1%): | ||||||||
Air Freight & Logistics (0.0%†): | ||||||||
38 | Air T Funding, 6/7/49 | $ | 836 | |||||
|
| |||||||
Media (0.0%†): | ||||||||
430 | GCI Liberty, Inc., Series A, 76.31% | 11,270 | ||||||
|
| |||||||
Trading Companies & Distributors (0.0%†): | ||||||||
2,540 | WESCO International, Inc., Series A, 10.63% | 67,361 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $71,324) | 79,467 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Biotechnology (0.0%†): | ||||||||
8,857 | Achillion Pharm CVR, Expires on 1/29/21* | 4,074 | ||||||
4,400 | Progenics Pharmaceuticals, Inc., Expires on 1/3/22* | — | ||||||
|
| |||||||
4,074 | ||||||||
|
| |||||||
Diversified Financial Services (0.0%†): | ||||||||
6,056 | NewStar Financial, Inc. CVR, Expires on 12/31/49* | 615 | ||||||
|
| |||||||
Media (0.0%†): | ||||||||
21,894 | Media General, Inc. CVR, Expires on 12/31/49* | 2,054 | ||||||
|
| |||||||
Total Rights (Cost $10,055) | 6,743 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (2.3%): | ||||||||
3,420,976 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c) | 3,420,976 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 3,420,976 | ||||||
|
| |||||||
Unaffiliated Investment Companies (0.5%): | ||||||||
Money Markets (0.5%): | ||||||||
678,332 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(c) | 678,332 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $678,332) | 678,332 | |||||||
|
| |||||||
Total Investment Securities (Cost $152,684,842) — 102.6% | 152,313,758 | |||||||
Net other assets (liabilities) — (2.6)% | (3,927,262 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 148,386,496 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository 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, 2020. The total value of securities on loan as of June 30, 2020 was $3,321,731. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. 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, 2020. |
(c) | The rate represents the effective yield at June 30, 2020. |
Amounts | shown as “—” are either $0 or rounds to less than $1. |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Small Cap Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 152,684,842 | |||
|
| ||||
Investment securities, at value(a) | $ | 152,313,758 | |||
Interest and dividends receivable | 102,823 | ||||
Receivable for investments sold | 23,769 | ||||
Reclaims receivable | 445 | ||||
Prepaid expenses | 252 | ||||
|
| ||||
Total Assets | 152,441,047 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 15,733 | ||||
Payable for investments purchased | 357,781 | ||||
Payable for capital shares redeemed | 129,201 | ||||
Payable for collateral received on loaned securities | 3,420,976 | ||||
Manager fees payable | 86,969 | ||||
Administration fees payable | 2,539 | ||||
Distribution fees payable | 31,060 | ||||
Custodian fees payable | 2,441 | ||||
Administrative and compliance services fees payable | 257 | ||||
Transfer agent fees payable | 975 | ||||
Trustee fees payable | 1,503 | ||||
Other accrued liabilities | 5,116 | ||||
|
| ||||
Total Liabilities | 4,054,551 | ||||
|
| ||||
Net Assets | $ | 148,386,496 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 140,299,777 | |||
Total distributable earnings | 8,086,719 | ||||
|
| ||||
Net Assets | $ | 148,386,496 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 15,435,623 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.61 | |||
|
|
(a) | Includes securities on loan of $3,321,731. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 1,147,058 | |||
Income from securities lending | 35,426 | ||||
Foreign withholding tax | (519 | ) | |||
|
| ||||
Total Investment Income | 1,181,965 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 633,852 | ||||
Administration fees | 33,109 | ||||
Distribution fees | 186,428 | ||||
Custodian fees | 7,072 | ||||
Administrative and compliance services fees | 1,272 | ||||
Transfer agent fees | 2,428 | ||||
Trustee fees | 4,085 | ||||
Professional fees | 3,607 | ||||
Shareholder reports | 2,109 | ||||
Other expenses | 2,311 | ||||
|
| ||||
Total expenses before reductions | 876,273 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (111,858 | ) | |||
|
| ||||
Net expenses | 764,415 | ||||
|
| ||||
Net Investment Income/(Loss) | 417,550 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities | 2,257,656 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (24,653,909 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (22,396,253 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (21,978,703 | ) | ||
|
|
See accompanying notes to the financial statements.
19
AZL DFA U.S. Small Cap Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 417,550 | $ | 765,050 | ||||||
Net realized gains/(losses) on investments | 2,257,656 | 4,811,949 | ||||||||
Change in unrealized appreciation/depreciation on investments | (24,653,909 | ) | 25,654,285 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (21,978,703 | ) | 31,231,284 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (12,961,906 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (12,961,906 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 24,619,555 | 1,104,883 | ||||||||
Proceeds from dividends reinvested | — | 12,961,906 | ||||||||
Value of shares redeemed | (24,590,291 | ) | (11,873,146 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 29,264 | 2,193,643 | ||||||||
|
|
|
| |||||||
Change in net assets | (21,949,439 | ) | 20,463,021 | |||||||
Net Assets: | ||||||||||
Beginning of period | 170,335,935 | 149,872,914 | ||||||||
|
|
|
| |||||||
End of period | $ | 148,386,496 | $ | 170,335,935 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 3,059,997 | 99,170 | ||||||||
Dividends reinvested | — | 1,270,775 | ||||||||
Shares redeemed | (2,658,578 | ) | (1,040,928 | ) | ||||||
|
|
|
| |||||||
Change in shares | 401,419 | 329,017 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
20
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | April 24, 2015 to December 31, 2015(a) | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.33 | $ | 10.19 | $ | 12.40 | $ | 11.42 | $ | 9.20 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.03 | (b) | 0.05 | (b) | 0.07 | 0.07 | 0.07 | 0.03 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.75 | ) | 2.00 | (1.53 | ) | 1.16 | 2.21 | (0.83 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.72 | ) | 2.05 | (1.46 | ) | 1.23 | 2.28 | (0.80 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.06 | ) | (0.07 | ) | (0.07 | ) | (0.04 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.85 | ) | (0.68 | ) | (0.18 | ) | (0.02 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.91 | ) | (0.75 | ) | (0.25 | ) | (0.06 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 9.61 | $ | 11.33 | $ | 10.19 | $ | 12.40 | $ | 11.42 | $ | 9.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (15.18 | )%(d) | 21.10 | % | (12.64 | )% | 10.87 | % | 24.90 | % | (8.00 | )%(d) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 148,386 | $ | 170,336 | $ | 149,873 | $ | 198,419 | $ | 208,012 | $ | 208,531 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 0.56 | % | 0.46 | % | 0.48 | % | 0.55 | % | 0.56 | % | 0.50 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 1.18 | % | 1.17 | % | 1.16 | % | 1.16 | % | 1.14 | % | 1.18 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 1.03 | % | 1.02 | % | 1.01 | % | 1.01 | % | 0.99 | % | 1.03 | % | ||||||||||||||||||
Portfolio Turnover Rate | 19 | %(d) | 10 | % | 9 | % | 9 | % | 9 | % | 10 | %(d) |
(a) | For the period April 27, 2015 (commencement of share class) to December 31, 2015. |
(b) | Calculated using the average shares method. |
(c) | 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. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
21
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
22
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $3,493 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,420,976 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2021.
For the period ended June 30, 2020, 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, 2020, 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 SEC. 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
23
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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, 2020, $628 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 148,128,240 | $ | — | $ | — | # | $ | 148,128,240 | |||||||||||
Preferred Stocks+ | 79,467 | — | — | 79,467 | ||||||||||||||||
Rights+ | — | 6,743 | — | 6,743 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 3,420,976 | — | — | 3,420,976 | ||||||||||||||||
Unaffiliated Investment Companies | 678,332 | — | — | 678,332 | ||||||||||||||||
|
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|
| |||||||||||||
Total Investments | $ | 152,307,015 | $ | 6,743 | $ | — | $ | 152,313,758 | ||||||||||||
|
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|
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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, 2020. |
24
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 29,299,881 | $ | 28,304,929 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $149,074,208. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 47,750,730 | ||
Unrealized (depreciation) | (23,308,198 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 24,442,532 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,347,790 | $ | 11,614,116 | $ | 12,961,906 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 1,086,122 | $ | 4,536,785 | $ | — | $ | 24,442,515 | $ | 30,065,422 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 60% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
26
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
27
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Enhanced Bond Index Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 31 |
Page 31 |
Statements of Changes in Net Assets Page 32 |
Page 33 |
Notes to the Financial Statements Page 34 |
Page 42 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 43 |
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.
Expense Examples
(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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 1,058.90 | $ | 3.33 | 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 1,021.63 | $ | 3.27 | 0.65 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Corporate Bonds | 29.2 | % | |||
U.S. Government Agency Mortgages | 29.0 | ||||
U.S. Treasury Obligations | 21.5 | ||||
Yankee Dollars | 6.0 | ||||
Collateralized Mortgage Obligations | 5.1 | ||||
Foreign Bonds | 4.5 | ||||
Unaffiliated Investment Companies | 4.5 | ||||
Asset Backed Securities | 3.5 | ||||
Municipal Bonds | 1.5 | ||||
Commercial Paper | 0.8 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.5 | ||||
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Total Investment Securities | 106.1 | ||||
Net other assets (liabilities) | (6.1 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Asset Backed Securities (3.5%): | ||||||||
$ | 2,370,347 | American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a) | $ | 2,538,783 | ||||
1,640,000 | Benchmark Mortgage Trust, Class A4, Series 2018-B7, 4.51%, 11/15/51 | 1,982,990 | ||||||
3,863,465 | Chesapeake Funding II LLC, Class A1, Series 2018-1A, 3.04%, 4/15/30(a) | 3,922,013 | ||||||
1,174,000 | Citibank Credit Card Issuance Trust, Class A7, Series 2018-A7, 3.96%, 10/15/30 | 1,411,372 | ||||||
4,730,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2018-3A, 3.55%, 8/15/27, Callable 10/15/21 @ 100 | 4,827,543 | ||||||
3,760,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2019-3, 2.38%, 11/15/28 | 3,835,253 | ||||||
4,830,000 | Ford Credit Floorplan Master Owner Trust, Class A, Series 2019-2, 3.06%, 4/15/26 | 5,044,689 | ||||||
4,810,000 | Ford Credit Floorplan Master Owner Trust, Class A, Series 2019-4, 2.44%, 9/15/26 | 4,922,242 | ||||||
3,400,000 | LoanCore Issuer, Ltd., Class A, Series 2018-CRE1, 1.31% (US0001M+113bps), 5/15/28, Callable 7/15/20 @ 100(a) | 3,366,941 | ||||||
836,880 | Navient Student Loan Trust, Class A2A, Series 2016-AA, 3.91%, 12/15/45, Callable 11/15/30 @ 100(a) | 886,352 | ||||||
461,000 | Navient Student Loan Trust, Class A2, Series 2018-EA, 4.00%, 12/15/59, Callable 6/15/26 @ 100(a) | 482,524 | ||||||
2,550,000 | Navient Student Loan Trust, Class A2B, Series 2019-D, 1.23% (US0001M+105bps), 12/15/59, Callable 4/15/30 @ 100(a) | 2,514,425 | ||||||
1,000,000 | Navient Student Loan Trust, Class A2B, Series 2020-CA, 1.78% (US0001M+160bps), 11/15/68, Callable 2/15/30 @ 100(a) | 998,629 | ||||||
2,440,000 | Nissan Master Owner Trust Receivables, Class A, Series 2019-B, 0.61% (US0001M+43bps), 11/15/23 | 2,395,144 | ||||||
3,770,000 | Nissan Master Owner Trust Receivables, Class A, Series 2019-A, 0.74% (US0001M+56bps), 2/15/24 | 3,746,025 | ||||||
198,436 | SMB Private Education Loan Trust, Class A2A, Series 2016-A, 2.70%, 5/15/31(a)(b) | 201,701 | ||||||
209,259 | SMB Private Education Loan Trust, Class A2A, Series 2015-B, 2.98%, 7/15/27, Callable 9/15/27 @ 100(a) | 211,845 | ||||||
1,549,633 | SMB Private Education Loan Trust, Class A2A, Series 2017-A, 2.88%, 9/15/34(a) | 1,596,611 | ||||||
3,373,818 | SMB Private Education Loan Trust, Class A2A, Series 2018-B, 3.60%, 1/15/37(a) | 3,463,716 | ||||||
410,000 | SMB Private Education Loan Trust, Class A2B, Series 2020-A, 1.01% (US0001M+83bps), 9/15/37(a) | 388,609 | ||||||
1,136,345 | SMB Private Education Loan Trust, Class A2A, Series 2017-B, 2.82%, 10/15/35(a) | 1,170,835 | ||||||
681,807 | SMB Private Education Loan Trust, Class A2B, Series 2017-B, 0.93% (US0001M+75bps), 10/15/35(a) | 670,035 | ||||||
331,876 | SoFi Professional Loan Program, Class A2, Series 2015-C, 2.51%, 8/25/33, Callable 1/25/22 @ 100(a) | 336,068 |
Principal Amount | Fair Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 59,853 | SoFi Professional Loan Program, Class A2B, Series 2016-D, 2.34%, 4/25/33, Callable 3/25/25 @ 100(a) | $ | 60,611 | ||||
1,027,517 | SoFi Professional Loan Program, Class A2, Series 2015-d, 2.72%, 10/27/36, Callable 2/25/23 @ 100(a) | 1,041,094 | ||||||
1,170,000 | SoFi Professional Loan Program, Class A2FX, Series 2019-B, 3.09%, 8/17/48, Callable 1/15/28 @ 100(a) | 1,214,757 | ||||||
1,700,000 | SoFi Professional Loan Program, Class A2FX, Series 2020-A, 2.54%, 5/15/46, Callable 8/15/28 @ 100(a) | 1,759,085 | ||||||
5,566,889 | SoFi Professional Loan Program, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 6/25/26 @ 100 | 5,692,324 | ||||||
1,660,000 | SoFi Professional Loan Program Trust, Class AFX, Series 2020-C, 1.95%, 2/15/46, Callable 4/15/29 @ 100(a) | 1,681,975 | ||||||
9,250,000 | Westlake Automobile Receivables Trust, Class A2, Series 2020-1A, 1.44%, 9/15/23, Callable 4/15/24 @ 100 | 9,275,279 | ||||||
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| |||||||
Total Asset Backed Securities (Cost $69,999,626) | 71,639,470 | |||||||
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Collateralized Mortgage Obligations (5.1%): | ||||||||
1,735,000 | Arbor Multifamily Mortgage Securities Trust, Class A5, Series 2020-MF1, 2.76%, 5/15/53(a) | 1,859,654 | ||||||
4,140,000 | Barclays Commercial Mortgage Trust, Class A, Series 2018-TALL, 0.91% (US0001M+72bps), 3/15/37(a) | 3,892,097 | ||||||
668,000 | Benchmark Mortgage Trust, Class C, Series 2019-B15, 3.84%, 12/15/72 | 612,336 | ||||||
1,250,000 | Benchmark Mortgage Trust, Class B, Series 2019-B15, 3.56%, 12/15/72 | 1,262,700 | ||||||
1,332,000 | BF Mortgage Trust, Class B, Series 2019-NYT, 1.58% (US0001M+140bps), 11/15/35(a) | 1,275,430 | ||||||
2,298,694 | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 1.10% (US0001M+92bps), 10/15/36(a) | 2,275,385 | ||||||
4,125,000 | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.98% (US0001M+80bps), 12/15/29(a) | 4,068,858 | ||||||
551,000 | BX Trust, Class D, Series 2019-OC11, 4.08%, 12/9/41(a) | 509,350 | ||||||
1,242,000 | BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(a) | 1,294,723 | ||||||
603,000 | Cantor Commercial Real Estate Lending, Class B, Series 2019-CF3, 3.50%, 1/15/53(b) | 601,028 | ||||||
1,270,000 | Cantor Commercial Real Estate Lending, Class A4, Series 2019-CF2, 2.62%, 11/15/52 | 1,341,311 | ||||||
760,000 | CGRBS Commercial Mortgage Trust, Class A, Series 2013-VN05, 3.37%, 3/13/35(a) | 801,549 | ||||||
1,095,993 | Chase Home Lending Mortgage Trust, Class A11, Series 2019-ATR2, 1.08% (US0001M+90bps), 7/25/49, Callable 12/25/23 @ 100(a) | 1,088,108 | ||||||
3,181,645 | CIM Trust, Class A11, Series 2019-INV3, 1.12% (US0001M+100bps), 8/25/49, Callable 2/25/25 @ 100(a) | 3,167,829 | ||||||
3,360,000 | Cityline Commercial Mortgage Trust, Class A, Series 2016-CLNE, 2.87%, 11/10/31(a)(b) | 3,422,563 | ||||||
1,015,000 | Commercial Mortgage Loan Trust, Class D, Series 2013-WWP, 3.90%, 3/10/31(a) | 1,077,778 |
See accompanying notes to the financial statements.
2
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 667,000 | Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48 | $ | 737,128 | ||||
1,279,058 | Commercial Mortgage Loan Trust, Class AM, Series 2013-CR7, 3.31%, 3/10/46, Callable 4/6/23 @ 100 | 1,310,446 | ||||||
3,075,000 | Commercial Mortgage Loan Trust, Class A4, Series 2015-CCRE26, 3.63%, 10/10/48 | 3,390,772 | ||||||
3,870,000 | Cosmopolitan Hotel Trust, Class A, Series 2017-CSMO, 1.11% (US0001M+93bps), 11/15/36(a) | 3,715,587 | ||||||
1,797,000 | CSAIL Commercial Mortgage Trust, Class A5, Series 2019-C17, 3.02%, 9/15/52 | 1,964,606 | ||||||
2,760,000 | CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51(b) | 3,156,253 | ||||||
2,247,405 | Flagstar Mortgage Trust, Class A11, Series 2019-1, 1.13% (US0001M+95bps), 10/25/49, Callable 2/25/29 @ 100(a) | 2,247,268 | ||||||
1,377,805 | FRESB Multifamily Mortgage Pass Through, Class A10H, Series 2019-SB60, 3.50% (US0001M+350bps), 1/25/39, Callable 12/1/28 @ 100 | 1,518,231 | ||||||
2,315,000 | GS Mortgage Securities Trust, Class B, Series 2019-SOHO, 1.33% (US0001M+115bps), 6/15/36(a) | 2,123,272 | ||||||
1,525,000 | IMT Trust, Class BFX, Series 2017-APTS, 3.61%, 6/15/34 (b) | 1,552,679 | ||||||
2,353,630 | JP Morgan Mortgage Trust, Class A11, Series 2019-INV2, 1.08% (US0001M+90bps), 2/25/50, Callable 1/25/27 @ 100(a) | 2,348,670 | ||||||
907,077 | JP Morgan Mortgage Trust, Class A11, Series 2019-7, 1.08% (US0001M+90bps), 2/25/50, Callable 9/25/24 @ 100(a) | 905,044 | ||||||
2,097,111 | JP Morgan Mortgage Trust, Class A4, Series 2017-1, 3.50%, 1/25/47, Callable 5/25/25 @ 100(a)(b) | 2,122,356 | ||||||
2,590,168 | JP Morgan Mortgage Trust, Class A11, Series 2019-LTV3, 1.02% (US0001M+85bps), 2/25/50, Callable 1/25/26 @ 100 | 2,579,174 | ||||||
1,120,000 | JP Morgan Mortgage Trust, Class A5, Series 2019-LTV3, 3.50%, 2/25/50, Callable 1/25/26 @ 100(a)(b) | 1,120,270 | ||||||
1,887,926 | JP Morgan Mortgage Trust, Class A11, Series 2020-LTV1, 1.17% (US0001M+100bps), 6/25/50, Callable 8/25/27 @ 100 | 1,884,019 | ||||||
1,611,754 | JP Morgan Mortgage Trust, Class A6, Series 2017-2, 3.00%, 5/25/47, Callable 3/25/25 @ 100(a)(b) | 1,634,272 | ||||||
1,763,797 | JP Morgan Mortgage Trust, Class A11, Series 2019-INV3, 1.17% (US0001M+100bps), 5/25/50, Callable 5/25/29 @ 100(a) | 1,759,959 | ||||||
1,322,829 | JP Morgan Mortgage Trust, Class A6, Series 2017-4, 3.00%, 11/25/48, Callable 7/25/22 @ 100(a)(b) | 1,332,939 | ||||||
2,985,000 | JPMDB Commercial Mortgage Securities Trust, Class A5, Series 2017-C5, 3.69%, 3/15/50 | 3,354,633 | ||||||
4,774,502 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4FX, Series 2012-CBX, 3.48%, 6/15/45 | 4,846,692 |
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 232,045 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A, Series 2012-WLDN, 3.91%, 5/5/30(a) | $ | 181,707 | ||||
2,904,000 | KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 0.98% (US0001M+80bps), 5/15/36(a) | 2,841,912 | ||||||
1,300,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48 | 1,408,030 | ||||||
1,563,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-NUGS, 2.45% (US0001M+95bps), 12/15/36 | 1,496,713 | ||||||
4,960,000 | Morgan Stanley Capital I Trust, Class A, Series 2014-MP, 3.47%, 8/11/33(a) | 5,103,839 | ||||||
1,540,000 | Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49 | 1,667,527 | ||||||
3,717,548 | One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%, 10/15/30(b) | 4,148,373 | ||||||
1,331,775 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 10/25/35 @ 100 | 1,410,952 | ||||||
2,679,718 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2019-2, 3.50%, 8/25/58 | 2,860,306 | ||||||
125,000 | SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48 | 132,838 | ||||||
182,521 | SMB Private Education Loan Trust, Class A2A, Series 2016-B, 2.43%, 2/17/32(a)(b) | 185,493 | ||||||
388,839 | Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 0.93% (US0001M+75bps), 11/11/34(a) | 367,507 | ||||||
1,460,000 | VNO Mortgage Trust, Class A, Series 2013-PENN, 3.81%, 12/13/29(a) | 1,462,672 | ||||||
975,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48 | 1,064,642 | ||||||
10,159,129 | Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 1.12%, 12/15/59(b) | 428,106 | ||||||
1,250,000 | Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48 | 1,320,700 | ||||||
1,635,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48 | 1,810,632 | ||||||
940,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2018-C46, 4.15%, 8/15/51 | 1,096,454 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $102,440,037) | 103,143,372 | |||||||
|
| |||||||
Corporate Bonds (29.2%): | ||||||||
Aerospace & Defense (1.4%): | ||||||||
1,784,000 | BAE Systems Holdings, Inc., 3.80%, 10/7/24(a) | 1,952,229 | ||||||
245,000 | BAE Systems Holdings, Inc., 3.85%, 12/15/25, Callable 9/15/25 @ 100(a) | 271,540 | ||||||
710,000 | Boeing Co. (The), 4.51%, 5/1/23, Callable 4/1/23 @ 100 | 749,739 | ||||||
845,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 991,589 | ||||||
351,000 | General Dynamics Corp., 2.13%, 8/15/26, Callable 5/15/26 @ 100 | 375,843 | ||||||
350,000 | General Dynamics Corp., 3.50%, 4/1/27, Callable 2/1/27 @ 100 | 399,277 | ||||||
578,000 | General Dynamics Corp., 3.75%, 5/15/28, Callable 2/15/28 @ 100 | 677,414 | ||||||
2,056,000 | Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | 2,436,257 |
See accompanying notes to the financial statements.
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 1,057,000 | Huntington Ingalls Industries, Inc., 5.00%, 11/15/25, Callable 11/15/20 @ 102.5(a) | $ | 1,091,353 | ||||
1,517,000 | Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100 | 1,634,568 | ||||||
387,000 | Huntington Ingalls Industries, Inc., 4.20%, 5/1/30, Callable 2/1/30 @ 100(a) | 431,828 | ||||||
110,000 | L3Harris Technologies, Inc., 3.95%, 5/28/24, Callable 2/28/24 @ 100 | 120,238 | ||||||
1,715,000 | L3Harris Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100 | 1,960,211 | ||||||
1,667,000 | Lockheed Martin Corp., 2.90%, 3/1/25, Callable 12/1/24 @ 100 | 1,828,316 | ||||||
995,000 | Lockheed Martin Corp., 4.07%, 12/15/42 | 1,268,153 | ||||||
183,000 | Lockheed Martin Corp., 3.80%, 3/1/45, Callable 9/1/44 @ 100 | 221,722 | ||||||
622,000 | Lockheed Martin Corp., 2.80%, 6/15/50, Callable 12/15/49 @ 100 | 652,583 | ||||||
4,369,000 | Northrop Grumman Corp., 2.93%, 1/15/25, Callable 11/15/24 @ 100 | 4,725,343 | ||||||
386,000 | Northrop Grumman Corp., 5.25%, 5/1/50, Callable 11/1/49 @ 100 | 552,517 | ||||||
280,000 | Raytheon Technologies Corp., 3.20%, 3/15/24, Callable 1/15/24 @ 100(a) | 300,625 | ||||||
280,000 | Raytheon Technologies Corp., 7.20%, 8/15/27(a) | 382,136 | ||||||
115,000 | Raytheon Technologies Corp., 7.00%, 11/1/28(a) | 160,837 | ||||||
1,312,000 | Raytheon Technologies Corp., 4.13%, 11/16/28, Callable 8/16/28 @ 100 | 1,546,915 | ||||||
365,000 | Raytheon Technologies Corp., 2.25%, 7/1/30, Callable 4/1/30 @ 100 | 378,587 | ||||||
415,000 | Raytheon Technologies Corp., 4.20%, 12/15/44, Callable 6/15/44 @ 100(a) | 474,071 | ||||||
488,000 | Raytheon Technologies Corp., 3.75%, 11/1/46, Callable 5/1/46 @ 100 | 556,248 | ||||||
105,000 | Textron, Inc., 3.88%, 3/1/25, Callable 12/1/24 @ 100 | 112,417 | ||||||
229,000 | Textron, Inc., 4.00%, 3/15/26, Callable 12/15/25 @ 100 | 243,337 | ||||||
90,000 | Textron, Inc., 3.65%, 3/15/27, Callable 12/15/26 @ 100 | 93,409 | ||||||
1,098,000 | Textron, Inc., 3.90%, 9/17/29, Callable 6/17/29 @ 100 | 1,165,559 | ||||||
316,000 | United Technologies Corp., 4.50%, 6/1/42 | 392,114 | ||||||
270,000 | United Technologies Corp., 4.15%, 5/15/45, Callable 11/16/44 @ 100 | 324,383 | ||||||
301,000 | United Technologies Corp., 4.05%, 5/4/47, Callable 11/4/46 @ 100 | 358,552 | ||||||
|
| |||||||
28,829,910 | ||||||||
|
| |||||||
Air Freight & Logistics (0.3%): | ||||||||
1,951,000 | FedEx Corp., 3.80%, 5/15/25, Callable 4/15/25 @ 100 | 2,170,522 | ||||||
99,000 | FedEx Corp., 3.10%, 8/5/29, Callable 5/5/29 @ 100 | 105,639 | ||||||
296,000 | FedEx Corp., 3.88%, 8/1/42 | 298,936 | ||||||
401,000 | FedEx Corp., 5.10%, 1/15/44 | 468,249 | ||||||
298,000 | FedEx Corp., 4.05%, 2/15/48, Callable 8/15/47 @ 100 | 306,119 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Air Freight & Logistics, continued | ||||||||
$ | 695,000 | United Parcel Service, Inc., 0.38%, 11/15/23, Callable 8/15/23 @ 100 | $ | 785,343 | ||||
994,000 | United Parcel Service, Inc., 3.40%, 3/15/29, Callable 12/15/28 @ 100 | 1,142,985 | ||||||
725,000 | United Parcel Service, Inc., 4.45%, 4/1/30, Callable 1/1/30 @ 100 | 904,496 | ||||||
|
| |||||||
6,182,289 | ||||||||
|
| |||||||
Airlines (0.5%): | ||||||||
1,635,000 | Alaska Airlines Pass Through Trust, 4.80%, 2/15/29(a) | 1,655,437 | ||||||
984,486 | American Airlines Pass Through Trust, Class B, Series 2015-2, 4.40%, 3/22/25 | 699,204 | ||||||
403,006 | American Airlines Pass Through Trust, Class B, Series 2016-1, 5.25%, 7/15/25 | 272,353 | ||||||
91,235 | American Airlines Pass Through Trust, Class B, Series 2017-1, 4.95%, 8/15/26 | 68,444 | ||||||
10,128 | American Airlines Pass Through Trust, Class B, Series 2016-3, 3.75%, 4/15/27 | 7,091 | ||||||
199,447 | American Airlines Pass Through Trust, Class B, Series 2017-2, 3.70%, 4/15/27 | 136,662 | ||||||
537,393 | American Airlines Pass Through Trust, Class AA, Series 2015-2, 3.60%, 3/22/29 | 505,236 | ||||||
773,912 | American Airlines Pass Through Trust, Class B, Series 2019-1, 3.85%, 8/15/29 | 534,102 | ||||||
225,472 | American Airlines Pass Through Trust, Class AA, Series 2016-2, 3.20%, 12/15/29 | 209,961 | ||||||
451,355 | American Airlines Pass Through Trust, Class AA, Series 2016-3, 3.00%, 4/15/30 | 410,258 | ||||||
184,993 | American Airlines Pass Through Trust, Class AA, Series 2017-1, 3.65%, 8/15/30 | 175,758 | ||||||
723,683 | American Airlines Pass Through Trust, Series 2019-1, 3.15%, 8/15/33 | 665,010 | ||||||
1,925,980 | British Airways Pass Through Trust, Class A, Series 2019-1, 3.35%, 12/15/30(a) | 1,588,926 | ||||||
1,073,449 | British Airways Pass Through Trust, Class AA, Series 2019-1, 3.30%, 6/15/34(a) | 967,117 | ||||||
550,000 | Delta Air Lines Pass Through Trust, 2.00%, 12/10/29 | 526,577 | ||||||
505,000 | Delta Airlines Pass Through Trust, Class AA, Series 2019-1, 3.20%, 10/25/25 | 500,529 | ||||||
122,000 | Southwest Airlines Co., 2.75%, 11/16/22, Callable 10/16/22 @ 100 | 122,927 | ||||||
10,900 | United Airlines Pass Through Trust, Class B, Series 2014-1, 4.75%, 10/11/23 | 9,353 | ||||||
58,669 | United Airlines Pass Through Trust, Class B, Series 2014-2, 4.63%, 3/3/24 | 51,356 | ||||||
7,859 | United Airlines Pass Through Trust, Class B, Series 2016-2, 3.65%, 4/7/27 | 5,754 | ||||||
58,009 | United Airlines Pass Through Trust, Class B, Series 2016-1, 3.65%, 7/7/27 | 42,473 | ||||||
322,327 | United Airlines Pass Through Trust, Class B, Series 2018-1, 4.60%, 9/1/27 | 235,714 | ||||||
12,099 | United Airlines Pass Through Trust, Class AA, Series 2015-1, 3.45%, 6/1/29 | 11,722 | ||||||
462,000 | United Airlines Pass Through Trust, Class B, Series 2019-2, 3.50%, 11/1/29 | 328,942 |
See accompanying notes to the financial statements.
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Airlines, continued | ||||||||
$ | 50,349 | United Airlines Pass Through Trust, Class AA, Series 2016-2, 3.10%, 1/7/30 | $ | 47,589 | ||||
195,265 | United Airlines Pass Through Trust, Class AA, Series 2019-2, 2.88%, 4/7/30 | 179,611 | ||||||
233,257 | United Airlines Pass Through Trust, Class AA, Series 2018-1, 3.50%, 9/1/31 | 217,822 | ||||||
373,309 | United Airlines Pass Through Trust, Class AA, Series 2016-1, 4.15%, 2/25/33 | 356,299 | ||||||
505,000 | United Airlines Pass Through Trust, Class AA, Series 2019-2, 2.70%, 11/1/33 | 449,488 | ||||||
19,501 | US Airways Pass Through Trust, Class B, Series 2012-2, 6.75%, 12/3/22 | 15,661 | ||||||
62,627 | US Airways Pass Through Trust, Class B, Series 2013-1, 5.38%, 5/15/23 | 50,749 | ||||||
|
| |||||||
11,048,125 | ||||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
2,575,000 | Daimler Finance North America LLC, 2.70%, 8/3/20(a) | 2,575,523 | ||||||
1,032,000 | Daimler Finance North America LLC, 2.13%, 3/10/25(a) | 1,043,708 | ||||||
520,000 | Volkswagen Group of America Finance LLC, 2.50%, 9/24/21(a) | 529,164 | ||||||
|
| |||||||
4,148,395 | ||||||||
|
| |||||||
Banks (4.5%): | ||||||||
357,000 | Bank of America Corp., 4.10%, 7/24/23 | 391,557 | ||||||
4,058,000 | Bank of America Corp., 3.55% (US0003M+78bps), 3/5/24, Callable 3/5/23 @ 100 | 4,327,196 | ||||||
10,000 | Bank of America Corp., 4.00%, 4/1/24 | 11,046 | ||||||
2,071,000 | Bank of America Corp., 3.86% (US0003M+94bps), 7/23/24, Callable 7/23/23 @ 100 | 2,246,447 | ||||||
1,223,000 | Bank of America Corp., 4.20%, 8/26/24, MTN | 1,357,167 | ||||||
304,000 | Bank of America Corp., 4.00%, 1/22/25, MTN | 335,372 | ||||||
2,145,000 | Bank of America Corp., 3.46% (US0003M+97bps), 3/15/25, Callable 3/15/24 @ 100, MTN | 2,324,734 | ||||||
317,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 350,834 | ||||||
526,000 | Bank of America Corp., 3.88%, 8/1/25, MTN | 595,943 | ||||||
71,000 | Bank of America Corp., 3.09% (US0003M+109bps), 10/1/25, Callable 10/1/24 @ 100 | 76,648 | ||||||
270,000 | Bank of America Corp., 2.46% (US0003M+87bps), 10/22/25, Callable 10/22/24 @ 100, MTN | 283,538 | ||||||
1,447,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 1,662,013 | ||||||
102,000 | Bank of America Corp., Series G, 3.50%, 4/19/26 | 114,823 | ||||||
2,548,000 | Bank of America Corp., 3.56% (US0003M+106bps), 4/23/27, Callable 4/23/26 @ 100, MTN | 2,844,508 | ||||||
3,211,000 | Bank of America Corp., 3.82% (US0003M+158bps), 1/20/28, Callable 1/20/27 @ 100, MTN | 3,633,063 | ||||||
1,647,000 | Bank of America Corp., Series G, 3.59% (US0003M+137bps), 7/21/28, Callable 7/21/27 @ 100 | 1,849,975 | ||||||
745,000 | Bank of America Corp., 3.42% (US0003M+104bps), 12/20/28, Callable 12/20/27 @ 100 | 829,449 | ||||||
318,000 | Bank of America Corp., 3.19% (US0003M+118bps), 7/23/30, Callable 7/23/29 @ 100, MTN | 349,129 | ||||||
5,334,000 | Bank of America Corp., 2.88% (US0003M+119bps), 10/22/30, Callable 10/22/29 @ 100, MTN | 5,748,158 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 926,000 | Bank of America Corp., 2.50% (US0003M+99bps), 2/13/31, Callable 2/13/30 @ 100, MTN | $ | 967,445 | ||||
636,000 | Bank of America Corp., 2.68% (SOFR+193bps), 6/19/41, Callable 6/19/40 @ 100, MTN | 651,105 | ||||||
505,000 | Bank of America Corp., 5.87% (US0003M+293bps), 12/31/99, Callable 3/15/28 @ 100 | 514,469 | ||||||
1,758,000 | Citibank NA, 3.16% (US0003M+53bps), 2/19/22, Callable 2/19/21 @ 100 | 1,786,307 | ||||||
737,000 | Citigroup, Inc., 2.31% (SOFR+87bps), 11/4/22, Callable 11/4/21 @ 100 | 751,567 | ||||||
1,401,000 | Citigroup, Inc., 3.14% (US0003M+1bps), 1/24/23, Callable 1/24/22 @ 100 | 1,448,868 | ||||||
120,000 | Citigroup, Inc., 2.88% (US0003M+95bps), 7/24/23, Callable 7/24/22 @ 100 | 124,830 | ||||||
367,000 | Citigroup, Inc., 3.88%, 10/25/23 | 403,129 | ||||||
330,000 | Citigroup, Inc., 1.68% (SOFR+2bps), 5/15/24, Callable 5/15/23 @ 100 | 336,200 | ||||||
1,449,000 | Citigroup, Inc., 4.40%, 6/10/25 | 1,622,866 | ||||||
50,000 | Citigroup, Inc., 4.60%, 3/9/26 | 57,127 | ||||||
3,136,000 | Citigroup, Inc., 3.67% (US0003M+139bps), 7/24/28, Callable 7/24/27 @ 100 | 3,491,563 | ||||||
1,658,000 | Citigroup, Inc., 2.98% (SOFR+142bps), 11/5/30, Callable 11/5/29 @ 100 | 1,756,852 | ||||||
505,000 | JPMorgan Chase & Co., 2.63%, 4/23/21, MTN(a) | 579,608 | ||||||
62,000 | JPMorgan Chase & Co., 3.21% (US0003M+70bps), 4/1/23, Callable 4/1/22 @ 100 | 64,405 | ||||||
664,000 | JPMorgan Chase & Co., 3.38%, 5/1/23 | 709,722 | ||||||
694,000 | JPMorgan Chase & Co., 3.56% (US0003M+73bps), 4/23/24, Callable 4/23/23 @ 100 | 742,541 | ||||||
5,623,000 | JPMorgan Chase & Co., 4.02% (US0003M+100bps), 12/5/24, Callable 12/5/23 @ 100 | 6,183,765 | ||||||
595,000 | JPMorgan Chase & Co., 2.01% (SOFR+159bps), 3/13/26, Callable 3/13/25 @ 100 | 615,825 | ||||||
1,246,000 | JPMorgan Chase & Co., 3.30%, 4/1/26, Callable 1/1/26 @ 100 | 1,387,579 | ||||||
8,776,000 | JPMorgan Chase & Co., 2.08% (SOFR+185bps), 4/22/26, Callable 4/22/25 @ 100 | 9,095,559 | ||||||
406,000 | JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100 | 449,930 | ||||||
698,000 | JPMorgan Chase & Co., 4.25%, 10/1/27 | 810,755 | ||||||
4,693,000 | JPMorgan Chase & Co., 3.78% (US0003M+134bps), 2/1/28, Callable 2/1/27 @ 100 | 5,306,079 | ||||||
3,599,000 | JPMorgan Chase & Co., 3.54% (US0003M+138bps), 5/1/28, Callable 5/1/27 @ 100 | 4,013,338 | ||||||
1,550,000 | JPMorgan Chase & Co., 2.18% (SOFR+189bps), 6/1/28, Callable 6/1/27 @ 100 | 1,600,363 | ||||||
1,401,000 | JPMorgan Chase & Co., 4.00% (US0003M+112bps), 4/23/29, Callable 4/23/28 @ 100 | 1,618,494 | ||||||
307,000 | JPMorgan Chase & Co., 3.96% (US0003M+138bps), 11/15/48, Callable 11/15/47 @ 100 | 372,117 | ||||||
774,000 | JPMorgan Chase & Co., 3.11% (SOFR+244bps), 4/22/51, Callable 4/22/50 @ 100 | 826,611 | ||||||
6,000 | SunTrust Bank, 3.53% (US0003M+50bps), 10/26/21, Callable 10/26/20 @ 100 | 6,046 | ||||||
356,000 | Synovus Financial Corp., 3.13%, 11/1/22, Callable 10/1/22 @ 100 | 361,200 |
See accompanying notes to the financial statements.
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 300,000 | Truist Bank, 3.50% (US0003M+59bps), 8/2/22, Callable 8/2/21 @ 100 | $ | 308,784 | ||||
75,000 | US BanCorp, 3.10%, 4/27/26, Callable 3/27/26 @ 100 | 83,167 | ||||||
900,000 | Wells Fargo & Co., 1.13%, 10/29/21, MTN(a) | 1,025,392 | ||||||
2,225,000 | Wells Fargo & Co., 3.75%, 1/24/24, Callable 12/24/23 @ 100, MTN | 2,426,516 | ||||||
361,000 | Wells Fargo & Co., 3.00%, 2/19/25 | 389,559 | ||||||
290,000 | Wells Fargo & Co., 1.34% (EUR003M+167bps), 5/4/25, Callable 5/4/24 @ 100, MTN(a) | 331,489 | ||||||
1,106,000 | Wells Fargo & Co., 2.41% (US0003M+83bps), 10/30/25, Callable 10/30/24 @ 100, MTN | 1,148,990 | ||||||
2,194,000 | Wells Fargo & Co., 3.00%, 4/22/26 | 2,390,348 | ||||||
1,476,000 | Wells Fargo & Co., 3.58% (US0003M+131bps), 5/22/28, Callable 5/22/27 @ 100, MTN | 1,638,016 | ||||||
844,000 | Wells Fargo & Co., 2.39% (SOFR+210bps), 6/2/28, Callable 6/2/27 @ 100, MTN | 869,182 | ||||||
861,000 | Wells Fargo & Co., 3.07% (SOFR+253bps), 4/30/41, Callable 4/30/40 @ 100 | 895,588 | ||||||
280,000 | Wells Fargo Bank NA, 3.63%, 10/22/21, Callable 9/21/21 @ 100 | 290,711 | ||||||
|
| |||||||
89,785,607 | ||||||||
|
| |||||||
Beverages (0.8%): | ||||||||
5,904,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | 6,926,047 | ||||||
704,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 1/23/29, Callable 10/23/28 @ 100 | 847,855 | ||||||
240,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 269,544 | ||||||
1,710,000 | Coca-Cola Co. (The), 1.13%, 9/22/22 | 1,964,401 | ||||||
1,235,000 | Coca-Cola Co. (The), 0.75%, 3/9/23, Callable 12/9/22 @ 100 | 1,409,300 | ||||||
750,000 | Coca-Cola Co. (The), 3.38%, 3/25/27 | 858,515 | ||||||
1,669,000 | Coca-Cola Co. (The), 1.45%, 6/1/27 | 1,709,633 | ||||||
621,000 | Coca-Cola Co. (The), 2.13%, 9/6/29 | 661,759 | ||||||
780,000 | Keurig Dr Pepper, Inc., 4.06%, 5/25/23, Callable 4/25/23 @ 100 | 849,988 | ||||||
|
| |||||||
15,497,042 | ||||||||
|
| |||||||
Biotechnology (0.6%): | ||||||||
44,000 | Abbvie, Inc., 5.00%, 12/15/21, Callable 9/16/21 @ 100(a) | 46,240 | ||||||
1,346,000 | Abbvie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100(a) | 1,400,214 | ||||||
140,000 | Abbvie, Inc., 1.25%, 6/1/24, Callable 3/1/24 @ 100(a) | 160,740 | ||||||
118,000 | Abbvie, Inc., 3.85%, 6/15/24, Callable 3/15/24 @ 100(a) | 123,321 | ||||||
137,000 | Abbvie, Inc., 3.80%, 3/15/25, Callable 12/15/24 @ 100(a) | 152,097 | ||||||
160,000 | AbbVie, Inc., 1.38%, 5/17/24, Callable 2/17/24 @ 100 | 185,182 | ||||||
430,000 | AbbVie, Inc., 3.60%, 5/14/25, Callable 2/14/25 @ 100 | 475,169 | ||||||
997,000 | AbbVie, Inc., 3.20%, 5/14/26, Callable 2/14/26 @ 100 | 1,100,385 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Biotechnology, continued | ||||||||
$ | 1,240,000 | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100(a) | $ | 1,506,595 | ||||
1,318,000 | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | 1,597,101 | ||||||
388,000 | AbbVie, Inc., 4.70%, 5/14/45, Callable 11/14/44 @ 100 | 485,246 | ||||||
8,000 | AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100 | 9,836 | ||||||
1,121,000 | Amgen, Inc., 2.45%, 2/21/30, Callable 11/21/29 @ 100 | 1,184,623 | ||||||
367,000 | Amgen, Inc., 2.30%, 2/25/31, Callable 11/25/30 @ 100 | 381,882 | ||||||
177,000 | Amgen, Inc., 3.15%, 2/21/40, Callable 8/21/39 @ 100 | 188,213 | ||||||
238,000 | Amgen, Inc., 5.15%, 11/15/41, Callable 5/15/41 @ 100 | 316,430 | ||||||
705,000 | Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100 | 880,821 | ||||||
836,000 | Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 | 844,735 | ||||||
83,000 | Gilead Sciences, Inc., 3.65%, 3/1/26, Callable 12/1/25 @ 100 | 94,807 | ||||||
743,000 | Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100 | 996,506 | ||||||
214,000 | Gilead Sciences, Inc., 4.50%, 2/1/45, Callable 8/1/44 @ 100 | 277,003 | ||||||
56,000 | Gilead Sciences, Inc., 4.75%, 3/1/46, Callable 9/1/45 @ 100 | 75,868 | ||||||
|
| |||||||
12,483,014 | ||||||||
|
| |||||||
Building Products (0.1%): | ||||||||
2,724,000 | Carrier Global Corp., 2.24%, 2/15/25, Callable 1/15/25 @ 100(a) | 2,781,071 | ||||||
|
| |||||||
Capital Markets (2.0%): | ||||||||
50,000 | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | 50,875 | ||||||
2,221,000 | Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100 | 2,305,509 | ||||||
915,000 | Bank of New York Mellon Corp. (The), 2.10%, 10/24/24, MTN | 962,429 | ||||||
700,000 | Bank of New York Mellon Corp. (The), 3.44% (US0003M+107bps), 2/7/28, Callable 2/7/27 @ 100, MTN | 791,490 | ||||||
370,000 | Bank of New York Mellon Corp. (The), 4.62% (US0003M+313bps), 12/29/49, Callable 9/20/26 @ 100 | 362,138 | ||||||
537,000 | Charles Schwab Corp. (The), 3.25%, 5/22/29, Callable 2/22/29 @ 100 | 603,674 | ||||||
1,435,000 | Charles Schwab Corp. (The), Series E, 4.62% (US0003M+332bps), 12/29/49, Callable 3/1/22 @ 100 | 1,348,900 | ||||||
60,000 | E*TRADE Financial Corp., 3.80%, 8/24/27, Callable 5/24/27 @ 100 | 66,526 | ||||||
210,000 | Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 226,539 | ||||||
1,466,000 | Goldman Sachs Group, Inc. (The), 2.88% (US0003M+82bps), 10/31/22, Callable 10/31/21 @ 100 | 1,502,792 |
See accompanying notes to the financial statements.
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 1,460,000 | Goldman Sachs Group, Inc. (The), 0.31% (EUR003M+55bps), 4/21/23, Callable 4/21/22 @ 100, MTN(a) | $ | 1,617,211 | ||||
55,000 | Goldman Sachs Group, Inc. (The), 3.63%, 2/20/24, Callable 1/20/24 @ 100 | 59,816 | ||||||
337,000 | Goldman Sachs Group, Inc. (The), 3.50%, 1/23/25, Callable 10/23/24 @ 100 | 367,307 | ||||||
4,588,000 | Goldman Sachs Group, Inc. (The), 3.50%, 4/1/25, Callable 3/1/25 @ 100 | 5,031,150 | ||||||
1,358,000 | Goldman Sachs Group, Inc. (The), 3.75%, 5/22/25, Callable 2/22/25 @ 100 | 1,504,622 | ||||||
878,000 | Goldman Sachs Group, Inc. (The), 3.27% (US0003M+120bps), 9/29/25, Callable 9/29/24 @ 100 | 943,832 | ||||||
1,633,000 | Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26, Callable 11/25/25 @ 100 | 1,821,007 | ||||||
425,000 | Goldman Sachs Group, Inc. (The), 1.56% (US0003M+117bps), 5/15/26, Callable 5/15/25 @ 100 | 418,665 | ||||||
264,000 | Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26, Callable 11/16/25 @ 100 | 290,259 | ||||||
173,000 | Goldman Sachs Group, Inc. (The), 3.85%, 1/26/27, Callable 1/26/26 @ 100 | 194,401 | ||||||
108,000 | Intercontinental Exchange, Inc., 3.75%, 9/21/28, Callable 6/21/28 @ 100 | 126,180 | ||||||
445,000 | Intercontinental Exchange, Inc., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | 452,166 | ||||||
305,000 | Moody’s Corp., 4.25%, 2/1/29, Callable 11/1/28 @ 100 | 360,702 | ||||||
580,000 | Morgan Stanley, Series F, 3.88%, 4/29/24 | 640,727 | ||||||
1,889,000 | Morgan Stanley, 3.63%, 1/20/27 | 2,118,404 | ||||||
2,112,000 | Morgan Stanley, 3.77% (US0003M+114bps), 1/24/29, Callable 1/24/28 @ 100 | 2,403,348 | ||||||
5,054,000 | Morgan Stanley, Series G, 4.43% (US0003M+163bps), 1/23/30, Callable 1/23/29 @ 100, MTN | 6,003,591 | ||||||
3,251,000 | Morgan Stanley, 2.70% (SOFR+114bps), 1/22/31, Callable 1/22/30 @ 100, MTN | 3,414,802 | ||||||
370,000 | Northern Trust Corp., 1.95%, 5/1/30, Callable 2/1/30 @ 100 | 379,846 | ||||||
879,000 | State Street Corp., 3.30%, 12/16/24 | 975,890 | ||||||
224,000 | State Street Corp., 2.35% (SOFR+1bps), 11/1/25, Callable 11/1/24 @ 100 | 236,935 | ||||||
196,000 | State Street Corp., 2.90% (SOFR+260bps), 3/30/26, Callable 3/30/25 @ 100(a) | 212,238 | ||||||
666,000 | State Street Corp., Series F, 5.25% (US0003M+360bps), 12/31/49, Callable 9/15/20 @ 100 | 633,533 | ||||||
1,415,000 | State Street Corp., Series H, 5.62% (US0003M+254bps), 12/31/99, Callable 12/15/23 @ 100 | 1,384,931 | ||||||
|
| |||||||
39,812,435 | ||||||||
|
| |||||||
Chemicals (0.4%): | ||||||||
1,265,000 | Dow Chemical Co. (The), 1.88%, 3/15/40, Callable 9/15/39 @ 100 | 1,309,509 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Chemicals, continued | ||||||||
$ | 2,212,000 | DowDuPont, Inc., 4.49%, 11/15/25, Callable 9/15/25 @ 100 | $ | 2,546,589 | ||||
265,000 | Eastman Chemical Co., 3.50%, 12/1/21 | 273,443 | ||||||
330,000 | Eastman Chemical Co., 3.80%, 3/15/25, Callable 12/15/24 @ 100 | 358,182 | ||||||
460,000 | Ecolab, Inc., 2.38%, 8/10/22, Callable 7/10/22 @ 100 | 477,898 | ||||||
343,000 | Ecolab, Inc., 4.80%, 3/24/30, Callable 12/24/29 @ 100 | 434,061 | ||||||
207,000 | LYB International Finance BV, 4.88%, 3/15/44, Callable 9/15/43 @ 100 | 242,245 | ||||||
596,000 | RPM International, Inc., 3.75%, 3/15/27, Callable 12/15/26 @ 100 | 628,835 | ||||||
440,000 | Sherwin-Williams Co. (The), 4.20%, 1/15/22, Callable 10/15/21 @ 100 | 457,623 | ||||||
328,000 | Sherwin-Williams Co. (The), 4.00%, 12/15/42, Callable 6/15/42 @ 100 | 349,771 | ||||||
|
| |||||||
7,078,156 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
2,000 | Republic Services, Inc., 3.55%, 6/1/22, Callable 3/1/22 @ 100 | 2,101 | ||||||
205,000 | Republic Services, Inc., 2.90%, 7/1/26, Callable 4/1/26 @ 100 | 223,118 | ||||||
909,000 | Republic Services, Inc., 3.38%, 11/15/27, Callable 8/15/27 @ 100 | 1,020,873 | ||||||
1,004,000 | Republic Services, Inc., 3.95%, 5/15/28, Callable 2/15/28 @ 100 | 1,166,907 | ||||||
650,000 | Waste Management, Inc., 4.15%, 7/15/49, Callable 1/15/49 @ 100 | 809,754 | ||||||
|
| |||||||
3,222,753 | ||||||||
|
| |||||||
Communications Equipment (0.1%): | ||||||||
640,000 | Juniper Networks, Inc., 4.50%, 3/15/24 | 709,532 | ||||||
1,210,000 | Motorola Solutions, Inc., 4.60%, 5/23/29, Callable 2/23/29 @ 100 | 1,397,599 | ||||||
790,000 | Motorola Solutions, Inc., 5.50%, 9/1/44 | 892,154 | ||||||
|
| |||||||
2,999,285 | ||||||||
|
| |||||||
Consumer Finance (1.1%): | ||||||||
28,000 | American Express Co., 2.75%, 5/20/22, Callable 4/20/22 @ 100 | 29,047 | ||||||
400,000 | American Express Co., 3.70%, 8/3/23, Callable 7/3/23 @ 100 | 434,484 | ||||||
1,290,000 | American Express Co., 3.40%, 2/22/24, Callable 1/22/24 @ 100 | 1,400,968 | ||||||
2,541,000 | American Express Co., 2.50%, 7/30/24, Callable 6/30/24 @ 100 | 2,693,088 | ||||||
740,000 | American Honda Finance Corp., 1.38%, 11/10/22 | 847,407 | ||||||
110,000 | American Honda Finance Corp., 0.55%, 3/17/23 | 123,539 | ||||||
125,000 | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | 136,997 | ||||||
287,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 317,731 | ||||||
250,000 | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | 254,937 | ||||||
500,000 | Discover Bank, 4.65%, 9/13/28, Callable 6/13/28 @ 100 | 574,162 |
See accompanying notes to the financial statements.
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 384,000 | General Motors Financial Co. ,Inc., 4.00%, 10/6/26, Callable 7/6/26 @ 100 | $ | 396,526 | ||||
1,710,000 | General Motors Financial Co., Inc., 3.20%, 7/13/20 | 1,710,000 | ||||||
2,010,000 | General Motors Financial Co., Inc., 2.45%, 11/6/20 | 2,003,733 | ||||||
473,000 | General Motors Financial Co., Inc., 4.38%, 9/25/21 | 486,512 | ||||||
360,000 | General Motors Financial Co., Inc., 3.45%, 1/14/22, Callable 12/14/21 @ 100 | 366,178 | ||||||
1,474,000 | General Motors Financial Co., Inc., 5.10%, 1/17/24, Callable 12/17/23 @ 100 | 1,576,847 | ||||||
2,114,000 | General Motors Financial Co., Inc., 2.90%, 2/26/25, Callable 1/26/25 @ 100 | 2,105,827 | ||||||
615,000 | General Motors Financial Co., Inc., 4.35%, 1/17/27, Callable 10/17/26 @ 100 | 635,240 | ||||||
1,420,000 | Hyundai Capital America, 3.95%, 2/1/22(a) | 1,460,413 | ||||||
2,065,000 | Hyundai Capital America, 2.38%, 2/10/23(a) | 2,078,328 | ||||||
196,000 | Synchrony Financial, 4.50%, 7/23/25, Callable 4/23/25 @ 100 | 208,148 | ||||||
940,000 | Toyota Motor Credit Corp., 0.22%, 7/21/21(a) | 1,053,573 | ||||||
946,000 | Toyota Motor Credit Corp., 1.80%, 2/13/25, MTN | 977,143 | ||||||
326,000 | Toyota Motor Credit Corp., 3.20%, 1/11/27 | 361,976 | ||||||
|
| |||||||
22,232,804 | ||||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
232,000 | International Paper Co., 4.40%, 8/15/47, Callable 2/15/47 @ 100 | 272,738 | ||||||
171,000 | International Paper Co., 4.35%, 8/15/48, Callable 2/15/48 @ 100 | 200,958 | ||||||
|
| |||||||
473,696 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
145,000 | California Institute of Technology, 4.32%, 8/1/45 | 184,294 | ||||||
827,000 | Duke University, 2.83%, 10/1/55 | 873,366 | ||||||
360,000 | Massachusetts Institute of Technology, 4.68%, 7/1/14 | 542,485 | ||||||
114,000 | Pres & Fellows of Harvar, 3.15%, 7/15/46, Callable 1/15/46 @ 100 | 132,139 | ||||||
575,000 | Pres & Fellows of Harvar, 3.30%, 7/15/56, Callable 1/15/56 @ 100 | 702,402 | ||||||
|
| |||||||
2,434,686 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
656,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | 700,258 | ||||||
1,307,000 | BP Capital Markets America, Inc., 3.41%, 2/11/26, Callable 12/11/25 @ 100 | 1,443,759 | ||||||
205,000 | USAA Capital Corp., 1.50%, 5/1/23(a) | 210,163 | ||||||
409,000 | USAA Capital Corp., 2.13%, 5/1/30, Callable 2/1/30 @ 100(a) | 421,091 | ||||||
|
| |||||||
2,775,271 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.1%): | ||||||||
2,000,000 | AT&T, Inc., 0.90%, 11/27/22(a)(c) | 1,957,092 | ||||||
130,000 | AT&T, Inc., 3.55%, 6/1/24, Callable 3/1/24 @ 100 | 140,979 | ||||||
315,000 | AT&T, Inc., 4.25%, 3/1/27, Callable 12/1/26 @ 100 | 358,120 | ||||||
190,000 | AT&T, Inc., 3.15%, 9/4/36, Callable 6/4/36 @ 100 | 241,159 | ||||||
900,000 | AT&T, Inc., 2.60%, 5/19/38, Callable 11/19/37 @ 100 | 1,068,615 | ||||||
159,000 | AT&T, Inc., 6.00%, 8/15/40, Callable 5/15/40 @ 100 | 213,890 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
$ | 92,000 | AT&T, Inc., 5.35%, 9/1/40 | $ | 114,433 | ||||
731,000 | AT&T, Inc., 5.15%, 3/15/42 | 905,559 | ||||||
268,000 | AT&T, Inc., 4.90%, 6/15/42 | 322,808 | ||||||
884,000 | AT&T, Inc., 4.80%, 6/15/44, Callable 12/15/43 @ 100 | 1,029,743 | ||||||
1,676,000 | AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100 | 1,865,489 | ||||||
624,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 765,460 | ||||||
4,183,000 | Verizon Communications, Inc., 4.13%, 3/16/27 | 4,898,009 | ||||||
990,000 | Verizon Communications, Inc., 3.00%, 3/22/27, Callable 1/22/27 @ 100 | 1,093,093 | ||||||
330,000 | Verizon Communications, Inc., 4.33%, 9/21/28 | 396,289 | ||||||
395,000 | Verizon Communications, Inc., 4.02%, 12/3/29, Callable 9/3/29 @ 100 | 472,060 | ||||||
2,856,000 | Verizon Communications, Inc., 4.27%, 1/15/36 | 3,492,123 | ||||||
600,000 | Verizon Communications, Inc., 2.88%, 1/15/38 | 809,897 | ||||||
890,000 | Verizon Communications, Inc., 1.85%, 5/18/40, Callable 11/18/39 @ 100 | 1,021,778 | ||||||
146,000 | Verizon Communications, Inc., 4.86%, 8/21/46 | 196,830 | ||||||
199,000 | Verizon Communications, Inc., 5.50%, 3/16/47 | 292,957 | ||||||
|
| |||||||
21,656,383 | ||||||||
|
| |||||||
Electric Utilities (2.3%): | ||||||||
430,000 | AEP Texas, Inc., 2.40%, 10/1/22, Callable 9/1/22 @ 100 | 444,447 | ||||||
108,000 | AEP Texas, Inc., Series G, 4.15%, 5/1/49, Callable 11/1/48 @ 100 | 127,431 | ||||||
527,000 | AEP Texas, Inc., Series H, 3.45%, 1/15/50, Callable 7/15/49 @ 100 | 564,853 | ||||||
640,000 | AEP Transmission Co. LLC, 3.75%, 12/1/47, Callable 6/1/47 @ 100 | 731,974 | ||||||
281,000 | AEP Transmission Co. LLC, 4.25%, 9/15/48, Callable 3/15/48 @ 100 | 349,271 | ||||||
20,000 | AEP Transmission Co. LLC, 3.80%, 6/15/49, Callable 12/15/48 @ 100 | 23,645 | ||||||
585,000 | AEP Transmission Co. LLC, 3.15%, 9/15/49, Callable 3/15/49 @ 100 | 625,289 | ||||||
21,000 | Alabama Power Co., 6.00%, 3/1/39 | 30,289 | ||||||
222,000 | Alabama Power Co., 3.75%, 3/1/45, Callable 9/1/44 @ 100 | 251,760 | ||||||
694,000 | Alabama Power Co., 3.45%, 10/1/49, Callable 4/1/49 @ 100 | 768,171 | ||||||
430,000 | Baltimore Gas & Electric Co., 2.80%, 8/15/22, Callable 5/15/22 @ 100 | 445,005 | ||||||
35,000 | Baltimore Gas & Electric Co., 2.40%, 8/15/26, Callable 5/15/26 @ 100 | 37,262 | ||||||
205,000 | Baltimore Gas & Electric Co., 3.50%, 8/15/46, Callable 2/15/46 @ 100 | 228,590 | ||||||
900,000 | Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | 997,838 | ||||||
90,000 | Baltimore Gas & Electric Co., 4.25%, 9/15/48, Callable 3/15/48 @ 100 | 111,438 | ||||||
95,000 | Baltimore Gas & Electric Co., 3.20%, 9/15/49, Callable 3/15/49 @ 100 | 100,510 | ||||||
318,000 | Baltimore Gas And Electric Co., 2.90%, 6/15/50, Callable 12/15/49 @ 100 | 322,426 |
See accompanying notes to the financial statements.
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 85,000 | Commonwealth Edison Co., 4.60%, 8/15/43, Callable 2/15/43 @ 100 | $ | 109,511 | ||||
287,000 | Commonwealth Edison Co., 3.65%, 6/15/46, Callable 12/15/45 @ 100 | 334,652 | ||||||
816,000 | Dayton Power & Light Co. (The), 3.95%, 6/15/49, Callable 12/15/48 @ 100 | 874,045 | ||||||
145,000 | DTE Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | 171,168 | ||||||
119,000 | DTE Electric Co., Series A, 4.05%, 5/15/48, Callable 11/15/47 @ 100 | 147,548 | ||||||
869,000 | DTE Electric Co., 3.95%, 3/1/49, Callable 9/1/48 @ 100 | 1,070,457 | ||||||
118,000 | Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100 | 137,209 | ||||||
82,000 | Duke Energy Carolinas LLC, 3.88%, 3/15/46, Callable 9/15/45 @ 100 | 97,560 | ||||||
30,000 | Duke Energy Carolinas LLC, 3.95%, 3/15/48, Callable 9/15/47 @ 100 | 36,975 | ||||||
1,005,000 | Duke Energy Carolinas LLC, 3.20%, 8/15/49, Callable 2/15/49 @ 100 | 1,112,314 | ||||||
29,000 | Duke Energy Florida LLC, 3.80%, 7/15/28, Callable 4/15/28 @ 100 | 33,746 | ||||||
1,819,000 | Duke Energy Florida LLC, 2.50%, 12/1/29, Callable 9/1/29 @ 100 | 1,965,116 | ||||||
1,561,000 | Duke Energy Florida LLC, 1.75%, 6/15/30, Callable 3/15/30 @ 100 | 1,567,709 | ||||||
646,000 | Duke Energy Florida LLC, 3.40%, 10/1/46, Callable 4/1/46 @ 100 | 727,921 | ||||||
256,000 | Duke Energy Florida LLC, 4.20%, 7/15/48, Callable 1/15/48 @ 100 | 324,856 | ||||||
555,000 | Duke Energy Ohio, Inc., 3.65%, 2/1/29, Callable 11/1/28 @ 100 | 642,884 | ||||||
495,000 | Duke Energy Ohio, Inc., 3.70%, 6/15/46, Callable 12/15/45 @ 100 | 576,907 | ||||||
95,000 | Duke Energy Progress LLC, 3.45%, 3/15/29, Callable 12/15/28 @ 100 | 108,750 | ||||||
606,000 | Duke Energy Progress LLC, 4.20%, 8/15/45, Callable 2/15/45 @ 100 | 752,124 | ||||||
170,000 | Duke Energy Progress LLC, 3.70%, 10/15/46, Callable 4/15/46 @ 100 | 199,145 | ||||||
220,000 | Duke Energy Progress, Inc., 5.70%, 4/1/35 | 290,891 | ||||||
255,000 | Duke Energy Progress, Inc., 4.10%, 5/15/42, Callable 11/15/41 @ 100 | 306,107 | ||||||
635,000 | Duke Energy Progress, Inc., 4.10%, 3/15/43, Callable 9/15/42 @ 100 | 762,164 | ||||||
1,011,000 | Edison International, 2.40%, 9/15/22, Callable 8/15/22 @ 100 | 1,025,994 | ||||||
8,000 | Edison International, 3.13%, 11/15/22, Callable 10/15/22 @ 100 | 8,208 | ||||||
161,000 | Edison International, 3.55%, 11/15/24, Callable 10/15/24 @ 100 | 169,713 | ||||||
60,000 | Entergy Arkansas LLC, 3.70%, 6/1/24, Callable 3/1/24 @ 100 | 65,769 | ||||||
112,000 | Entergy Gulf States Louisiana LLC, 5.59%, 10/1/24 | 133,026 | ||||||
137,000 | Entergy Louisiana LLC, 5.40%, 11/1/24 | 162,156 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 608,000 | Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100 | $ | 743,721 | ||||
287,000 | Entergy Louisiana LLC, 2.90%, 3/15/51, Callable 9/15/50 @ 100 | 296,442 | ||||||
337,000 | Eversource Energy, Series L, 2.90%, 10/1/24, Callable 8/1/24 @ 100 | 361,406 | ||||||
15,000 | Exelon Corp., 2.45%, 4/15/21, Callable 3/15/21 @ 100 | 15,211 | ||||||
241,000 | Exelon Corp., 5.63%, 6/15/35 | 313,076 | ||||||
272,000 | Exelon Corp., 4.95%, 6/15/35, Callable 12/15/34 @ 100 | 331,222 | ||||||
193,000 | FirstEnergy Corp., 2.05%, 3/1/25, Callable 2/1/25 @ 100 | 199,725 | ||||||
329,000 | FirstEnergy Corp., 2.65%, 3/1/30, Callable 12/1/29 @ 100 | 341,156 | ||||||
203,000 | FirstEnergy Corp., 7.38%, 11/15/31 | 295,831 | ||||||
636,000 | FirstEnergy Corp., Series C, 3.40%, 3/1/50, Callable 9/1/49 @ 100 | 672,727 | ||||||
329,000 | FirstEnergy Transmission LLC, 4.35%, 1/15/25, Callable 10/15/24 @ 100(a) | 366,805 | ||||||
303,000 | FirstEnergy Transmission LLC, 5.45%, 7/15/44, Callable 1/15/44 @ 100(a) | 386,915 | ||||||
990,000 | FirstEnergy Transmission LLC, 4.55%, 4/1/49, Callable 10/1/48 @ 100(a) | 1,203,084 | ||||||
380,000 | Florida Power & Light Co., 3.13%, 12/1/25, Callable 6/1/25 @ 100 | 422,617 | ||||||
129,000 | Florida Power & Light Co., 4.13%, 2/1/42, Callable 8/1/41 @ 100 | 160,514 | ||||||
120,000 | Florida Power & Light Co., 3.80%, 12/15/42, Callable 6/15/42 @ 100 | 144,358 | ||||||
404,000 | Florida Power & Light Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100 | 490,454 | ||||||
590,000 | Florida Power & Light Co., 3.95%, 3/1/48, Callable 9/1/47 @ 100 | 743,860 | ||||||
1,262,000 | Florida Power & Light Co., 3.15%, 10/1/49, Callable 4/1/49 @ 100 | 1,431,241 | ||||||
130,000 | ITC Holdings Corp., 2.70%, 11/15/22, Callable 10/15/22 @ 100 | 135,328 | ||||||
16,000 | ITC Holdings Corp., 3.25%, 6/30/26, Callable 3/30/26 @ 100 | 17,552 | ||||||
658,000 | MidAmerican Energy Co., 3.10%, 5/1/27, Callable 2/1/27 @ 100 | 728,679 | ||||||
1,639,000 | MidAmerican Energy Co., 3.65%, 4/15/29, Callable 1/15/29 @ 100 | 1,952,433 | ||||||
399,000 | MidAmerican Energy Co., 3.15%, 4/15/50, Callable 10/15/49 @ 100 | 452,368 | ||||||
295,000 | Northern States Power Co., 3.60%, 9/15/47, Callable 3/15/47 @ 100 | 347,923 | ||||||
705,000 | Northern States Power Co., 2.90%, 3/1/50, Callable 9/1/49 @ 100 | 759,076 | ||||||
330,000 | NSTAR Electric Co., 3.20%, 5/15/27, Callable 2/15/27 @ 100 | 369,166 | ||||||
275,000 | Ohio Power Co., Series G, 6.60%, 2/15/33 | 382,486 | ||||||
100,000 | Ohio Power Co., 4.15%, 4/1/48, Callable 10/1/47 @ 100 | 123,260 | ||||||
530,000 | Ohio Power Co., 4.00%, 6/1/49, Callable 12/1/48 @ 100 | 641,451 |
See accompanying notes to the financial statements.
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 25,000 | Oncor Electric Delivery Co. LLC, 7.00%, 9/1/22 | $ | 28,373 | ||||
1,729,000 | Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28, Callable 8/15/28 @ 100 | 2,043,089 | ||||||
220,000 | Oncor Electric Delivery Co. LLC, 5.75%, 3/15/29, Callable 12/15/28 @ 100 | 284,024 | ||||||
271,000 | Oncor Electric Delivery Co. LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100 | 327,638 | ||||||
270,000 | Oncor Electric Delivery Co. LLC, 3.10%, 9/15/49, Callable 3/15/49 @ 100 | 294,130 | ||||||
64,000 | PacifiCorp., 3.60%, 4/1/24, Callable 1/1/24 @ 100 | 70,234 | ||||||
356,000 | PECO Energy Co., 3.00%, 9/15/49, Callable 3/15/49 @ 100 | 377,255 | ||||||
535,000 | Public Service Electric & Gas Co., 3.65%, 9/1/28, Callable 6/1/28 @ 100 | 616,377 | ||||||
29,000 | Public Service Electric & Gas Co., 3.20%, 5/15/29, Callable 2/15/29 @ 100, MTN | 32,806 | ||||||
530,000 | Southern California Edison Co., Series A, 2.90%, 3/1/21 | 539,251 | ||||||
685,000 | Southern California Edison Co., Series E, 3.70%, 8/1/25, Callable 6/1/25 @ 100 | 756,052 | ||||||
872,000 | Southern California Edison Co., Series A, 4.20%, 3/1/29, Callable 12/1/28 @ 100 | 1,015,384 | ||||||
631,000 | Southern California Edison Co., 2.25%, 6/1/30, Callable 3/1/30 @ 100 | 637,542 | ||||||
560,000 | Tampa Electric Co., 2.60%, 9/15/22, Callable 6/15/22 @ 100 | 576,734 | ||||||
335,000 | Tampa Electric Co., 4.30%, 6/15/48, Callable 12/15/47 @ 100 | 412,974 | ||||||
3,000 | Tampa Electric Co., 4.45%, 6/15/49, Callable 12/15/48 @ 100 | 3,842 | ||||||
500,000 | Virginia Electric & Power Co., 3.45%, 9/1/22, Callable 6/1/22 @ 100 | 525,606 | ||||||
622,000 | Virginia Electric & Power Co., Series C, 2.75%, 3/15/23, Callable 12/15/22 @ 100 | 651,449 | ||||||
424,000 | Virginia Electric & Power Co., Series B, 6.00%, 1/15/36 | 584,189 | ||||||
161,000 | Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 | 225,865 | ||||||
804,000 | Virginia Electric & Power Co., 4.00%, 1/15/43, Callable 7/15/42 @ 100 | 957,603 | ||||||
70,000 | Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100(a) | 73,850 | ||||||
|
| |||||||
45,939,178 | ||||||||
|
| |||||||
Electrical Equipment (0.0%†): | ||||||||
627,000 | Otis Worldwide Corp., 2.06%, 4/5/25, Callable 3/5/25 @ 100(a) | 654,854 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%†): | ||||||||
38,000 | Avnet, Inc., 4.63%, 4/15/26, Callable 1/15/26 @ 100 | 42,892 | ||||||
125,000 | Corning, Inc., 3.70%, 11/15/23, Callable 8/15/23 @ 100 | 132,731 | ||||||
333,000 | Corning, Inc., 5.85%, 11/15/68, Callable 5/15/68 @ 100 | 426,844 | ||||||
|
| |||||||
602,467 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Entertainment (0.5%): | ||||||||
$ | 2,170,000 | Activision Blizzard, Inc., 3.40%, 9/15/26, Callable 6/15/26 @ 100 | $ | 2,463,944 | ||||
1,603,000 | Electronic Arts, Inc., 4.80%, 3/1/26, Callable 12/1/25 @ 100 | 1,913,033 | ||||||
170,000 | Viacom, Inc., 6.88%, 4/30/36 | 229,893 | ||||||
572,000 | ViacomCBS, Inc., 4.38%, 3/15/43 | 596,998 | ||||||
112,000 | ViacomCBS, Inc., 5.85%, 9/1/43, Callable 3/1/43 @ 100 | 131,735 | ||||||
1,654,000 | Walt Disney Co. (The), 3.35%, 3/24/25 | 1,832,546 | ||||||
3,057,000 | Walt Disney Co. (The), 2.00%, 9/1/29, Callable 6/1/29 @ 100 | 3,111,944 | ||||||
|
| |||||||
10,280,093 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.5%): | ||||||||
840,000 | American Tower Corp., 1.95%, 5/22/26, Callable 2/22/26 @ 100 | 1,001,055 | ||||||
290,000 | American Tower Corp., 3.95%, 3/15/29, Callable 12/15/28 @ 100 | 329,990 | ||||||
432,000 | American Tower Corp., 3.80%, 8/15/29, Callable 5/15/29 @ 100 | 491,524 | ||||||
695,000 | American Tower Corp., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | 692,678 | ||||||
245,000 | Boston Properties LP, 3.40%, 6/21/29, Callable 3/21/29 @ 100 | 270,092 | ||||||
494,000 | Boston Properties LP, 2.90%, 3/15/30, Callable 12/15/29 @ 100 | 515,594 | ||||||
545,000 | Crown Castle International Corp., 4.45%, 2/15/26, Callable 11/15/25 @ 100 | 623,370 | ||||||
623,000 | Crown Castle International Corp., 3.70%, 6/15/26, Callable 3/15/26 @ 100 | 693,821 | ||||||
80,000 | Crown Castle International Corp., 3.80%, 2/15/28, Callable 11/15/27 @ 100 | 90,153 | ||||||
1,821,000 | Crown Castle International Corp., 3.10%, 11/15/29, Callable 8/15/29 @ 100 | 1,932,938 | ||||||
8,000 | Crown Castle International Corp., 3.30%, 7/1/30, Callable 4/1/30 @ 100 | 8,735 | ||||||
366,000 | Crown Castle International Corp., 5.20%, 2/15/49, Callable 8/15/48 @ 100 | 485,003 | ||||||
1,316,000 | Equinix, Inc., 2.63%, 11/18/24, Callable 10/18/24 @ 100 | 1,400,968 | ||||||
339,000 | Equinix, Inc., 1.25%, 7/15/25, Callable 6/15/25 @ 100^ | 338,871 | ||||||
500,000 | Prologis Euro Finance LLC, 1.50%, 9/10/49, Callable 3/10/49 @ 100 | 535,797 | ||||||
177,000 | Realty Income Corp., 3.00%, 1/15/27, Callable 10/15/26 @ 100 | 187,191 | ||||||
250,000 | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | 270,611 | ||||||
|
| |||||||
9,868,391 | ||||||||
|
| |||||||
Food Products (0.0%†): | ||||||||
420,000 | General Mills, Inc., 0.45%, 1/15/26, Callable 10/15/25 @ 100 | 464,300 | ||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
461,000 | Piedmont Natural Gas Co, Inc., 3.50%, 6/1/29, Callable 3/1/29 @ 100 | 523,975 | ||||||
|
|
See accompanying notes to the financial statements.
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
$ | 525,000 | Becton Dickinson and Co., 1.40%, 5/24/23, Callable 4/24/23 @ 100 | $ | 598,688 | ||||
2,438,000 | Boston Scientific Corp., 3.45%, 3/1/24, Callable 2/1/24 @ 100 | 2,644,572 | ||||||
500,000 | DH Europe Finance II Sarl, 1.80%, 9/18/49, Callable 3/18/49 @ 100 | 538,426 | ||||||
500,000 | Medtronic Global Holdings SCA, 1.75%, 7/2/49, Callable 1/2/49 @ 100 | 547,481 | ||||||
1,055,000 | Stryker Corp., 0.25%, 12/3/24, Callable 11/3/24 @ 100 | 1,171,801 | ||||||
|
| |||||||
5,500,968 | ||||||||
|
| |||||||
Health Care Providers & Services (1.5%): | ||||||||
6,000 | Aetna, Inc., 6.75%, 12/15/37 | 8,551 | ||||||
80,000 | Aetna, Inc., 4.50%, 5/15/42, Callable 11/15/41 @ 100 | 95,242 | ||||||
153,000 | Aetna, Inc., 4.13%, 11/15/42, Callable 5/15/42 @ 100 | 170,915 | ||||||
89,000 | Anthem, Inc., 4.38%, 12/1/47, Callable 6/1/47 @ 100 | 110,551 | ||||||
226,000 | Anthem, Inc., 3.70%, 9/15/49, Callable 3/15/49 @ 100 | 257,917 | ||||||
3,229,000 | Cigna Corp., 3.75%, 7/15/23, Callable 6/15/23 @ 100 | 3,502,942 | ||||||
1,005,000 | Cigna Corp., 3.50%, 6/15/24, Callable 3/17/24 @ 100(a) | 1,093,938 | ||||||
60,000 | CVS Caremark Corp., 3.38%, 8/12/24, Callable 5/12/24 @ 100 | 65,246 | ||||||
3,728,000 | CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100 | 3,998,366 | ||||||
411,000 | CVS Health Corp., 4.00%, 12/5/23, Callable 9/5/23 @ 100 | 450,494 | ||||||
209,000 | CVS Health Corp., 2.63%, 8/15/24, Callable 7/15/24 @ 100 | 222,326 | ||||||
2,341,000 | CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100 | 2,641,538 | ||||||
1,236,000 | CVS Health Corp., 2.88%, 6/1/26, Callable 3/1/26 @ 100 | 1,335,183 | ||||||
1,364,000 | CVS Health Corp., 3.00%, 8/15/26, Callable 6/15/26 @ 100 | 1,486,333 | ||||||
400,000 | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | 449,872 | ||||||
1,662,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100 | 1,935,464 | ||||||
118,000 | CVS Health Corp., 5.13%, 7/20/45, Callable 1/20/45 @ 100 | 152,901 | ||||||
1,052,000 | HCA, Inc., 5.00%, 3/15/24 | 1,167,720 | ||||||
525,000 | HCA, Inc., 5.25%, 4/15/25 | 601,781 | ||||||
1,870,000 | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | 2,157,980 | ||||||
788,000 | HCA, Inc., 4.50%, 2/15/27, Callable 8/15/26 @ 100 | 876,650 | ||||||
900,000 | Humana, Inc., 4.50%, 4/1/25, Callable 3/1/25 @ 100 | 1,029,201 | ||||||
937,000 | The New York and Presbyterian Hospital, Series 2019, 3.95%, 8/1/19, Callable 2/1/19 @ 100 | 1,020,228 | ||||||
650,000 | UnitedHealth Group, Inc., 3.70%, 12/15/25 | 744,242 | ||||||
90,000 | UnitedHealth Group, Inc., 4.63%, 11/15/41, Callable 5/15/41 @ 100 | 116,424 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 1,335,000 | UnitedHealth Group, Inc., 4.75%, 7/15/45 | $ | 1,799,089 | ||||
1,345,000 | UnitedHealth Group, Inc., 4.20%, 1/15/47, Callable 7/15/46 @ 100 | 1,677,844 | ||||||
120,000 | UnitedHealth Group, Inc., 4.45%, 12/15/48, Callable 6/15/48 @ 100 | 158,844 | ||||||
|
| |||||||
29,327,782 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.2%): | ||||||||
1,200,000 | McDonald’s Corp., Series G, 1.00%, 11/15/23, MTN(a) | 1,380,267 | ||||||
37,000 | McDonald’s Corp., 3.63%, 5/1/43 | 40,533 | ||||||
226,000 | McDonald’s Corp., 4.60%, 5/26/45, Callable 11/26/44 @ 100 | 277,536 | ||||||
944,000 | McDonald’s Corp., 4.45%, 9/1/48, Callable 3/1/48 @ 100, MTN | 1,165,408 | ||||||
360,000 | McDonald’s Corp., 3.63%, 9/1/49, Callable 3/1/49 @ 100, MTN | 398,156 | ||||||
85,000 | Starbucks Corp., 3.55%, 8/15/29, Callable 5/15/29 @ 100 | 96,894 | ||||||
1,332,000 | Starbucks Corp., 2.25%, 3/12/30, Callable 12/12/29 @ 100 | 1,379,094 | ||||||
|
| |||||||
4,737,888 | ||||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
464,000 | Clorox Co. (The), 3.10%, 10/1/27, Callable 7/1/27 @ 100 | 519,603 | ||||||
|
| |||||||
Industrial Conglomerates (0.4%): | ||||||||
785,000 | 3M Co., Series E, 0.95%, 5/15/23 | 907,528 | ||||||
304,000 | Georgia-Pacific LLC, 5.40%, 11/1/20(a) | 308,777 | ||||||
943,000 | Georgia-Pacific LLC, 3.73%, 7/15/23, Callable 4/15/23 @ 100(a) | 1,019,893 | ||||||
894,000 | Georgia-Pacific LLC, 3.60%, 3/1/25, Callable 12/1/24 @ 100(a) | 986,327 | ||||||
406,000 | Georgia-Pacific LLC, 1.75%, 9/30/25, Callable 8/30/25 @ 100(a) | 418,804 | ||||||
1,580,000 | Honeywell International, Inc., 1.30%, 2/22/23 | 1,822,783 | ||||||
780,000 | Honeywell International, Inc., 0.32%, 3/10/24, Callable 2/10/24 @ 100 | 865,829 | ||||||
810,000 | Honeywell International, Inc., 0.75%, 3/10/32, Callable 12/10/31 @ 100 | 892,078 | ||||||
|
| |||||||
7,222,019 | ||||||||
|
| |||||||
Insurance (0.4%): | ||||||||
572,000 | Aon Corp., 4.50%, 12/15/28, Callable 9/15/28 @ 100 | 678,645 | ||||||
333,000 | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | 384,018 | ||||||
145,000 | Loews Corp., 3.75%, 4/1/26, Callable 1/1/26 @ 100 | 162,728 | ||||||
1,830,000 | Marsh & McLennan Cos., Inc., 3.50%, 6/3/24, Callable 3/3/24 @ 100 | 1,999,226 | ||||||
480,000 | Marsh & McLennan Cos., Inc., 1.35%, 9/21/26, Callable 6/21/26 @ 100 | 563,641 | ||||||
445,000 | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29, Callable 12/15/28 @ 100 | 533,821 | ||||||
803,000 | Marsh & McLennan Cos., Inc., 1.98%, 3/21/30, Callable 12/21/29 @ 100 | 989,941 |
See accompanying notes to the financial statements.
11
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Insurance, continued | ||||||||
$ | 640,000 | Metropolitan Life Global Funding I, 1.25%, 9/17/21(a) | $ | 729,398 | ||||
290,000 | Metropolitan Life Global Funding I, 0.12%, 9/23/22(a) | 324,944 | ||||||
443,000 | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a) | 565,358 | ||||||
13,000 | Travelers Cos., Inc. (The), 6.25%, 6/15/37 | 19,057 | ||||||
286,000 | Willis North America, Inc., 4.50%, 9/15/28, Callable 6/15/28 @ 100 | 332,347 | ||||||
130,000 | Willis North America, Inc., 2.95%, 9/15/29, Callable 6/15/29 @ 100 | 137,353 | ||||||
|
| |||||||
7,420,477 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.3%): | ||||||||
886,000 | Amazon.com, Inc., 3.88%, 8/22/37, Callable 2/22/37 @ 100 | 1,094,283 | ||||||
2,760,000 | Booking Holdings, Inc., 4.10%, 4/13/25, Callable 3/13/25 @ 100 | 3,097,928 | ||||||
50,000 | Expedia Group, Inc., 6.25%, 5/1/25, Callable 2/1/25 @ 100(a) | 53,500 | ||||||
107,000 | Expedia Group, Inc., 5.00%, 2/15/26, Callable 11/15/25 @ 100 | 110,210 | ||||||
101,000 | Expedia Group, Inc., 3.80%, 2/15/28, Callable 11/15/27 @ 100 | 97,213 | ||||||
1,355,000 | Expedia Group, Inc., 3.25%, 2/15/30, Callable 11/15/29 @ 100 | 1,263,538 | ||||||
|
| |||||||
5,716,672 | ||||||||
|
| |||||||
IT Services (1.4%): | ||||||||
445,000 | DXC Technology Co., 4.00%, 4/15/23 | 465,508 | ||||||
300,000 | DXC Technology Co., 4.13%, 4/15/25, Callable 3/15/25 @ 100 | 319,895 | ||||||
450,000 | Fidelity National Information Services, Inc., 0.13%, 12/3/22, Callable 11/3/22 @ 100 | 502,783 | ||||||
1,300,000 | Fidelity National Information Services, Inc., 0.75%, 5/21/23, Callable 4/21/23 @ 100 | 1,469,483 | ||||||
600,000 | Fidelity National Information Services, Inc., 2.95%, 5/21/39, Callable 2/21/39 @ 100 | 771,187 | ||||||
641,000 | Fiserv, Inc., 2.75%, 7/1/24, Callable 6/1/24 @ 100 | 683,497 | ||||||
7,000 | Fiserv, Inc., 3.85%, 6/1/25, Callable 3/1/25 @ 100 | 7,902 | ||||||
575,000 | Fiserv, Inc., 4.20%, 10/1/28, Callable 7/1/28 @ 100 | 675,573 | ||||||
2,225,000 | Fiserv, Inc., 3.50%, 7/1/29, Callable 4/1/29 @ 100 | 2,501,554 | ||||||
423,000 | Global Payments, Inc., 3.20%, 8/15/29, Callable 5/15/29 @ 100 | 453,019 | ||||||
818,000 | Global Payments, Inc., 2.90%, 5/15/30, Callable 2/15/30 @ 100 | 855,303 | ||||||
761,000 | IBM Corp., 2.85%, 5/15/40, Callable 11/15/39 @ 100 | 788,904 | ||||||
1,810,000 | International Business Machines Corp., 0.50%, 9/7/21 | 2,042,251 | ||||||
2,837,000 | International Business Machines Corp., 3.30%, 5/15/26 | 3,187,121 | ||||||
2,332,000 | International Business Machines Corp., 1.70%, 5/15/27, Callable 3/15/27 @ 100 | 2,380,963 | ||||||
815,000 | Leidos, Inc., 2.95%, 5/15/23, Callable 4/15/23 @ 100(a) | 848,619 | ||||||
530,000 | Leidos, Inc., 3.63%, 5/15/25, Callable 4/15/25 @ 100(a) | 577,038 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
IT Services, continued | ||||||||
$ | 2,330,000 | Leidos, Inc., 4.38%, 5/15/30, Callable 2/15/30 @ 100(a) | $ | 2,621,250 | ||||
344,000 | Mastercard, Inc., 3.30%, 3/26/27, Callable 1/26/27 @ 100 | 389,092 | ||||||
669,000 | Mastercard, Inc., 2.95%, 6/1/29, Callable 3/1/29 @ 100 | 750,312 | ||||||
1,725,000 | MasterCard, Inc., 1.10%, 12/1/22, Callable 9/1/22 @ 100 | 1,979,850 | ||||||
87,000 | PayPal Holdings, Inc., 2.40%, 10/1/24, Callable 9/1/24 @ 100 | 92,214 | ||||||
1,893,000 | PayPal Holdings, Inc., 1.65%, 6/1/25, Callable 5/1/25 @ 100 | 1,958,458 | ||||||
65,000 | Total System Services, Inc., 3.75%, 6/1/23, Callable 3/1/23 @ 100 | 69,703 | ||||||
28,000 | Total System Services, Inc., 4.00%, 6/1/23, Callable 5/1/23 @ 100 | 30,278 | ||||||
268,000 | Visa, Inc., 1.90%, 4/15/27, Callable 2/15/27 @ 100 | 279,841 | ||||||
1,139,000 | Visa, Inc., 4.15%, 12/14/35, Callable 6/14/35 @ 100 | 1,455,271 | ||||||
|
| |||||||
28,156,869 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
318,000 | Hasbro, Inc., 2.60%, 11/19/22 | 327,580 | ||||||
427,000 | Hasbro, Inc., 3.90%, 11/19/29, Callable 8/19/29 @ 100 | 444,391 | ||||||
|
| |||||||
771,971 | ||||||||
�� |
|
| ||||||
Life Sciences Tools & Services (0.1%): | ||||||||
1,000,000 | Thermo Fisher Scientific, Inc., Series E, 1.88%, 10/1/49, Callable 4/1/49 @ 100, MTN | 1,072,842 | ||||||
|
| |||||||
Machinery (0.0%†): | ||||||||
97,000 | Parker-Hannifin Corp., 3.25%, 6/14/29, Callable 3/14/29 @ 100 | 106,992 | ||||||
|
| |||||||
Media (1.1%): | ||||||||
306,000 | Comcast Corp., 3.15%, 3/1/26, Callable 12/1/25 @ 100 | 340,195 | ||||||
935,000 | Comcast Corp., 3.30%, 4/1/27, Callable 2/1/27 @ 100 | 1,047,926 | ||||||
2,560,000 | Comcast Corp., 2.65%, 2/1/30, Callable 11/1/29 @ 100 | 2,780,444 | ||||||
1,124,000 | Comcast Corp., 4.25%, 1/15/33 | 1,385,684 | ||||||
900,000 | Comcast Corp., 1.25%, 2/20/40, Callable 8/20/39 @ 100 | 976,912 | ||||||
525,000 | Comcast Corp., 4.60%, 8/15/45, Callable 2/15/45 @ 100 | 678,983 | ||||||
1,427,000 | Comcast Corp., 3.40%, 7/15/46, Callable 1/15/46 @ 100 | 1,580,378 | ||||||
152,000 | Comcast Corp., 3.97%, 11/1/47, Callable 5/1/47 @ 100 | 182,806 | ||||||
333,000 | Comcast Corp., 4.00%, 11/1/49, Callable 5/1/49 @ 100 | 403,986 | ||||||
338,000 | COX Communications, Inc., 3.25%, 12/15/22(a) | 356,358 | ||||||
1,708,000 | COX Communications, Inc., 3.15%, 8/15/24, Callable 6/15/24 @ 100(a) | 1,839,916 | ||||||
80,000 | COX Communications, Inc., 3.35%, 9/15/26, Callable 6/15/26 @ 100(a) | 88,328 |
See accompanying notes to the financial statements.
12
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 36,000 | COX Communications, Inc., 3.50%, 8/15/27, Callable 5/15/27 @ 100(a) | $ | 39,677 | ||||
819,000 | Discovery Communications, 5.00%, 9/20/37, Callable 3/20/37 @ 100 | 953,934 | ||||||
430,000 | Discovery Communications, 5.20%, 9/20/47, Callable 3/20/47 @ 100 | 500,141 | ||||||
265,000 | Interpublic Group of Cos., Inc., 3.50%, 10/1/20 | 267,077 | ||||||
5,730,000 | NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(a) | 5,841,138 | ||||||
1,297,000 | NBCUniversal Media LLC, 5.95%, 4/1/41 | 1,905,290 | ||||||
90,000 | Omnicom Group, Inc./Omnicom Capital, Inc., 3.65%, 11/1/24, Callable 8/1/24 @ 100 | 98,940 | ||||||
219,000 | ViacomCBS, Inc., 4.95%, 5/19/50, Callable 11/19/49 @ 100 | 244,487 | ||||||
|
| |||||||
21,512,600 | ||||||||
|
| |||||||
Metals & Mining (0.0%†): | ||||||||
196,000 | Newmont Corp., 5.88%, 4/1/35 | 271,625 | ||||||
54,000 | Newmont Mining Corp., 4.88%, 3/15/42, Callable 9/15/41 @ 100 | 69,164 | ||||||
209,000 | Nucor Corp., 4.40%, 5/1/48, Callable 11/1/47 @ 100 | 251,166 | ||||||
192,000 | Steel Dynamics, Inc., 2.80%, 12/15/24, Callable 11/15/24 @ 100 | 200,160 | ||||||
|
| |||||||
792,115 | ||||||||
|
| |||||||
Multiline Retail (0.0%†): | ||||||||
60,000 | Dollar General Corp., 3.88%, 4/15/27, Callable 1/15/27 @ 100 | 68,967 | ||||||
472,000 | Dollar General Corp., 3.50%, 4/3/30, Callable 1/3/30 @ 100 | 529,411 | ||||||
|
| |||||||
598,378 | ||||||||
|
| |||||||
Multi-Utilities (0.3%): | ||||||||
290,000 | Ameren Illinois Co., 3.80%, 5/15/28, Callable 2/15/28 @ 100 | 333,919 | ||||||
5,000 | Ameren Illinois Co., 4.15%, 3/15/46, Callable 9/15/45 @ 100 | 6,142 | ||||||
785,000 | Ameren Illinois Co., 3.25%, 3/15/50, Callable 9/15/49 @ 100 | 869,263 | ||||||
130,000 | CenterPoint Energy Houston Electric LLC, 3.55%, 8/1/42, Callable 2/1/42 @ 100 | 147,055 | ||||||
176,000 | CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100 | 213,609 | ||||||
11,000 | Consumers Energy Co., 3.38%, 8/15/23, Callable 5/15/23 @ 100 | 11,894 | ||||||
301,000 | Consumers Energy Co., 3.80%, 11/15/28, Callable 8/15/28 @ 100 | 356,223 | ||||||
212,000 | Consumers Energy Co., 4.35%, 4/15/49, Callable 10/15/48 @ 100 | 282,391 | ||||||
695,000 | Consumers Energy Co., 3.75%, 2/15/50, Callable 8/15/49 @ 100 | 863,923 | ||||||
1,369,000 | Consumers Energy Co., 3.10%, 8/15/50, Callable 2/15/50 @ 100 | 1,526,697 | ||||||
318,000 | Dominion Energy Gas Holdings LLC, 4.80%, 11/1/43, Callable 5/1/43 @ 100 | 367,398 | ||||||
255,000 | Dominion Energy, Inc., 2.58%, 7/1/20 | 255,000 | ||||||
|
| |||||||
5,233,514 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels (1.8%): | ||||||||
$ | 90,000 | Boardwalk Pipelines, LP, 4.80%, 5/3/29, Callable 2/3/29 @ 100 | $ | 93,710 | ||||
1,010,000 | Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100(a) | 1,111,174 | ||||||
1,223,000 | Cameron LNG LLC, 3.40%, 1/15/38, Callable 7/15/37 @ 100(a) | 1,336,351 | ||||||
20,000 | Chevron Corp., 2.50%, 3/3/22, Callable 2/3/22 @ 100 | 20,647 | ||||||
851,000 | Concho Resources, Inc., 3.75%, 10/1/27, Callable 7/1/27 @ 100 | 907,379 | ||||||
1,734,000 | Energy Transfer Operating LP, 4.05%, 3/15/25, Callable 12/15/24 @ 100 | 1,840,208 | ||||||
248,000 | Energy Transfer Operating LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | 275,900 | ||||||
551,000 | Energy Transfer Partners LP, 4.75%, 1/15/26, Callable 10/15/25 @ 100 | 599,901 | ||||||
6,000 | Energy Transfer Partners LP, 4.20%, 4/15/27, Callable 1/15/27 @ 100 | 6,270 | ||||||
429,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 437,044 | ||||||
219,000 | Enterprise Products Operating LLC, 4.45%, 2/15/43, Callable 8/15/42 @ 100 | 242,558 | ||||||
514,000 | Enterprise Products Operating LLC, 5.10%, 2/15/45, Callable 8/15/44 @ 100 | 604,024 | ||||||
286,000 | Enterprise Products Operating LLC, 4.25%, 2/15/48, Callable 8/15/47 @ 100 | 313,845 | ||||||
979,000 | EOG Resources, Inc., 4.15%, 1/15/26, Callable 10/15/25 @ 100 | 1,129,123 | ||||||
1,400,000 | Exxon Mobil Corp., 1.41%, 6/26/39, Callable 12/26/38 @ 100 | 1,551,505 | ||||||
190,000 | Kinder Morgan Energy Partners LP, 5.00%, 3/1/43, Callable 9/1/42 @ 100 | 210,835 | ||||||
296,000 | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | 351,099 | ||||||
1,000 | Kinder Morgan Energy Partners LP, 5.40%, 9/1/44, Callable 3/1/44 @ 100 | 1,185 | ||||||
233,000 | Kinder Morgan, Inc., 5.30%, 12/1/34, Callable 6/1/34 @ 100 | 267,786 | ||||||
966,000 | Marathon Petroleum Corp., 4.50%, 5/1/23, Callable 4/1/23 @ 100 | 1,040,865 | ||||||
124,000 | Marathon Petroleum Corp., 4.75%, 12/15/23, Callable 10/15/23 @ 100 | 135,470 | ||||||
53,000 | Marathon Petroleum Corp., 6.50%, 3/1/41, Callable 9/1/40 @ 100 | 65,786 | ||||||
252,000 | MPLX LP, 5.25%, 1/15/25, Callable 1/15/21 @ 102.63 | 262,080 | ||||||
850,000 | MPLX LP, 4.00%, 2/15/25, Callable 11/15/24 @ 100 | 911,625 | ||||||
2,234,000 | NGPL PipeCo LLC, 4.38%, 8/15/22, Callable 5/15/22 @ 100(a) | 2,298,227 | ||||||
135,000 | NGPL PipeCo LLC, 7.77%, 12/15/37(a) | 163,856 | ||||||
259,000 | NGPL PipeCo. LLC, 4.88%, 8/15/27, Callable 2/15/27 @ 100(a) | 284,253 | ||||||
964,000 | Northern Natural Gas Co., 4.30%, 1/15/49, Callable 7/15/48 @ 100(a) | 1,135,366 | ||||||
1,710,000 | Northwest Pipeline LLC, 4.00%, 4/1/27, Callable 1/1/27 @ 100 | 1,861,034 |
See accompanying notes to the financial statements.
13
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 3,300,000 | Occidental Petroleum Corp., 8.36%, 10/10/36(c) | $ | 1,386,000 | ||||
2,811,000 | Sabine Pass Liquefaction LLC, 5.63%, 3/1/25, Callable 12/1/24 @ 100 | 3,208,053 | ||||||
1,522,000 | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27, Callable 9/15/26 @ 100 | 1,700,835 | ||||||
687,000 | Sabine Pass Liquefaction LLC, 4.20%, 3/15/28, Callable 9/15/27 @ 100 | 736,808 | ||||||
114,000 | Sunoco Logistics Partners LP, 5.30%, 4/1/44, Callable 10/1/43 @ 100 | 111,293 | ||||||
604,000 | Sunoco Logistics Partners Operations LP, 4.00%, 10/1/27, Callable 7/1/27 @ 100 | 617,590 | ||||||
220,000 | Texas Eastern Transmission LP, 2.80%, 10/15/22, Callable 7/15/22 @ 100(a) | 223,800 | ||||||
1,197,000 | Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100(a) | 1,271,737 | ||||||
1,414,000 | Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47 @ 100(a) | 1,550,213 | ||||||
2,857,000 | Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100 | 3,692,046 | ||||||
1,820,000 | Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100 | 2,008,428 | ||||||
44,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, 3/15/48, Callable 9/15/47 @ 100 | 49,834 | ||||||
47,000 | Williams Cos., Inc., 7.88%, 9/1/21 | 50,525 | ||||||
240,000 | Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 309,652 | ||||||
|
| |||||||
36,375,920 | ||||||||
|
| |||||||
Pharmaceuticals (0.2%): | ||||||||
2,000 | Bristol-Myers Squibb Co., 3.88%, 8/15/25, Callable 5/15/25 @ 100(a) | 2,281 | ||||||
500,000 | Eli Lilly & Co., 1.70%, 11/1/49, Callable 5/1/49 @ 100 | 584,048 | ||||||
821,000 | Merck & Co., Inc., 2.45%, 6/24/50, Callable 12/24/49 @ 100 | 825,233 | ||||||
102,000 | Pfizer, Inc., 3.00%, 9/15/21 | 105,177 | ||||||
599,000 | Pfizer, Inc., 2.63%, 4/1/30, Callable 1/1/30 @ 100 | 658,474 | ||||||
300,000 | Pfizer, Inc., 1.70%, 5/28/30, Callable 2/28/30 @ 100 | 305,098 | ||||||
110,000 | Pfizer, Inc., 4.13%, 12/15/46 | 141,186 | ||||||
79,000 | Pfizer, Inc., 4.20%, 9/15/48, Callable 3/15/48 @ 100 | 103,185 | ||||||
222,000 | Wyeth LLC, 5.95%, 4/1/37 | 325,779 | ||||||
|
| |||||||
3,050,461 | ||||||||
|
| |||||||
Professional Services (0.2%): | ||||||||
3,096,000 | RELX Capital, Inc., 3.50%, 3/16/23, Callable 2/16/23 @ 100 | 3,296,252 | ||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
1,802,000 | CC Holdings GS V LLC, 3.85%, 4/15/23 | 1,943,912 | ||||||
915,000 | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29 | 910,269 | ||||||
|
| |||||||
2,854,181 | ||||||||
|
| |||||||
Road & Rail (0.5%): | ||||||||
74,000 | Burlington Northern Santa Fe LLC, 5.05%, 3/1/41, Callable 9/1/40 @ 100 | 97,765 | ||||||
85,000 | Burlington Northern Santa Fe LLC, 4.95%, 9/15/41, Callable 3/15/41 @ 100 | 112,747 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Road & Rail, continued | ||||||||
$ | 345,000 | Burlington Northern Santa Fe LLC, 4.15%, 12/15/48, Callable 6/15/48 @ 100 | $ | 433,004 | ||||
1,532,000 | CSX Corp., 2.60%, 11/1/26, Callable 8/1/26 @ 100 | 1,666,805 | ||||||
242,000 | CSX Corp., 3.25%, 6/1/27, Callable 3/1/27 @ 100 | 270,701 | ||||||
568,000 | CSX Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100 | 654,179 | ||||||
663,000 | CSX Corp., 4.30%, 3/1/48, Callable 9/1/47 @ 100 | 825,373 | ||||||
165,000 | CSX Corp., 4.50%, 3/15/49, Callable 9/15/48 @ 100 | 212,614 | ||||||
185,000 | Norfolk Southern Corp., 3.65%, 8/1/25, Callable 6/1/25 @ 100 | 208,850 | ||||||
461,000 | Norfolk Southern Corp., 2.90%, 6/15/26, Callable 3/15/26 @ 100 | 509,840 | ||||||
910,000 | Norfolk Southern Corp., 2.55%, 11/1/29, Callable 8/1/29 @ 100 | 969,473 | ||||||
135,000 | Norfolk Southern Corp., 4.45%, 6/15/45, Callable 12/15/44 @ 100 | 169,613 | ||||||
408,000 | Norfolk Southern Corp., 3.40%, 11/1/49, Callable 5/1/49 @ 100 | 449,732 | ||||||
3,000 | Norfolk Southern Corp., 4.05%, 8/15/52, Callable 2/15/52 @ 100 | 3,577 | ||||||
425,000 | Union Pacific Corp., 2.75%, 3/1/26, Callable 12/1/25 @ 100 | 462,502 | ||||||
289,000 | Union Pacific Corp., 4.05%, 11/15/45, Callable 5/15/45 @ 100 | 348,094 | ||||||
102,000 | Union Pacific Corp., 4.50%, 9/10/48, Callable 3/10/48 @ 100 | 132,690 | ||||||
843,000 | Union Pacific Corp., 3.25%, 2/5/50, Callable 8/5/49 @ 100 | 919,469 | ||||||
290,000 | Union Pacific Corp., 3.88%, 2/1/55, Callable 8/1/54 @ 100 | 348,629 | ||||||
400,769 | Union Pacific Railroad Co., Series 2014-1, 3.23%, 5/14/26 | 429,230 | ||||||
|
| |||||||
9,224,887 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.1%): | ||||||||
453,000 | Analog Devices, Inc., 2.95%, 4/1/25, Callable 3/1/25 @ 100 | 490,822 | ||||||
188,000 | Analog Devices, Inc., 3.90%, 12/15/25, Callable 9/15/25 @ 100 | 213,542 | ||||||
50,000 | Analog Devices, Inc., 4.50%, 12/5/36, Callable 6/5/36 @ 100 | 59,365 | ||||||
7,000 | Analog Devices, Inc., 5.30%, 12/15/45, Callable 6/15/45 @ 100 | 9,516 | ||||||
500,000 | Applied Materials, Inc., 3.30%, 4/1/27, Callable 1/1/27 @ 100 | 570,342 | ||||||
337,000 | Applied Materials, Inc., 1.75%, 6/1/30, Callable 3/1/30 @ 100 | 344,849 | ||||||
4,101,000 | Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27, Callable 10/15/26 @ 100 | 4,425,675 | ||||||
1,916,000 | Broadcom, Inc., 4.70%, 4/15/25, Callable 3/15/25 @ 100(a) | 2,160,997 | ||||||
1,144,000 | Broadcom, Inc., 4.25%, 4/15/26, Callable 2/15/26 @ 100(a) | 1,272,971 | ||||||
226,000 | Broadcom, Inc., 5.00%, 4/15/30, Callable 1/15/30 @ 100(a) | 260,060 | ||||||
2,128,000 | Intel Corp., 2.45%, 11/15/29, Callable 8/15/29 @ 100 | 2,298,557 |
See accompanying notes to the financial statements.
14
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
$ | 1,406,000 | Intel Corp., 3.90%, 3/25/30, Callable 12/25/29 @ 100 | $ | 1,702,378 | ||||
487,000 | Intel Corp., 4.10%, 5/19/46, Callable 11/19/45 @ 100 | 608,547 | ||||||
402,000 | KLA Corp., 3.30%, 3/1/50, Callable 8/28/49 @ 100 | 414,758 | ||||||
289,000 | KLA-Tencor Corp., 4.65%, 11/1/24, Callable 8/1/24 @ 100 | 331,235 | ||||||
841,000 | KLA-Tencor Corp., 4.10%, 3/15/29, Callable 12/15/28 @ 100 | 990,817 | ||||||
102,000 | KLA-Tencor Corp., 5.00%, 3/15/49, Callable 9/15/48 @ 100 | 134,615 | ||||||
363,000 | Lam Research Corp., 3.75%, 3/15/26, Callable 1/15/26 @ 100 | 415,925 | ||||||
351,000 | Lam Research Corp., 4.88%, 3/15/49, Callable 9/15/48 @ 100 | 482,949 | ||||||
433,000 | Lam Research Corp., 2.88%, 6/15/50, Callable 12/15/49 @ 100 | 445,797 | ||||||
808,000 | NVIDIA Corp., 3.20%, 9/16/26, Callable 6/16/26 @ 100 | 915,081 | ||||||
1,652,000 | NVIDIA Corp., 2.85%, 4/1/30, Callable 1/1/30 @ 100 | 1,833,284 | ||||||
627,000 | NVIDIA Corp., 3.50%, 4/1/50, Callable 10/1/49 @ 100 | 715,915 | ||||||
597,000 | Qualcomm, Inc., 4.80%, 5/20/45, Callable 11/20/44 @ 100 | 775,301 | ||||||
361,000 | Qualcomm, Inc., 4.30%, 5/20/47, Callable 11/20/46 @ 100 | 449,425 | ||||||
637,000 | Texas Instruments, Inc., 1.75%, 5/4/30, Callable 2/4/30 @ 100 | 647,396 | ||||||
|
| |||||||
22,970,119 | ||||||||
|
| |||||||
Software (0.8%): | ||||||||
1,438,000 | Autodesk, Inc., 2.85%, 1/15/30, Callable 10/15/29 @ 100 | 1,584,887 | ||||||
168,000 | Microsoft Corp., 3.50%, 2/12/35, Callable 8/12/34 @ 100 | 204,430 | ||||||
717,000 | Microsoft Corp., 4.20%, 11/3/35, Callable 5/3/35 @ 100 | 930,700 | ||||||
450,000 | Microsoft Corp., 3.75%, 2/12/45, Callable 8/12/44 @ 100 | 565,541 | ||||||
708,000 | Microsoft Corp., 3.70%, 8/8/46, Callable 2/8/46 @ 100 | 885,860 | ||||||
2,118,000 | Oracle Corp., 2.95%, 11/15/24, Callable 9/15/24 @ 100 | 2,297,600 | ||||||
1,032,000 | Oracle Corp., 2.50%, 4/1/25, Callable 3/1/25 @ 100 | 1,106,364 | ||||||
817,000 | Oracle Corp., 2.65%, 7/15/26, Callable 4/15/26 @ 100 | 883,483 | ||||||
994,000 | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | 1,083,453 | ||||||
3,255,000 | Oracle Corp., 3.25%, 11/15/27, Callable 8/15/27 @ 100 | 3,660,436 | ||||||
310,000 | Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100 | 386,454 | ||||||
1,564,000 | Oracle Corp., 3.90%, 5/15/35, Callable 11/15/34 @ 100 | 1,871,185 | ||||||
109,000 | Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100 | 127,513 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Software, continued | ||||||||
$ | 1,030,000 | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | $ | 1,162,541 | ||||
100,000 | Oracle Corp., 5.38%, 7/15/40 | 137,073 | ||||||
|
| |||||||
16,887,520 | ||||||||
|
| |||||||
Specialty Retail (0.2%): | ||||||||
3,841,000 | Lowe’s Cos., Inc., 4.00%, 4/15/25, Callable 3/15/25 @ 100 | 4,370,950 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.4%): | ||||||||
1,255,000 | Apple, Inc., 1.00%, 11/10/22 | 1,447,195 | ||||||
919,000 | Apple, Inc., 2.75%, 1/13/25, Callable 11/13/24 @ 100 | 998,827 | ||||||
700,000 | Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100 | 792,848 | ||||||
371,000 | Apple, Inc., 3.00%, 11/13/27, Callable 8/13/27 @ 100 | 416,512 | ||||||
1,012,000 | Apple, Inc., 4.25%, 2/9/47, Callable 8/9/46 @ 100 | 1,316,222 | ||||||
443,000 | Apple, Inc., 3.75%, 11/13/47, Callable 5/13/47 @ 100 | 538,393 | ||||||
725,000 | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a) | 833,272 | ||||||
134,000 | Dell International LLC/EMC Corp., 4.90%, 10/1/26, Callable 8/1/26 @ 100(a) | 147,280 | ||||||
720,000 | Dell International LLC/EMC Corp., 8.10%, 7/15/36, Callable 1/15/36 @ 100(a) | 928,115 | ||||||
973,000 | Hewlett Packard Enterprise Co., 4.40%, 10/15/22, Callable 8/15/22 @ 100 | 1,041,613 | ||||||
140,000 | Hewlett Packard Enterprise Co., 4.65%, 10/1/24, Callable 9/1/24 @ 100 | 156,859 | ||||||
5,000 | HP Enterprise Co., 3.60%, 10/15/20, Callable 9/15/20 @ 100 | 5,031 | ||||||
108,000 | HP, Inc., 6.00%, 9/15/41 | 127,280 | ||||||
|
| |||||||
8,749,447 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.1%): | ||||||||
1,713,000 | NIKE, Inc., 2.75%, 3/27/27, Callable 1/27/27 @ 100 | 1,880,352 | ||||||
|
| |||||||
Tobacco (0.4%): | ||||||||
907,000 | Altria Group, Inc., 4.80%, 2/14/29, Callable 11/14/28 @ 100 | 1,057,682 | ||||||
900,000 | Altria Group, Inc., 3.13%, 6/15/31, Callable 3/15/31 @ 100 | 1,099,908 | ||||||
1,359,000 | Altria Group, Inc., 5.80%, 2/14/39, Callable 8/14/38 @ 100 | 1,685,158 | ||||||
647,000 | BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100 | 692,838 | ||||||
499,000 | BAT Capital Corp., 3.56%, 8/15/27, Callable 5/15/27 @ 100 | 541,403 | ||||||
432,000 | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100 | 471,429 | ||||||
700,000 | Philip Morris International, Inc., 1.45%, 8/1/39, Callable 5/1/39 @ 100 | 730,873 | ||||||
1,369,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 1,542,580 | ||||||
|
| |||||||
7,821,871 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.6%): | ||||||||
6,459,375 | Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a) | 6,528,147 |
See accompanying notes to the financial statements.
15
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 4,332,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a) | $ | 4,790,174 | ||||
|
| |||||||
11,318,321 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $563,984,096) | 589,265,151 | |||||||
|
| |||||||
Foreign Bonds (4.5%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
1,400,000 | Airbus SE, 2.00%, 4/7/28, Callable 1/7/28 @ 100+(a) | 1,659,208 | ||||||
400,000 | Airbus SE, 2.38%, 6/9/40, Callable 3/9/40 @ 100+(a) | 465,328 | ||||||
545,000 | Rolls-Royce plc, Series E, 2.13%, 6/18/21+(a) | 605,840 | ||||||
1,000,000 | Thales SA, 0.26%, 5/31/22, Callable 4/30/22 @ 100+(a) | 1,117,800 | ||||||
1,200,000 | Thales SA, 0.75%, 6/7/23, Callable 3/7/23 @ 100+(a) | 1,364,696 | ||||||
100,000 | Thales SA, 0.75%, 1/23/25, Callable 10/23/24 @ 100+(a) | 114,084 | ||||||
|
| |||||||
5,326,956 | ||||||||
|
| |||||||
Auto Components (0.0%†): | ||||||||
630,000 | Conti-Gummi Finance BV, 1.13%, 9/25/24, Callable 6/25/24 @ 100+(a) | 705,708 | ||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
995,000 | Daimler International Finance BV, Series E, 0.25%, 8/9/21+(a) | 1,116,973 | ||||||
310,000 | Daimler International Finance BV, Series E, 0.25%, 11/6/23+(a) | 339,278 | ||||||
710,000 | Volkswagen Financial Services AG, Series E, 0.75%, 10/14/21+(a) | 797,044 | ||||||
|
| |||||||
2,253,295 | ||||||||
|
| |||||||
Banks (0.7%): | ||||||||
1,100,000 | Banque Federative du Credit Mutuel SA, Series E, 0.13%, 8/30/21+(a) | 1,236,266 | ||||||
600,000 | Banque Federative du Credit Mutuel SA, Series E, 0.75%, 6/15/23+(a) | 686,433 | ||||||
1,625,000 | BNP Paribas, 1.13%, 1/15/23+(a) | 1,874,331 | ||||||
500,000 | BPCE SA, 0.25%, 1/15/26+(a) | 557,546 | ||||||
1,000,000 | ING Bank NV, Series G, 0.17%, 4/8/22+(a) | 1,119,957 | ||||||
1,677,000 | ING Bank NV, 3.62% (EUSA5+225bps), 2/25/26, Callable 2/25/21 @ 100+(a) | 1,911,684 | ||||||
400,000 | KBC Group NV, Series E, 1.13%, 1/25/24+(a) | 460,987 | ||||||
440,000 | Mizuho Financial Group, Inc., Series E, 0.52%, 6/10/24+(a) | 492,035 | ||||||
435,000 | Simon International Finance SCA, 1.38%, 11/18/22, Callable 8/18/22 @ 100+(a) | 489,307 | ||||||
500,000 | Skandinaviska Enskilda Banken AB, 0.63%, 11/12/29+(a) | 558,378 | ||||||
2,500,000 | Societe Generale, 0.18%, 5/27/22+(a) | 2,799,050 | ||||||
1,000,000 | Toronto-Dominion Bank (The), Series E, 0.38%, 4/25/24+(a) | 1,125,698 | ||||||
|
| |||||||
13,311,672 | ||||||||
|
| |||||||
Beverages (0.1%): | ||||||||
600,000 | Pernod Ricard SA, 0.28%, 10/24/23, Callable 9/24/23 @ 100+(a) | 667,762 | ||||||
500,000 | Pernod Ricard SA, 1.13%, 4/7/25, Callable 1/7/25 @ 100+(a) | 579,694 | ||||||
|
| |||||||
1,247,456 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Capital Markets (0.1%): | ||||||||
$ | 900,000 | Credit Suisse Group AG, 3.25% (EUAMDB01+350bps), 4/2/26, Callable 4/2/25 @ 100+(a) | $ | 1,118,350 | ||||
1,170,000 | UBS Group AG, 0.25% (EUSA1+55bps), 1/29/26, Callable 1/29/25 @ 100+(a) | 1,289,740 | ||||||
|
| |||||||
2,408,090 | ||||||||
|
| |||||||
Chemicals (0.1%): | ||||||||
800,000 | Air Liquide Finance SA, Series E, 0.38%, 4/18/22, Callable 1/18/22 @ 100+(a) | 902,670 | ||||||
500,000 | BASF SE, 0.25%, 6/5/27, Callable 3/5/27 @ 100+(a) | 564,837 | ||||||
390,000 | Covestro AG, 0.88%, 2/3/26, Callable 11/3/25 @ 100+(a) | 436,998 | ||||||
700,000 | Firmenich Productions Participations SAS, 1.38%, 10/30/26, Callable 7/30/26 @ 100+(a) | 806,791 | ||||||
470,000 | Firmenich Productions Participations SAS, 1.75%, 4/30/30, Callable 1/30/30 @ 100+(a) | 548,741 | ||||||
600,000 | Linde Finance BV, 0.55%, 5/19/32, Callable 2/19/32 @ 100+(a) | 676,369 | ||||||
|
| |||||||
3,936,406 | ||||||||
|
| |||||||
Construction & Engineering (0.0%†): | ||||||||
500,000 | APRR SA, 0.25%, 1/20/23+(a) | 558,176 | ||||||
|
| |||||||
Consumer Finance (0.0%†): | ||||||||
570,000 | Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22+(a) | 640,297 | ||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
220,000 | Amcor UK Finance plc, 1.13%, 6/23/27, Callable 4/23/27 @ 100+ | 249,102 | ||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
660,000 | BAT International Finance plc, Series E, 0.88%, 10/13/23, Callable 7/13/23 @ 100+(a) | 744,762 | ||||||
515,000 | BAT International Finance plc, 1.25%, 3/13/27, Callable 12/13/26 @ 100+(a) | 570,090 | ||||||
1,810,000 | BMW Finance NV, 0.42%, 4/14/23+(a) | 2,009,982 | ||||||
1,035,000 | BP Capital Markets plc, Series E, 1.37%, 3/3/22+(a) | 1,184,246 | ||||||
640,000 | BP Capital Markets plc, Series E, 1.11%, 2/16/23+(a) | 734,963 | ||||||
185,000 | BP Capital Markets plc, 2.82%, 4/7/32+(a) | 238,161 | ||||||
330,000 | Enel Finance International NV, Series E, 0.32%, 6/17/24, Callable 5/17/24 @ 100+(a) | 366,064 | ||||||
670,000 | OP Corporate Bank plc, 0.50%, 8/12/25+(a) | 761,963 | ||||||
1,900,000 | OP Corporate Bank plc, 1.63% (EUSA5+200bps), 6/9/30, Callable 6/9/25 @ 100+(a) | 2,126,467 | ||||||
400,000 | Total Capital International SA, Series E, 2.13%, 11/19/21+(a) | 461,482 | ||||||
400,000 | Total Capital International SA, Series E, 2.13%, 3/15/23+(a) | 473,471 | ||||||
1,200,000 | Volvo Treasury AB, Series E, 0.29% (EUR003M+65bps), 9/13/21+(a) | 1,342,938 | ||||||
300,000 | Volvo Treasury AB, 0.90%, 2/11/23+(a) | 329,240 | ||||||
700,000 | Vonovia Finance BV, 0.75%, 1/25/22+(a) | 791,747 | ||||||
1,500,000 | Vonovia Finance BV, Series E, 0.13%, 4/6/23, Callable 3/6/23 @ 100+(a) | 1,672,808 | ||||||
|
| |||||||
13,808,384 | ||||||||
|
|
See accompanying notes to the financial statements.
16
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Diversified Telecommunication Services (0.3%): | ||||||||
$ | 900,000 | Orange SA, Series E, 0.50%, 1/15/22, Callable 12/15/21 @ 100+(a) | $ | 1,017,011 | ||||
200,000 | Orange SA, Series E, 0.75%, 9/11/23, Callable 6/11/23 @ 100+(a) | 228,256 | ||||||
330,000 | Swisscom Finance BV, 0.38%, 11/14/28, Callable 8/14/28 @ 100+(a) | 372,285 | ||||||
540,000 | Telenor ASA, Series E, 0.07%, 9/25/23, Callable 6/25/23 @ 100+(a) | 605,184 | ||||||
1,705,000 | Telstra Corp., Ltd., Series E, 3.50%, 9/21/22+(a) | 2,052,819 | ||||||
|
| |||||||
4,275,555 | ||||||||
|
| |||||||
Electric Utilities (0.2%): | ||||||||
500,000 | Elia Transmission Belgium SA, 0.88%, 4/28/30, Callable 1/28/30 @ 100+(a) | 573,162 | ||||||
470,000 | National Grid Electricity Transmission, 0.19%, 1/20/25, Callable 10/20/24 @ 100+(a) | 528,751 | ||||||
500,000 | RTE Reseau de Transport d’Electricite, Series E, 1.63%, 10/8/24, Callable 7/8/24 @ 100+(a) | 595,849 | ||||||
900,000 | RTE Reseau de Transport d’Electricite SADIR, 4.13%, 2/3/21+(a) | 1,034,522 | ||||||
|
| |||||||
2,732,284 | ||||||||
|
| |||||||
Electrical Equipment (0.1%): | ||||||||
1,565,000 | Eaton Capital Unlimited Co., 0.02%, 5/14/21, Callable 4/14/21 @ 100+(a) | 1,752,716 | ||||||
400,000 | Schneider Electric SE, 0.04%, 6/12/23, Callable 5/12/23 @ 100+(a) | 448,805 | ||||||
400,000 | Schneider Electric SE, Series E, 0.25%, 9/9/24, Callable 6/9/24 @ 100+(a) | 451,619 | ||||||
|
| |||||||
2,653,140 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%†): | ||||||||
750,000 | Amphenol Technologies Holding GmbH, 0.75%, 5/4/26, Callable 2/4/26 @ 100+(a) | 840,802 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.0%†): | ||||||||
125,000 | Prologis International Funding II SA, 1.63%, 6/17/32, Callable 3/17/32 @ 100+(a) | 146,381 | ||||||
600,000 | Unibail-Rodamco-Westfield SE, 2.00%, 6/29/32, Callable 3/29/32 @ 100+(a) | 669,966 | ||||||
|
| |||||||
816,347 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
730,000 | DH Europe Finance II Sarl, 0.20%, 3/18/26, Callable 12/18/25 @ 100+ | 806,268 | ||||||
265,000 | DH Europe Finance II Sarl, 1.35%, 9/18/39, Callable 3/18/39 @ 100+ | 283,151 | ||||||
1,970,000 | Medtronic Global Holdings SCA, 0.28%, 12/2/22, Callable 11/2/22 @ 100+ | 2,198,084 | ||||||
|
| |||||||
3,287,503 | ||||||||
|
| |||||||
Health Care Providers & Services (0.0%†): | ||||||||
430,000 | Fresenius Medical Care AG & Co. KGaA, 1.50%, 5/29/30, Callable 2/28/30 @ 100+(a) | 498,460 | ||||||
|
| |||||||
Household Durables (0.0%†): | ||||||||
300,000 | Mohawk Capital Finance SA, 1.75%, 6/12/27, Callable 4/12/27 @ 100+ | 346,367 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.0%†): | ||||||||
100,000 | Eurogrid GmbH, 1.11%, 5/15/32, Callable 2/15/32 @ 100+(a) | 118,069 | ||||||
|
|
Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Industrial Conglomerates (0.4%): | ||||||||
$ | 2,215,000 | Siemens Financieringsmaatschappij NV, Series E, 0.03%, 9/5/21+(a) | $ | 2,487,349 | ||||
2,300,000 | Siemens Financieringsmat, 0.07%, 2/20/23+(a) | 2,579,028 | ||||||
|
| |||||||
5,066,377 | ||||||||
|
| |||||||
IT Services (0.0%†): | ||||||||
700,000 | Amadeus IT Group SA, 2.88%, 5/20/27, Callable 2/20/27 @ 100+(a) | 829,738 | ||||||
400,000 | Capgemini Se, 1.13%, 6/23/30, Callable 3/23/30 @ 100+(a) | 445,363 | ||||||
|
| |||||||
1,275,101 | ||||||||
|
| |||||||
Media (0.0%†): | ||||||||
610,000 | SES SA, 2.00%, 7/2/28, Callable 4/2/28 @ 100+(a) | 681,365 | ||||||
495,000 | Sky, Ltd., Series E, 1.50%, 9/15/21+(a) | 564,400 | ||||||
660,000 | WPP Finance SA, 2.38%, 5/19/27+(a) | 760,733 | ||||||
|
| |||||||
2,006,498 | ||||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
1,300,000 | E.ON SE, Series E, 0.20%, 10/24/22, Callable 9/24/22 @ 100+(a) | 1,453,622 | ||||||
1,400,000 | Engie SA, Series E, 0.38%, 2/28/23, Callable 11/28/22 @ 100+(a) | 1,582,283 | ||||||
600,000 | Engie SA, 1.75%, 3/27/28, Callable 12/27/27 @ 100+(a) | 728,540 | ||||||
395,000 | ESB Finance DAC, Series E, 3.49%, 1/12/24+(a) | 493,809 | ||||||
280,000 | Innogy Finance BV, Series E, 0.75%, 11/30/22, Callable 8/30/22 @ 100+(a) | 317,819 | ||||||
200,000 | Redexis Gas Finance BV, 1.88%, 5/28/25, Callable 2/28/25 @ 100+(a) | 232,073 | ||||||
400,000 | Suez SA, 1.25%, 5/14/35, Callable 2/14/35 @ 100+(a) | 455,618 | ||||||
1,300,000 | Veolia Environnement SA, Series E, 0.67%, 3/30/22, Callable 12/30/21 @ 100+(a) | 1,469,264 | ||||||
200,000 | Veolia Environnement SA, 1.59%, 1/10/28, Callable 10/10/27 @ 100+(a) | 242,274 | ||||||
100,000 | Veolia Environnement SA, 0.80%, 1/15/32, Callable 10/15/31 @ 100+(a) | 112,118 | ||||||
|
| |||||||
7,087,420 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
390,000 | Equinor ASA, 1.38%, 5/22/32, Callable 2/22/32 @ 100+(a) | 465,279 | ||||||
|
| |||||||
Pharmaceuticals (0.4%): | ||||||||
475,000 | Abbott Ireland Financing DAC, 0.88%, 9/27/23, Callable 8/27/23 @ 100+(a) | 545,608 | ||||||
490,000 | Abbott Ireland Financing DAC, 0.10%, 11/19/24, Callable 10/19/24 @ 100+(a) | 547,056 | ||||||
2,200,000 | Merck Financial Services GmbH, Series E, 0.01%, 12/15/23, Callable 9/15/23 @ 100+(a) | 2,459,533 | ||||||
500,000 | Merck Financial Services GmbH, 0.13%, 7/16/25, Callable 4/16/25 @ 100+(a) | 558,591 | ||||||
740,000 | Novartis Finance SA, 0.50%, 8/14/23, Callable 5/14/23 @ 100+(a) | 844,871 | ||||||
1,335,000 | Takeda Pharmaceutical Co., Ltd., 2.00%, 7/9/40, Callable 1/9/40 @ 100+ | 1,489,249 | ||||||
840,000 | Upjohn Finance BV, 1.02%, 6/23/24, Callable 5/23/24 @ 100+(a) | 949,569 | ||||||
|
| |||||||
7,394,477 | ||||||||
|
|
See accompanying notes to the financial statements.
17
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Foreign Bonds, continued | ||||||||
Professional Services (0.0%†): | ||||||||
$ | 520,000 | RELX Finance BV, 0.39%, 3/18/24, Callable 2/18/24 @ 100+(a) | $ | 575,823 | ||||
220,000 | Wolters Kluwer NV, 0.75%, 7/3/30, Callable 4/3/30 @ 100+(a) | 244,421 | ||||||
|
| |||||||
820,244 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.0%†): | ||||||||
495,000 | ASML Holding NV, 0.63%, 5/7/29, Callable 2/7/29 @ 100+(a) | 558,928 | ||||||
|
| |||||||
Software (0.1%): | ||||||||
2,200,000 | Dassault Systemes SE, 0.10%, 9/16/22, Callable 8/16/22 @ 100+(a) | 2,465,809 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.2%): | ||||||||
100,000 | Kering SA, 0.75%, 5/13/28, Callable 2/13/28 @ 100+(a) | 114,399 | ||||||
200,000 | LVMH Moet Hennessy Louis Vuitton SE, Series E, 0.15%, 2/28/21+(a) | 224,452 | ||||||
690,000 | LVMH Moet Hennessy Louis Vuitton SE, Series E, 0.38%, 5/26/22, Callable 2/26/22 @ 100+(a) | 778,925 | ||||||
900,000 | LVMH Moet Hennessy Louis Vuitton SE, 0.17%, 2/11/24, Callable 12/11/23 @ 100+(a) | 1,004,746 | ||||||
1,900,000 | LVMH Moet Hennessy Louis Vuitton SE, 0.26%, 2/11/26, Callable 11/11/25 @ 100+(a) | 2,104,013 | ||||||
220,000 | Richemont International Holding SA, 0.75%, 5/26/28, Callable 2/26/28 @ 100+(a) | 253,943 | ||||||
|
| |||||||
4,480,478 | ||||||||
|
| |||||||
Total Foreign Bonds (Cost $90,485,657) | 91,634,680 | |||||||
|
| |||||||
Yankee Dollars (6.0%): | ||||||||
Airlines (0.0%†): | ||||||||
219,333 | Air Canada Pass Through Trust, Class B, Series 2015-2, 5.00%, 6/15/25(a) | 179,853 | ||||||
309,272 | Air Canada Pass Through Trust, Class A, Series 2017-1, 3.30%, 7/15/31(a) | 275,264 | ||||||
|
| |||||||
455,117 | ||||||||
|
| |||||||
Auto Components (0.0%†): | ||||||||
612,000 | Magna International, Inc., 2.45%, 6/15/30, Callable 3/15/30 @ 100 | 623,333 | ||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
1,147,000 | Volkswagen International Finance NV, 4.00%, 8/12/20(a) | 1,149,854 | ||||||
|
| |||||||
Banks (1.7%): | ||||||||
2,400,000 | Banco Santander SA, 2.71%, 6/27/24 | 2,518,975 | ||||||
200,000 | Banco Santander SA, 3.31%, 6/27/29 | 214,687 | ||||||
89,000 | Bank of Nova Scotia, 3.13%, 4/20/21 | 90,976 | ||||||
1,170,000 | Barclays Bank plc, 1.70%, 5/12/22, Callable 4/12/22 @ 100 | 1,187,311 | ||||||
2,540,000 | Barclays plc, 4.34%(US0003M+136bps), 5/16/24, Callable 5/16/23 @ 100 | 2,736,851 | ||||||
1,525,000 | BNP Paribas SA, 3.38%, 1/9/25(a) | 1,643,828 | ||||||
202,000 | BNP Paribas SA, 2.82%(US0003M+1bps), 11/19/25, Callable 11/19/24 @ 100(a) | 211,189 | ||||||
470,000 | BPCE SA, 3.00%, 5/22/22(a) | 485,777 | ||||||
1,172,000 | BPCE SA, 2.70%, 10/1/29(a) | 1,244,229 | ||||||
250,000 | Danske Bank A/S, 3.00%(US0003M+125bps), 9/20/22, Callable 9/20/21 @ 100(a) | 253,703 |
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Banks, continued | ||||||||
$ | 580,000 | Danske Bank A/S, 3.88%, 9/12/23(a) | $ | 613,129 | ||||
1,100,000 | Danske Bank A/S, 5.38%, 1/12/24(a) | 1,220,400 | ||||||
592,000 | Danske Bank A/S, 1.23%, 6/22/24, Callable 6/22/23 @ 100(a) | 594,559 | ||||||
200,000 | Danske Bank A/S, 3.24%(US0003M+159bps), 12/20/25, Callable 12/20/24 @ 100(a) | 207,506 | ||||||
590,000 | HSBC Holdings plc, 2.65%, 1/5/22 | 608,213 | ||||||
2,053,000 | HSBC Holdings plc, 3.26%(US0003M+106bps), 3/13/23, Callable 3/13/22 @ 100 | 2,124,272 | ||||||
200,000 | HSBC Holdings plc, 4.58%(US0003M+153bps), 6/19/29, Callable 6/19/28 @ 100 | 229,956 | ||||||
1,036,000 | HSBC Holdings plc, 4.95%, 3/31/30 | 1,239,136 | ||||||
486,000 | HSBC Holdings plc, 2.85%(SOFR+239bps), 6/4/31, Callable 6/4/30 @ 100 | 499,144 | ||||||
615,000 | ING Groep NV, 1.40%(H15T1Y+110bps), 7/1/26, Callable 7/1/25 @ 100(a) | 617,437 | ||||||
205,000 | Lloyds Banking Group plc, 4.05%, 8/16/23 | 221,832 | ||||||
1,128,000 | Lloyds Banking Group plc, 2.91%(US0003M+81bps), 11/7/23, Callable 11/7/22 @ 100 | 1,170,300 | ||||||
605,000 | Mitsubishi UFJ Financial Group, Inc., 2.95%, 3/1/21 | 614,067 | ||||||
3,641,000 | Mitsubishi UFJ Financial Group, Inc., 3.20%, 7/18/29 | 3,959,635 | ||||||
220,000 | Mizuho Financial Group, Inc., 3.92%(US0003M+100bps), 9/11/24, Callable 9/11/23 @ 100 | 237,208 | ||||||
2,395,000 | Mizuho Financial Group, Inc., 2.84%(US0003M+98bps), 7/16/25, Callable 7/16/24 @ 100 | 2,510,429 | ||||||
1,015,000 | Mizuho Financial Group, Inc., 2.55%(US0003M+110bps), 9/13/25, Callable 9/13/24 @ 100 | 1,057,073 | ||||||
2,092,000 | Mizuho Financial Group, Inc., 2.23%(US0003M+83bps), 5/25/26, Callable 5/25/25 @ 100 | 2,144,524 | ||||||
200,000 | Mizuho Financial Group, Inc., 3.17%, 9/11/27 | 214,311 | ||||||
1,247,000 | Royal Bank of Canada, Series G, 3.70%, 10/5/23, MTN | 1,360,440 | ||||||
210,000 | Standard Chartered plc, 3.95%, 1/11/23(a) | 218,625 | ||||||
694,000 | Sumitomo Mitsui Financial Group, Inc., 2.63%, 7/14/26 | 737,295 | ||||||
708,000 | Sumitomo Mitsui Financial Group, Inc., 3.04%, 7/16/29 | 761,567 | ||||||
|
| |||||||
33,748,584 | ||||||||
|
| |||||||
Beverages (0.2%): | ||||||||
2,754,000 | Suntory Holdings, Ltd., 2.25%, 10/16/24, Callable 9/16/24 @ 100(a) | 2,855,878 | ||||||
|
| |||||||
Biotechnology (0.1%): | ||||||||
2,249,000 | Shire Acquisitions Investments, 3.20%, 9/23/26, Callable 6/23/26 @ 100 | 2,495,554 | ||||||
|
| |||||||
Capital Markets (0.2%): | ||||||||
1,208,000 | Credit Suisse AG, 3.63%, 9/9/24 | 1,332,791 | ||||||
1,178,000 | Credit Suisse Group AG, 2.59%(SOFR+156bps), 9/11/25, Callable 9/11/24 @ 100(a) | 1,215,155 |
See accompanying notes to the financial statements.
18
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 315,000 | Credit Suisse Group Funding Guernsey, Ltd., 4.55%, 4/17/26 | $ | 362,250 | ||||
180,000 | Deutsche Bank AG, 2.95%, 8/20/20 | 180,277 | ||||||
206,000 | Deutsche Bank AG, 4.10%, 1/13/26^ | 218,589 | ||||||
2,000 | Macquarie Group, Ltd., 4.65%(US0003M+173bps), 3/27/29, Callable 3/27/28 @ 100(a) | 2,260 | ||||||
400,000 | UBS Group AG, 3.00%, 4/15/21(a) | 407,743 | ||||||
1,888,000 | UBS Group AG, 2.86%(US0003M+95bps), 8/15/23, Callable 8/15/22 @ 100(a) | 1,955,821 | ||||||
395,000 | UBS Group AG, 4.13%, 9/24/25(a) | 447,701 | ||||||
|
| |||||||
6,122,587 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
250,000 | Air Liquide Finance SA, 1.75%, 9/27/21, Callable 8/27/21 @ 100(a) | 253,098 | ||||||
220,000 | LYB International Finance BV, 4.00%, 7/15/23 | 238,340 | ||||||
|
| |||||||
491,438 | ||||||||
|
| |||||||
Communications Equipment (0.0%†): | ||||||||
125,000 | Tyco Electronics Group SA, 3.45%, 8/1/24, Callable 5/1/24 @ 100 | 135,089 | ||||||
6,000 | Tyco Electronics Group SA, 3.13%, 8/15/27, Callable 5/15/27 @ 100 | 6,539 | ||||||
|
| |||||||
141,628 | ||||||||
|
| |||||||
Consumer Finance (0.2%): | ||||||||
1,675,000 | Hyundai Capital Services, Inc., 3.00%, 8/29/22(a) | 1,711,616 | ||||||
1,390,000 | Hyundai Capital Services, Inc., 3.75%, 3/5/23(a) | 1,455,566 | ||||||
|
| |||||||
3,167,182 | ||||||||
|
| |||||||
Diversified Financial Services (0.5%): | ||||||||
245,000 | Corp. Financiera de Desarrollo SA, 4.75%, 7/15/25(a) | 267,969 | ||||||
2,069,000 | GE Capital International Funding, 4.42%, 11/15/35 | 2,085,351 | ||||||
9,000 | Nvent Finance Sarl, 4.55%, 4/15/28, Callable 1/15/28 @ 100 | 9,468 | ||||||
1,396,000 | NXP BV/NXP Funding LLC, 4.63%, 6/1/23(a) | 1,526,365 | ||||||
323,000 | NXP BV/NXP Funding LLC, 5.55%, 12/1/28, Callable 9/1/28 @ 100(a) | 393,673 | ||||||
452,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 6/18/29, Callable 3/18/29 @ 100(a) | 511,849 | ||||||
1,040,000 | ORIX Corp., 2.90%, 7/18/22 | 1,077,400 | ||||||
575,000 | ORIX Corp., 3.25%, 12/4/24 | 619,563 | ||||||
160,000 | Shell International Finance BV, 2.50%, 9/12/26 | 172,182 | ||||||
1,642,000 | Shell International Finance BV, 2.38%, 11/7/29, Callable 8/7/29 @ 100 | 1,716,493 | ||||||
20,000 | Total Capital Canada, Ltd., 2.75%, 7/15/23 | 21,192 | ||||||
242,000 | Total Capital International SA, 3.70%, 1/15/24 | 265,719 | ||||||
920,000 | Total Capital International SA, 3.75%, 4/10/24 | 1,013,499 | ||||||
495,000 | Total Capital International SA, 2.43%, 1/10/25, Callable 10/10/24 @ 100 | 524,237 | ||||||
|
| |||||||
10,204,960 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
389,000 | Deutsche Telekom International Finance BV, 2.49%, 9/19/23, Callable 7/19/23 @ 100(a) | 405,389 | ||||||
|
| |||||||
Food & Staples Retailing (0.0%†): | ||||||||
850,000 | Seven & I Holdings Co., Ltd., 3.35%, 9/17/21(a) | 873,338 | ||||||
|
|
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Insurance (0.1%): | ||||||||
$ | 196,000 | Aon plc, 4.45%, 5/24/43, Callable 2/24/43 @ 100 | $ | 231,727 | ||||
955,000 | Aon plc, 4.60%, 6/14/44, Callable 3/14/44 @ 100 | 1,158,012 | ||||||
|
| |||||||
1,389,739 | ||||||||
|
| |||||||
Interactive Media & Services (0.2%): | ||||||||
490,000 | Baidu, Inc., 4.38%, 5/14/24, Callable 4/14/24 @ 100 | 533,203 | ||||||
475,000 | Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100 | 534,726 | ||||||
1,511,000 | Tencent Holdings, Ltd., 2.99%, 1/19/23, Callable 12/19/22 @ 100(a) | 1,565,163 | ||||||
515,000 | Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100(a) | 558,626 | ||||||
|
| |||||||
3,191,718 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.0%†): | ||||||||
320,000 | Alibaba Group Holding, Ltd., 2.80%, 6/6/23, Callable 5/6/23 @ 100 | 334,730 | ||||||
|
| |||||||
Machinery (0.0%†): | ||||||||
10,000 | CNH Industrial NV, 3.85%, 11/15/27, Callable 8/15/27 @ 100 | 10,536 | ||||||
560,000 | Ingersoll-Rand Luxembourg Finance SA, 3.50%, 3/21/26, Callable 1/21/26 @ 100 | 607,644 | ||||||
|
| |||||||
618,180 | ||||||||
|
| |||||||
Media (0.0%†): | ||||||||
460,000 | Sky, Ltd., 3.75%, 9/16/24(a) | 512,078 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
555,000 | Ecopetrol SA, 4.13%, 1/16/25 | 552,919 | ||||||
1,373,000 | Shell International Finance BV, 3.88%, 11/13/28, Callable 8/13/28 @ 100 | 1,590,056 | ||||||
465,000 | Shell International Finance BV, 4.38%, 5/11/45 | 576,063 | ||||||
134,000 | Suncor Energy, Inc., 5.95%, 12/1/34 | 160,440 | ||||||
298,000 | Suncor Energy, Inc., 6.80%, 5/15/38 | 383,644 | ||||||
208,000 | Suncor Energy, Inc., 6.50%, 6/15/38 | 261,947 | ||||||
33,000 | TransCanada PipeLines, Ltd., 6.20%, 10/15/37 | 43,965 | ||||||
|
| |||||||
3,569,034 | ||||||||
|
| |||||||
Pharmaceuticals (0.2%): | ||||||||
1,074,000 | AstraZeneca plc, 3.38%, 11/16/25 | 1,203,029 | ||||||
1,284,000 | Takeda Pharmaceutical Co., Ltd., 5.00%, 11/26/28, Callable 8/26/28 @ 100 | 1,583,499 | ||||||
|
| |||||||
2,786,528 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
250,000 | Mitsui Fudosan Co., Ltd., 2.95%, 1/23/23, Callable 12/23/22 @ 100(a) | 260,566 | ||||||
|
| |||||||
Road & Rail (0.0%†): | ||||||||
865,000 | Canadian Pacific Railway, Ltd., 2.05%, 3/5/30, Callable 12/5/29 @ 100 | 885,446 | ||||||
|
| |||||||
Sovereign Bond (2.2%): | ||||||||
5,119,000 | Mexico Government International Bond, 4.15%, 3/28/27 | 5,490,132 | ||||||
910,000 | Mexico Government International Bond, 3.75%, 1/11/28 | 946,283 | ||||||
589,561 | Oriental Republic of Uruguay, 4.50%, 8/14/24^ | 644,776 | ||||||
2,175,000 | Oriental Republic of Uruguay, 4.38%, 10/27/27 | 2,490,375 | ||||||
655,000 | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | 704,125 |
See accompanying notes to the financial statements.
19
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 689,000 | Province of Manitoba, 3.05%, 5/14/24 | $ | 752,013 | ||||
704,000 | Republic of Chile, 3.24%, 2/6/28, Callable 11/6/27 @ 100 | 771,735 | ||||||
3,516,000 | Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100 | 3,694,775 | ||||||
275,000 | Republic of Colombia, 4.50%, 3/15/29, Callable 12/15/28 @ 100 | 298,973 | ||||||
5,422,000 | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100 | 5,321,080 | ||||||
581,000 | Republic of Indonesia, 4.10%, 4/24/28 | 643,443 | ||||||
2,690,000 | Republic of Indonesia, 2.85%, 2/14/30^ | 2,747,063 | ||||||
575,000 | Republic of Panama, 4.00%, 9/22/24, Callable 6/22/24 @ 100 | 624,594 | ||||||
420,000 | Republic of Panama, 3.88%, 3/17/28, Callable 12/17/27 @ 100 | 471,450 | ||||||
540,000 | Republic of Panama, 4.50%, 5/15/47 | 660,825 | ||||||
980,000 | Republic of Peru, 4.13%, 8/25/27 | 1,123,456 | ||||||
281,000 | Republic of Peru, 5.63%, 11/18/50 | 443,408 | ||||||
3,200,000 | Republic of Philippines, 3.00%, 2/1/28 | 3,451,424 | ||||||
2,741,000 | United Mexican States, 4.50%, 4/22/29 | 2,963,695 | ||||||
7,085,000 | United Mexican States, 3.25%, 4/16/30, Callable 1/16/30 @ 100 | 6,972,454 | ||||||
1,220,000 | Uruguay Government International Bond, 4.38%, 1/23/31, Callable 10/23/30 @ 100 | 1,428,925 | ||||||
|
| |||||||
42,645,004 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.1%): | ||||||||
645,000 | Vodafone Group plc, 4.13%, 5/30/25 | 729,340 | ||||||
457,000 | Vodafone Group plc, 4.38%, 2/19/43 | 528,452 | ||||||
759,000 | Vodafone Group plc, 5.25%, 5/30/48 | 988,455 | ||||||
|
| |||||||
2,246,247 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $116,291,785) | 121,174,112 | |||||||
|
| |||||||
Municipal Bonds (1.5%): | ||||||||
Ohio (0.0%†): | ||||||||
490,000 | City of Cleveland Airport System Revenue, 2.88%, 1/1/31 | 496,801 | ||||||
|
| |||||||
New York (0.1%): | ||||||||
1,520,000 | City of New York, GO, 5.00%, 8/1/30 | 2,050,237 | ||||||
885,000 | New York State Thruway Authority Revenue, 2.90%, 1/1/35 | 955,136 | ||||||
|
| |||||||
3,005,373 | ||||||||
|
| |||||||
Massachusetts (0.2%): | ||||||||
620,000 | Commonwealth of Massachusetts, GO, 5.00%, 3/1/29 | 835,078 | ||||||
1,260,000 | Massachusetts School Building Authority Revenue, 3.40%, 10/15/40, Continuously Callable @100 | 1,307,300 | ||||||
450,000 | Massachusetts School Building Authority Revenue, Series B, 5.00%, 10/15/41, Pre-refunded 10/15/21 @ 100 | 477,765 | ||||||
1,780,000 | Massachusetts Water Resources Authority Revenue, 3.10%, 8/1/39, Continuously Callable @100 | 1,863,001 | ||||||
|
| |||||||
4,483,144 | ||||||||
|
| |||||||
North Carolina (0.2%): | ||||||||
450,000 | County of Mecklenburg NC, GO, 5.00%, 3/1/30, Continuously Callable @100 | 597,839 |
Principal Amount | Fair Value | |||||||
Municipal Bonds, continued | ||||||||
North Carolina, continued | ||||||||
$ | 1,610,000 | State of North Carolina, GO, 5.00%, 6/1/30, Continuously Callable @100 | $ | 2,166,674 | ||||
|
| |||||||
2,764,513 | ||||||||
|
| |||||||
Florida (0.0%†): | ||||||||
140,000 | County of Miami-Dade FL Aviation Revenue, 3.28%, 10/1/29 | 145,880 | ||||||
520,000 | County of Miami-Dade FL Water & Sewer System Revenue, 3.49%, 10/1/42, Continuously Callable @100 | 556,395 | ||||||
|
| |||||||
702,275 | ||||||||
|
| |||||||
New Jersey (0.0%†): | ||||||||
575,000 | New Jersey State Transportation Authority Revenue, Build America Bonds, GO, 6.56%, 12/15/40 | 706,922 | ||||||
800,000 | New Jersey State Transportation Trust Fund Authority Revenue, Series AA, 5.00%, 6/15/36, Continuously Callable @100 | 817,400 | ||||||
270,000 | New Jersey Transportation Trust Fund Authority Revenue, 4.13%, 6/15/42 | 251,689 | ||||||
350,000 | Rutgers The State University of New Jersey Revenue, 3.27%, 5/1/43 | 357,364 | ||||||
|
| |||||||
2,133,375 | ||||||||
|
| |||||||
California (0.1%): | ||||||||
1,055,000 | San Diego Community College District, GO, 3.34%, 8/1/43, Continuously Callable @100 | 1,098,582 | ||||||
160,000 | State of California, Build America Bonds, GO, 7.63%, 3/1/40 | 278,029 | ||||||
347,000 | University of California Revenue, 4.77%, 5/15/15 | 467,930 | ||||||
50,000 | University of California Revenue, 4.86%, 5/15/12 | 68,598 | ||||||
|
| |||||||
1,913,139 | ||||||||
|
| |||||||
Delaware (0.0%†): | ||||||||
550,000 | State of Delaware, GO, 5.00%, 1/1/30 | 754,826 | ||||||
|
| |||||||
Lousiana (0.2%): | ||||||||
870,000 | State of Louisiana, GO, 5.00%, 3/1/28 | 1,120,334 | ||||||
830,000 | State of Louisiana, GO, 5.00%, 3/1/27 | 1,044,970 | ||||||
|
| |||||||
2,165,304 | ||||||||
|
| |||||||
Maryland (0.5%): | ||||||||
1,665,000 | State of Maryland, GO, 5.00%, 3/15/29 | 2,225,954 | ||||||
2,605,000 | State of Maryland, GO, 5.00%, 3/15/28 | 3,430,940 | ||||||
665,000 | State of Maryland, GO, 5.00%, 3/15/27 | 853,168 | ||||||
|
| |||||||
6,510,062 | ||||||||
|
| |||||||
Minnesota (0.0%†): | ||||||||
730,000 | State of Minnesota, GO, 5.00%, 8/1/29, Continuously Callable @100 | 963,359 | ||||||
|
| |||||||
Oregon (0.0%†): | ||||||||
635,000 | State of Oregon Department of Transportation Revenue, 3.17%, 11/15/38, Continuously Callable @100 | 675,145 | ||||||
|
| |||||||
Pennsylvania (0.0%†): | ||||||||
530,000 | The Pennsylvania State University Revenue, Series D, 2.84%, 9/1/50 | 549,133 | ||||||
|
| |||||||
Michigan (0.1%): | ||||||||
1,024,000 | University of Michigan Revenue, 2.44%, 4/1/40, Continuously Callable @100 | 1,061,407 | ||||||
|
|
See accompanying notes to the financial statements.
20
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Municipal Bonds, continued | ||||||||
Nebraska (0.1%): | ||||||||
$ | 1,175,000 | University of Nebraska Facilities Corp. Revenue, 3.04%, 10/1/49 | $ | 1,305,061 | ||||
|
| |||||||
Total Municipal Bonds (Cost $28,786,003) | 29,482,917 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (29.0%): | ||||||||
Federal Home Loan Bank (0.3%) | ||||||||
4,080,000 | 3.56%, 5/16/33 | 5,140,751 | ||||||
|
| |||||||
5,140,751 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (3.7%) | ||||||||
3,650,000 | Class A2, Series KC02, 3.37%, 7/25/25 | 3,974,777 | ||||||
1,092,188 | Class A1, Series KIR2, 2.75%, 3/25/27 | 1,160,428 | ||||||
216,279 | 3.00%, 9/1/27, Pool #U70060 | 228,532 | ||||||
3,185,000 | Class A2, Series K076, 3.90%, 4/25/28 | 3,809,961 | ||||||
11,000 | Class A2, Series K078, 3.85%, 6/25/28 | 13,129 | ||||||
116,781 | 3.00%, 7/1/28, Pool #U79018 | 123,785 | ||||||
1,180,000 | Class A2, Series K083, 4.05%, 9/25/28 | 1,432,249 | ||||||
5,128,000 | Class A2, Series K084, 3.78%, 10/25/28 | 6,108,012 | ||||||
1,050,000 | Class A2, Series K088, 3.69%, 1/25/29 | 1,255,643 | ||||||
591,000 | 1.27%, 9/15/29(c) | 528,262 | ||||||
50,073 | 3.00%, 1/1/30, Pool #V60724 | 52,958 | ||||||
40,452 | 3.00%, 1/1/30, Pool #V60696 | 42,797 | ||||||
79,895 | 2.50%, 3/1/30, Pool #V60770 | 84,190 | ||||||
133,975 | 2.50%, 5/1/30, Pool #V60796 | 140,843 | ||||||
205,104 | 2.50%, 5/1/30, Pool #J31728 | 215,636 | ||||||
187,170 | 3.00%, 5/1/30, Pool #J31689 | 199,197 | ||||||
86,998 | 2.50%, 5/1/30, Pool #J31418 | 91,163 | ||||||
361,577 | 3.00%, 6/1/30, Pool #V60840 | 385,661 | ||||||
169,417 | 3.00%, 7/1/30, Pool #G15520 | 179,719 | ||||||
19,958 | 3.00%, 7/1/30, Pool #J32181 | 21,243 | ||||||
33,351 | 2.50%, 7/1/30, Pool #J32209 | 34,953 | ||||||
9,355 | 2.50%, 7/1/30, Pool #V60905 | 9,836 | ||||||
8,918 | 2.50%, 7/1/30, Pool #J32491 | 9,375 | ||||||
34,557 | 2.50%, 7/1/30, Pool #J32204 | 36,478 | ||||||
22,589 | 3.00%, 8/1/30, Pool #J32436 | 23,965 | ||||||
119,833 | 2.50%, 8/1/30, Pool #V60902 | 126,374 | ||||||
35,116 | 3.00%, 8/1/30, Pool #V60909 | 37,448 | ||||||
151,554 | 2.50%, 8/1/30, Pool #V60886 | 159,824 | ||||||
115,894 | 2.50%, 9/1/30, Pool #V60903 | 122,355 | ||||||
370,968 | 2.50%, 9/1/30, Pool #V60904 | 389,991 | ||||||
190,000 | 6.75%, 3/15/31 | 298,562 | ||||||
197,000 | 1.41%, 3/15/31(c) | 170,885 | ||||||
589,693 | 2.50%, 4/1/31, Pool #G16186 | 621,965 | ||||||
113,896 | 5.50%, 2/1/35, Pool #G04692 | 130,839 | ||||||
174,378 | 6.00%, 4/1/39, Pool #G07613 | 207,395 | ||||||
33,690 | 4.50%, 12/1/39, Pool #A90196 | 37,354 | ||||||
1,751,408 | 3.50%, 1/1/40, Pool #RB5028 | 1,841,788 | ||||||
1,958,438 | 3.00%, 2/1/40, Pool #RB5033 | 2,066,385 | ||||||
203,031 | 3.50%, 2/1/40, Pool #RB5034 | 215,110 | ||||||
29,961 | 4.50%, 7/1/40, Pool #A93010 | 33,217 | ||||||
41,159 | 4.00%, 8/1/40, Pool #A93534 | 45,090 | ||||||
642,224 | 4.50%, 9/1/40, Pool #A93700 | 713,353 | ||||||
232,489 | 4.00%, 9/1/40, Pool #A93851 | 258,341 | ||||||
39,790 | 4.00%, 10/1/40, Pool #A95923 | 44,539 | ||||||
36,231 | 4.00%, 11/1/40, Pool #A95144 | 40,541 | ||||||
33,380 | 4.00%, 11/1/40, Pool #A94977 | 37,369 | ||||||
29,952 | 4.00%, 11/1/40, Pool #A94779 | 33,513 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 2,351 | 4.00%, 4/1/41, Pool #Q00093 | $ | 2,576 | ||||
104,974 | 4.50%, 5/1/41, Pool #Q00959 | 116,378 | ||||||
90,750 | 4.50%, 5/1/41, Pool #Q00804 | 100,593 | ||||||
426,926 | Class FL, Series 4248, 0.63%(US0001M+45bps), 5/15/41 | 421,773 | ||||||
477,708 | 5.50%, 6/1/41, Pool #G07553 | 541,034 | ||||||
34,815 | 4.00%, 10/1/41, Pool #Q03841 | 38,982 | ||||||
65,882 | 4.00%, 10/1/41, Pool #Q04022 | 73,765 | ||||||
518,627 | 3.50%, 10/1/41, Pool #G08462 | 557,502 | ||||||
106,131 | 5.00%, 10/1/41, Pool #G07642 | 119,148 | ||||||
256,905 | 3.50%, 4/1/42, Pool #C03811 | 284,552 | ||||||
235,132 | 3.50%, 4/1/42, Pool #Q07417 | 258,211 | ||||||
25,196 | 3.50%, 5/1/42, Pool #Q08239 | 27,501 | ||||||
7,528 | 3.50%, 5/1/42, Pool #Q08306 | 8,215 | ||||||
13,838 | 3.50%, 5/1/42, Pool #Q07896 | 14,782 | ||||||
216,001 | 3.50%, 8/1/42, Pool #G07106 | 237,154 | ||||||
29,442 | 3.50%, 8/1/42, Pool #Q12162 | 32,310 | ||||||
359,719 | 3.50%, 8/1/42, Pool #Q10724 | 384,346 | ||||||
32,288 | 3.50%, 10/1/42, Pool #Q11750 | 34,425 | ||||||
18,969 | 3.50%, 10/1/42, Pool #Q11909 | 20,829 | ||||||
437,561 | 3.50%, 11/1/42, Pool #Q13134 | 472,517 | ||||||
254,559 | 3.00%, 12/1/42, Pool #C04320 | 275,006 | ||||||
297,491 | 3.00%, 1/1/43, Pool #Q14866 | 319,200 | ||||||
181,831 | 3.00%, 3/1/43, Pool #Q16403 | 194,620 | ||||||
280,416 | 3.00%, 3/1/43, Pool #Q16673 | 299,385 | ||||||
133,070 | 3.50%, 6/1/43, Pool #Q18718 | 142,947 | ||||||
204,723 | 3.50%, 7/1/43, Pool #Q20206 | 227,412 | ||||||
104,638 | 3.50%, 8/1/43, Pool #Q21320 | 112,540 | ||||||
3,114,582 | 3.00%, 9/1/43, Pool #G60675 | 3,374,202 | ||||||
89,573 | 4.00%, 9/1/43, Pool #Q21579 | 101,364 | ||||||
263,270 | 3.00%, 10/1/43, Pool #G60037 | 284,460 | ||||||
221,441 | 4.50%, 12/1/43, Pool #G60018 | 239,972 | ||||||
277,643 | 4.50%, 12/1/43, Pool #Q23779 | 306,328 | ||||||
22,342 | 3.50%, 1/1/44, Pool #Q24368 | 24,806 | ||||||
920,241 | Class XZ, Series 4316, 4.50%, 3/15/44 | 1,161,426 | ||||||
925,255 | 3.50%, 4/1/44, Pool #G07848 | 1,011,708 | ||||||
16,223 | 3.50%, 4/1/44, Pool #Q25812 | 18,032 | ||||||
121,085 | 4.00%, 4/1/44, Pool #Q25643 | 135,764 | ||||||
1,346,986 | Class ZX, Series 4352, 4.00%, 4/15/44 | 1,504,657 | ||||||
18,290 | 3.50%, 5/1/44, Pool #Q26452 | 20,312 | ||||||
37,641 | 3.50%, 5/1/44, Pool #Q26362 | 41,766 | ||||||
25,563 | 3.50%, 5/1/44, Pool #Q26218 | 28,615 | ||||||
16,527 | 3.50%, 5/1/44, Pool #Q25988 | 18,348 | ||||||
115,835 | 3.50%, 6/1/44, Pool #Q28764 | 127,217 | ||||||
18,548 | 3.50%, 6/1/44, Pool #Q26707 | 20,526 | ||||||
22,515 | 3.50%, 7/1/44, Pool #Q27319 | 25,192 | ||||||
163,554 | 4.00%, 7/1/44, Pool #G60901 | 178,417 | ||||||
81,123 | 3.50%, 8/1/44, Pool #Q27843 | 90,098 | ||||||
103,195 | 3.50%, 9/1/44, Pool #Q28605 | 114,640 | ||||||
39,792 | 3.50%, 9/1/44, Pool #Q28604 | 44,546 | ||||||
16,190 | 3.50%, 9/1/44, Pool #Q28763 | 17,686 | ||||||
7,046 | 3.50%, 11/1/44, Pool #Q29697 | 7,699 | ||||||
2,586 | 3.50%, 11/1/44, Pool #Q29911 | 2,826 | ||||||
28,757 | 3.50%, 1/1/45, Pool #Q31122 | 31,415 | ||||||
43,590 | 3.50%, 1/1/45, Pool #Q30876 | 47,644 | ||||||
30,436 | 4.00%, 2/1/45, Pool #Q31338 | 34,692 |
See accompanying notes to the financial statements.
21
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 14,936 | 4.00%, 2/1/45, Pool #Q31128 | $ | 17,040 | ||||
14,145 | 3.50%, 5/1/45, Pool #Q33131 | 15,457 | ||||||
94,372 | 3.50%, 5/1/45, Pool #Q33606 | 103,052 | ||||||
92,691 | 3.50%, 6/1/45, Pool #Q34176 | 101,216 | ||||||
2,600 | 3.50%, 7/1/45, Pool #Q34960 | 2,839 | ||||||
26,347 | 3.50%, 9/1/45, Pool #Q36302 | 29,459 | ||||||
231,727 | 4.00%, 10/1/45, Pool #Q36972 | 254,547 | ||||||
10,043 | 3.50%, 10/1/45, Pool #V81932 | 10,963 | ||||||
35,052 | 4.00%, 12/1/45, Pool #Q37955 | 39,970 | ||||||
38,954 | 4.00%, 12/1/45, Pool #Q37957 | 44,050 | ||||||
405,000 | 3.50%, 1/1/46, Pool #G60393 | 442,822 | ||||||
30,377 | 3.50%, 2/1/46, Pool #V82209 | 33,135 | ||||||
288,682 | 3.50%, 3/1/46, Pool #Q39250 | 314,921 | ||||||
353,268 | 3.50%, 5/1/46, Pool #G60561 | 385,806 | ||||||
566,862 | 4.00%, 7/1/46, Pool #V82528 | 622,552 | ||||||
8,045,678 | 3.00%, 8/1/46, Pool #G60717 | 8,696,803 | ||||||
284,475 | 4.00%, 8/1/46, Pool #V82553 | 312,328 | ||||||
665,087 | Class FB, Series 4606, 0.68%(US0001M+50bps), 8/15/46 | 666,002 | ||||||
481,006 | 3.00%, 9/1/46, Pool #G60718 | 516,516 | ||||||
41,216 | 4.00%, 9/1/46, Pool #G60729 | 45,230 | ||||||
1,398,057 | 3.00%, 9/1/46, Pool #Q42979 | 1,501,726 | ||||||
3,018,631 | 3.00%, 9/1/46, Pool #Q43104 | 3,264,340 | ||||||
94,297 | 4.00%, 10/1/46, Pool #V82661 | 103,552 | ||||||
521,851 | 3.00%, 12/1/46, Pool #Q44853 | 564,386 | ||||||
240,580 | 3.00%, 12/1/46, Pool #Q45080 | 260,936 | ||||||
117,078 | 3.00%, 12/1/46, Pool #Q45083 | 128,170 | ||||||
1,588,638 | 3.00%, 12/1/46, Pool #V82781 | 1,693,010 | ||||||
459,820 | 3.00%, 12/1/46, Pool #Q45064 | 493,568 | ||||||
1,952,453 | 4.00%, 2/1/47, Pool #V82929 | 2,143,626 | ||||||
841,176 | 3.50%, 3/1/47, Pool #G60968 | 929,699 | ||||||
2,112,960 | 4.50%, 7/1/47, Pool #G61047 | 2,347,109 | ||||||
153,449 | 3.50%, 7/1/47, Pool #Q53113 | 170,253 | ||||||
584,197 | 3.50%, 10/1/47, Pool #G61178 | 650,930 | ||||||
763,323 | 3.50%, 12/1/47, Pool #G61208 | 850,647 | ||||||
175,343 | 3.50%, 1/1/48, Pool #Q53648 | 191,304 | ||||||
1,800,811 | 3.50%, 1/1/48, Pool #Q53747 | 1,936,917 | ||||||
89,825 | 3.50%, 1/1/48, Pool #Q53630 | 100,120 | ||||||
2,454,670 | 4.50%, 8/1/48, Pool #G67715 | 2,740,244 | ||||||
|
| |||||||
74,852,336 | ||||||||
|
| |||||||
Federal National Mortgage Association (18.6%) | ||||||||
104,843 | 2.50%, 9/1/27, Pool #AP5205 | 109,823 | ||||||
155,927 | 2.50%, 9/1/27, Pool #AB6194 | 164,640 | ||||||
37,266 | 2.50%, 2/1/28, Pool #AB8446 | 39,049 | ||||||
51,482 | 3.00%, 4/1/28, Pool #AT3121 | 54,525 | ||||||
81,291 | 2.50%, 4/1/28, Pool #AB8870 | 85,187 | ||||||
56,755 | 3.00%, 5/1/28, Pool #AT6033 | 60,132 | ||||||
222,437 | 2.50%, 8/1/28, Pool #AS0190 | 235,061 | ||||||
1,289,000 | Class A2, Series 2018-M14, 3.70%, 8/25/28, Pool #A2 | 1,504,843 | ||||||
999,845 | 3.50%, 9/1/28, Pool #AL4245 | 1,058,743 | ||||||
13,781 | 3.00%, 10/1/28, Pool #AQ4132 | 14,600 | ||||||
127,224 | 3.00%, 10/1/28, Pool #AU8774 | 134,806 | ||||||
270,130 | 3.50%, 10/1/28, Pool #AV0198 | 286,074 | ||||||
423,119 | 3.50%, 11/1/28, Pool #AV1360 | 448,075 | ||||||
14,725 | 3.00%, 11/1/28, Pool #AV0298 | 15,600 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 336,297 | 3.00%, 4/1/29, Pool #AW0937 | $ | 357,784 | ||||
2,805,000 | Class A2, Series 2019-M7, 3.14%, 4/25/29 | 3,207,181 | ||||||
233,118 | 3.00%, 5/1/29, Pool #AW2544 | 247,482 | ||||||
476,500 | 3.00%, 6/1/29, Pool #AS2676 | 507,015 | ||||||
122,923 | 3.00%, 7/1/29, Pool #AW1281 | 130,272 | ||||||
569,905 | 3.00%, 7/1/29, Pool #AW4229 | 605,056 | ||||||
145,217 | 3.50%, 9/1/29, Pool #AX0105 | 154,421 | ||||||
941,467 | 3.00%, 9/1/29, Pool #AL6897 | 1,000,905 | ||||||
324,488 | 3.50%, 9/1/29, Pool #AL5806 | 345,022 | ||||||
301,311 | 3.00%, 9/1/29, Pool #AS3220 | 320,601 | ||||||
1,350,000 | Class A2, Series 2020-M1, 2.44%, 9/25/29 | 1,496,651 | ||||||
40,633 | 3.50%, 10/1/29, Pool #AX2741 | 43,203 | ||||||
171,420 | 3.00%, 10/1/29, Pool #AS3594 | 181,965 | ||||||
227,127 | 3.50%, 12/1/29, Pool #AS3988 | 241,464 | ||||||
661,281 | 3.00%, 1/1/30, Pool #AL6144 | 703,626 | ||||||
2,605,000 | 1.32%, 1/15/30(c) | 2,310,244 | ||||||
24,780 | 2.50%, 2/1/30, Pool #AS4485 | 26,042 | ||||||
27,906 | 2.50%, 2/1/30, Pool #AS4488 | 29,430 | ||||||
93,861 | 2.50%, 2/1/30, Pool #BM3403 | 98,544 | ||||||
182,341 | 2.50%, 3/1/30, Pool #AS4688 | 193,206 | ||||||
132,402 | 3.00%, 3/1/30, Pool #AL6583 | 139,405 | ||||||
106,624 | 3.00%, 4/1/30, Pool #AL6584 | 113,686 | ||||||
83,722 | 2.50%, 4/1/30, Pool #AY3416 | 88,697 | ||||||
42,273 | 2.50%, 5/1/30, Pool #AY0828 | 44,758 | ||||||
64,112 | 3.00%, 5/1/30, Pool #AL6761 | 68,165 | ||||||
3,901,000 | 1.33%, 5/15/30(c) | 3,441,735 | ||||||
351,629 | 3.00%, 6/1/30, Pool #AL9381 | 373,331 | ||||||
40,351 | 2.50%, 7/1/30, Pool #AZ2170 | 42,769 | ||||||
87,116 | 3.00%, 7/1/30, Pool #AL7139 | 92,890 | ||||||
103,835 | 3.00%, 7/1/30, Pool #AX9701 | 110,709 | ||||||
24,613 | 3.00%, 7/1/30, Pool #AX9700 | 25,909 | ||||||
143,566 | 2.50%, 7/1/30, Pool #AS5403 | 151,519 | ||||||
24,579 | 2.50%, 7/1/30, Pool #AS5405 | 25,752 | ||||||
15,293 | 3.00%, 7/1/30, Pool #AZ2297 | 16,104 | ||||||
711,873 | 3.50%, 8/1/30, Pool #AL7430 | 756,117 | ||||||
21,289 | 3.50%, 8/1/30, Pool #AS5707 | 22,820 | ||||||
91,869 | 2.50%, 8/1/30, Pool #AS5614 | 97,351 | ||||||
128,498 | 3.00%, 8/1/30, Pool #AS5623 | 136,971 | ||||||
174,501 | 2.50%, 8/1/30, Pool #AS5616 | 183,413 | ||||||
67,348 | 2.50%, 8/1/30, Pool #AS5548 | 71,075 | ||||||
275,748 | 2.50%, 8/1/30, Pool #BM3552 | 288,933 | ||||||
146,394 | 3.00%, 8/1/30, Pool #AL7227 | 156,049 | ||||||
114,881 | 3.00%, 8/1/30, Pool #AS5622 | 122,499 | ||||||
21,939 | 3.00%, 8/1/30, Pool #AZ7833 | 23,091 | ||||||
22,449 | 3.00%, 8/1/30, Pool #AX3298 | 23,636 | ||||||
165,491 | 3.00%, 8/1/30, Pool #AL7225 | 176,462 | ||||||
11,574 | 3.00%, 8/1/30, Pool #AZ8597 | 12,179 | ||||||
94,333 | 3.50%, 8/1/30, Pool #AS5708 | 101,014 | ||||||
30,675 | 3.00%, 9/1/30, Pool #AL7320 | 32,562 | ||||||
90,332 | 3.00%, 9/1/30, Pool #AS5714 | 96,310 | ||||||
83,218 | 2.50%, 9/1/30, Pool #AS5786 | 87,845 | ||||||
117,653 | 3.00%, 9/1/30, Pool #AS5728 | 123,864 | ||||||
47,046 | 3.00%, 9/1/30, Pool #AZ5719 | 49,535 | ||||||
105,124 | 2.50%, 9/1/30, Pool #AS5872 | 111,408 | ||||||
92,178 | 2.50%, 11/1/30, Pool #AS6115 | 96,887 | ||||||
99,134 | 2.50%, 11/1/30, Pool #AS6141 | 105,045 |
See accompanying notes to the financial statements.
22
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 95,392 | 2.50%, 11/1/30, Pool #AS6142 | $ | 100,694 | ||||
13,796 | 2.50%, 11/1/30, Pool #AL7800 | 14,500 | ||||||
99,449 | 2.50%, 11/1/30, Pool #AS6116 | 105,605 | ||||||
1,848,662 | 3.00%, 1/1/31, Pool #BM3537 | 1,968,852 | ||||||
156,547 | 2.50%, 3/1/31, Pool #BM1595 | 164,058 | ||||||
154,956 | 2.50%, 6/1/31, Pool #AS7320 | 164,130 | ||||||
275,448 | 2.50%, 7/1/31, Pool #AS7617 | 291,748 | ||||||
246,109 | 2.50%, 7/1/31, Pool #AS7605 | 260,690 | ||||||
51,555 | 4.00%, 8/1/31, Pool #AY4707 | 56,940 | ||||||
11,758 | 2.50%, 8/1/31, Pool #BC2777 | 12,453 | ||||||
38,909 | 4.00%, 8/1/31, Pool #AY4688 | 42,733 | ||||||
1,935,300 | 3.00%, 8/1/31, Pool #AL9376 | 2,048,303 | ||||||
172,872 | 3.00%, 9/1/31, Pool #AL9378 | 184,020 | ||||||
2,305,873 | 2.50%, 10/1/31, Pool #BC4773 | 2,431,376 | ||||||
103,495 | 2.00%, 10/1/31, Pool #MA2774 | 107,093 | ||||||
349,757 | 2.50%, 10/1/31, Pool #AS8009 | 368,994 | ||||||
621,698 | 2.50%, 10/1/31, Pool #AS8208 | 658,589 | ||||||
1,133,843 | 2.50%, 10/1/31, Pool #AS8195 | 1,195,529 | ||||||
461,197 | 2.50%, 10/1/31, Pool #AS8193 | 484,731 | ||||||
183,143 | 2.50%, 11/1/31, Pool #AS8245 | 193,105 | ||||||
598,509 | 2.00%, 11/1/31, Pool #BM3054 | 619,308 | ||||||
495,852 | 2.00%, 11/1/31, Pool #AS8251 | 513,118 | ||||||
31,484 | 2.00%, 11/1/31, Pool #AS8291 | 32,579 | ||||||
166,532 | 2.00%, 11/1/31, Pool #BC9040 | 172,334 | ||||||
253,048 | 2.50%, 11/1/31, Pool #AS8241 | 266,972 | ||||||
182,774 | 2.50%, 11/1/31, Pool #BC2628 | 192,745 | ||||||
378,503 | 2.50%, 11/1/31, Pool #AS8240 | 400,887 | ||||||
166,445 | 2.50%, 11/1/31, Pool #BC2629 | 176,313 | ||||||
329,474 | 2.50%, 11/1/31, Pool #BC2631 | 347,264 | ||||||
139,265 | 2.00%, 12/1/31, Pool #MA2845 | 144,112 | ||||||
1,028,113 | 3.50%, 2/1/32, Pool #AS8885 | 1,094,661 | ||||||
19,021 | 3.00%, 2/1/32, Pool #BE5670 | 20,234 | ||||||
33,748 | 2.50%, 2/1/32, Pool #BM1036 | 35,528 | ||||||
626,643 | 2.50%, 3/1/32, Pool #AS9319 | 668,518 | ||||||
568,468 | 3.00%, 3/1/32, Pool #AS9327 | 604,709 | ||||||
576,032 | 2.50%, 3/1/32, Pool #AS9318 | 609,714 | ||||||
321,515 | 2.50%, 3/1/32, Pool #AS9317 | 339,304 | ||||||
363,166 | 2.50%, 3/1/32, Pool #AS9316 | 385,962 | ||||||
836,459 | 2.00%, 3/1/32, Pool #BM3061 | 872,791 | ||||||
544,086 | 2.50%, 3/1/32, Pool #AS9321 | 574,354 | ||||||
2,488,164 | 3.50%, 4/1/32, Pool #BM3503 | 2,651,194 | ||||||
1,801,909 | 3.50%, 5/1/32, Pool #BM1602 | 1,936,165 | ||||||
2,646,771 | 3.00%, 6/1/32, Pool #BM1791 | 2,828,896 | ||||||
847,124 | 2.50%, 8/1/32, Pool #BM3578 | 896,044 | ||||||
321,494 | 3.00%, 9/1/32, Pool #BM3240 | 338,452 | ||||||
90,796 | 3.50%, 11/1/32, Pool #BJ2054 | 98,596 | ||||||
58,006 | 3.50%, 1/1/33, Pool #BJ2096 | 61,657 | ||||||
103,835 | 5.50%, 1/1/33, Pool #676661 | 118,793 | ||||||
1,613,279 | 2.50%, 2/1/33, Pool #BM3793 | 1,716,019 | ||||||
74,171 | 5.50%, 5/1/33, Pool #555424 | 84,600 | ||||||
112,563 | 4.00%, 9/1/33, Pool #BK7642 | 120,966 | ||||||
471,722 | 4.00%, 10/1/33, Pool #CA2406 | 510,015 | ||||||
638,975 | 4.00%, 10/1/33, Pool #CA2404 | 691,987 | ||||||
342,992 | 4.00%, 10/1/33, Pool #CA2527 | 363,806 | ||||||
343,695 | 4.00%, 10/1/33, Pool #CA2528 | 373,627 | ||||||
1,970,720 | 4.00%, 11/1/33, Pool #CA2557 | 2,141,314 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 363,404 | 4.00%, 11/1/33, Pool #CA2555 | $ | 395,337 | ||||
784,422 | 2.50%, 12/1/33, Pool #FM1680 | 822,337 | ||||||
583,469 | 5.00%, 2/1/35, Pool #735226 | 675,664 | ||||||
180,405 | 5.50%, 2/1/35, Pool #735989 | 208,445 | ||||||
44,379 | 5.00%, 3/1/35, Pool #735288 | 51,469 | ||||||
16,175 | 6.00%, 4/1/35, Pool #735504 | 19,086 | ||||||
1,900,000 | 5.00%, 7/25/35, TBA | 2,021,051 | ||||||
200,000 | 4.50%, 7/25/35, TBA | 210,395 | ||||||
83,120 | 5.00%, 9/1/35, Pool #889974 | 96,144 | ||||||
182,329 | 4.00%, 1/1/36, Pool #AB0686 | 202,979 | ||||||
414,118 | 5.50%, 9/1/36, Pool #995113 | 489,576 | ||||||
47,787 | 3.00%, 10/1/36, Pool #AL9227 | 50,378 | ||||||
344,735 | 3.00%, 11/1/36, Pool #AS8348 | 363,995 | ||||||
138,171 | 3.00%, 11/1/36, Pool #AS8349 | 145,885 | ||||||
415,118 | 3.00%, 12/1/36, Pool #AS8553 | 452,801 | ||||||
307,158 | 3.00%, 12/1/36, Pool #BE1896 | 329,727 | ||||||
18,657 | 5.50%, 2/1/38, Pool #961545 | 20,804 | ||||||
13,396 | 6.00%, 3/1/38, Pool #889529 | 15,977 | ||||||
95,830 | 5.50%, 5/1/38, Pool #889692 | 109,621 | ||||||
73,016 | 5.50%, 5/1/38, Pool #889441 | 81,985 | ||||||
42,677 | 6.00%, 5/1/38, Pool #889466 | 50,877 | ||||||
63,953 | 5.50%, 6/1/38, Pool #995018 | 73,125 | ||||||
18,536 | 5.50%, 9/1/38, Pool #889995 | 21,087 | ||||||
44,220 | 6.00%, 10/1/38, Pool #889983 | 52,746 | ||||||
233,036 | 5.50%, 1/1/39, Pool #AB0200 | 272,287 | ||||||
99,096 | 4.50%, 4/1/39, Pool #930922 | 109,456 | ||||||
185,451 | 3.50%, 5/1/39, Pool #MA3660 | 195,414 | ||||||
109,916 | 4.50%, 5/1/39, Pool #AL1472 | 121,618 | ||||||
1,020,157 | 5.00%, 6/1/39, Pool #AL7521 | 1,179,894 | ||||||
652,622 | 6.00%, 7/1/39, Pool #BF0056 | 766,297 | ||||||
49,718 | 5.50%, 10/1/39, Pool #AD0362 | 58,808 | ||||||
1,600,322 | 3.00%, 11/1/39, Pool #MA3831 | 1,700,011 | ||||||
557,158 | 3.50%, 12/1/39, Pool #MA3869 | 585,908 | ||||||
43,623 | 5.50%, 12/1/39, Pool #AD0571 | 49,656 | ||||||
310,591 | 5.50%, 12/1/39, Pool #AC6680 | 361,898 | ||||||
260,499 | 3.50%, 1/1/40, Pool #MA3891 | 276,094 | ||||||
6,094,164 | 4.50%, 1/1/40, Pool #AC8568 | 6,753,099 | ||||||
95,908 | 3.00%, 1/1/40, Pool #MA3890 | 101,033 | ||||||
83,778 | 3.00%, 1/1/40, Pool #BP1151 | 89,910 | ||||||
426,062 | 3.50%, 2/1/40, Pool #MA3935 | 451,408 | ||||||
4,696,500 | 3.00%, 2/1/40, Pool #MA3934 | 4,946,069 | ||||||
40,828 | 5.50%, 3/1/40, Pool #AL5304 | 46,347 | ||||||
35,012 | 4.50%, 4/1/40, Pool #AD4038 | 38,644 | ||||||
294,313 | 6.00%, 4/1/40, Pool #AL4141 | 346,980 | ||||||
55,867 | 6.50%, 5/1/40, Pool #AL1704 | 65,883 | ||||||
150,752 | 4.00%, 7/1/40, Pool #AE0113 | 164,994 | ||||||
85,191 | 4.50%, 7/1/40, Pool #AB1226 | 94,468 | ||||||
85,096 | 4.50%, 7/1/40, Pool #AD7127 | 92,660 | ||||||
3,773 | 4.00%, 8/1/40, Pool #AD9136 | 4,133 | ||||||
267,726 | 4.00%, 8/1/40, Pool #AE0216 | 293,246 | ||||||
33,106 | 6.00%, 9/1/40, Pool #AE0823 | 38,540 | ||||||
294,789 | 4.00%, 10/1/40, Pool #AE7535 | 322,884 | ||||||
732,000 | 4.00%, 10/1/40, Pool #AB1614 | 812,918 | ||||||
48,115 | 4.00%, 11/1/40, Pool #AE8407 | 52,693 | ||||||
216,152 | 4.00%, 12/1/40, Pool #AH0946 | 236,736 | ||||||
31,370 | 4.00%, 12/1/40, Pool #AH0006 | 34,347 |
See accompanying notes to the financial statements.
23
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 2,680,000 | Class CY, Series 2010-136, 4.00%, 12/25/40 | $ | 3,131,614 | ||||
52,319 | 4.00%, 1/1/41, Pool #AL7167 | 55,597 | ||||||
7,919,788 | Class ZA, Series 2011-8, 4.00%, 2/25/41 | 8,507,541 | ||||||
493,093 | 4.00%, 4/1/41, Pool #AI1186 | 540,092 | ||||||
72,988 | 6.00%, 6/1/41, Pool #AL4142 | 85,880 | ||||||
700,088 | 5.00%, 7/1/41, Pool #AL7524 | 792,305 | ||||||
38,030 | 4.50%, 7/1/41, Pool #AB3314 | 42,104 | ||||||
842,767 | 5.50%, 9/1/41, Pool #AL8430 | 997,692 | ||||||
53,401 | 4.00%, 9/1/41, Pool #AI5228 | 58,502 | ||||||
546,918 | 4.00%, 9/1/41, Pool #AJ1541 | 598,895 | ||||||
45,094 | 4.50%, 9/1/41, Pool #AI8961 | 50,380 | ||||||
36,440 | 4.00%, 10/1/41, Pool #AC9312 | 39,874 | ||||||
2,729,067 | 4.00%, 11/1/41, Pool #AJ4701 | 3,032,604 | ||||||
135,066 | 4.00%, 12/1/41, Pool #AB4054 | 153,901 | ||||||
43,698 | 4.00%, 12/1/41, Pool #AJ7684 | 49,786 | ||||||
38,104 | 3.50%, 1/1/42, Pool #AK2073 | 42,035 | ||||||
1,121,598 | 4.00%, 1/1/42, Pool #AB4307 | 1,230,173 | ||||||
280,311 | 3.50%, 1/1/42, Pool #AW8154 | 304,961 | ||||||
124,963 | 4.00%, 2/1/42, Pool #AB4530 | 136,725 | ||||||
34,778 | 3.50%, 4/1/42, Pool #AK7510 | 37,807 | ||||||
120,814 | 3.50%, 4/1/42, Pool #AO0777 | 127,079 | ||||||
237,098 | 4.00%, 5/1/42, Pool #AO2961 | 259,299 | ||||||
82,362 | 4.00%, 5/1/42, Pool #A02114 | 90,056 | ||||||
19,314 | 3.50%, 5/1/42, Pool #AO2881 | 21,071 | ||||||
79,053 | 4.00%, 5/1/42, Pool #AT6144 | 90,097 | ||||||
32,924 | 3.50%, 6/1/42, Pool #AK9225 | 35,909 | ||||||
76,585 | 4.00%, 6/1/42, Pool #AL2003 | 83,865 | ||||||
20,840 | 3.50%, 6/1/42, Pool #AO3048 | 22,726 | ||||||
35,445 | 3.50%, 6/1/42, Pool #AL2168 | 39,257 | ||||||
43,553 | 3.50%, 6/1/42, Pool #AO3107 | 48,085 | ||||||
170,005 | 4.00%, 7/1/42, Pool #AL4244 | 192,910 | ||||||
2,784,139 | 4.00%, 7/1/42, Pool #AL2160 | 3,171,577 | ||||||
49,788 | 3.50%, 7/1/42, Pool #AO9707 | 54,329 | ||||||
46,751 | 4.00%, 7/1/42, Pool #AL2607 | 51,160 | ||||||
926,176 | 4.00%, 8/1/42, Pool #AL2242 | 1,014,029 | ||||||
78,071 | 3.50%, 8/1/42, Pool #AO7152 | 83,877 | ||||||
82,319 | 4.00%, 9/1/42, Pool #AL2901 | 90,128 | ||||||
41,425 | 4.00%, 9/1/42, Pool #AX3706 | 45,382 | ||||||
254,607 | 4.50%, 9/1/42, Pool #AL2482 | 281,089 | ||||||
369,546 | 3.50%, 10/1/42, Pool #AB6512 | 389,222 | ||||||
163,306 | 3.00%, 12/1/42, Pool #AB7425 | 176,892 | ||||||
200,835 | 4.00%, 12/1/42, Pool #AL6055 | 228,838 | ||||||
199,913 | 3.00%, 12/1/42, Pool #AB7271 | 216,558 | ||||||
92,445 | 3.50%, 12/1/42, Pool #AQ7127 | 99,649 | ||||||
357,595 | 3.50%, 12/1/42, Pool #AL8045 | 384,002 | ||||||
493,476 | 3.00%, 1/1/43, Pool #AB7458 | 532,964 | ||||||
517,348 | 3.00%, 1/1/43, Pool #AB7567 | 558,781 | ||||||
128,326 | 4.00%, 1/1/43, Pool #AL7369 | 140,570 | ||||||
1,677,083 | 4.50%, 1/1/43, Pool #AL8206 | 1,853,194 | ||||||
498,289 | 3.00%, 1/1/43, Pool #AB7497 | 538,293 | ||||||
332,733 | 3.00%, 1/1/43, Pool #AB7755 | 361,058 | ||||||
266,344 | 3.00%, 1/1/43, Pool #AB7565 | 289,908 | ||||||
203,627 | 3.50%, 2/1/43, Pool #AL2935 | 224,753 | ||||||
117,164 | 3.00%, 3/1/43, Pool #AR9218 | 123,448 | ||||||
17,022 | 3.50%, 3/1/43, Pool #AT0310 | 18,041 | ||||||
29,200 | 3.50%, 3/1/43, Pool #AR8128 | 30,945 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 14,130 | 3.50%, 3/1/43, Pool #AR6909 | $ | 14,974 | ||||
39,920 | 3.50%, 3/1/43, Pool #AR9203 | 43,941 | ||||||
210,081 | 4.00%, 3/1/43, Pool #AL3300 | 233,431 | ||||||
518,128 | 3.50%, 3/1/43, Pool #AL3409 | 553,994 | ||||||
45,768 | 3.00%, 3/1/43, Pool #AB8712 | 49,664 | ||||||
114,009 | 3.00%, 3/1/43, Pool #AB8830 | 123,708 | ||||||
83,231 | 3.00%, 3/1/43, Pool #AR7568 | 88,833 | ||||||
348,257 | 3.00%, 3/1/43, Pool #AB8701 | 377,930 | ||||||
93,173 | 3.00%, 3/1/43, Pool #AR7576 | 98,174 | ||||||
45,319 | 3.00%, 4/1/43, Pool #AB9033 | 49,179 | ||||||
328,078 | 3.00%, 4/1/43, Pool #AB9016 | 355,983 | ||||||
89,538 | 3.00%, 4/1/43, Pool #AB8924 | 94,349 | ||||||
20,495 | 3.50%, 4/1/43, Pool #AT3019 | 21,721 | ||||||
51,634 | 3.00%, 4/1/43, Pool #AT2037 | 55,103 | ||||||
103,628 | 3.00%, 4/1/43, Pool #AB8923 | 109,188 | ||||||
99,078 | 3.00%, 4/1/43, Pool #AT2043 | 104,397 | ||||||
169,444 | 3.00%, 4/1/43, Pool #AT2040 | 178,555 | ||||||
128,277 | 3.00%, 4/1/43, Pool #AR8630 | 135,172 | ||||||
29,752 | 3.50%, 5/1/43, Pool #MA1440 | 31,933 | ||||||
83,569 | 3.50%, 5/1/43, Pool #AB9255 | 91,978 | ||||||
21,043 | 3.50%, 6/1/43, Pool #AB9567 | 23,163 | ||||||
12,937 | 3.00%, 6/1/43, Pool #AB9564 | 14,187 | ||||||
389,049 | 3.50%, 7/1/43, Pool #AL4010 | 430,548 | ||||||
122,852 | 3.50%, 7/1/43, Pool #AR7145 | 131,798 | ||||||
59,984 | 3.50%, 7/1/43, Pool #AT3906 | 66,048 | ||||||
546,597 | 3.50%, 7/1/43, Pool #AU0918 | 607,123 | ||||||
355,859 | 3.50%, 7/1/43, Pool #AT9667 | 381,974 | ||||||
186,296 | 3.50%, 7/1/43, Pool #AT8464 | 198,462 | ||||||
437,295 | 3.50%, 8/1/43, Pool #AS0209 | 483,897 | ||||||
44,230 | 3.50%, 8/1/43, Pool #AU3270 | 48,952 | ||||||
91,516 | 3.50%, 8/1/43, Pool #AU0613 | 101,260 | ||||||
106,673 | 3.50%, 8/1/43, Pool #AU0570 | 118,042 | ||||||
13,091 | 3.50%, 8/1/43, Pool #AU3032 | 14,543 | ||||||
12,336 | 3.50%, 8/1/43, Pool #AT7333 | 13,707 | ||||||
15,905 | 3.50%, 9/1/43, Pool #AT7267 | 17,673 | ||||||
1,375,267 | 4.00%, 10/1/43, Pool #BM1502 | 1,502,401 | ||||||
91,079 | 4.00%, 10/1/43, Pool #AL7577 | 99,821 | ||||||
904,712 | 3.50%, 11/1/43, Pool #AL9745 | 971,845 | ||||||
1,086,210 | 5.00%, 12/1/43, Pool #AL7777 | 1,217,169 | ||||||
88,175 | 3.50%, 1/1/44, Pool #AS1539 | 97,928 | ||||||
83,648 | 3.50%, 1/1/44, Pool #AS1703 | 92,925 | ||||||
107,808 | 4.00%, 3/1/44, Pool #AV6577 | 121,001 | ||||||
3,089,731 | 3.50%, 5/1/44, Pool #BM5002 | 3,443,421 | ||||||
21,975 | 3.50%, 6/1/44, Pool #AW6405 | 24,416 | ||||||
9,016 | 3.50%, 6/1/44, Pool #AS2591 | 10,008 | ||||||
21,098 | 4.00%, 7/1/44, Pool #AW7055 | 23,867 | ||||||
1,359,143 | 4.00%, 8/1/44, Pool #AL5601 | 1,549,474 | ||||||
601,630 | 5.00%, 11/1/44, Pool #AL8878 | 690,569 | ||||||
13,801 | 4.00%, 12/1/44, Pool #AX6255 | 15,739 | ||||||
15,140 | 4.00%, 12/1/44, Pool #AY0299 | 17,279 | ||||||
182,098 | 4.00%, 12/1/44, Pool #AX9372 | 206,103 | ||||||
157,468 | 4.00%, 1/1/45, Pool #AY0367 | 178,142 | ||||||
58,158 | 4.00%, 1/1/45, Pool #AX8713 | 65,723 | ||||||
402,085 | 3.50%, 2/1/45, Pool #BM1100 | 439,334 | ||||||
96,654 | 4.00%, 2/1/45, Pool #AY2693 | 110,216 | ||||||
26,630 | 4.00%, 2/1/45, Pool #AY1866 | 30,372 |
See accompanying notes to the financial statements.
24
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 143,499 | 4.00%, 2/1/45, Pool #AS4308 | $ | 160,832 | ||||
54,301 | 4.00%, 5/1/45, Pool #AY9770 | 61,844 | ||||||
19,556 | 4.00%, 5/1/45, Pool #AY8218 | 22,088 | ||||||
306,577 | 5.00%, 6/1/45, Pool #BM3784 | 350,868 | ||||||
381,594 | 3.50%, 7/1/45, Pool #AS5459 | 426,548 | ||||||
964,859 | 3.50%, 7/1/45, Pool #AS5453 | 1,053,127 | ||||||
49,566 | 3.50%, 8/1/45, Pool #AS5640 | 54,095 | ||||||
191,912 | 4.50%, 9/1/45, Pool #AL7936 | 213,974 | ||||||
428,690 | 3.50%, 10/1/45, Pool #MA2414 | 454,885 | ||||||
32,907 | 4.00%, 10/1/45, Pool #BA2878 | 37,182 | ||||||
35,908 | 4.00%, 10/1/45, Pool #BA2879 | 40,195 | ||||||
37,526 | 4.00%, 10/1/45, Pool #BA2877 | 42,767 | ||||||
34,507 | 4.00%, 10/1/45, Pool #AZ9244 | 38,982 | ||||||
34,494 | 4.00%, 10/1/45, Pool #AZ9243 | 39,309 | ||||||
86,382 | 4.00%, 10/1/45, Pool #AL7442 | 98,477 | ||||||
85,779 | 3.50%, 11/1/45, Pool #AS6195 | 95,884 | ||||||
10,341 | 4.50%, 11/1/45, Pool #AS6233 | 11,456 | ||||||
1,405,150 | 3.50%, 11/1/45, Pool #BM1124 | 1,558,984 | ||||||
100,969 | 4.50%, 11/1/45, Pool #AL9501 | 114,156 | ||||||
377,383 | 4.00%, 12/1/45, Pool #AS6347 | 422,972 | ||||||
104,020 | 4.00%, 12/1/45, Pool #BA4736 | 118,573 | ||||||
111,110 | 4.00%, 12/1/45, Pool #BA4737 | 125,596 | ||||||
361,017 | 3.50%, 12/1/45, Pool #AL9635 | 391,612 | ||||||
50,699 | 4.00%, 12/1/45, Pool #BA2924 | 56,811 | ||||||
302,048 | 4.50%, 12/1/45, Pool #BM1756 | 334,634 | ||||||
227,135 | 4.00%, 2/1/46, Pool #AS6662 | 254,243 | ||||||
420,432 | 3.50%, 3/1/46, Pool #AS6823 | 458,448 | ||||||
2,240,762 | 3.50%, 3/1/46, Pool #AS6788 | 2,448,717 | ||||||
4,551,181 | 3.50%, 4/1/46, Pool #BC5981 | 5,042,895 | ||||||
329,750 | 3.50%, 4/1/46, Pool #AS7015 | 351,114 | ||||||
180,320 | 3.50%, 4/1/46, Pool #AL8521 | 199,895 | ||||||
269,876 | 3.50%, 5/1/46, Pool #AL8570 | 294,337 | ||||||
1,441,548 | 3.50%, 6/1/46, Pool #AS7383 | 1,572,114 | ||||||
1,183,659 | 3.50%, 6/1/46, Pool #AS7353 | 1,290,984 | ||||||
25,859 | 3.00%, 6/1/46, Pool #AS7365 | 27,791 | ||||||
59,342 | 3.50%, 6/1/46, Pool #BC1154 | 66,290 | ||||||
1,517,140 | 4.00%, 6/1/46, Pool #AL9093 | 1,651,212 | ||||||
3,907,516 | 4.00%, 7/1/46, Pool #AL8857 | 4,286,211 | ||||||
2,718,631 | 3.50%, 7/1/46, Pool #BA7748 | 2,926,585 | ||||||
561,605 | 4.50%, 7/1/46, Pool #BM3053 | 644,186 | ||||||
788,351 | 4.50%, 7/1/46, Pool #BM1920 | 891,306 | ||||||
2,895,536 | 3.00%, 7/1/46, Pool #BC1450 | 3,108,414 | ||||||
33,521 | 4.00%, 8/1/46, Pool #BD3933 | 38,193 | ||||||
31,790 | 3.00%, 8/1/46, Pool #AL9031 | 34,811 | ||||||
635,938 | 3.50%, 8/1/46, Pool #AL8952 | 693,558 | ||||||
3,107,692 | 3.00%, 8/1/46, Pool #BC1486 | 3,336,598 | ||||||
48,306 | 4.00%, 8/1/46, Pool #BD4900 | 55,025 | ||||||
1,043,143 | Class UF, Series 2016-48, 0.58%(US0001M+40bps), 8/25/46 | 1,035,819 | ||||||
96,505 | 4.00%, 9/1/46, Pool #BD1481 | 109,913 | ||||||
715,003 | 3.00%, 9/1/46, Pool #AL9214 | 767,803 | ||||||
602,980 | 3.50%, 9/1/46, Pool #AL9511 | 662,422 | ||||||
1,941,290 | 3.00%, 9/1/46, Pool #BD1469 | 2,104,695 | ||||||
16,565 | 3.50%, 9/1/46, Pool #BE0547 | 18,047 | ||||||
2,515,336 | 3.00%, 9/1/46, Pool #AS7847 | 2,700,119 | ||||||
24,512 | 4.00%, 9/1/46, Pool #BD7826 | 27,921 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 699,153 | 3.00%, 10/1/46, Pool #AL9215 | $ | 755,758 | ||||
523,686 | 3.00%, 10/1/46, Pool #AL9266 | 562,229 | ||||||
788,226 | 3.00%, 10/1/46, Pool #BD8925 | 858,437 | ||||||
77,008 | 3.50%, 11/1/46, Pool #BD8477 | 83,898 | ||||||
755,623 | 3.00%, 11/1/46, Pool #AL9325 | 816,756 | ||||||
281,327 | 4.00%, 11/1/46, Pool #BC9012 | 320,491 | ||||||
5,198,796 | 4.00%, 11/1/46, Pool #AS8374 | 5,820,266 | ||||||
3,947,656 | 3.50%, 11/1/46, Pool #AL9424 | 4,246,148 | ||||||
473,599 | 3.50%, 11/1/46, Pool #BM1938 | 525,076 | ||||||
283,866 | 3.00%, 11/1/46, Pool #BD9641 | 309,336 | ||||||
32,734 | 3.50%, 11/1/46, Pool #BC7299 | 35,727 | ||||||
341,286 | 3.00%, 11/1/46, Pool #BD9645 | 366,154 | ||||||
601,667 | 3.50%, 11/1/46, Pool #AS8371 | 672,019 | ||||||
542,960 | 3.00%, 11/1/46, Pool #BD9644 | 586,342 | ||||||
820,840 | 3.50%, 11/1/46, Pool #BD8970 | 901,184 | ||||||
189,018 | 3.00%, 11/1/46, Pool #BD9643 | 204,242 | ||||||
39,561 | 3.50%, 11/1/46, Pool #BE1932 | 43,177 | ||||||
342,399 | 3.50%, 12/1/46, Pool #BE2103 | 374,246 | ||||||
1,193,539 | 3.50%, 12/1/46, Pool #AS8493 | 1,318,271 | ||||||
107,540 | 3.50%, 12/1/46, Pool #AL9593 | 118,168 | ||||||
1,553,951 | 3.00%, 12/1/46, Pool #AS8486 | 1,684,861 | ||||||
603,923 | 3.50%, 12/1/46, Pool #BC9084 | 669,542 | ||||||
105,495 | 3.50%, 1/1/47, Pool #BE4913 | 114,885 | ||||||
697,124 | 3.50%, 1/1/47, Pool #AS8653 | 778,737 | ||||||
272,314 | 3.50%, 1/1/47, Pool #AL9774 | 304,434 | ||||||
211,363 | 3.50%, 1/1/47, Pool #BD8531 | 232,196 | ||||||
1,790,974 | 3.50%, 1/1/47, Pool #AL9725 | 2,000,391 | ||||||
835,235 | 3.50%, 2/1/47, Pool #BM3792 | 911,834 | ||||||
87,142 | 3.00%, 2/1/47, Pool #BD5056 | 94,755 | ||||||
335,744 | 3.00%, 2/1/47, Pool #BD5049 | 362,328 | ||||||
520,110 | 3.50%, 2/1/47, Pool #BE1534 | 562,177 | ||||||
1,492,170 | 3.50%, 2/1/47, Pool #AL9920 | 1,630,142 | ||||||
283,226 | 3.50%, 2/1/47, Pool #BE3188 | 313,117 | ||||||
245,110 | 3.50%, 3/1/47, Pool #BH0158 | 264,881 | ||||||
1,799,578 | 4.00%, 3/1/47, Pool #890824 | 2,002,036 | ||||||
778,396 | 3.00%, 3/1/47, Pool #AS8925 | 840,348 | ||||||
2,528,741 | 4.00%, 3/1/47, Pool #BM1155 | 2,810,621 | ||||||
608,590 | 3.00%, 3/1/47, Pool #AS8936 | 652,744 | ||||||
3,242,720 | 3.50%, 4/1/47, Pool #AS9443 | 3,503,768 | ||||||
682,006 | 4.00%, 5/1/47, Pool #BH0398 | 746,407 | ||||||
688,164 | 3.50%, 5/1/47, Pool #BM1174 | 752,623 | ||||||
1,096,549 | 3.50%, 5/1/47, Pool #BD2417 | 1,184,477 | ||||||
373,230 | 3.50%, 5/1/47, Pool #BE9375 | 403,417 | ||||||
171,993 | 3.50%, 5/1/47, Pool #BM1937 | 191,032 | ||||||
240,763 | 3.50%, 6/1/47, Pool #BH0567 | 262,260 | ||||||
551,574 | 3.50%, 6/1/47, Pool #BM1902 | 609,078 | ||||||
587,373 | 4.00%, 7/1/47, Pool #BH3401 | 643,156 | ||||||
381,388 | 3.50%, 7/1/47, Pool #BM1571 | 421,646 | ||||||
751,516 | 4.00%, 8/1/47, Pool #BM1619 | 817,063 | ||||||
234,989 | 3.50%, 9/1/47, Pool #BM1822 | 255,604 | ||||||
90,657 | 3.50%, 9/1/47, Pool #BH8295 | 99,877 | ||||||
361,347 | 4.50%, 10/1/47, Pool #BM3052 | 407,527 | ||||||
509,325 | 3.50%, 10/1/47, Pool #BM1952 | 563,108 | ||||||
95,885 | 3.50%, 11/1/47, Pool #CA0681 | 106,001 | ||||||
600,378 | 3.50%, 11/1/47, Pool #CA0689 | 668,867 | ||||||
431,594 | 4.50%, 12/1/47, Pool #BH7067 | 476,959 |
See accompanying notes to the financial statements.
25
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 642,695 | 3.50%, 12/1/47, Pool #BM3326 | $ | 715,989 | ||||
46,549 | 3.50%, 12/1/47, Pool #BM3327 | 51,468 | ||||||
3,176,216 | 3.50%, 12/1/47, Pool #BH7060 | 3,479,933 | ||||||
725,664 | 3.50%, 12/1/47, Pool #BM3282 | 808,402 | ||||||
1,165,524 | 3.50%, 1/1/48, Pool #CA0993 | 1,283,668 | ||||||
1,306,465 | 3.50%, 1/1/48, Pool #CA1058 | 1,455,405 | ||||||
47,123 | 3.50%, 1/1/48, Pool #BJ8650 | 52,042 | ||||||
120,010 | 3.50%, 1/1/48, Pool #BJ8120 | 133,670 | ||||||
409,346 | 3.50%, 1/1/48, Pool #CA0995 | 444,870 | ||||||
76,081 | 3.50%, 1/1/48, Pool #BJ8126 | 83,804 | ||||||
239,856 | 3.50%, 1/1/48, Pool #BJ5879 | 265,104 | ||||||
950,435 | 4.00%, 2/1/48, Pool #CA1199 | 1,019,605 | ||||||
198,725 | 4.00%, 2/1/48, Pool #BJ9058 | 220,066 | ||||||
198,193 | 4.00%, 2/1/48, Pool #BJ9057 | 216,787 | ||||||
1,427,718 | 4.00%, 2/1/48, Pool #CA1255 | 1,546,638 | ||||||
275,471 | 4.50%, 4/1/48, Pool #BM3846 | 316,771 | ||||||
168,816 | 4.00%, 4/1/48, Pool #BM3762 | 191,487 | ||||||
176,601 | 4.00%, 4/1/48, Pool #BM3763 | 198,641 | ||||||
3,206,759 | 4.00%, 4/1/48, Pool #CA1541 | 3,519,787 | ||||||
4,472,326 | 4.00%, 4/1/48, Pool #CA1545 | 4,796,127 | ||||||
5,571,986 | 4.50%, 5/1/48, Pool #CA1704 | 6,189,786 | ||||||
528,751 | 5.00%, 6/1/48, Pool #CA2317 | 576,942 | ||||||
164,295 | 4.50%, 7/1/48, Pool #BK6113 | 189,203 | ||||||
26,651 | 4.50%, 7/1/48, Pool #BK4471 | 29,754 | ||||||
1,700,000 | 5.50%, 7/25/48, TBA | 1,867,875 | ||||||
64,000 | 5.00%, 7/25/48, TBA | 69,870 | ||||||
2,655,359 | 5.00%, 9/1/48, Pool #MA3472 | 2,897,384 | ||||||
266,756 | 5.00%, 10/1/48, Pool #MA3501 | 291,070 | ||||||
478,559 | 5.00%, 10/1/48, Pool #BK7881 | 522,179 | ||||||
397,118 | 5.00%, 11/1/48, Pool #MA3527 | 433,314 | ||||||
143,970 | 5.00%, 12/1/48, Pool #BN4404 | 159,097 | ||||||
293,298 | 5.00%, 1/1/49, Pool #BN4430 | 324,114 | ||||||
395,853 | 5.00%, 1/1/49, Pool #BN3949 | 431,934 | ||||||
5,085,000 | 2.50%, 7/25/49, TBA | 5,301,907 | ||||||
10,293,000 | 4.00%, 7/25/49, TBA | 10,907,362 | ||||||
1,093,259 | 3.50%, 2/1/50, Pool #CA5130 | 1,177,717 | ||||||
2,033,224 | 4.00%, 3/1/50, Pool #CA5364 | 2,205,151 | ||||||
388,602 | 3.00%, 5/1/50, Pool #FM2934 | 416,840 | ||||||
515,927 | 3.00%, 5/1/50, Pool #FM2965 | 553,424 | ||||||
6,053,055 | 3.50%, 7/25/50, TBA | 6,366,111 | ||||||
4,823,000 | 6.00%, 7/25/50, TBA | 5,421,353 | ||||||
15,247,832 | 3.00%, 7/25/50, TBA | 16,060,255 | ||||||
7,500,000 | 3.00%, 8/25/50, TBA | 7,884,082 | ||||||
60,711,000 | 2.50%, 8/25/50, TBA | 63,170,269 | ||||||
|
| |||||||
378,667,716 | ||||||||
|
| |||||||
Government National Mortgage Association (6.4%) | ||||||||
17,698 | 4.50%, 9/15/33, Pool #615516 | 19,575 | ||||||
61,918 | 5.00%, 12/15/33, Pool #783571 | 67,521 | ||||||
18,227 | 6.50%, 8/20/38, Pool #4223 | 22,388 | ||||||
15,715 | 6.50%, 10/15/38, Pool #673213 | 17,533 | ||||||
10,095 | 6.50%, 11/20/38, Pool #4292 | 12,324 | ||||||
17,670 | 6.50%, 12/15/38, Pool #782510 | 20,253 | ||||||
206,602 | 5.00%, 1/15/39, Pool #782557 | 237,836 | ||||||
136,302 | 5.00%, 4/15/39, Pool #782619 | 156,984 | ||||||
81,338 | 5.00%, 4/15/39, Pool #711939 | 90,238 | ||||||
15,447 | 4.00%, 4/20/39, Pool #4422 | 16,541 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 13,177 | 5.00%, 6/15/39, Pool #782696 | $ | 14,917 | ||||
53,308 | 4.00%, 7/20/39, Pool #4494 | 58,001 | ||||||
85,671 | 5.00%, 10/20/39, Pool #4559 | 96,173 | ||||||
10,024 | 4.50%, 12/20/39, Pool #G24598 | 11,203 | ||||||
26,922 | 4.50%, 1/15/40, Pool #728627 | 29,855 | ||||||
12,363 | 4.50%, 1/20/40, Pool #4617 | 13,815 | ||||||
9,767 | 4.50%, 2/20/40, Pool #G24636 | 10,981 | ||||||
69,556 | 5.00%, 5/15/40, Pool #782958 | 77,207 | ||||||
664 | 4.50%, 5/20/40, Pool #G24696 | 729 | ||||||
60,995 | 5.00%, 6/15/40, Pool #697862 | 70,370 | ||||||
65,951 | 4.50%, 7/15/40, Pool #745793 | 73,227 | ||||||
563,678 | 4.50%, 7/15/40, Pool #733795 | 636,194 | ||||||
25,445 | 4.50%, 7/20/40, Pool #4746 | 28,011 | ||||||
47,311 | 4.50%, 8/20/40, Pool #4771 | 52,073 | ||||||
23,770 | 4.50%, 9/20/40, Pool #748948 | 25,606 | ||||||
14,514 | 4.00%, 9/20/40, Pool #G24800 | 15,789 | ||||||
115,869 | 4.50%, 10/15/40, Pool #783609 | 129,736 | ||||||
43,883 | 4.50%, 10/20/40, Pool #4834 | 48,310 | ||||||
372,996 | 4.00%, 10/20/40, Pool #G24833 | 405,766 | ||||||
690,943 | 4.00%, 11/20/40, Pool #4853 | 751,673 | ||||||
340,157 | 4.00%, 12/20/40, Pool #G24882 | 370,068 | ||||||
150,393 | 4.00%, 1/15/41, Pool #759138 | 164,909 | ||||||
301,208 | 4.00%, 1/20/41, Pool #4922 | 327,700 | ||||||
35,751 | 4.50%, 2/15/41, Pool #738019 | 40,325 | ||||||
1,221,074 | 4.00%, 2/20/41, Pool #742887 | 1,328,101 | ||||||
5,092 | 4.00%, 2/20/41, Pool #4945 | 5,540 | ||||||
98,595 | 4.00%, 3/15/41, Pool #762838 | 108,090 | ||||||
7,054 | 5.00%, 4/20/41, Pool #5018 | 8,227 | ||||||
15,272 | 5.00%, 6/20/41, Pool #5083 | 17,812 | ||||||
113,539 | 4.50%, 6/20/41, Pool #783590 | 122,192 | ||||||
265,974 | 4.50%, 7/20/41, Pool #5115 | 301,615 | ||||||
78,919 | 4.50%, 7/20/41, Pool #783584 | 84,935 | ||||||
52,745 | 4.50%, 7/20/41, Pool #754367 | 56,850 | ||||||
7,715 | 5.00%, 7/20/41, Pool #5116 | 9,039 | ||||||
404,814 | 4.00%, 7/20/41, Pool #742895 | 442,829 | ||||||
84,961 | 4.50%, 11/15/41, Pool #783610 | 95,150 | ||||||
231,764 | 3.50%, 1/15/42, Pool #553461 | 244,724 | ||||||
316,663 | 4.00%, 4/20/42, Pool #MA0023 | 342,702 | ||||||
123,296 | 5.00%, 7/20/42, Pool #MA0223 | 135,946 | ||||||
383,738 | 3.50%, 4/15/43, Pool #AD2334 | 407,663 | ||||||
603,416 | 3.50%, 4/20/43, Pool #MA0934 | 648,619 | ||||||
337,618 | 3.50%, 5/20/43, Pool #MA1012 | 362,907 | ||||||
28,306 | 4.00%, 7/20/43, Pool #MA1158 | 30,633 | ||||||
1,182,257 | 4.50%, 6/20/44, Pool #MA1997 | 1,295,966 | ||||||
1,036,756 | 4.00%, 8/20/44, Pool #MA2149 | 1,124,816 | ||||||
21,117 | 4.00%, 8/20/44, Pool #AJ2723 | 23,427 | ||||||
19,112 | 4.00%, 8/20/44, Pool #AJ4687 | 21,229 | ||||||
9,143 | 4.00%, 8/20/44, Pool #AI4166 | 9,710 | ||||||
27,432 | 4.00%, 8/20/44, Pool #AI4167 | 30,470 | ||||||
517,037 | 5.00%, 12/20/44, Pool #MA2448 | 585,303 | ||||||
61,338 | 3.00%, 12/20/44, Pool #MA2444 | 65,454 | ||||||
1,620,135 | Class ZD, Series 2015-3, 4.00%, 1/20/45 | 2,029,939 | ||||||
528,956 | 3.00%, 2/15/45, Pool #784439 | 559,668 | ||||||
1,165,013 | 3.00%, 4/20/45, Pool #MA2753 | 1,242,047 | ||||||
2,667,119 | 3.50%, 4/20/45, Pool #MA2754 | 2,873,449 | ||||||
3,232,896 | 3.50%, 5/20/45, Pool #MA2826 | 3,461,996 |
See accompanying notes to the financial statements.
26
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 63,251 | 3.00%, 6/20/45, Pool #MA2891 | $ | 67,439 | ||||
192,733 | 3.00%, 7/20/45, Pool #MA2960 | 205,507 | ||||||
64,406 | 3.00%, 8/20/45, Pool #MA3033 | 68,680 | ||||||
388,740 | 3.00%, 10/20/45, Pool #MA3172 | 415,841 | ||||||
305,510 | 5.00%, 12/20/45, Pool #MA3313 | 350,316 | ||||||
16,603,431 | 3.50%, 3/20/46, Pool #MA3521 | 17,680,038 | ||||||
10,217,503 | 3.50%, 4/20/46, Pool #MA3597 | 10,922,179 | ||||||
49,503 | 3.00%, 5/20/46, Pool #MA3662 | 52,681 | ||||||
3,232,764 | 3.50%, 5/20/46, Pool #MA3663 | 3,447,257 | ||||||
6,797,735 | 3.50%, 6/20/46, Pool #MA3736 | 7,266,534 | ||||||
1,125,427 | 3.00%, 6/20/46, Pool #MA3735 | 1,199,125 | ||||||
2,234,796 | 3.00%, 7/20/46, Pool #MA3802 | 2,381,313 | ||||||
1,118,742 | 3.50%, 7/20/46, Pool #MA3803 | 1,195,881 | ||||||
4,629,577 | 3.00%, 9/20/46, Pool #MA3936 | 4,927,009 | ||||||
4,371,393 | 3.50%, 9/20/46, Pool #MA3937 | 4,670,431 | ||||||
224,798 | 3.50%, 10/20/46, Pool #AX4345 | 240,747 | ||||||
112,676 | 3.50%, 10/20/46, Pool #AX4343 | 120,557 | ||||||
295,244 | 3.50%, 10/20/46, Pool #AX4344 | 316,813 | ||||||
121,533 | 3.50%, 10/20/46, Pool #AX4341 | 131,654 | ||||||
23,178 | 4.00%, 10/20/46, Pool #AQ0542 | 24,908 | ||||||
139,038 | 3.50%, 10/20/46, Pool #AX4342 | 150,770 | ||||||
121,355 | 3.00%, 11/20/46, Pool #MA4068 | 129,152 | ||||||
350,083 | 3.00%, 12/20/46, Pool #MA4126 | 372,571 | ||||||
145,983 | 4.50%, 3/15/47, Pool #AZ8560 | 161,651 | ||||||
220,074 | 4.50%, 4/15/47, Pool #AZ8596 | 241,682 | ||||||
151,564 | 4.50%, 4/15/47, Pool #AZ8597 | 167,771 | ||||||
125,686 | 4.50%, 5/15/47, Pool #BA7888 | 138,082 | ||||||
4,907,136 | 4.00%, 6/20/47, Pool #MA4511 | 5,246,910 | ||||||
23,759 | 4.00%, 9/15/47, Pool #BC5919 | 25,378 | ||||||
31,414 | 4.00%, 10/15/47, Pool #BD3187 | 33,582 | ||||||
28,940 | 4.00%, 10/15/47, Pool #BE1031 | 30,907 | ||||||
22,686 | 4.00%, 11/15/47, Pool #BE1030 | 24,222 | ||||||
3,885,506 | 4.00%, 11/20/47, Pool #MA4838 | 4,174,608 | ||||||
34,226 | 4.00%, 12/15/47, Pool #BE4664 | 36,558 | ||||||
1,900,099 | 4.00%, 12/20/47, Pool #MA4901 | 2,041,477 | ||||||
34,566 | 4.00%, 1/15/48, Pool #BE0143 | 36,905 | ||||||
24,524 | 4.00%, 1/15/48, Pool #BE0204 | 26,010 | ||||||
7,002,000 | 4.00%, 7/20/48, TBA | 7,423,214 | ||||||
640,079 | 4.50%, 9/20/48, Pool #BD0560 | 688,231 | ||||||
2,072,937 | 4.50%, 3/20/49, Pool #MA5818 | 2,221,951 | ||||||
85,751 | 4.50%, 4/20/49, Pool #MA5877 | 92,553 | ||||||
892,050 | 4.50%, 5/20/49, Pool #MA5932 | 962,808 | ||||||
10,275,000 | 3.00%, 7/20/49, TBA | 10,885,077 | ||||||
1,125,774 | 4.50%, 1/20/50, Pool #MA6412 | 1,203,723 | ||||||
1,609,035 | 4.50%, 2/20/50, Pool #MA6477 | 1,720,444 | ||||||
1,754,182 | 4.50%, 3/20/50, Pool #MA6544 | 1,893,328 | ||||||
5,010,657 | 4.00%, 4/20/50, Pool #MA6601 | 5,345,515 | ||||||
2,543,140 | 4.50%, 4/20/50, Pool #MA6602 | 2,716,917 | ||||||
978,575 | 4.00%, 5/20/50, Pool #MA6658 | 1,043,954 | ||||||
355,000 | 5.00%, 7/15/50, TBA | 387,782 | ||||||
645,000 | 5.00%, 7/20/50, TBA | 698,515 | ||||||
|
| |||||||
128,198,037 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $562,281,863) | 586,858,840 | |||||||
|
| |||||||
U.S. Treasury Obligations (21.5%): | ||||||||
U.S. Treasury Bonds (9.8%): | ||||||||
2,480,000 | 5.38%, 2/15/31 | 3,684,350 |
Principal Amount | Fair Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Bonds, continued | ||||||||
$ | 14,025,000 | 4.75%, 2/15/37 | $ | 22,369,875 | ||||
22,930,000 | 1.13%, 5/15/40 | 22,722,197 | ||||||
21,975,000 | 3.13%, 11/15/41 | 29,741,789 | ||||||
7,022,500 | 3.63%, 8/15/43 | 10,256,142 | ||||||
1,205,000 | 3.13%, 8/15/44 | 1,643,130 | ||||||
15,000 | 2.50%, 2/15/45 | 18,502 | ||||||
955,000 | 3.00%, 5/15/45 | 1,282,088 | ||||||
1,770,000 | 2.88%, 8/15/45 | 2,331,975 | ||||||
12,235,000 | 3.00%, 11/15/45 | 16,486,663 | ||||||
1,543,000 | 3.00%, 2/15/47 | 2,101,132 | ||||||
5,645,000 | 3.00%, 2/15/48 | 7,726,594 | ||||||
30,570,000 | 3.13%, 5/15/48(d) | 42,836,214 | ||||||
4,055,000 | 3.38%, 11/15/48 | 5,957,048 | ||||||
8,700,000 | 3.00%, 2/15/49 | 12,011,438 | ||||||
125,000 | 2.88%, 5/15/49 | 169,082 | ||||||
15,710,000 | 1.25%, 5/15/50 | 15,096,328 | ||||||
|
| |||||||
196,434,547 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (1.2%): | ||||||||
15,619,073 | 0.13%, 1/15/30 | 16,876,905 | ||||||
5,376,490 | 1.00%, 2/15/48 | 7,100,436 | ||||||
758,085 | 0.25%, 2/15/50^ | 850,043 | ||||||
|
| |||||||
24,827,384 | ||||||||
|
| |||||||
U.S. Treasury Notes (10.5%): | ||||||||
24,320,000 | 0.13%, 5/15/23 | 24,285,800 | ||||||
9,405,000 | 0.25%, 6/15/23 | 9,425,573 | ||||||
5,570,000 | 2.00%, 5/31/24 | 5,955,548 | ||||||
6,230,000 | 1.50%, 11/30/24 | 6,570,703 | ||||||
5,615,000 | 1.75%, 12/31/24 | 5,988,748 | ||||||
10,345,000 | 1.38%, 1/31/25 | 10,865,483 | ||||||
20,065,000 | 1.13%, 2/28/25 | 20,864,465 | ||||||
3,164,000 | 0.50%, 3/31/25 | 3,196,629 | ||||||
16,246,000 | 0.38%, 4/30/25 | 16,317,076 | ||||||
13,710,000 | 0.25%, 5/31/25^ | 13,692,863 | ||||||
8,170,000 | 0.25%, 6/30/25 | 8,154,681 | ||||||
890,000 | 3.00%, 10/31/25 | 1,015,434 | ||||||
1,550,000 | 2.88%, 11/30/25 | 1,760,703 | ||||||
8,275,000 | 2.25%, 3/31/26 | 9,155,512 | ||||||
2,435,000 | 2.38%, 4/30/26 | 2,714,264 | ||||||
1,520,000 | 2.13%, 5/31/26 | 1,673,425 | ||||||
2,407,000 | 1.88%, 6/30/26 | 2,616,860 | ||||||
2,430,000 | 1.88%, 7/31/26 | 2,643,384 | ||||||
4,000,000 | 0.63%, 3/31/27 | 4,040,000 | ||||||
8,190,000 | 0.50%, 4/30/27 | 8,201,517 | ||||||
6,253,000 | 2.88%, 8/15/28 | 7,405,897 | ||||||
255,000 | 2.38%, 5/15/29 | 294,286 | ||||||
15,650,000 | 1.50%, 2/15/30 | 16,919,117 | ||||||
29,385,000 | 0.63%, 5/15/30^ | 29,306,946 | ||||||
|
| |||||||
213,064,914 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $389,068,957) | 434,326,845 | |||||||
|
| |||||||
Commercial Paper (0.8%): | ||||||||
6,250,000 | Boeing Co., 2.08%(c) | 6,200,275 | ||||||
10,750,000 | Ford Motor Credit Co., 3.71%(c) | 10,679,641 | ||||||
|
| |||||||
Total Commercial Paper (Cost $16,891,111) | 16,879,916 | |||||||
|
|
See accompanying notes to the financial statements.
27
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.5%): | ||||||||
9,869,225 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(e) | $ | 9,869,225 | |||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 9,869,225 | ||||||
|
|
Shares | Fair Value | |||||||
Unaffiliated Investment Companies (4.5%): | ||||||||
Money Markets (4.5%): | ||||||||
91,162,513 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(c) | $ | 91,162,513 | |||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $91,162,513) | 91,162,513 | |||||||
|
| |||||||
Total Investment Securities (Cost $2,041,260,873) — 106.1% | 2,145,437,041 | |||||||
Net other assets (liabilities) — (6.1)% | (123,486,206 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,021,950,835 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
EUR003M—3 Month EUR LIBOR
EUAMDB01—1 Year EUR LIBOR
EUSA1—Euro 1 Year Swap Rate
EUSA5—Euro 5 Year Swap Rate
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $9,628,705. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
† | Represents less than 0.05%. |
(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, 2020. |
(c) | The rate represents the effective yield at June 30, 2020. |
(d) | All or a portion of this security has been pledged as collateral for open derivative positions. |
(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, 2020. |
Securities Sold Short (-2.2%):
At June 30, 2020, the Fund’s securities sold short were as follows:
Security Description | Coupon Rate | Maturity Date | Par Amount | Proceeds Received | Fair Value | |||||||||||||||
U.S. Government Agency Mortgages | ||||||||||||||||||||
Federal National Mortgage Association |
| |||||||||||||||||||
Federal National Mortgage Association, TBA | 3.00% | 7/25/35 | $ | (628,000 | ) | $ | (662,295 | ) | $ | (659,792 | ) | |||||||||
Federal National Mortgage Association, TBA | 3.50% | 7/25/35 | (2,204,766 | ) | (2,327,751 | ) | (2,316,038 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 4.00% | 7/25/35 | (3,926,000 | ) | (4,151,898 | ) | (4,152,749 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 4.50% | 7/25/50 | (756,000 | ) | (814,826 | ) | (812,287 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 2.50% | 7/25/35 | (9,123,000 | ) | (9,563,470 | ) | (9,550,641 | ) | ||||||||||||
Government National Mortgage Association |
| |||||||||||||||||||
Government National Mortgage Association, TBA | 3.50% | 7/20/48 | (2,292,203 | ) | (2,426,433 | ) | (2,418,632 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | (19,946,673 | ) | $ | (19,910,139 | ) | |||||||||||||||
|
|
|
|
See accompanying notes to the financial statements.
28
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Futures Contracts
At June 30, 2020, the Fund’s open futures contracts were as follows:
Short Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Euro Buxl 30-Year Bond September Futures (Euro) | 9/8/20 | 55 | $ | (13,590,743 | ) | $ | (300,297 | ) | ||||||||
Euro Schatz Index September Futures (Euro) | 9/8/20 | 325 | (40,943,099 | ) | (31,698 | ) | ||||||||||
Euro-Bobl September Futures (Euro) | 9/8/20 | 249 | (37,757,704 | ) | (196,899 | ) | ||||||||||
Euro-Bund September Futures (Euro) | 9/8/20 | 118 | (23,399,832 | ) | (246,063 | ) | ||||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/21/20 | 671 | (105,672,016 | ) | (557,788 | ) | ||||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/21/20 | 384 | (53,442,000 | ) | (111,105 | ) | ||||||||||
U.S. Treasury 30-Year Bond September Futures (U.S. Dollar) | 9/21/20 | 101 | (18,034,813 | ) | (117,426 | ) | ||||||||||
|
| |||||||||||||||
$ | (1,561,276 | ) | ||||||||||||||
|
|
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Euro-Btp Italian Government Bond September Futures (Euro) | 9/8/20 | 39 | $ | 6,303,792 | $ | 184,834 | ||||||||||
U.S. Treasury 2-Year Note September Futures (U.S. Dollar) | 9/30/20 | 1,343 | 296,572,172 | 86,967 | ||||||||||||
U.S. Treasury 5-Year Note September Futures (U.S. Dollar) | 9/30/20 | 103 | 12,951,446 | 27,880 | ||||||||||||
Ultra Long Term U.S. Treasury Bond September Future (U.S. Dollar) | 9/21/20 | 77 | 16,798,031 | 107,819 | ||||||||||||
|
| |||||||||||||||
$ | 407,500 | |||||||||||||||
|
| |||||||||||||||
Total Net Futures Contracts | $ | (1,153,776 | ) | |||||||||||||
|
|
Forward Currency Contracts
At June 30, 2020, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
European Euro | 187,000 | U.S. Dollar | 209,319 | Standard Charter Bank | 7/3/20 | $ | 772 | |||||||||||||
U.S. Dollar | 460,264 | European Euro | 408,000 | ANZ Banking Group, Ltd. | 7/6/20 | 1,852 | ||||||||||||||
European Euro | 116,578,000 | U.S. Dollar | 130,862,302 | Bank National Paribas | 7/6/20 | 119,811 | ||||||||||||||
U.S. Dollar | 202,782 | European Euro | 179,000 | CIBC | 7/6/20 | 1,665 | ||||||||||||||
U.S. Dollar | 378,067 | European Euro | 335,000 | JPMorgan Chase | 7/6/20 | 1,675 | ||||||||||||||
U.S. Dollar | 295,121 | European Euro | 262,000 | JPMorgan Chase | 7/6/20 | 749 | ||||||||||||||
U.S. Dollar | 1,584,015 | European Euro | 1,400,000 | HSBC | 7/6/20 | 11,034 | ||||||||||||||
U.S. Dollar | 684,301 | European Euro | 606,000 | Natwest Capital Markets, Ltd. | 8/5/20 | 2,968 | ||||||||||||||
|
| |||||||||||||||||||
$ | 140,526 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. Dollar | 606,000 | European Euro | 683,806 | Natwest Capital Markets, Ltd. | 7/2/20 | $ | (3,021 | ) | ||||||||||||
U.S. Dollar | 180,765 | European Euro | 161,388 | CIBC | 7/6/20 | (564 | ) | |||||||||||||
U.S. Dollar | 4,881,862 | European Euro | 4,369,165 | Citigroup | 7/6/20 | (27,147 | ) | |||||||||||||
U.S. Dollar | 121,843,623 | European Euro | 109,464,000 | UBS Warburg | 7/6/20 | (1,145,498 | ) | |||||||||||||
U.S. Dollar | 130,948,220 | European Euro | 116,578,000 | Bank National Paribas | 8/5/20 | (121,660 | ) | |||||||||||||
U.S. Dollar | 209,466 | European Euro | 187,000 | Standard Charter Bank | 8/5/20 | (781 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (1,298,671 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Total Net Forward Currency Contracts | $ | (1,158,145 | ) | |||||||||||||||||
|
|
See accompanying notes to the financial statements.
29
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||
Forward currency contracts | $ | 140,526 | $ | (1,298,671 | ) | $ |
See accompanying notes to the financial statements.
30
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 2,041,260,873 | |||
|
| ||||
Investment securities, at value(a) | $ | 2,145,437,041 | |||
Cash | 20,663 | ||||
Interest and dividends receivable | 10,021,792 | ||||
Foreign currency, at value (cost $59,854) | 58,453 | ||||
Unrealized appreciation on forward currency contracts | 140,526 | ||||
Receivable for capital shares issued | 2,703 | ||||
Receivable for investments sold | 52,083,744 | ||||
Receivable for TBA investments sold | 131,859,779 | ||||
Receivable for variation margin on futures contracts | 353,647 | ||||
Prepaid expenses | 4,067 | ||||
|
| ||||
Total Assets | 2,339,982,415 | ||||
|
| ||||
Liabilities: | |||||
Cash received as collateral for TBA commitments | 329,885 | ||||
Unrealized depreciation on forward currency contracts | 1,298,671 | ||||
Payable for investments purchased | 35,228,241 | ||||
Payable for TBA investments purchased | 250,276,728 | ||||
Payable for capital shares redeemed | 199 | ||||
Payable for collateral received on loaned securities | 9,869,225 | ||||
Securities sold short (Proceeds received $19,946,673) | 19,910,139 | ||||
Manager fees payable | 570,997 | ||||
Administration fees payable | 17,098 | ||||
Distribution fees payable | 407,856 | ||||
Custodian fees payable | 19,605 | ||||
Administrative and compliance services fees payable | 3,709 | ||||
Transfer agent fees payable | 1,501 | ||||
Trustee fees payable | 24,144 | ||||
Other accrued liabilities | 73,582 | ||||
|
| ||||
Total Liabilities | 318,031,580 | ||||
|
| ||||
Net Assets | $ | 2,021,950,835 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 1,824,355,317 | |||
Total distributable earnings | 197,595,518 | ||||
|
| ||||
Net Assets | $ | 2,021,950,835 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 170,325,142 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.87 | |||
|
|
(a) | Includes securities on loan of $9,628,705. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 24,488,606 | |||
Dividends | 110,340 | ||||
Income from securities lending | 40,429 | ||||
|
| ||||
Total Investment Income | 24,639,375 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 3,587,238 | ||||
Administration fees | 334,540 | ||||
Distribution fees | 2,562,324 | ||||
Custodian fees | 48,689 | ||||
Administrative and compliance services fees | 18,189 | ||||
Transfer agent fees | 3,660 | ||||
Trustee fees | 56,827 | ||||
Professional fees | 50,657 | ||||
Shareholder reports | 29,922 | ||||
Other expenses | 21,465 | ||||
|
| ||||
Total expenses | 6,713,511 | ||||
|
| ||||
Net Investment Income/(Loss) | 17,925,864 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 63,808,306 | ||||
Net realized gains/(losses) on forward currency contracts | (571,031 | ) | |||
Net realized gains/(losses) on futures contracts | (6,024,661 | ) | |||
Net realized gains/(losses) on securities held short | (896,376 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | 47,792,159 | ||||
Change in net unrealized appreciation/depreciation on forward currency contracts | (4,258 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (2,485,008 | ) | |||
Change in net unrealized appreciation/depreciation on securities held short | 89,753 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 101,708,884 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 119,634,748 | |||
|
|
See accompanying notes to the financial statements.
31
AZL Enhanced Bond Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 17,925,864 | $ | 46,912,188 | ||||||
Net realized gains/(losses) on investments | 56,316,238 | 34,197,918 | ||||||||
Change in unrealized appreciation/depreciation on investments | 45,392,646 | 84,012,222 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 119,634,748 | 165,122,328 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (48,427,627 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (48,427,627 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 130,525,467 | 365,053,905 | ||||||||
Proceeds from dividends reinvested | — | 48,427,627 | ||||||||
Value of shares redeemed | (467,766,404 | ) | (226,936,952 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (337,240,937 | ) | 186,544,580 | |||||||
|
|
|
| |||||||
Change in net assets | (217,606,189 | ) | 303,239,281 | |||||||
Net Assets: | ||||||||||
Beginning of period | 2,239,557,024 | 1,936,317,743 | ||||||||
|
|
|
| |||||||
End of period | $ | 2,021,950,835 | $ | 2,239,557,024 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 11,162,221 | 33,064,820 | ||||||||
Dividends reinvested | — | 4,323,895 | ||||||||
Shares redeemed | (40,654,548 | ) | (20,402,903 | ) | ||||||
|
|
|
| |||||||
Change in shares | (29,492,327 | ) | 16,985,812 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
32
AZL Enhanced Bond Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.21 | $ | 10.59 | $ | 10.89 | $ | 10.67 | $ | 10.78 | $ | 11.13 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | (a) | 0.25 | (a) | 0.28 | 0.20 | 0.09 | 0.27 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.56 | 0.64 | (0.35 | ) | 0.12 | 0.16 | (0.24 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.66 | 0.89 | (0.07 | ) | 0.32 | 0.25 | 0.03 | |||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.27 | ) | (0.23 | ) | (0.10 | ) | (0.22 | ) | (0.24 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.14 | ) | (0.14 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.27 | ) | (0.23 | ) | (0.10 | ) | (0.36 | ) | (0.38 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 11.87 | $ | 11.21 | $ | 10.59 | $ | 10.89 | $ | 10.67 | $ | 10.78 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 5.89 | %(c) | 8.38 | % | (0.58 | )% | 3.01 | % | 2.28 | % | 0.23 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 2,021,951 | $ | 2,239,557 | $ | 1,936,318 | $ | 2,048,679 | $ | 2,009,721 | $ | 682,269 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.75 | % | 2.28 | % | 2.41 | % | 1.87 | % | 1.93 | % | 1.65 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.67 | % | 0.66 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.67 | % | 0.66 | % | ||||||||||||||||||
Portfolio Turnover Rate | 81 | %(c) | 119 | % | 144 | % | 214 | % | 288 | % | 342 | % |
(a) | Calculated using the average shares method. |
(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.
33
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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
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 Fund may engage in short sales against the box (i.e., where the Fund 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 Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund 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 Fund also may be required to pay a premium, which would increase the cost of the security sold.
34
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $3,931 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $9,869,225 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, $329,885 of collateral had been received by the Fund from 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, 2020, the Fund participated in the following cross-trade transactions:
Purchases | Sales | Realized Gains/(Losses) | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,823,250 | $ | 711,719 | $ | (33,004 | ) |
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.
35
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Forward Currency Contracts
During the period ended June 30, 2020, 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, 2020, the monthly average notional amount for long contracts was $0.5 million, and the monthly average notional amount for short contracts was $196.3 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, 2020, 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. For the period ended June 30, 2020, the monthly average notional amount for long contracts was $334.1 million, and the monthly average notional amount for short contracts was $311.7 million. 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, 2020:
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* | $ | 407,500 | Payable for variation margin on futures contracts* | $ | 1,561,276 | ||||||
Foreign Exchange Risk | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 140,526 | Unrealized depreciation on forward currency contracts | 1,298,671 |
* | 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, 2020:
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 in net unrealized appreciation/depreciation on futures contracts | $ | (6,024,661 | ) | $ | (2,485,008 | ) | |||
Foreign Exchange Risk | ||||||||||
Forward Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on futures contracts | (571,031 | ) | (4,258 | ) |
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, 2020. 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, 2020.
36
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
As of June 30, 2020, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 140,526 | $ | 1,298,671 | ||||||
Futures contracts | 353,647 | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 494,173 | 1,298,671 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (353,647 | ) | — | |||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | 140,526 | $ | 1,298,671 | ||||||
|
|
|
|
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of June 30, 2020:
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 | ||||||||||||||||||||
ANZ Banking Group, Ltd. | $ | 1,852 | $ | — | $ | — | $ | — | $ | 1,852 | |||||||||||||||
Bank National Paribas | 119,811 | (119,811 | ) | — | — | — | |||||||||||||||||||
CIBC | 1,665 | (564 | ) | — | — | 1,101 | |||||||||||||||||||
HSBC | 11,034 | — | — | — | 11,034 | ||||||||||||||||||||
JPMorgan Chase | 2,424 | — | — | — | 2,424 | ||||||||||||||||||||
Natwest Capital Markets, Ltd. | 2,968 | (2,968 | ) | — | — | — | |||||||||||||||||||
Standard Charter Bank | 772 | (772 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 140,526 | $ | (124,115 | ) | $ | — | $ | — | $ | 16,411 | ||||||||||||||
|
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|
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|
|
|
|
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral pledged by the Fund as of June 30, 2020:
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 National Paribas | $ | 121,660 | $ | (119,811 | ) | $ | — | $ | — | $ | 1,849 | ||||||||||||||
CIBC | 564 | (564 | ) | — | — | — | |||||||||||||||||||
Citigroup | 27,147 | — | — | — | 27,147 | ||||||||||||||||||||
National Capital Markets, Inc | 3,021 | (2,968 | ) | — | — | 53 | |||||||||||||||||||
Standard Charter Bank | 781 | (772 | ) | — | — | 9 | |||||||||||||||||||
UBS Warburg | 1,145,498 | — | — | — | 1,145,498 | ||||||||||||||||||||
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|
| ||||||||||||||||
Total | $ | 1,298,671 | $ | (124,115 | ) | $ | — | $ | — | $ | 1,174,556 | ||||||||||||||
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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 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, 2021.
For the period ended June 30, 2020, 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, 2020, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
37
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (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. During the period ended June 30, 2020, 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 SEC. 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, 2020, $8,879 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
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 forward 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.
38
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 71,639,470 | $ | — | $ | 71,639,470 | ||||||||||||
Collateralized Mortgage Obligations | — | 103,143,372 | — | 103,143,372 | ||||||||||||||||
Corporate Bonds+ | — | 589,265,151 | — | 589,265,151 | ||||||||||||||||
Foreign Bonds+ | — | 91,634,680 | — | 91,634,680 | ||||||||||||||||
Yankee Dollars+ | — | 121,174,112 | — | 121,174,112 | ||||||||||||||||
Municipal Bonds | — | 29,482,917 | — | 29,482,917 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 586,858,840 | — | 586,858,840 | ||||||||||||||||
U.S. Treasury Obligations | — | 434,326,845 | — | 434,326,845 | ||||||||||||||||
Commercial Paper | — | 16,879,916 | — | 16,879,916 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 9,869,225 | — | — | 9,869,225 | ||||||||||||||||
Unaffiliated Investment Companies | 91,162,513 | — | — | 91,162,513 | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 101,031,738 | 2,044,405,303 | — | 2,145,437,041 | ||||||||||||||||
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| |||||||||||||
Securities Sold Short | — | (19,910,139 | ) | — | (19,910,139 | ) | ||||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (1,153,776 | ) | — | — | (1,153,776 | ) | ||||||||||||||
Forward Currency Contracts | — | (1,158,145 | ) | — | (1,158,145 | ) | ||||||||||||||
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|
|
|
|
|
| |||||||||||||
Total Investments | $ | 99,877,962 | $ | 2,023,337,019 | $ | — | $ | 2,123,214,981 | ||||||||||||
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|
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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 and forward currency contracts. These investments are generally presented in the financial statements at variation margin for futures contracts or at unrealized gain or loss on forward contracts. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 1,588,257,363 | $ | 1,909,718,273 |
For the period ended June 30, 2020, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 946,753,242 | $ | 1,345,704,659 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments
39
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
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 December 31, 2019 was $2,354,193,838. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 58,949,952 | ||
Unrealized (depreciation) | (4,183,767 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 54,766,185 | ||
|
|
As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2019, the Fund utilized $35,210,515 in CLCFs to offset capital gains.
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 7,187,227 | $ | 12,605,150 | $ | 19,792,377 |
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 48,427,627 | $ | — | $ | 48,427,627 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
40
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
At December 31, 2019, 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 Enhanced Bond Index Fund | $ | 46,897,343 | $ | — | $ | (19,792,376 | ) | $ | 54,786,182 | $ | 81,891,149 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales and mark-to-market of futures contracts and straddles. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 25% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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.
41
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-PORT. 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.
42
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
43
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® FIAM Multi-Strategy Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 24 |
Page 24 |
Statements of Changes in Net Assets Page 25 |
Page 26 |
Notes to the Financial Statements Page 27 |
Page 34 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio | |||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 1,000.00 | $ | 1,020.10 | $ | 3.57 | 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio | |||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 1,000.00 | $ | 1,021.33 | $ | 3.57 | 0.71 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 40.5 | % | |||
Corporate Bonds | 22.6 | ||||
U.S. Treasury Obligations | 12.5 | ||||
U.S. Government Agency Mortgages | 8.9 | ||||
Yankee Dollars | 8.2 | ||||
Collateralized Mortgage Obligations | 3.0 | ||||
Unaffiliated Investment Companies | 2.5 | ||||
Asset Backed Securities | 1.1 | ||||
Municipal Bonds | 0.9 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.5 | ||||
Bank Loans | 0.1 | ||||
Rights | — | † | |||
Foreign Bonds | — | † | |||
|
| ||||
Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (40.5%): | ||||||||
Aerospace & Defense (0.6%): | ||||||||
762 | Boeing Co. (The) | $ | 139,675 | |||||
1,054 | Howmet Aerospace, Inc.* | 16,706 | ||||||
3,782 | L3harris Technologies, Inc. | 641,692 | ||||||
1,119 | Lockheed Martin Corp. | 408,345 | ||||||
9,347 | Moog, Inc., Class A | 495,204 | ||||||
3,032 | Northrop Grumman Corp. | 932,158 | ||||||
5,138 | Raytheon Technologies Corp. | 316,604 | ||||||
|
| |||||||
2,950,384 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%†): | ||||||||
239 | C.H. Robinson Worldwide, Inc. | 18,895 | ||||||
1,293 | United Parcel Service, Inc., Class B | 143,756 | ||||||
|
| |||||||
162,651 | ||||||||
|
| |||||||
Auto Components (0.1%): | ||||||||
9,456 | BorgWarner, Inc. | 333,797 | ||||||
|
| |||||||
Banks (1.3%): | ||||||||
48,433 | Bank of America Corp. | 1,150,284 | ||||||
29,508 | Citigroup, Inc. | 1,507,859 | ||||||
31,509 | JPMorgan Chase & Co. | 2,963,736 | ||||||
47,279 | Wells Fargo & Co. | 1,210,342 | ||||||
|
| |||||||
6,832,221 | ||||||||
|
| |||||||
Beverages (0.6%): | ||||||||
47,428 | Coca-Cola Co. (The) | 2,119,083 | ||||||
463 | Coca-Cola Consolidated, Inc. | 106,115 | ||||||
5,128 | Molson Coors Brewing Co., Class B | 176,198 | ||||||
6,700 | PepsiCo, Inc. | 886,142 | ||||||
|
| |||||||
3,287,538 | ||||||||
|
| |||||||
Biotechnology (1.3%): | ||||||||
24,559 | AbbVie, Inc. | 2,411,203 | ||||||
6,751 | Amgen, Inc. | 1,592,291 | ||||||
3,049 | Biogen, Inc.* | 815,760 | ||||||
13,615 | Gilead Sciences, Inc. | 1,047,538 | ||||||
1,156 | Regeneron Pharmaceuticals, Inc.* | 720,939 | ||||||
975 | United Therapeutics Corp.* | 117,975 | ||||||
|
| |||||||
6,705,706 | ||||||||
|
| |||||||
Building Products (0.1%): | ||||||||
2,605 | Carrier Global Corp. | 57,883 | ||||||
6,555 | Fortune Brands Home & Security, Inc. | 419,061 | ||||||
|
| |||||||
476,944 | ||||||||
|
| |||||||
Capital Markets (0.7%): | ||||||||
1,834 | Affiliated Managers Group, Inc. | 136,743 | ||||||
4,590 | Bank of New York Mellon Corp. (The) | 177,404 | ||||||
38 | BlackRock, Inc., Class A | 20,675 | ||||||
2,962 | Charles Schwab Corp. (The) | 99,938 | ||||||
93 | CME Group, Inc. | 15,116 | ||||||
4,209 | Goldman Sachs Group, Inc. | 831,783 | ||||||
543 | Moody’s Corp. | 149,178 | ||||||
11,032 | Morgan Stanley | 532,846 | ||||||
615 | Raymond James Financial, Inc. | 42,330 | ||||||
940 | S&P Global, Inc. | 309,711 | ||||||
9,885 | State Street Corp. | 628,192 | ||||||
5,198 | T. Rowe Price Group, Inc. | 641,953 | ||||||
|
| |||||||
3,585,869 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals (0.6%): | ||||||||
5,847 | CF Industries Holdings, Inc. | $ | 164,535 | |||||
9,868 | DuPont de Nemours, Inc. | 524,287 | ||||||
12,555 | Eastman Chemical Co. | 874,331 | ||||||
4,111 | Ecolab, Inc. | 817,883 | ||||||
1,064 | Linde plc | 225,685 | ||||||
228 | NewMarket Corp. | 91,309 | ||||||
6,534 | Valvoline, Inc. | 126,302 | ||||||
|
| |||||||
2,824,332 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.3%): | ||||||||
3,301 | Cintas Corp. | 879,255 | ||||||
10,931 | Herman Miller, Inc. | 258,081 | ||||||
1,901 | UniFirst Corp. | 340,184 | ||||||
408 | Waste Management, Inc. | 43,211 | ||||||
|
| |||||||
1,520,731 | ||||||||
|
| |||||||
Communications Equipment (0.5%): | ||||||||
55,496 | Cisco Systems, Inc. | 2,588,333 | ||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
8,383 | EMCOR Group, Inc. | 554,452 | ||||||
|
| |||||||
Consumer Finance (0.1%): | ||||||||
5,288 | Discover Financial Services | 264,876 | ||||||
17,237 | Synchrony Financial | 381,972 | ||||||
|
| |||||||
646,848 | ||||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
639 | Packaging Corp. of America | 63,772 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
524 | Frontdoor, Inc.* | 23,229 | ||||||
177 | Graham Holdings Co., Class B | 60,653 | ||||||
1,454 | Service Corp. International | 56,546 | ||||||
|
| |||||||
140,428 | ||||||||
|
| |||||||
Diversified Financial Services (0.6%): | ||||||||
17,141 | Berkshire Hathaway, Inc., Class B* | 3,059,840 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.1%): | ||||||||
86,630 | AT&T, Inc. | 2,618,825 | ||||||
16,774 | CenturyLink, Inc. | 168,243 | ||||||
48,197 | Verizon Communications, Inc. | 2,657,101 | ||||||
|
| |||||||
5,444,169 | ||||||||
|
| |||||||
Electric Utilities (0.6%): | ||||||||
1,107 | ALLETE, Inc. | 60,453 | ||||||
8,314 | Alliant Energy Corp. | 397,742 | ||||||
6,129 | Exelon Corp. | 222,421 | ||||||
8,679 | FirstEnergy Corp. | 336,572 | ||||||
4,943 | Hawaiian Electric Industries, Inc. | 178,245 | ||||||
2,387 | IDACORP, Inc. | 208,552 | ||||||
1,631 | NextEra Energy, Inc. | 391,717 | ||||||
3,496 | OGE Energy Corp. | 106,139 | ||||||
6,745 | PG&E Corp.* | 59,828 | ||||||
1,662 | PNM Resources, Inc. | 63,887 | ||||||
12,820 | Portland General Electric Co. | 536,005 | ||||||
11,429 | PPL Corp. | 295,325 | ||||||
2,579 | Southern Co. (The) | 133,721 | ||||||
1,410 | Xcel Energy, Inc. | 88,125 | ||||||
|
| |||||||
3,078,732 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment (0.1%): | ||||||||
560 | Acuity Brands, Inc. | $ | 53,614 | |||||
6,112 | AMETEK, Inc. | 546,230 | ||||||
|
| |||||||
599,844 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.2%): | ||||||||
4,211 | Avnet, Inc. | 117,424 | ||||||
13,272 | National Instruments Corp. | 513,759 | ||||||
2,711 | SYNNEX Corp. | 324,696 | ||||||
|
| |||||||
955,879 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
15,416 | Schlumberger, Ltd. | 283,500 | ||||||
9,740 | TechnipFMC plc | 66,622 | ||||||
450 | Weatherford International plc* | 887 | ||||||
|
| |||||||
351,009 | ||||||||
|
| |||||||
Entertainment (0.9%): | ||||||||
6,040 | Cinemark Holdings, Inc. | 69,762 | ||||||
8,494 | Electronic Arts, Inc.* | 1,121,633 | ||||||
5,661 | Netflix, Inc.* | 2,575,981 | ||||||
8,483 | Walt Disney Co. (The) | 945,939 | ||||||
|
| |||||||
4,713,315 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.0%): | ||||||||
6,945 | American Tower Corp. | 1,795,561 | ||||||
9,220 | Crown Castle International Corp. | 1,542,967 | ||||||
758 | CubeSmart | 20,458 | ||||||
9,516 | Digital Realty Trust, Inc. | 1,352,319 | ||||||
39 | Equinix, Inc. | 27,390 | ||||||
364 | Essex Property Trust, Inc. | 83,418 | ||||||
2,572 | Public Storage, Inc. | 493,541 | ||||||
2,023 | STAG Industrial, Inc. | 59,314 | ||||||
1,280 | VICI Properties, Inc. | 25,843 | ||||||
|
| |||||||
5,400,811 | ||||||||
|
| |||||||
Food & Staples Retailing (0.7%): | ||||||||
2,425 | Costco Wholesale Corp. | 735,284 | ||||||
18,595 | Kroger Co. (The) | 629,441 | ||||||
18,074 | Walmart, Inc. | 2,164,904 | ||||||
|
| |||||||
3,529,629 | ||||||||
|
| |||||||
Food Products (0.4%): | ||||||||
10,269 | Archer-Daniels-Midland Co. | 409,733 | ||||||
8,198 | General Mills, Inc. | 505,407 | ||||||
19 | Hershey Co. (The) | 2,463 | ||||||
11,916 | Mondelez International, Inc., Class A | 609,265 | ||||||
8,224 | Tyson Foods, Inc., Class A | 491,055 | ||||||
|
| |||||||
2,017,923 | ||||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
5,040 | UGI Corp. | 160,272 | ||||||
|
| |||||||
Health Care Equipment & Supplies (1.5%): | ||||||||
25,671 | Abbott Laboratories | 2,347,100 | ||||||
4,002 | Baxter International, Inc. | 344,572 | ||||||
3,555 | Boston Scientific Corp.* | 124,816 | ||||||
3,574 | Danaher Corp. | 631,990 | ||||||
14,906 | Edwards Lifesciences Corp.* | 1,030,154 | ||||||
4,017 | Hill-Rom Holdings, Inc. | 440,986 | ||||||
13,247 | Hologic, Inc.* | 755,079 | ||||||
19,933 | Medtronic plc | 1,827,856 | ||||||
|
| |||||||
7,502,553 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services (1.2%): | ||||||||
940 | AmerisourceBergen Corp. | $ | 94,724 | |||||
5,605 | Anthem, Inc. | 1,474,003 | ||||||
1,906 | Cardinal Health, Inc. | 99,474 | ||||||
1,011 | Cigna Corp. | 189,714 | ||||||
13,852 | CVS Health Corp. | 899,964 | ||||||
871 | Humana, Inc. | 337,730 | ||||||
99 | McKesson Corp. | 15,189 | ||||||
11,011 | UnitedHealth Group, Inc. | 3,247,695 | ||||||
|
| |||||||
6,358,493 | ||||||||
|
| |||||||
Health Care Technology (0.3%): | ||||||||
16,823 | Cerner Corp. | 1,153,216 | ||||||
535 | Veeva Systems, Inc., Class A* | 125,415 | ||||||
|
| |||||||
1,278,631 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.3%): | ||||||||
8,967 | McDonald’s Corp. | 1,654,143 | ||||||
1,719 | Starbucks Corp. | 126,501 | ||||||
|
| |||||||
1,780,644 | ||||||||
|
| |||||||
Household Durables (0.5%): | ||||||||
21,606 | D.R. Horton, Inc. | 1,198,052 | ||||||
6,645 | Garmin, Ltd. | 647,888 | ||||||
189 | NVR, Inc.* | 615,904 | ||||||
|
| |||||||
2,461,844 | ||||||||
|
| |||||||
Household Products (1.1%): | ||||||||
1,454 | Clorox Co. (The) | 318,964 | ||||||
11,420 | Colgate-Palmolive Co. | 836,629 | ||||||
6,995 | Kimberly-Clark Corp. | 988,743 | ||||||
27,666 | Procter & Gamble Co. (The) | 3,308,024 | ||||||
|
| |||||||
5,452,360 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
2,096 | 3M Co. | 326,955 | ||||||
37,161 | General Electric Co. | 253,810 | ||||||
1,024 | Honeywell International, Inc. | 148,060 | ||||||
|
| |||||||
728,825 | ||||||||
|
| |||||||
Insurance (0.9%): | ||||||||
4,992 | Allstate Corp. (The) | 484,174 | ||||||
4,339 | American Financial Group, Inc. | 275,353 | ||||||
1,965 | CNA Financial Corp. | 63,175 | ||||||
2,049 | Fidelity National Financial, Inc. | 62,822 | ||||||
16,457 | First American Financial Corp. | 790,265 | ||||||
2,996 | Hartford Financial Services Group, Inc. (The) | 115,496 | ||||||
4,685 | Primerica, Inc. | 546,271 | ||||||
15,470 | Progressive Corp. (The) | 1,239,302 | ||||||
697 | Selective Insurance Group, Inc. | 36,760 | ||||||
1,948 | Travelers Cos., Inc. (The) | 222,169 | ||||||
3,080 | Unum Group | 51,097 | ||||||
13,234 | WR Berkley Corp. | 758,176 | ||||||
|
| |||||||
4,645,060 | ||||||||
|
| |||||||
Interactive Media & Services (2.6%): | ||||||||
2,435 | Alphabet, Inc., Class A* | 3,452,952 | ||||||
3,092 | Alphabet, Inc., Class C* | 4,370,882 | ||||||
24,130 | Facebook, Inc., Class A* | 5,479,198 | ||||||
|
| |||||||
13,303,032 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.2%): | ||||||||
3,692 | Amazon.com, Inc.* | 10,185,563 |
See accompanying notes to the financial statements.
3
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
23,397 | eBay, Inc. | $ | 1,227,173 | |||||
|
| |||||||
11,412,736 | ||||||||
|
| |||||||
IT Services (2.1%): | ||||||||
88 | Accenture plc, Class C | 18,895 | ||||||
14,957 | Amdocs, Ltd. | 910,581 | ||||||
4,252 | DXC Technology Co. | 70,158 | ||||||
191 | Fidelity National Information Services, Inc. | 25,611 | ||||||
789 | Fiserv, Inc.* | 77,022 | ||||||
653 | Global Payments, Inc. | 110,762 | ||||||
9,078 | MasterCard, Inc., Class A | 2,684,365 | ||||||
1,071 | Paychex, Inc. | 81,128 | ||||||
10,792 | PayPal Holdings, Inc.* | 1,880,290 | ||||||
9,195 | Square, Inc., Class A* | 964,923 | ||||||
316 | Twilio, Inc., Class A* | 69,337 | ||||||
1,881 | VeriSign, Inc.* | 389,047 | ||||||
17,225 | Visa, Inc., Class A | 3,327,354 | ||||||
|
| |||||||
10,609,473 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
284 | Illumina, Inc.* | 105,179 | ||||||
1,628 | Thermo Fisher Scientific, Inc. | 589,890 | ||||||
|
| |||||||
695,069 | ||||||||
|
| |||||||
Machinery (0.7%): | ||||||||
9,547 | AGCO Corp. | 529,477 | ||||||
2,870 | Caterpillar, Inc. | 363,055 | ||||||
7,690 | Cummins, Inc. | 1,332,368 | ||||||
10,407 | Dover Corp. | 1,004,900 | ||||||
368 | Illinois Tool Works, Inc. | 64,345 | ||||||
1,303 | Otis Worldwide Corp. | 74,089 | ||||||
|
| |||||||
3,368,234 | ||||||||
|
| |||||||
Media (0.3%): | ||||||||
30,943 | Comcast Corp., Class A | 1,206,158 | ||||||
2,522 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 86,883 | ||||||
2,467 | Omnicom Group, Inc. | 134,698 | ||||||
|
| |||||||
1,427,739 | ||||||||
|
| |||||||
Metals & Mining (0.6%): | ||||||||
23,523 | Newmont Corp. | 1,452,310 | ||||||
67,116 | Novagold Resources, Inc.* | 616,125 | ||||||
9,059 | Reliance Steel & Aluminum Co. | 859,971 | ||||||
2,901 | Royal Gold, Inc. | 360,652 | ||||||
|
| |||||||
3,289,058 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
5,520 | Annaly Capital Management, Inc. | 36,211 | ||||||
|
| |||||||
Multiline Retail (0.0%†): | ||||||||
95 | Target Corp. | 11,393 | ||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
2,578 | Avista Corp. | 93,813 | ||||||
5,519 | CMS Energy Corp. | 322,420 | ||||||
18,662 | Dominion Energy, Inc. | 1,514,981 | ||||||
1,378 | DTE Energy Co. | 148,135 | ||||||
4,103 | NorthWestern Corp. | 223,696 | ||||||
|
| |||||||
2,303,045 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.0%): | ||||||||
24,702 | Chevron Corp. | 2,204,159 | ||||||
20,911 | ConocoPhillips Co. | 878,680 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
2,222 | EOG Resources, Inc. | $ | 112,567 | |||||
32,667 | Exxon Mobil Corp. | 1,460,868 | ||||||
7,033 | Kinder Morgan, Inc. | 106,691 | ||||||
5,127 | Marathon Oil Corp. | 31,377 | ||||||
16,332 | Occidental Petroleum Corp. | 298,876 | ||||||
|
| |||||||
5,093,218 | ||||||||
|
| |||||||
Pharmaceuticals (2.1%): | ||||||||
31,404 | Bristol-Myers Squibb Co. | 1,846,555 | ||||||
12,631 | Eli Lilly & Co. | 2,073,758 | ||||||
26,446 | Johnson & Johnson Co. | 3,719,102 | ||||||
34,040 | Merck & Co., Inc. | 2,632,313 | ||||||
14,756 | Mylan NV* | 237,276 | ||||||
15,886 | Pfizer, Inc. | 519,472 | ||||||
|
| |||||||
11,028,476 | ||||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
936 | ManpowerGroup, Inc. | 64,350 | ||||||
16,925 | Nielsen Holdings plc | 251,506 | ||||||
18,046 | Robert Half International, Inc. | 953,370 | ||||||
|
| |||||||
1,269,226 | ||||||||
|
| |||||||
Road & Rail (0.6%): | ||||||||
18,324 | CSX Corp. | 1,277,916 | ||||||
2,997 | Norfolk Southern Corp. | 526,183 | ||||||
6,689 | Union Pacific Corp. | 1,130,909 | ||||||
|
| |||||||
2,935,008 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.6%): | ||||||||
6,185 | Advanced Micro Devices, Inc.* | 325,393 | ||||||
2,454 | Analog Devices, Inc. | 300,959 | ||||||
5,320 | Applied Materials, Inc. | 321,594 | ||||||
102 | Broadcom, Inc. | 32,192 | ||||||
1,738 | Cirrus Logic, Inc.* | 107,374 | ||||||
34,473 | Intel Corp. | 2,062,520 | ||||||
2,081 | Lam Research Corp. | 673,120 | ||||||
828 | Micron Technology, Inc.* | 42,659 | ||||||
6,665 | NVIDIA Corp. | 2,532,099 | ||||||
3,893 | ON Semiconductor Corp.* | 77,159 | ||||||
21,336 | Qualcomm, Inc. | 1,946,057 | ||||||
|
| |||||||
8,421,126 | ||||||||
|
| |||||||
Software (3.9%): | ||||||||
2,361 | Adobe, Inc.* | 1,027,767 | ||||||
8,978 | Cadence Design Systems, Inc.* | 861,529 | ||||||
539 | Intuit, Inc. | 159,646 | ||||||
65,251 | Microsoft Corp. | 13,279,230 | ||||||
23,842 | Oracle Corp. | 1,317,747 | ||||||
889 | Proofpoint, Inc.* | 98,786 | ||||||
11,690 | Salesforce.com, Inc.* | 2,189,888 | ||||||
627 | ServiceNow, Inc.* | 253,973 | ||||||
3,084 | Synopsys, Inc.* | 601,380 | ||||||
1,434 | Verint Systems, Inc.* | 64,788 | ||||||
1,576 | Workday, Inc., Class A* | 295,279 | ||||||
|
| |||||||
20,150,013 | ||||||||
|
| |||||||
Specialty Retail (1.0%): | ||||||||
1,785 | AutoNation, Inc.* | 67,080 | ||||||
469 | AutoZone, Inc.* | 529,088 | ||||||
6,511 | Best Buy Co, Inc. | 568,215 | ||||||
9,136 | Home Depot, Inc. (The) | 2,288,660 |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
11,352 | Lowe’s Cos., Inc. | $ | 1,533,883 | |||||
111 | Murphy U.S.A., Inc.* | 12,497 | ||||||
|
| |||||||
4,999,423 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.4%): | ||||||||
34,211 | Apple, Inc. | 12,480,173 | ||||||
1,579 | HP, Inc. | 27,522 | ||||||
|
| |||||||
12,507,695 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.4%): | ||||||||
5,474 | Hanesbrands, Inc. | 61,801 | ||||||
14,722 | Nike, Inc., Class B | 1,443,492 | ||||||
4,007 | Ralph Lauren Corp. | 290,588 | ||||||
|
| |||||||
1,795,881 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%†): | ||||||||
8,137 | TFS Financial Corp. | 116,440 | ||||||
|
| |||||||
Tobacco (0.3%): | ||||||||
1,430 | Altria Group, Inc. | 56,128 | ||||||
24,176 | Philip Morris International, Inc. | 1,693,770 | ||||||
|
| |||||||
1,749,898 | ||||||||
|
| |||||||
Total Common Stocks (Cost $168,453,823) | 208,716,233 | |||||||
|
| |||||||
Right (0.0%†): | ||||||||
Pharmaceuticals (0.0%†): | ||||||||
3,536 | Bristol-Myers Squibb Co. CVR, Expires on 12/31/21* | 12,659 | ||||||
|
| |||||||
Total Right (Cost $8,133) | 12,659 | |||||||
|
| |||||||
Asset Backed Securities (1.1%): | ||||||||
$ | 244,877 | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | 129,845 | |||||
195,134 | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | 176,305 | ||||||
144,363 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 128,783 | ||||||
242,675 | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | 213,707 | ||||||
296,910 | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | 267,921 | ||||||
978,828 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | 825,184 | ||||||
614,702 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 511,557 | ||||||
143,229 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 123,874 | ||||||
288,623 | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | 252,470 | ||||||
216,990 | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | 120,842 | ||||||
329,222 | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 305,695 | ||||||
215,050 | DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/21 @ 100(a) | 221,336 | ||||||
359,720 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | 380,739 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 236,273 | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a) | $ | 207,831 | ||||
222,056 | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a) | 200,343 | ||||||
218,900 | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | 188,574 | ||||||
252,479 | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | 211,568 | ||||||
286,617 | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | 243,476 | ||||||
250,000 | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | 119,946 | ||||||
265,289 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | 231,817 | ||||||
410,000 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | 364,863 | ||||||
356,928 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | 317,612 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $6,768,038) | 5,744,288 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (3.0%): | ||||||||
324,000 | AIMCO CLO, Ltd., Class A, Series 2019-10A, 2.42%(US0003M+132bps), 7/22/32, Callable 7/22/21 @ 100(a) | 315,859 | ||||||
250,000 | Allegany Park CLO, Ltd., Class A, Series 2019-1A, 3.16%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(a) | 245,041 | ||||||
256,000 | Ares CLO, Ltd., Class A, Series 2019-54A, 2.54%(US0003M+132bps), 10/15/32, Callable 10/15/21 @ 100(a) | 250,574 | ||||||
344,000 | Ares CLO, Ltd., Class AR, Series 2016-41A, 2.42%(US0003M+120bps), 1/15/29, Callable 7/15/20 @ 100(a) | 339,738 | ||||||
250,000 | Ares LV CLO, Ltd., Class A1, Series 2020-55A, 2.07%(US0003M+170bps), 4/15/31, Callable 7/15/21 @ 100(a) | 249,495 | ||||||
177,000 | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | 165,732 | ||||||
30,000 | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52 | 32,859 | ||||||
265,000 | Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 3.23%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(a) | 260,178 | ||||||
46,000 | Benchmark Mortgage Trust, Class A5, Series 2019-B14, 3.05%, 12/15/61 | 50,932 | ||||||
34,000 | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b) | 39,873 | ||||||
309,000 | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 2.21%(US0003M+99bps), 4/15/29, Callable 1/15/21 @ 100(a) | 303,527 | ||||||
119,000 | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.08%(US0001M+190bps), 4/15/34(a) | 105,899 | ||||||
153,000 | BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.18%(US0001M+100bps), 12/15/29(a) | 149,147 |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 121,000 | BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.30%(US0001M+112bps), 12/15/29(a) | $ | 117,393 | ||||
94,500 | BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.98%(US0001M+180bps), 11/15/35(a) | 92,125 | ||||||
98,905 | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.81%(US0001M+263bps), 9/15/20(a) | 72,634 | ||||||
143,000 | BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.78%(US0001M+160bps), 12/15/29(a) | 135,869 | ||||||
174,838 | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.43%(US0001M+125bps), 10/15/36(a) | 169,044 | ||||||
139,488 | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.26%(US0001M+108bps), 10/15/36(a) | 137,032 | ||||||
247,449 | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.63%(US0001M+145bps), 10/15/36(a) | 238,682 | ||||||
187,000 | BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.43%(US0001M+125bps), 12/15/29(a) | 179,550 | ||||||
308,000 | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.98%(US0001M+80bps), 12/15/29(a) | 303,808 | ||||||
298,000 | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.18%(US0001M+100bps), 4/15/34(a) | 286,184 | ||||||
172,000 | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.48%(US0001M+130bps), 4/15/34(a) | 158,214 | ||||||
347,766 | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.98%(US0001M+180bps), 10/15/36(a) | 333,038 | ||||||
113,000 | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.78%(US0001M+160bps), 4/15/34(a) | 101,679 | ||||||
250,000 | Cedar Funding CLO, Ltd., Class A1A, Series 2019-11A, 1.71%(US0003M+135bps), 5/29/32, Callable 5/29/21 @ 100(a) | 245,022 | ||||||
250,000 | Cedar Funding CLO, Ltd., Class A, Series 2019-10A, 2.48%(US0003M+134bps), 10/20/32, Callable 10/20/21 @ 100(a) | 244,014 | ||||||
99,570 | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.93%(US0001M+175bps), 6/15/34(a) | 90,599 | ||||||
99,570 | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.68%(US0001M+150bps), 6/15/34(a) | 92,118 | ||||||
404,256 | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.30%(US0001M+112bps), 6/15/34(a) | 379,971 | ||||||
57,000 | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47 | 62,098 | ||||||
153,000 | Credit Suisse Mortgage Capital Certificates, Class C, Series 2019-ICE4, 1.61%(US0001M+143bps), 5/15/36(a) | 145,740 | ||||||
140,000 | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.41%(US0001M+123bps), 5/15/36(a) | 134,761 | ||||||
100,000 | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | 98,677 | ||||||
100,000 | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | 100,984 | ||||||
205,000 | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | 199,760 | ||||||
860,000 | CSMC Trust, Class D, Series 2017-PFHP, 2.43%(US0001M+225bps), 12/15/30(a) | 753,937 | ||||||
100,000 | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | 95,407 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 250,000 | Dryden 68 CLO, Ltd., Class A, Series 2019-68A, 2.53%(US0003M+131bps), 7/15/32, Callable 7/15/21 @ 100(a) | $ | 243,059 | ||||
250,000 | Dryden 76 CLO, Ltd., Class A1, Series 2019-76A, 2.47%(US0003M+133bps), 10/20/32, Callable 10/20/21 @ 100(a) | 246,253 | ||||||
250,000 | Dryden CLO, Ltd., Class A, Series 2020-78A, 2.45%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(a) | 242,935 | ||||||
392,000 | Dryden CLO, Ltd., Class AR2, Series 2014-36A, 2.50%(US0003M+128bps), 4/15/29, Callable 7/15/20 @ 100(a) | 389,082 | ||||||
275,000 | Dryden CLO, Ltd., Class A, Series 2019-72A, 1.72%(US0003M+133bps), 5/15/32, Callable 5/15/21 @ 100(a) | 266,621 | ||||||
286,000 | Flatiron CLO, Ltd., Class A, Series 2019-1A, 1.71%(US0003M+132bps), 11/16/32, Callable 11/16/21 @ 100(a) | 279,702 | ||||||
41,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | 41,424 | ||||||
87,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | 87,243 | ||||||
64,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | 64,372 | ||||||
330,000 | Madison Park Funding XLV, Ltd., Class A, Series 2020-45A(US0003M+165bps), 7/15/31(a) | 330,000 | ||||||
250,000 | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 2.02%(US0003M+92bps), 1/22/28, Callable 7/22/20 @ 100(a) | 246,137 | ||||||
250,000 | Madison Park Funding, Ltd., Class AR2, Series 2012-101, 2.36%(US0003M+122bps), 1/20/29, Callable 7/20/20 @ 100(a) | 246,843 | ||||||
324,000 | Madison Park Funding, Ltd., Class A1, Series 2019-37A, 2.52%(US0003M+130bps), 7/15/32, Callable 7/15/21 @ 100(a) | 315,848 | ||||||
250,000 | Madison Park Funding, Ltd., Class A, Series 2019-33A, 2.55%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(a) | 245,232 | ||||||
500,000 | Magnetite, Ltd., Class A, Series 24, 3.24%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(a) | 490,883 | ||||||
302,000 | Magnetite, Ltd., Class A, Series 2019-21A, 2.42%(US0003M+128bps), 4/20/30, Callable 7/20/20 @ 100(a) | 296,787 | ||||||
315,000 | Milos CLO, Ltd., Class AR, Series 2017-1A, 2.21%(US0003M+107bps), 10/20/30, Callable 4/20/21 @ 100(a) | 307,434 | ||||||
385,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36(a) | 368,514 | ||||||
56,000 | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36(a) | 52,668 | ||||||
245,000 | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.43%(US0001M+125bps), 6/15/35(a) | 235,719 |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 589,000 | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.68%(US0001M+150bps), 6/15/35(a) | $ | 562,266 | ||||
53,000 | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36(a) | 46,981 | ||||||
132,000 | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51 | 156,998 | ||||||
87,550 | MSCG Trust, Class C, Series 2016-SNR, 5.21%, 11/15/34(a) | 88,805 | ||||||
2,760 | MSCG Trust, Class B, Series 2016-SNR, 4.18%, 11/15/34(a) | 2,788 | ||||||
324,000 | Niagara Park CLO, Ltd., Class A, Series 2019-1A, 2.43%(US0003M+130bps), 7/17/32, Callable 7/17/21 @ 100(a) | 317,154 | ||||||
261,000 | RETL, Class C, Series 2019-RVP, 2.28%(US0001M+210bps), 3/15/36(a) | 217,040 | ||||||
365,000 | Stratus CLO, Ltd., Class A, Series 2020-1A, 3.29%(US0003M+198bps), 4/30/28, Callable 4/20/21 @ 100(a) | 365,306 | ||||||
250,000 | Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 2.14%(US0003M+100bps), 1/20/29, Callable 4/20/21 @ 100(a) | 244,932 | ||||||
332,000 | VERDE CLO, Ltd., Class A, Series 2019-1A, 2.57%(US0003M+135bps), 4/15/32, Callable 4/15/21 @ 100(a) | 324,593 | ||||||
283,000 | Voya CLO, Ltd., Class A, Series 2020-1A, 2.00%(US0003M+170bps), 7/16/31, Callable 7/16/21 @ 100(a) | 283,000 | ||||||
335,000 | Voya CLO, Ltd., Class A, Series 2019-2, 2.41%(US0003M+127bps), 7/20/32, Callable 7/20/21 @ 100(a) | 327,978 | ||||||
155,000 | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52 | 182,796 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $16,102,390) | 15,594,587 | |||||||
|
| |||||||
Bank Loans (0.1%): | ||||||||
Diversified Financial Services (0.1%): | ||||||||
96,022 | Intelsat Jackson Holdings SA, 0.00%, 7/13/21 | 97,282 | ||||||
140,000 | Intelsat Jackson Holdings SA, 0.00%, 11/27/23 | 139,038 | ||||||
10,000 | Intelsat Jackson Holdings SA, 0.00%, 1/2/24 | 9,975 | ||||||
|
| |||||||
246,295 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
110,000 | California Resources Corp., 0.00%, 12/31/21 | 4,950 | ||||||
|
| |||||||
Software (0.0%†): | ||||||||
55,000 | Ultimate Software Group, Inc. (The), 4.29%, 5/3/26, Callable 8/5/20 @ 100 | 54,253 | ||||||
|
| |||||||
Total Bank Loans (Cost $361,240) | 305,498 | |||||||
|
| |||||||
Corporate Bonds (22.6%): | ||||||||
Aerospace & Defense (0.4%): | ||||||||
145,000 | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | 159,914 | ||||||
145,000 | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | 161,588 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 100,000 | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | $ | 113,970 | ||||
100,000 | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | 117,935 | ||||||
150,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 176,022 | ||||||
210,000 | BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | 216,825 | ||||||
80,000 | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a) | 79,800 | ||||||
105,000 | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a) | 101,981 | ||||||
200,000 | Signature Aviation US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @ 102.69(a) | 199,500 | ||||||
15,000 | TransDigm, Inc., 6.50%, 5/15/25, Callable 8/6/20 @ 103.25 | 14,025 | ||||||
185,000 | TransDigm, Inc., 8.00%, 12/15/25, Callable 4/8/22 @ 104(a) | 194,019 | ||||||
240,000 | TransDigm, Inc., 6.25%, 3/15/26, Callable 3/15/22 @ 103.13(a) | 239,400 | ||||||
40,000 | TransDigm, Inc., 6.88%, 5/15/26, Callable 5/15/21 @ 105.16 | 37,350 | ||||||
40,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 6/15/21 @ 103.19 | 36,500 | ||||||
35,000 | TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75 | 33,425 | ||||||
425,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | 370,812 | ||||||
|
| |||||||
2,253,066 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%†): | ||||||||
135,000 | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(a) | 141,413 | ||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
240,000 | Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(a) | 247,762 | ||||||
209,000 | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a) | 219,683 | ||||||
|
| |||||||
467,445 | ||||||||
|
| |||||||
Banks (1.8%): | ||||||||
640,000 | Bank of America Corp., 4.20%, 8/26/24, MTN | 710,210 | ||||||
410,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 453,760 | ||||||
151,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 173,437 | ||||||
70,000 | CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100 | 67,900 | ||||||
165,000 | CIT Group, Inc., 6.13%, 3/9/28 | 178,200 | ||||||
730,000 | Citigroup, Inc., Series V, 4.05%, 7/30/22 | 774,453 | ||||||
255,000 | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | 275,532 | ||||||
1,098,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,252,247 | ||||||
456,000 | Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100 | 539,262 |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 2,005,000 | JPMorgan Chase & Co., 3.88%, 9/10/24 | $ | 2,220,376 | ||||
181,000 | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | 192,009 | ||||||
272,000 | Regions Financial Corp., 2.25%, 5/18/25, Callable 4/18/25 @ 100 | 284,201 | ||||||
205,000 | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | 212,968 | ||||||
645,000 | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | 775,681 | ||||||
155,000 | Wells Fargo & Co., Series S, 5.90% (US0003M+311 bps), Callable 6/15/24 @ 100 | 153,644 | ||||||
921,000 | Wells Fargo & Co., 5.01% (US0003M+424 bps), 4/4/51, Callable 4/4/50 @ 100, MTN | 1,271,619 | ||||||
|
| |||||||
9,535,499 | ||||||||
|
| |||||||
Beverages (0.4%): | ||||||||
400,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 449,240 | ||||||
150,000 | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | 171,128 | ||||||
400,000 | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | 474,529 | ||||||
333,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | 402,228 | ||||||
345,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | 486,325 | ||||||
163,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 6/1/60, Callable 12/1/59 @ 100 | 194,233 | ||||||
|
| |||||||
2,177,683 | ||||||||
|
| |||||||
Biotechnology (0.2%): | ||||||||
1,050,000 | Abbvie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100(a) | 1,092,292 | ||||||
|
| |||||||
Building Products (0.0%†): | ||||||||
205,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a) | 206,281 | ||||||
|
| |||||||
Capital Markets (1.2%): | ||||||||
457,000 | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | 464,998 | ||||||
780,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 881,408 | ||||||
128,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 185,272 | ||||||
3,431,000 | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | 3,698,363 | ||||||
434,000 | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | 494,925 | ||||||
296,000 | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | 329,621 | ||||||
300,000 | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | 358,286 | ||||||
19,000 | State Street Corp., 3.15% (SOFR+265 bps), 3/30/31, Callable 3/30/30 @ 100(a) | 21,356 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 20,000 | US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(a) | $ | 20,600 | ||||
|
| |||||||
6,454,829 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
95,000 | Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 6/15/27, Callable 6/15/23 @ 102.38(a) | 95,356 | ||||||
115,000 | Chemours Co., 7.00%, 5/15/25, Callable 8/6/20 @ 103.5^ | 109,681 | ||||||
175,000 | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100 | 158,375 | ||||||
245,000 | Platform Specialty Products Corp., 5.88%, 12/1/25, Callable 12/1/20 @ 102.94(a) | 247,144 | ||||||
130,000 | Valvoline, Inc., 4.38%, 8/15/25, Callable 8/15/20 @ 103.28 | 130,650 | ||||||
25,000 | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 24,531 | ||||||
50,000 | WR Grace & Co., 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a) | 50,563 | ||||||
|
| |||||||
816,300 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
70,000 | Aramark Services, Inc., 5.00%, 4/1/25, Callable 8/6/20 @ 103.75(a) | 68,950 | ||||||
195,000 | Aramark Services, Inc., 6.38%, 5/1/25, Callable 5/1/22 @ 103.19(a) | 201,094 | ||||||
150,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(a) | 142,500 | ||||||
60,000 | Tempo Acquisition LLC /Tempo Acquisition Finance Corp., 5.75%, 6/1/25, Callable 6/1/22 @ 102.88(a) | 61,500 | ||||||
230,000 | Tempo Finance Corp., 6.75%, 6/1/25, Callable 7/17/20 @ 103.38(a) | 232,875 | ||||||
|
| |||||||
706,919 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
270,000 | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100 | 290,250 | ||||||
180,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 8/6/20 @ 106.34(a) | 162,000 | ||||||
|
| |||||||
452,250 | ||||||||
|
| |||||||
Consumer Finance (2.1%): | ||||||||
390,000 | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | 394,875 | ||||||
350,000 | Ally Financial, Inc., 5.13%, 9/30/24 | 378,000 | ||||||
224,000 | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | 250,040 | ||||||
142,000 | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | 151,940 | ||||||
313,000 | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | 325,851 | ||||||
565,000 | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | 619,224 | ||||||
343,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 379,727 |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 1,000,000 | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | $ | 1,019,747 | ||||
250,000 | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | 252,230 | ||||||
1,000,000 | Discover Financial Services, 5.20%, 4/27/22 | 1,052,701 | ||||||
253,000 | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | 283,712 | ||||||
200,000 | Ford Motor Credit Co. LLC, 5.09%, 1/7/21 | 199,758 | ||||||
313,000 | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | 315,416 | ||||||
50,000 | Ford Motor Credit Co. LLC, 3.22%, 1/9/22 | 48,632 | ||||||
35,000 | Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100 | 33,851 | ||||||
329,000 | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | 332,189 | ||||||
968,000 | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | 924,625 | ||||||
70,000 | Ford Motor Credit Co. LLC, 4.69%, 6/9/25, Callable 4/9/25 @ 100 | 68,201 | ||||||
55,000 | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | 55,029 | ||||||
85,000 | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | 83,038 | ||||||
70,000 | General Motors Acceptance Corp., 8.00%, 11/1/31 | 91,525 | ||||||
500,000 | General Motors Financial Co., Inc., 4.20%, 3/1/21, Callable 2/1/21 @ 100 | 506,268 | ||||||
20,000 | Navient Corp., 7.25%, 1/25/22, MTN | 20,050 | ||||||
220,000 | Navient Corp., 7.25%, 9/25/23 | 215,050 | ||||||
271,000 | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100 | 275,395 | ||||||
510,000 | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100 | 518,267 | ||||||
76,000 | Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100 | 76,565 | ||||||
244,000 | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | 257,127 | ||||||
610,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | 639,816 | ||||||
405,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 421,520 | ||||||
423,000 | Synchrony Financial, 5.15%, 3/19/29, Callable 12/19/28 @ 100 | 476,105 | ||||||
99,000 | Toyota Motor Credit Corp., 3.38%, 4/1/30, MTN | 113,694 | ||||||
|
| |||||||
10,780,168 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
100,000 | Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a) | 100,915 | ||||||
50,000 | Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 58,500 | ||||||
100,000 | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 8/6/20 @ 101.28(a) | 100,500 | ||||||
115,000 | Silgan Holdings, Inc., 4.75%, 3/15/25, Callable 8/6/20 @ 102.38 | 116,725 | ||||||
|
| |||||||
376,640 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Consumer Services (0.2%): | ||||||||
$ | 125,000 | Ascend Learning LLC, 6.88%, 8/1/25, Callable 8/6/20 @ 103.44(a) | $ | 125,938 | ||||
190,000 | Ascend Learning LLC, 6.88%, 8/1/25, Callable 8/6/20 @ 103.44(a) | 191,425 | ||||||
80,000 | Frontdoor, Inc., 6.75%, 8/15/26, Callable 8/15/21 @ 105.06(a) | 84,900 | ||||||
460,000 | Laureate Education, Inc., 8.25%, 5/1/25, Callable 8/6/20 @ 106.19(a) | 477,249 | ||||||
70,000 | Service Corp International, 5.13%, 6/1/29, Callable 6/1/24 @ 102.56 | 74,988 | ||||||
130,000 | Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69^(a) | 120,900 | ||||||
|
| |||||||
1,075,400 | ||||||||
|
| |||||||
Diversified Financial Services (0.3%): | ||||||||
60,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | 64,048 | ||||||
225,000 | Banff Merger Sub, Inc., 9.75%, 9/1/26, Callable 9/1/21 @ 104.88(a) | 226,406 | ||||||
145,000 | Camelot Finance SA, 4.50%, 11/1/26, Callable 11/1/22 @ 102.25(a) | 145,000 | ||||||
200,000 | Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 8/6/20 @ 103.44(a) | 191,750 | ||||||
76,000 | Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 7/15/21 @ 103.94(a) | 73,625 | ||||||
255,000 | Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 8/6/20 @ 101.34 | 257,231 | ||||||
105,000 | Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 7/1/23 @ 102.13(a) | 104,869 | ||||||
500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 546,211 | ||||||
185,000 | Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100 | 197,217 | ||||||
|
| |||||||
1,806,357 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.4%): | ||||||||
28,000 | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | 31,367 | ||||||
65,000 | AT&T, Inc., 4.10%, 2/15/28, Callable 11/15/27 @ 100 | 73,996 | ||||||
138,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 161,673 | ||||||
400,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 490,679 | ||||||
200,000 | AT&T, Inc., 4.50%, 3/9/48, Callable 9/9/47 @ 100 | 235,647 | ||||||
80,000 | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | 82,700 | ||||||
235,000 | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | 234,119 | ||||||
10,000 | CenturyLink, Inc., Series G, 6.88%, 1/15/28^ | 10,600 | ||||||
55,000 | Front Range BidCo, Inc., 4.00%, 3/1/27, Callable 3/1/21 @ 102(a) | 52,113 | ||||||
120,000 | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(a) | 116,700 | ||||||
460,000 | Frontier Communications Corp., 8.00%, 4/1/27, Callable 4/1/22 @ 106(a) | 466,325 |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
$ | 95,000 | Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100 | $ | 106,455 | ||||
97,000 | Verizon Communications, Inc., 4.00%, 3/22/50, Callable 9/22/49 @ 100 | 121,493 | ||||||
|
| |||||||
2,183,867 | ||||||||
|
| |||||||
Electric Utilities (0.7%): | ||||||||
296,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | 294,520 | ||||||
165,000 | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/11/29 @ 100(a) | 170,708 | ||||||
34,000 | Consolidated Edison, Inc., 3.35%, 4/1/30, Callable 1/1/30 @ 100 | 38,520 | ||||||
60,000 | Consolidated Edison, Inc., 3.95%, 4/1/50, Callable 10/1/49 @ 100 | 71,153 | ||||||
116,000 | Duke Energy Corp., 2.45%, 6/1/30, Callable 3/1/30 @ 100 | 121,067 | ||||||
790,000 | Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100 | 904,272 | ||||||
109,000 | Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100 | 110,907 | ||||||
174,000 | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100 | 194,494 | ||||||
119,000 | Entergy Corp., 2.80%, 6/15/30, Callable 3/15/30 @ 100 | 125,535 | ||||||
105,000 | Entergy Corp., 3.75%, 6/15/50, Callable 12/15/49 @ 100 | 117,355 | ||||||
75,000 | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | 86,562 | ||||||
33,000 | Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100 | 42,154 | ||||||
136,000 | �� | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | 144,840 | |||||
115,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(a) | 115,288 | ||||||
140,826 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | 142,234 | ||||||
85,000 | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | 85,531 | ||||||
390,000 | Vistra Operations Co. LLC, 5.50%, 9/1/26, Callable 9/1/21 @ 102.75(a) | 398,775 | ||||||
80,000 | Vistra Operations Co. LLC, 5.63%, 2/15/27, Callable 2/15/22 @ 102.81(a) | 82,100 | ||||||
260,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(a) | 262,925 | ||||||
|
| |||||||
3,508,940 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.1%): | ||||||||
325,000 | TTM Technologies, Inc., 5.63%, 10/1/25, Callable 10/1/20 @ 102.81(a) | 322,156 | ||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
99,000 | Weatherford International, Ltd., 11.00%, 12/1/24, Callable 12/1/21 @ 105.5(a) | 69,053 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Entertainment (0.1%): | ||||||||
$ | 200,000 | Netflix, Inc., 4.88%, 4/15/28 | $ | 212,500 | ||||
55,000 | Netflix, Inc., 5.88%, 11/15/28 | 62,425 | ||||||
25,000 | Netflix, Inc., 6.38%, 5/15/29 | 29,063 | ||||||
25,000 | Netflix, Inc., 5.38%, 11/15/29(a) | 27,375 | ||||||
|
| |||||||
331,363 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.4%): | ||||||||
184,000 | Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30, Callable 9/15/30 @ 100 | 228,990 | ||||||
164,000 | Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100 | 176,197 | ||||||
1,039,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | 1,082,674 | ||||||
265,000 | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 271,936 | ||||||
62,000 | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | 65,457 | ||||||
355,000 | Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100 | 366,814 | ||||||
528,000 | Brixmor Operating Partnership LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100 | 539,133 | ||||||
252,000 | Brixmor Operating Partnership LP, 4.13%, 5/15/29, Callable 2/15/29 @ 100 | 259,712 | ||||||
26,000 | Brixmor Operating Partnership LP, 4.05%, 7/1/30, Callable 4/1/30 @ 100 | 26,441 | ||||||
717,000 | Corporate Office Properties Trust, 5.25%, 2/15/24, Callable 11/15/23 @ 100 | 766,018 | ||||||
130,000 | Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100 | 127,400 | ||||||
10,000 | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100 | 9,650 | ||||||
183,000 | Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100 | 194,417 | ||||||
40,000 | Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 8/6/20 @ 102.94 | 31,600 | ||||||
29,000 | HCP, Inc., 3.25%, 7/15/26, Callable 5/15/26 @ 100 | 31,667 | ||||||
34,000 | HCP, Inc., 3.50%, 7/15/29, Callable 4/15/29 @ 100 | 36,775 | ||||||
66,000 | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | 71,254 | ||||||
63,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | 63,461 | ||||||
400,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | 432,517 | ||||||
735,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 715,293 | ||||||
25,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | 24,500 | ||||||
300,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100 | 294,000 |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 45,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100 | $ | 46,688 | ||||
200,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63 | 207,000 | ||||||
549,000 | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | 567,400 | ||||||
101,000 | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | 103,527 | ||||||
1,278,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | 1,334,955 | ||||||
282,000 | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | 274,996 | ||||||
297,000 | SBA Tower Trust, 2.84%, 1/15/25(a) | 305,923 | ||||||
69,000 | Simon Property Group LP, 2.45%, 9/13/29, Callable 6/13/29 @ 100^ | 66,373 | ||||||
96,000 | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | 97,772 | ||||||
700,000 | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100 | 686,690 | ||||||
302,000 | Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | 292,475 | ||||||
165,000 | The Geo Group, Inc., 6.00%, 4/15/26, Callable 4/15/21 @ 103 | 127,050 | ||||||
118,000 | Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100 | 121,084 | ||||||
131,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | 137,843 | ||||||
367,000 | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | 363,482 | ||||||
430,000 | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | 484,096 | ||||||
65,000 | VEREIT Operating Partnership LP, 3.40%, 1/15/28, Callable 11/15/27 @ 100 | 65,038 | ||||||
60,000 | Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(a) | 56,400 | ||||||
85,000 | Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a) | 82,025 | ||||||
85,000 | Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(a) | 83,088 | ||||||
400,000 | WP Carey, Inc., 4.60%, 4/1/24, Callable 1/1/24 @ 100 | 426,321 | ||||||
66,000 | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | 68,680 | ||||||
|
| |||||||
11,814,812 | ||||||||
|
| |||||||
Food & Staples Retailing (0.2%): | ||||||||
115,000 | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44(a) | 119,600 | ||||||
120,000 | Sysco Corp., 5.65%, 4/1/25, Callable 3/1/25 @ 100 | 140,491 | ||||||
140,000 | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | 175,647 | ||||||
140,000 | Sysco Corp., 6.60%, 4/1/40, Callable 10/1/39 @ 100 | 189,271 | ||||||
140,000 | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | 194,533 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
$ | 65,000 | US Foods, Inc., 5.88%, 6/15/24, Callable 8/6/20 @ 101.47(a) | $ | 61,750 | ||||
75,000 | US Foods, Inc., 6.25%, 4/15/25, Callable 4/15/22 @ 103.13(a) | 76,313 | ||||||
|
| |||||||
957,605 | ||||||||
|
| |||||||
Food Products (0.3%): | ||||||||
40,000 | JBS Investments GmbH, 6.25%, 2/5/23, Callable 8/6/20 @ 101.04(a) | 40,250 | ||||||
321,000 | JBS USA Finance, Inc., 5.88%, 7/15/24, Callable 8/6/20 @ 101.96(a) | 325,013 | ||||||
625,000 | JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 8/6/20 @ 102.88(a) | 633,593 | ||||||
50,000 | JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(a) | 52,750 | ||||||
345,000 | JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a) | 366,131 | ||||||
180,000 | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | 184,500 | ||||||
115,000 | Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a) | 115,431 | ||||||
5,000 | Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a) | 4,888 | ||||||
45,000 | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a) | 46,463 | ||||||
|
| |||||||
1,769,019 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.0%†): | ||||||||
125,000 | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | 128,750 | ||||||
25,000 | Teleflex, Inc., 4.25%, 6/1/28, Callable 6/1/23 @ 102.13(a) | 25,594 | ||||||
|
| |||||||
154,344 | ||||||||
|
| |||||||
Health Care Providers & Services (1.4%): | ||||||||
250,000 | Centene Corp., 4.75%, 1/15/25, Callable 8/6/20 @ 103.56 | 255,625 | ||||||
35,000 | Centene Corp., 5.25%, 4/1/25, Callable 7/22/20 @ 103.94(a) | 36,006 | ||||||
90,000 | Centene Corp., 5.38%, 6/1/26, Callable 6/1/21 @ 104.03(a) | 93,713 | ||||||
360,000 | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | 371,700 | ||||||
610,000 | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | 643,550 | ||||||
245,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 246,225 | ||||||
341,000 | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | 402,474 | ||||||
170,000 | Community Health Systems, Inc., 6.25%, 3/31/23, Callable 8/6/20 @ 103.13 | 159,375 | ||||||
260,000 | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(a) | 245,700 |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 708,000 | CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100 | $ | 798,893 | ||||
78,000 | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | 87,725 | ||||||
779,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100 | 907,175 | ||||||
148,000 | CVS Health Corp., 3.75%, 4/1/30, Callable 1/1/30 @ 100 | 169,563 | ||||||
347,000 | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | 427,429 | ||||||
104,000 | CVS Health Corp., 4.13%, 4/1/40, Callable 10/1/39 @ 100 | 122,619 | ||||||
29,000 | CVS Health Corp., 4.25%, 4/1/50, Callable 10/1/49 @ 100 | 34,935 | ||||||
135,000 | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 134,156 | ||||||
20,000 | HCA, Inc., 4.75%, 5/1/23 | 21,650 | ||||||
240,000 | HCA, Inc., 5.38%, 2/1/25 | 256,800 | ||||||
180,000 | MPH Acquisition Holdings, 7.13%, 6/1/24, Callable 8/6/20 @ 103.56(a) | 167,400 | ||||||
275,000 | Tenet Healthcare Corp., 8.13%, 4/1/22 | 288,063 | ||||||
205,000 | Tenet Healthcare Corp., 7.50%, 4/1/25, Callable 4/1/22 @ 103.75(a) | 217,300 | ||||||
235,000 | Tenet Healthcare Corp., 7.00%, 8/1/25, Callable 8/6/20 @ 103.5^ | 229,125 | ||||||
55,000 | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a) | 53,763 | ||||||
150,000 | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/1/22 @ 103.13(a) | 148,875 | ||||||
30,000 | Tenet Healthcare Corp., 4.63%, 6/15/28, Callable 6/15/23 @ 102.31(a) | 29,250 | ||||||
117,000 | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | 124,771 | ||||||
216,000 | Toledo Hospital (The), 6.02%, 11/15/48 | 238,671 | ||||||
84,000 | UnitedHealth Group, Inc., 2.75%, 5/15/40, Callable 11/15/39 @ 100 | 89,874 | ||||||
15,000 | Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(a) | 15,675 | ||||||
|
| |||||||
7,018,080 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.4%): | ||||||||
75,000 | Boyd Gaming Corp., 6.38%, 4/1/26, Callable 4/1/21 @ 103.19 | 71,156 | ||||||
40,000 | Boyd Gaming Corp., 6.00%, 8/15/26, Callable 8/15/21 @ 103 | 37,500 | ||||||
115,000 | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38(a) | 98,756 | ||||||
260,000 | Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 10/15/20 @ 102.63(a) | 226,200 | ||||||
20,000 | Eldorado Resorts, Inc., 6.00%, 9/15/26^ | 21,600 | ||||||
195,000 | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(a) | 180,375 | ||||||
210,000 | Golden Nugget, Inc., 6.75%, 10/15/24, Callable 8/6/20 @ 103.38(a) | 150,413 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 100,000 | Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26, Callable 5/1/21 @ 102.56 | $ | 99,000 | ||||
73,000 | McDonald’s Corp., 3.50%, 7/1/27, Callable 5/1/27 @ 100 | 82,753 | ||||||
86,000 | McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100 | 98,880 | ||||||
44,000 | McDonald’s Corp., 4.20%, 4/1/50, Callable 10/1/49 @ 100 | 53,264 | ||||||
250,000 | MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100 | 247,499 | ||||||
115,000 | Scientific Games International, Inc., 5.00%, 10/15/25, Callable 10/15/20 @ 103.75(a) | 106,519 | ||||||
115,000 | Station Casinos LLC, 5.00%, 10/1/25, Callable 10/1/20 @ 102.5(a) | 101,200 | ||||||
85,000 | Twin River Worldwide Holdings, Inc., 6.75%, 6/1/27, Callable 6/1/22 @ 105.06(a) | 81,600 | ||||||
110,000 | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | 100,375 | ||||||
100,000 | Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100(a) | 86,500 | ||||||
130,000 | Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88(a) | 140,238 | ||||||
|
| |||||||
1,983,828 | ||||||||
|
| |||||||
Household Durables (0.0%†): | ||||||||
95,000 | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(a) | 97,375 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.2%): | ||||||||
357,000 | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | 370,970 | ||||||
312,000 | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | 318,651 | ||||||
75,000 | Clearway Energy Operating LLC, 5.75%, 10/15/25, Callable 10/15/21 @ 102.88 | 77,438 | ||||||
30,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a) | 30,450 | ||||||
110,000 | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | 115,913 | ||||||
90,000 | NRG Energy, Inc., 5.25%, 6/15/29, Callable 6/15/24 @ 102.63(a) | 94,500 | ||||||
40,000 | Talen Energy Supply LLC, 10.50%, 1/15/26, Callable 1/15/22 @ 105.25(a) | 32,000 | ||||||
20,000 | TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(a) | 20,250 | ||||||
15,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | 15,600 | ||||||
|
| |||||||
1,075,772 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
19,000 | 3M Co., 3.70%, 4/15/50, Callable 10/15/49 @ 100 | 22,612 | ||||||
80,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24, Callable 6/15/24 @ 100 | 75,200 |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
$ | 205,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13 | $ | 205,000 | ||||
160,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | 154,400 | ||||||
|
| |||||||
457,212 | ||||||||
|
| |||||||
Insurance (1.4%): | ||||||||
102,000 | AFLAC, Inc., 3.60%, 4/1/30, Callable 1/1/30 @ 100 | 119,042 | ||||||
600,000 | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | 632,410 | ||||||
809,000 | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100 | 893,834 | ||||||
600,000 | American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100 | 645,569 | ||||||
230,000 | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | 241,500 | ||||||
397,000 | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | 409,903 | ||||||
100,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a) | 99,750 | ||||||
101,000 | Marsh & McLennan Cos., Inc., 2.25%, 11/15/30, Callable 8/15/30 @ 100 | 104,806 | ||||||
1,415,000 | Metropolitan Life Global Funding I, 0.58% (SOFR+50 bps), 5/28/21(a) | 1,414,938 | ||||||
75,000 | New York Life Insurance Co., 3.75%, 5/15/50, Callable 11/15/49 @ 100(a) | 84,186 | ||||||
436,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 493,090 | ||||||
40,000 | Progressive Corp. (The), 3.20%, 3/26/30, Callable 12/26/29 @ 100 | 45,357 | ||||||
168,000 | Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50, Callable 11/15/49 @ 100(a) | 175,492 | ||||||
289,000 | Unum Group, 4.50%, 3/15/25, Callable 2/15/25 @ 100 | 310,405 | ||||||
227,000 | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | 233,875 | ||||||
1,042,000 | Unum Group, 5.75%, 8/15/42 | 1,101,333 | ||||||
250,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/6/20 @ 103.44(a) | 252,188 | ||||||
|
| |||||||
7,257,678 | ||||||||
|
| |||||||
Interactive Media & Services (0.1%): | ||||||||
25,000 | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a) | 24,469 | ||||||
434,000 | Rackspace Hosting, Inc., 8.63%, 11/15/24, Callable 8/6/20 @ 106.47^(a) | 435,085 | ||||||
|
| |||||||
459,554 | ||||||||
|
| |||||||
IT Services (0.1%): | ||||||||
155,000 | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | 154,224 | ||||||
75,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a) | 72,469 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
IT Services, continued | ||||||||
$ | 65,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a) | $ | 65,569 | ||||
55,000 | Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a) | 59,538 | ||||||
|
| |||||||
351,800 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
89,000 | Hasbro, Inc., 2.60%, 11/19/22 | 91,681 | ||||||
202,000 | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | 211,790 | ||||||
75,000 | Mattel, Inc., 6.75%, 12/31/25, Callable 12/31/20 @ 105.06(a) | 77,813 | ||||||
5,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a) | 5,150 | ||||||
|
| |||||||
386,434 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
90,000 | Charles River Laboratories International, Inc., 5.50%, 4/1/26, Callable 4/1/21 @ 104.13(a) | 92,587 | ||||||
15,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a) | 14,963 | ||||||
200,000 | IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.5(a) | 206,000 | ||||||
215,000 | IQVIA, Inc., 5.00%, 5/15/27, Callable 5/15/22 @ 102.5(a) | 219,837 | ||||||
70,000 | Thermo Fisher Scientific, Inc., 4.50%, 3/25/30, Callable 12/25/29 @ 100 | 86,564 | ||||||
|
| |||||||
619,951 | ||||||||
|
| |||||||
Media (1.6%): | ||||||||
585,000 | CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a) | 606,206 | ||||||
70,000 | CCO Holdings LLC, 5.50%, 5/1/26, Callable 5/1/21 @ 102.75(a) | 72,450 | ||||||
50,000 | CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a) | 51,750 | ||||||
400,000 | CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a) | 417,000 | ||||||
65,000 | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | 66,138 | ||||||
70,000 | Comcast Corp., 3.40%, 4/1/30, Callable 1/1/30 @ 100 | 79,616 | ||||||
25,000 | Comcast Corp., 3.75%, 4/1/40, Callable 10/1/39 @ 100 | 29,388 | ||||||
10,000 | CSC Holdings LLC, 10.88%, 10/15/25, Callable 10/15/20 @ 105.44(a) | 10,750 | ||||||
105,000 | CSC Holdings LLC, 7.50%, 4/1/28, Callable 4/1/23 @ 103.75(a) | 114,581 | ||||||
290,000 | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a) | 300,875 | ||||||
85,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | 84,256 | ||||||
146,000 | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | 159,420 |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 392,000 | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | $ | 445,953 | ||||
101,000 | DISH Network Corp., 2.38%, 3/15/24 | 90,958 | ||||||
290,000 | DISH Network Corp., 3.38%, 8/15/26 | 267,132 | ||||||
65,000 | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | 72,023 | ||||||
94,000 | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 112,876 | ||||||
93,000 | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | 124,281 | ||||||
62,000 | Fox Corp., 5.58%, 1/25/49, Callable 7/25/48 @ 100 | 86,233 | ||||||
530,000 | Neptune Finco Corp., 6.63%, 10/15/25, Callable 10/15/20 @ 103.31(a) | 550,538 | ||||||
380,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25, Callable 7/17/20 @ 103.31(a) | 379,050 | ||||||
200,000 | Sirius XM Radio, Inc., 4.63%, 5/15/23, Callable 7/9/20 @ 100.77(a) | 201,500 | ||||||
65,000 | Sirius XM Radio, Inc., 4.63%, 7/15/24, Callable 7/15/21 @ 102.31(a) | 66,625 | ||||||
90,000 | Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | 93,038 | ||||||
70,000 | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a) | 71,400 | ||||||
30,000 | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a) | 31,650 | ||||||
25,000 | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a) | 24,625 | ||||||
623,000 | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100 | 639,592 | ||||||
239,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 314,259 | ||||||
280,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | 388,805 | ||||||
1,500,000 | Time Warner Cable, Inc., 6.75%, 6/15/39 | 1,992,388 | ||||||
69,000 | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 83,595 | ||||||
|
| |||||||
8,028,951 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
151,000 | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | 138,165 | ||||||
27,000 | Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100 | 26,966 | ||||||
45,000 | Kaiser Aluminum Corp., 6.50%, 5/1/25, Callable 5/1/22 @ 103.25(a) | 47,025 | ||||||
115,000 | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a) | 110,400 | ||||||
|
| |||||||
322,556 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
45,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | 41,625 | ||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
43,000 | Berkshire Hathaway Energy Co., 3.70%, 7/15/30, Callable 4/15/30 @ 100(a) | 50,068 | ||||||
24,000 | Berkshire Hathaway Energy Co., 4.25%, 10/15/50, Callable 4/15/50 @ 100(a) | 30,159 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Multi-Utilities, continued | ||||||||
$ | 140,000 | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100(a) | $ | 152,997 | ||||
339,000 | Sempra Energy, 6.00%, 10/15/39 | 467,272 | ||||||
|
| |||||||
700,496 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.1%): | ||||||||
420,000 | Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 10/1/20 @ 102.63 | 418,424 | ||||||
120,000 | Cheniere Energy Partners LP, 5.63%, 10/1/26, Callable 10/1/21 @ 102.81 | 119,100 | ||||||
40,000 | Chesapeake Energy Corp., 7.00%, 10/1/24, Callable 4/1/21 @ 103.5(c) | 900 | ||||||
145,000 | Chesapeake Energy Corp., 8.00%, 1/15/25, Callable 8/6/20 @ 106(c) | 3,263 | ||||||
201,000 | Chesapeake Energy Corp., 8.00%, 6/15/27, Callable 6/15/22 @ 104(c) | 4,523 | ||||||
247,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | 284,651 | ||||||
205,000 | Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 8/6/20 @ 101.56(a) | 203,975 | ||||||
132,000 | Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100 | 150,600 | ||||||
30,000 | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | 28,050 | ||||||
55,000 | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | 51,425 | ||||||
195,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/1/23, Callable 7/22/20 @ 101.56 | 173,550 | ||||||
105,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 8/6/20 @ 104.31^ | 90,300 | ||||||
115,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 5/1/27, Callable 5/1/22 @ 102.81(a) | 94,300 | ||||||
155,000 | CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63^(a) | 142,600 | ||||||
20,000 | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88(a) | 17,500 | ||||||
125,000 | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | 123,438 | ||||||
105,000 | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | 105,525 | ||||||
145,000 | DCP Midstream Operating LP, 5.13%, 5/15/29, Callable 2/15/29 @ 100 | 137,750 | ||||||
700,000 | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(a) | 491,749 | ||||||
302,000 | Denbury Resources, Inc., 9.25%, 3/31/22, Callable 8/6/20 @ 104.63(a) | 113,250 | ||||||
150,000 | Denbury Resources, Inc., 7.75%, 2/15/24, Callable 8/15/20 @ 103.88(a) | 55,500 |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | $ | 121,210 | ||||
20,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a) | 20,150 | ||||||
5,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 1/30/26, Callable 1/30/21 @ 104.13(a) | 4,788 | ||||||
75,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | 71,813 | ||||||
52,000 | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | 54,860 | ||||||
65,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 70,200 | ||||||
106,000 | Energy Transfer Operating LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | 115,275 | ||||||
109,000 | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | 107,910 | ||||||
73,000 | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 77,563 | ||||||
243,000 | Energy Transfer Operating LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 229,635 | ||||||
67,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | 71,188 | ||||||
229,000 | Energy Transfer Partners LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 245,889 | ||||||
128,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 130,400 | ||||||
83,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | 86,113 | ||||||
50,000 | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a) | 51,063 | ||||||
680,000 | Exxon Mobil Corp., 3.48%, 3/19/30, Callable 12/19/29 @ 100 | 772,806 | ||||||
40,000 | Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27, Callable 8/1/22 @ 103.5 | 36,900 | ||||||
40,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | 41,300 | ||||||
71,000 | Hess Corp., 7.30%, 8/15/31 | 83,248 | ||||||
50,000 | Hess Corp., 7.13%, 3/15/33 | 58,375 | ||||||
69,000 | Hess Corp., 5.60%, 2/15/41 | 72,364 | ||||||
166,000 | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | 179,903 | ||||||
170,000 | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a) | 167,450 | ||||||
110,000 | Hess Midstream Operations LP, 5.13%, 6/15/28, Callable 6/15/23 @ 102.56(a) | 105,600 | ||||||
105,000 | Hilcorp Energy LP, 5.00%, 12/1/24, Callable 8/6/20 @ 101.67(a) | 87,675 | ||||||
165,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 2/1/28, Callable 2/1/23 @ 103.75(a) | 157,163 | ||||||
195,000 | Jonah Energy LLC/Jonah Energy Finance Corp., 7.25%, 10/15/25, Callable 10/15/20 @ 105.44(a) | 23,888 | ||||||
97,000 | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | 101,970 | ||||||
42,000 | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | 54,262 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 479,000 | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | $ | 568,163 | ||||
125,000 | Kinder Morgan, Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100 | 151,404 | ||||||
112,000 | Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100 | 128,490 | ||||||
77,000 | MPLX LP, 1.21% (US0003M+90 bps), 9/9/21, Callable 9/9/20 @ 100 | 76,326 | ||||||
115,000 | MPLX LP, 1.41% (US0003M+110 bps), 9/9/22, Callable 9/9/20 @ 100 | 113,131 | ||||||
113,000 | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | 121,334 | ||||||
159,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 176,689 | ||||||
63,000 | MPLX LP, 4.80%, 2/15/29, Callable 11/15/28 @ 100 | 69,930 | ||||||
188,000 | MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100 | 208,210 | ||||||
149,000 | Occidental Petroleum Corp., 4.85%, 3/15/21, Callable 2/15/21 @ 100 | 149,000 | ||||||
77,000 | Occidental Petroleum Corp., 2.60%, 8/13/21 | 75,268 | ||||||
68,000 | Occidental Petroleum Corp., 2.70%, 8/15/22 | 63,325 | ||||||
264,000 | Occidental Petroleum Corp., 2.90%, 8/15/24, Callable 7/15/24 @ 100 | 225,720 | ||||||
536,000 | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | 489,099 | ||||||
55,000 | Occidental Petroleum Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100 | 45,031 | ||||||
30,000 | Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100 | 24,375 | ||||||
146,000 | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | 106,763 | ||||||
65,000 | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | 65,000 | ||||||
954,000 | Occidental Petroleum Corp., 7.50%, 5/1/31 | 887,219 | ||||||
16,000 | Occidental Petroleum Corp., 7.88%, 9/15/31 | 15,160 | ||||||
222,000 | Occidental Petroleum Corp., 6.45%, 9/15/36 | 189,533 | ||||||
44,000 | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | 30,360 | ||||||
25,000 | Occidental Petroleum Corp., 6.20%, 3/15/40 | 20,938 | ||||||
410,000 | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | 356,700 | ||||||
35,000 | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | 24,413 | ||||||
40,000 | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100^ | 27,100 | ||||||
39,000 | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100^ | 26,910 | ||||||
110,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63(a) | 117,425 | ||||||
20,000 | Phillips 66, 3.70%, 4/6/23 | 21,396 | ||||||
26,000 | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | 28,817 | ||||||
72,000 | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | 73,390 | ||||||
62,000 | Plains All Amer Pipeline, 3.55%, 12/15/29, Callable 9/15/29 @ 100 | 60,045 |
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 100,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100 | $ | 105,375 | ||||
335,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100(a) | 369,755 | ||||||
278,000 | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 7/14/20 @ 103.63(a)(c) | 2,780 | ||||||
621,000 | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | 606,250 | ||||||
35,000 | Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23, Callable 8/6/20 @ 102.44 | 34,738 | ||||||
140,000 | Sunoco LP/Sunoco Finance Corp., 5.50%, 2/15/26, Callable 2/15/21 @ 102.75 | 135,800 | ||||||
5,000 | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103 | 5,000 | ||||||
62,000 | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | 61,535 | ||||||
130,000 | Targa Resources Partners LP, 5.13%, 2/1/25, Callable 8/6/20 @ 103.84 | 124,800 | ||||||
125,000 | Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41 | 123,750 | ||||||
130,000 | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69 | 125,450 | ||||||
43,000 | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100(a) | 45,716 | ||||||
137,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100(a) | 145,968 | ||||||
71,000 | Valero Energy Corp., 2.70%, 4/15/23 | 73,659 | ||||||
41,000 | Valero Energy Corp., 2.85%, 4/15/25, Callable 3/15/25 @ 100 | 43,220 | ||||||
100,000 | Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(a) | 97,500 | ||||||
60,000 | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | 56,100 | ||||||
157,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 149,935 | ||||||
1,000,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | 939,999 | ||||||
66,000 | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | 62,700 | ||||||
20,000 | Western Midstream Operating LP, 4.00%, 7/1/22, Callable 4/1/22 @ 100 | 19,700 | ||||||
80,000 | Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100 | 75,400 | ||||||
135,000 | Western Midstream Operating LP, 4.05%, 2/1/30, Callable 11/1/29 @ 100 | 129,600 | ||||||
40,000 | Western Midstream Operating LP, 5.30%, 3/1/48, Callable 9/1/47 @ 100 | 32,450 | ||||||
15,000 | Western Midstream Operating LP, 5.25%, 2/1/50, Callable 8/1/49 @ 100 | 12,938 | ||||||
354,000 | Williams Cos., Inc. (The), 3.50%, 11/15/30, Callable 8/15/30 @ 100 | 375,084 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 239,000 | Williams Partners LP, 3.60%, 3/15/22, Callable 1/15/22 @ 100 | $ | 248,261 | ||||
162,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | 177,148 | ||||||
285,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | 310,650 | ||||||
|
| |||||||
15,639,259 | ||||||||
|
| |||||||
Pharmaceuticals (0.2%): | ||||||||
115,000 | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 10/15/20 @ 102.44(a) | 116,725 | ||||||
57,000 | Elanco Animal Health, Inc., 3.91%, 8/27/21 | 58,422 | ||||||
180,000 | Elanco Animal Health, Inc., 4.27%, 8/28/23, Callable 7/28/23 @ 100 | 189,006 | ||||||
76,000 | Elanco Animal Health, Inc., 4.90%, 8/28/28, Callable 5/28/28 @ 100 | 83,600 | ||||||
126,000 | Upjohn, Inc., 1.13%, 6/22/22(a) | 126,759 | ||||||
40,000 | Upjohn, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100(a) | 40,780 | ||||||
206,000 | Upjohn, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100(a) | 211,825 | ||||||
90,000 | Upjohn, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100(a) | 96,656 | ||||||
155,000 | Upjohn, Inc., 4.00%, 6/22/50, Callable 12/22/49 @ 100(a) | 166,183 | ||||||
|
| |||||||
1,089,956 | ||||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
40,000 | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a) | 39,000 | ||||||
100,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22, Callable 8/6/20 @ 100(a) | 99,375 | ||||||
|
| |||||||
138,375 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
200,000 | Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 8/6/20 @ 104.03(a) | 185,750 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.1%): | ||||||||
80,000 | Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a) | 81,400 | ||||||
299,000 | Micron Technology, Inc., 2.50%, 4/24/23 | 310,758 | ||||||
86,000 | NVIDIA Corp., 2.85%, 4/1/30, Callable 1/1/30 @ 100 | 95,437 | ||||||
93,000 | NVIDIA Corp., 3.50%, 4/1/40, Callable 10/1/39 @ 100 | 108,327 | ||||||
|
| |||||||
595,922 | ||||||||
|
| |||||||
Software (0.5%): | ||||||||
35,000 | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(a) | 36,706 | ||||||
155,000 | CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94 | 160,813 | ||||||
20,000 | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a) | 20,700 |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Software, continued | ||||||||
$ | 135,000 | Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a) | $ | 147,488 | ||||
90,000 | Nuance Communications, Inc., 5.63%, 12/15/26, Callable 12/15/21 @ 102.81 | 93,600 | ||||||
289,000 | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | 315,008 | ||||||
300,000 | Oracle Corp., 2.95%, 4/1/30, Callable 1/1/30 @ 100 | 334,126 | ||||||
290,000 | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | 327,317 | ||||||
290,000 | Oracle Corp., 3.60%, 4/1/50, Callable 10/1/49 @ 100 | 323,907 | ||||||
300,000 | Oracle Corp., 3.85%, 4/1/60, Callable 10/1/59 @ 100 | 351,453 | ||||||
170,000 | Sophia LP/Finance, Inc., 9.00%, 9/30/23, Callable 8/6/20 @ 102.25(a) | 171,700 | ||||||
95,000 | SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22 @ 104.13(a) | 96,900 | ||||||
130,000 | Symantec Corp., 5.00%, 4/15/25, Callable 7/17/20 @ 102.5(a) | 131,625 | ||||||
|
| |||||||
2,511,343 | ||||||||
|
| |||||||
Specialty Retail (0.4%): | ||||||||
32,000 | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | 34,712 | ||||||
49,000 | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | 54,791 | ||||||
229,000 | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | 264,779 | ||||||
145,000 | Home Depot, Inc. (The), 3.30%, 4/15/40, Callable 10/15/39 @ 100 | 164,061 | ||||||
165,000 | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | 200,184 | ||||||
105,000 | Lowe’s Cos., Inc., 5.00%, 4/15/40, Callable 10/15/39 @ 100 | 135,921 | ||||||
123,000 | Lowe’s Cos., Inc., 5.13%, 4/15/50, Callable 10/15/49 @ 100 | 166,916 | ||||||
51,000 | O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | 59,777 | ||||||
185,000 | TJX Cos., Inc. (The), 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 211,610 | ||||||
346,000 | TJX Cos., Inc. (The), 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 406,450 | ||||||
139,000 | TJX Cos., Inc. (The), 4.50%, 4/15/50, Callable 10/15/49 @ 100 | 178,231 | ||||||
|
| |||||||
1,877,432 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.1%): | ||||||||
200,000 | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100(a) | 218,766 | ||||||
55,000 | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a) | 63,214 | ||||||
83,000 | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100(a) | 94,840 | ||||||
101,000 | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100(a) | 116,646 | ||||||
87,000 | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100(a) | 101,314 | ||||||
|
| |||||||
594,780 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Textiles, Apparel & Luxury Goods (0.1%): | ||||||||
$ | 104,000 | NIKE, Inc., 3.25%, 3/27/40, Callable 9/27/39 @ 100 | $ | 116,260 | ||||
40,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16 | 38,400 | ||||||
80,000 | William Carter Co., 5.63%, 3/15/27, Callable 3/15/22 @ 102.81(a) | 82,400 | ||||||
110,000 | Wolverine World Wide, Inc., 6.38%, 5/15/25, Callable 5/15/22 @ 103.19(a) | 115,363 | ||||||
|
| |||||||
352,423 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%†): | ||||||||
100,000 | Quicken Loans, Inc., 5.25%, 1/15/28, Callable 1/15/23 @ 102.63(a) | 102,881 | ||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
212,000 | Altria Group, Inc., 4.00%, 1/31/24 | 233,777 | ||||||
266,000 | Altria Group, Inc., 4.80%, 2/14/29, Callable 11/14/28 @ 100 | 310,191 | ||||||
294,000 | Altria Group, Inc., 4.25%, 8/9/42 | 312,307 | ||||||
191,000 | Altria Group, Inc., 4.50%, 5/2/43 | 205,595 | ||||||
347,000 | Altria Group, Inc., 5.38%, 1/31/44 | 415,695 | ||||||
240,000 | Altria Group, Inc., 3.88%, 9/16/46, Callable 3/16/46 @ 100 | 238,902 | ||||||
200,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | 261,848 | ||||||
320,000 | Reynolds American, Inc., 4.00%, 6/12/22 | 338,078 | ||||||
232,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 261,416 | ||||||
120,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | 149,444 | ||||||
|
| |||||||
2,727,253 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.1%): | ||||||||
170,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50% (US0003M+430 bps), 6/15/45, Callable 6/15/25 @ 100(a) | 124,467 | ||||||
63,000 | Air Lease Corp., 2.25%, 1/15/23 | 61,602 | ||||||
295,000 | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | 303,780 | ||||||
265,000 | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | 265,084 | ||||||
|
| |||||||
754,933 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
$ | 95,000 | Sprint Communications, Inc., 6.00%, 11/15/22 | $ | 100,225 | ||||
260,000 | Sprint Communications, Inc., 6.88%, 11/15/28 | 316,225 | ||||||
115,000 | Sprint Corp., 7.13%, 6/15/24 | 129,806 | ||||||
140,000 | T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/15/21 @ 103.25 | 146,300 | ||||||
60,000 | T-Mobile USA, Inc., 4.50%, 2/1/26, Callable 2/1/21 @ 102.25 | 60,675 | ||||||
435,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a) | 481,008 | ||||||
40,000 | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | 42,200 |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 605,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a) | $ | 670,543 | ||||
56,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a) | 63,983 | ||||||
110,000 | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100(a) | 128,423 | ||||||
|
| |||||||
2,139,388 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $112,217,873) | 116,964,708 | |||||||
|
| |||||||
Foreign Bond (0.0%†): | ||||||||
Sovereign Bond (0.0%†): | ||||||||
50,000 | Korea Treasury Bond, Series 2103, 2.00%, 3/10/21+ | 42 | ||||||
|
| |||||||
Total Foreign Bond (Cost $43) | 42 | |||||||
|
| |||||||
Yankee Dollars (8.2%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
81,000 | Avolon Holdings Funding, Ltd., 3.63%, 5/1/22, Callable 4/1/22 @ 100(a) | 76,231 | ||||||
199,000 | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | 181,090 | ||||||
108,000 | Avolon Holdings Funding, Ltd., 3.95%, 7/1/24, Callable 6/1/24 @ 100(a) | 93,420 | ||||||
132,000 | Avolon Holdings Funding, Ltd., 4.38%, 5/1/26, Callable 3/1/26 @ 100(a) | 111,540 | ||||||
140,000 | Bombardier, Inc., 6.00%, 10/15/22, Callable 8/6/20 @ 100(a) | 98,000 | ||||||
210,000 | Bombardier, Inc., 6.13%, 1/15/23(a) | 142,800 | ||||||
|
| |||||||
703,081 | ||||||||
|
| |||||||
Banks (1.6%): | ||||||||
585,000 | Barclays plc, 4.38%, 1/12/26 | 657,569 | ||||||
343,000 | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | 360,163 | ||||||
377,000 | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | 425,043 | ||||||
304,000 | BNP Paribas SA, 2.22% (SOFR+207 bps), 6/9/26, Callable 6/9/25 @ 100(a) | 311,301 | ||||||
200,000 | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a) | 212,500 | ||||||
530,000 | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | 593,686 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 220,556 | ||||||
200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 205,000 | ||||||
656,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 690,440 | ||||||
362,000 | NatWest Markets plc, 2.38%, 5/21/23(a) | 370,541 | ||||||
2,550,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | 2,783,550 | ||||||
547,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 602,853 | ||||||
125,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 140,018 | ||||||
193,000 | Royal Bank of Scotland Group plc, 3.07% (H15T1Y+255 bps), 5/22/28, Callable 5/22/27 @ 100 | 202,794 | ||||||
350,000 | UniCredit SpA, 6.57%, 1/14/22(a) | 369,919 | ||||||
186,000 | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | 204,282 | ||||||
|
| |||||||
8,350,215 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Beverages (0.0%†): | ||||||||
$ | 80,000 | Cott Corp., 5.50%, 4/1/25, Callable 7/17/20 @ 104.13(a) | $ | 80,500 | ||||
|
| |||||||
Capital Markets (1.2%): | ||||||||
509,000 | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a) | 525,055 | ||||||
414,000 | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(a) | 475,060 | ||||||
670,000 | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | 700,867 | ||||||
787,000 | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | 845,823 | ||||||
470,000 | Credit Suisse Group Fun, Ltd., 3.75%, 3/26/25 | 514,746 | ||||||
487,000 | Deutsche Bank AG, 5.00%, 2/14/22 | 508,509 | ||||||
860,000 | Deutsche Bank AG, 3.30%, 11/16/22 | 878,275 | ||||||
979,000 | Deutsche Bank AG, 4.50%, 4/1/25 | 960,978 | ||||||
491,000 | UBS Group AG, 4.13%, 9/24/25(a) | 556,510 | ||||||
|
| |||||||
5,965,823 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
170,000 | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a) | 164,050 | ||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
170,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 6.00%, 2/15/25, Callable 7/17/20 @ 104.5(a) | 174,038 | ||||||
190,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | 193,087 | ||||||
25,000 | Trivium Packaging Finance BV, 8.50%, 8/15/27, Callable 8/15/22 @ 104.25^(a) | 26,719 | ||||||
|
| |||||||
393,844 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
250,000 | GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(a) | 237,813 | ||||||
|
| |||||||
Diversified Financial Services (0.7%): | ||||||||
470,000 | Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a) | 492,324 | ||||||
200,000 | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a) | 197,500 | ||||||
490,000 | C&W Senior Financing Dac, 7.50%, 10/15/26, Callable 10/15/21 @ 103.75(a) | 498,575 | ||||||
386,000 | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(a) | 382,140 | ||||||
110,000 | Dolya Holdco 18 DAC, 5.00%, 7/15/28, Callable 7/15/23 @ 102.5(a) | 108,615 | ||||||
245,000 | Intelsat Jackson Holdings SA, 8.00%, 2/15/24(a) | 248,369 | ||||||
105,000 | Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 10/15/20 @ 106.38(a)(c) | 63,000 | ||||||
315,000 | Nielsen Co. Luxembourg SARL (The), 5.00%, 2/1/25, Callable 8/6/20 @ 103.75^(a) | 309,488 | ||||||
1,355,000 | Park Aerospace Holdings, 5.50%, 2/15/24(a) | 1,239,825 | ||||||
200,000 | Telenet Finance Lux Note, 5.50%, 3/1/28, Callable 12/1/22 @ 102.75(a) | 208,500 | ||||||
|
| |||||||
3,748,336 | ||||||||
|
|
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Diversified Telecommunication Services (0.2%): | ||||||||
$ | 320,000 | Altice France SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a) | $ | 332,800 | ||||
295,000 | Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(a) | 322,656 | ||||||
180,000 | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(a) | 168,975 | ||||||
25,000 | Sable International Finance, Ltd., 5.75%, 9/7/27, Callable 9/7/22 @ 102.88(a) | 25,375 | ||||||
30,000 | Telecom Italia Capital, 6.38%, 11/15/33 | 33,750 | ||||||
55,000 | Telecom Italia SpA, 6.00%, 9/30/34 | 59,469 | ||||||
|
| |||||||
943,025 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
115,000 | 1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 8/6/20 @ 102.13(a) | 114,138 | ||||||
35,000 | 1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(a) | 36,782 | ||||||
85,000 | Stars Group Holdings BV, 7.00%, 7/15/26, Callable 7/15/21 @ 103.5(a) | 89,463 | ||||||
80,000 | Wynn Macau, Ltd., 5.50%, 10/1/27, Callable 10/1/22 @ 102.75(a) | 78,800 | ||||||
|
| |||||||
319,183 | ||||||||
|
| |||||||
Insurance (0.1%): | ||||||||
314,000 | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | 340,704 | ||||||
200,000 | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(a) | 225,500 | ||||||
|
| |||||||
566,204 | ||||||||
|
| |||||||
Media (0.1%): | ||||||||
250,000 | Ziggo BV, 5.50%, 1/15/27, Callable 1/15/22 @ 102.75(a) | 252,813 | ||||||
85,000 | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | 83,300 | ||||||
|
| |||||||
336,113 | ||||||||
|
| |||||||
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) | 201,250 | ||||||
456,000 | BHP Billiton Finance USA, Ltd., 6.75% (USSW5+509 bps), 10/19/75, Callable 10/20/25 @ 100(a) | 524,400 | ||||||
155,000 | First Quantum Minerals, Ltd., 7.25%, 5/15/22, Callable 8/6/20 @ 100(a) | 151,125 | ||||||
5,000 | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | 5,000 | ||||||
|
| |||||||
881,775 | ||||||||
|
| |||||||
Multi-Utilities (0.0%†): | ||||||||
243,000 | InterGen NV, 7.00%, 6/30/23, Callable 8/6/20 @ 101.17(a) | 234,191 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.6%): | ||||||||
28,000 | Canadian Natural Resources, Ltd., 5.85%, 2/1/35 | 32,410 | ||||||
402,000 | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | 365,166 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 85,000 | eG Global Finance plc, 6.75%, 2/7/25, Callable 5/15/21 @ 103.38(a) | $ | 82,663 | ||||
130,000 | eG Global Finance plc, 8.50%, 10/30/25, Callable 10/30/21 @ 104.25^(a) | 133,900 | ||||||
145,000 | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | 157,108 | ||||||
135,000 | Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100 | 153,592 | ||||||
165,000 | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 8/6/20 @ 101.15(a) | 165,000 | ||||||
35,000 | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a) | 29,050 | ||||||
108,000 | Petrobras Global Finance BV, 5.09%, 1/15/30(a) | 107,325 | ||||||
1,793,000 | Petrobras Global Finance BV, 7.25%, 3/17/44 | 1,956,610 | ||||||
543,000 | Petroleos Mexicanos, 4.50%, 1/23/26^ | 471,041 | ||||||
566,000 | Petroleos Mexicanos, 6.50%, 3/13/27 | 513,149 | ||||||
1,196,000 | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100(a) | 1,046,821 | ||||||
154,000 | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100(a) | 126,674 | ||||||
2,228,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 1,721,570 | ||||||
1,386,000 | Petroleos Mexicanos, 7.69%, 1/23/50, Callable 7/23/49 @ 100(a) | 1,153,213 | ||||||
336,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100(a) | 258,910 | ||||||
|
| |||||||
8,474,202 | ||||||||
|
| |||||||
Pharmaceuticals (0.4%): | ||||||||
265,000 | Bausch Health Cos., Inc., 7.00%, 3/15/24, Callable 8/6/20 @ 103.5(a) | 274,938 | ||||||
75,000 | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 11/1/20 @ 102.75(a) | 76,875 | ||||||
459,000 | Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100 | 467,601 | ||||||
226,000 | Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100 | 251,449 | ||||||
84,000 | Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21 | 82,425 | ||||||
127,000 | Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23 | 120,015 | ||||||
195,000 | VRX Escrow Corp., 6.13%, 4/15/25, Callable 8/6/20 @ 103.06(a) | 197,681 | ||||||
|
| |||||||
1,470,984 | ||||||||
|
| |||||||
Software (0.0%†): | ||||||||
60,000 | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a) | 57,750 | ||||||
|
| |||||||
Sovereign Bond (1.1%): | ||||||||
300,000 | Abu Dhabi Government International Bond, 3.13%, 4/16/30(a) | 330,346 | ||||||
300,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | 355,357 | ||||||
240,000 | Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100 | 246,933 | ||||||
300,000 | Corp. Andina de Fomento, 2.38%, 5/12/23 | 304,318 |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 900,000 | Dominican Republic, 5.50%, 1/27/25(a) | $ | 909,000 | ||||
150,000 | Dominican Republic, 6.00%, 7/19/28(a) | 150,375 | ||||||
375,000 | Indonesia Government International Bond, 3.85%, 10/15/30 | 416,736 | ||||||
375,000 | Indonesia Government International Bond, 4.20%, 10/15/50 | 419,543 | ||||||
200,000 | Qatar Government International Bond, 3.40%, 4/16/25(a) | 217,805 | ||||||
350,000 | Qatar Government International Bond, 3.75%, 4/16/30(a) | 399,426 | ||||||
350,000 | Qatar Government International Bond, 4.40%, 4/16/50(a) | 434,859 | ||||||
1,000,000 | Republic of Argentina, 5.88%, 1/11/28(c) | 395,000 | ||||||
200,000 | Saudi Government International Bond, 2.90%, 10/22/25(a) | 212,042 | ||||||
200,000 | Saudi Government International Bond, 3.25%, 10/22/30(a) | 214,625 | ||||||
200,000 | Saudi Government International Bond, 4.50%, 4/22/60(a) | 231,302 | ||||||
|
| |||||||
5,237,667 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
200,000 | Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a) | 214,746 | ||||||
200,000 | Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100(a) | 228,681 | ||||||
|
| |||||||
443,427 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
462,000 | Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22 @ 100(a) | 482,113 | ||||||
700,000 | Imperial Tobacco Finance, 4.25%, 7/21/25, Callable 4/21/25 @ 100(a) | 765,881 | ||||||
|
| |||||||
1,247,994 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.3%): | ||||||||
152,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 12/16/21, Callable 11/16/21 @ 100 | 153,514 | ||||||
320,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | 315,880 | ||||||
297,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | 279,940 | ||||||
151,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | 158,204 | ||||||
163,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | 154,642 | ||||||
95,000 | Fly Leasing, Ltd., 5.25%, 10/15/24, Callable 10/15/20 @ 102.63 | 77,663 | ||||||
|
| |||||||
1,139,843 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.3%): | ||||||||
330,000 | Empresa Nacional del Pet, 4.38%, 10/30/24(a) | 353,513 | ||||||
35,000 | Millicom International Cellular SA, 6.00%, 3/15/25, Callable 7/17/20 @ 103(a) | 35,875 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 430,000 | Millicom International Cellular SA, 6.63%, 10/15/26, Callable 10/15/21 @ 104.97(a) | $ | 459,563 | ||||
500,000 | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | 535,000 | ||||||
|
| |||||||
1,383,951 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $42,593,966) | 42,379,971 | |||||||
|
| |||||||
Municipal Bonds (0.9%): | ||||||||
Illinois (0.7%): | ||||||||
105,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series B, 5.43%, 1/1/42 | 102,567 | ||||||
3,235,000 | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | 3,292,195 | ||||||
88,636 | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | 90,438 | ||||||
|
| |||||||
3,485,200 | ||||||||
|
| |||||||
California (0.1%): | ||||||||
400,000 | California State, Build America Bonds, GO, 7.50%, 4/1/34 | 650,620 | ||||||
140,000 | California State, Build America Bonds, GO, 7.55%, 4/1/39 | 246,441 | ||||||
10,000 | California State, Build America Bonds, GO, 7.35%, 11/1/39 | 16,496 | ||||||
|
| |||||||
913,557 | ||||||||
|
| |||||||
New Jersey (0.1%): | ||||||||
339,000 | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, 7.43%, 2/15/29 | 413,078 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $4,488,249) | 4,811,835 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (8.9%): | ||||||||
Federal Home Loan Mortgage Corporation (2.7%) | ||||||||
46,185 | 2.50%, 6/1/31, Pool #J34501 | 48,701 | ||||||
48,109 | 2.50%, 6/1/31, Pool #G18604 | 50,501 | ||||||
72,499 | 2.50%, 7/1/31, Pool #V61246 | 76,435 | ||||||
124,503 | 2.50%, 8/1/31, Pool #V61273 | 131,534 | ||||||
358,198 | 3.50%, 3/1/32, Pool #C91403 | 381,704 | ||||||
972,004 | 3.50%, 7/1/32, Pool #C91467 | 1,035,928 | ||||||
323,380 | 2.50%, 12/1/32, Pool #G18669 | 339,119 | ||||||
80,665 | 2.50%, 3/1/33, Pool #G18680 | 84,463 | ||||||
37,377 | 3.00%, 4/1/33, Pool #K90336 | 39,393 | ||||||
360,857 | 3.00%, 4/1/33, Pool #G18684 | 379,678 | ||||||
110,812 | 3.00%, 5/1/33, Pool #G16550 | 116,667 | ||||||
40,626 | 3.00%, 6/1/33, Pool #C91709 | 42,825 | ||||||
51,207 | 3.00%, 6/1/33, Pool #K90684 | 53,968 | ||||||
92,434 | 3.00%, 6/1/33, Pool #K90632 | 97,417 | ||||||
78,958 | 3.00%, 6/1/33, Pool #K90806 | 83,227 | ||||||
184,468 | 3.00%, 7/1/33, Pool #C91714 | 194,456 | ||||||
244,740 | 2.50%, 7/1/33, Pool #G16661 | 256,572 | ||||||
256,729 | 3.50%, 11/1/33, Pool #G16677 | 272,554 | ||||||
211,547 | 3.50%, 2/1/34, Pool #G16752 | 223,729 | ||||||
73,818 | 3.00%, 4/1/34, Pool #G16829 | 78,193 | ||||||
80,837 | 2.50%, 9/1/34, Pool #SB8013 | 84,849 | ||||||
319,155 | 3.50%, 10/1/34, Pool #C91793 | 341,047 | ||||||
836,905 | 4.00%, 5/1/37, Pool #C91938 | 897,399 | ||||||
290,448 | 5.00%, 2/1/38, Pool #G60365 | 327,793 |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 362,112 | 4.00%, 11/1/40, Pool #A95150 | $ | 387,341 | ||||
822,384 | 3.50%, 1/1/44, Pool #G07922 | 910,298 | ||||||
405,068 | 3.50%, 1/1/44, Pool #G60271 | 445,943 | ||||||
129,280 | 4.00%, 2/1/45, Pool #G07949 | 141,585 | ||||||
121,020 | 3.50%, 11/1/45, Pool #Q37467 | 132,148 | ||||||
35,902 | 4.00%, 4/1/46, Pool #V82292 | 38,996 | ||||||
12,873 | 4.00%, 4/1/46, Pool #Q39975 | 13,992 | ||||||
239,738 | 3.50%, 9/1/46, Pool #Q43257 | 261,566 | ||||||
361,247 | 3.00%, 12/1/46, Pool #G60989 | 385,242 | ||||||
14,431 | 4.50%, 12/1/46, Pool #Q45028 | 15,793 | ||||||
14,812 | 4.50%, 1/1/47, Pool #Q45635 | 16,206 | ||||||
31,808 | 4.50%, 2/1/47, Pool #Q46222 | 34,939 | ||||||
68,523 | 4.50%, 5/1/47, Pool #Q48095 | 75,250 | ||||||
69,002 | 4.50%, 5/1/47, Pool #Q47935 | 75,728 | ||||||
25,509 | 4.50%, 5/1/47, Pool #Q47942 | 27,995 | ||||||
81,532 | 4.50%, 6/1/47, Pool #Q48759 | 89,547 | ||||||
425,205 | 4.00%, 6/1/47, Pool #G08767 | 453,370 | ||||||
607,306 | 4.00%, 6/1/47, Pool #Q48877 | 664,326 | ||||||
64,594 | 4.50%, 7/1/47, Pool #Q49393 | 71,032 | ||||||
574,428 | 4.00%, 7/1/47, Pool #G08771 | 612,929 | ||||||
341,988 | 3.50%, 11/1/47, Pool #Q52086 | 364,350 | ||||||
225,360 | 4.00%, 12/1/47, Pool #G61305 | 242,359 | ||||||
133,679 | 4.50%, 12/1/47, Pool #Q53017 | 145,829 | ||||||
15,343 | 4.50%, 1/1/48, Pool #Q53730 | 16,762 | ||||||
50,973 | 4.00%, 1/1/48, Pool #V83906 | 54,818 | ||||||
16,327 | 4.00%, 2/1/48, Pool #Q54499 | 17,703 | ||||||
62,326 | 4.00%, 2/1/48, Pool #G61343 | 67,316 | ||||||
50,767 | 4.00%, 2/1/48, Pool #V83994 | 53,815 | ||||||
86,603 | 4.50%, 4/1/48, Pool #Q55500 | 94,673 | ||||||
140,706 | 4.50%, 4/1/48, Pool #Q55724 | 153,817 | ||||||
114,686 | 4.50%, 4/1/48, Pool #Q55660 | 125,373 | ||||||
163,184 | 4.50%, 5/1/48, Pool #Q55839 | 178,390 | ||||||
316,113 | 4.00%, 5/1/48, Pool #Q55992 | 342,341 | ||||||
386,876 | 4.00%, 6/1/48, Pool #G67713 | 419,159 | ||||||
122,298 | 4.00%, 7/1/48, Pool #Q59935 | 134,225 | ||||||
62,869 | 4.50%, 10/1/48, Pool #G67716 | 70,040 | ||||||
678,075 | 3.50%, 5/1/49, Pool #Q63646 | 728,720 | ||||||
|
| |||||||
13,702,068 | ||||||||
|
| |||||||
Federal National Mortgage Association (3.2%) | ||||||||
432,340 | 2.50%, 4/1/28, Pool #AT2060 | 453,893 | ||||||
64,741 | 2.50%, 5/1/31, Pool #BC0919 | 68,391 | ||||||
86,485 | 2.50%, 8/1/31, Pool #BC2778 | 91,358 | ||||||
60,681 | 2.50%, 10/1/31, Pool #AS8010 | 63,952 | ||||||
507,078 | 2.50%, 1/1/32, Pool #BE3032 | 532,327 | ||||||
273,843 | 3.00%, 9/1/32, Pool #BM5110 | 291,327 | ||||||
96,809 | 2.50%, 9/1/32, Pool #MA3124 | 101,498 | ||||||
155,184 | 3.00%, 12/1/32, Pool #BM5109 | 165,051 | ||||||
694,422 | 3.00%, 2/1/33, Pool #BM5108 | 732,508 | ||||||
36,742 | 3.00%, 3/1/33, Pool #BM4614 | 39,249 | ||||||
34,239 | 3.00%, 5/1/33, Pool #AT3000 | 36,379 | ||||||
36,300 | 3.00%, 6/1/33, Pool #AT6090 | 38,555 | ||||||
179,023 | 3.00%, 7/1/33, Pool #MA1490 | 190,158 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 180,873 | 2.50%, 5/1/34, Pool #BN6321 | $ | 189,535 | ||||
360,093 | 3.50%, 9/1/34, Pool #FM1578 | 382,069 | ||||||
649,339 | 3.50%, 9/1/34, Pool #FM1577 | 700,378 | ||||||
257,456 | 3.50%, 10/1/34, Pool #FM1579 | 276,488 | ||||||
606,464 | 6.00%, 5/1/36, Pool #745512 | 712,226 | ||||||
31,308 | 3.50%, 12/1/40, Pool #AH1556 | 33,641 | ||||||
69,090 | 4.00%, 10/1/43, Pool #BM1167 | 76,072 | ||||||
537,517 | 4.50%, 3/1/44, Pool #AV0957 | 583,045 | ||||||
940,100 | 4.50%, 7/1/44, Pool #AS3062 | 1,017,891 | ||||||
224,219 | 4.50%, 10/1/44, Pool #AV8856 | 242,484 | ||||||
319,612 | 4.50%, 12/1/44, Pool #AS4176 | 353,092 | ||||||
129,776 | 4.00%, 5/1/45, Pool #AZ1207 | 138,110 | ||||||
114,181 | 4.00%, 6/1/45, Pool #AY8126 | 121,410 | ||||||
337,720 | 4.00%, 6/1/45, Pool #AY8096 | 359,099 | ||||||
557,067 | 3.50%, 7/1/45, Pool #AZ0814 | 600,629 | ||||||
374,829 | 3.50%, 8/1/45, Pool #AY8424 | 404,199 | ||||||
394,618 | 4.50%, 12/1/45, Pool #BA6997 | 428,395 | ||||||
64,459 | 4.00%, 12/1/45, Pool #AS6352 | 69,639 | ||||||
22,237 | 4.50%, 1/1/46, Pool #AY3890 | 24,261 | ||||||
224,770 | 4.00%, 2/1/46, Pool #BC1578 | 241,948 | ||||||
8,303 | 4.50%, 3/1/46, Pool #BC0287 | 9,182 | ||||||
483,333 | 4.00%, 4/1/46, Pool #AL8468 | 531,380 | ||||||
53,533 | 4.00%, 4/1/46, Pool #AS7024 | 57,795 | ||||||
451,552 | 4.00%, 6/1/46, Pool #AL9282 | 485,804 | ||||||
93,564 | 4.50%, 6/1/46, Pool #BD1238 | 102,217 | ||||||
503,521 | 3.50%, 7/1/46, Pool #AL9515 | 542,553 | ||||||
180,094 | 4.00%, 7/1/46, Pool #BC1443 | 200,206 | ||||||
56,012 | 4.00%, 9/1/46, Pool #BD1489 | 60,249 | ||||||
192,392 | 4.00%, 9/1/46, Pool #BC2843 | 213,897 | ||||||
219,727 | 3.50%, 10/1/46, Pool #AL9285 | 231,111 | ||||||
23,623 | 4.00%, 10/1/46, Pool #BD7599 | 25,421 | ||||||
64,440 | 4.50%, 10/1/46, Pool #BE1671 | 70,457 | ||||||
171,387 | 4.00%, 10/1/46, Pool #BC4754 | 190,548 | ||||||
71,565 | 4.50%, 11/1/46, Pool #BE2386 | 79,271 | ||||||
11,305 | 4.50%, 12/1/46, Pool #BC9079 | 12,511 | ||||||
519,555 | 3.50%, 12/1/46, Pool #BC9077 | 559,891 | ||||||
140,064 | 4.50%, 12/1/46, Pool #BE4488 | 155,155 | ||||||
72,012 | 4.50%, 1/1/47, Pool #BE7087 | 79,093 | ||||||
308,879 | 3.50%, 1/1/47, Pool #AL9776 | 331,813 | ||||||
397,077 | 3.50%, 1/1/47, Pool #BE1526 | 427,147 | ||||||
89,280 | 4.50%, 1/1/47, Pool #BE6506 | 98,901 | ||||||
80,840 | 4.50%, 2/1/47, Pool #BE8498 | 89,362 | ||||||
689,733 | 4.00%, 2/1/47, Pool #AL9779 | 757,052 | ||||||
107,021 | 4.00%, 5/1/47, Pool #BM1277 | 115,950 | ||||||
13,945 | 4.00%, 6/1/47, Pool #BH4269 | 15,104 | ||||||
39,038 | 4.50%, 6/1/47, Pool #BH0561 | 42,593 | ||||||
20,545 | 4.50%, 6/1/47, Pool #BE9387 | 22,583 | ||||||
106,180 | 4.50%, 6/1/47, Pool #BE3663 | 116,605 | ||||||
96,214 | 4.50%, 7/1/47, Pool #BE3749 | 105,721 | ||||||
68,862 | 4.00%, 7/1/47, Pool #AS9968 | 74,615 | ||||||
123,108 | 4.00%, 4/1/48, Pool #BM3700 | 133,399 | ||||||
57,587 | 4.50%, 4/1/48, Pool #BJ5454 | 62,801 |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 30,976 | 4.50%, 5/1/48, Pool #BJ5507 | $ | 33,829 | ||||
148,447 | 4.50%, 10/25/48, Pool #BM4548 | 164,270 | ||||||
476,572 | 4.50%, 9/1/49, Pool #FM1534 | 526,239 | ||||||
94,720 | 3.50%, 11/1/49, Pool #CA4557 | 100,505 | ||||||
621,196 | 4.00%, 11/1/49, Pool #CA4628 | 666,625 | ||||||
378,984 | 3.00%, 2/1/50, Pool #CA5126 | 399,953 | ||||||
996,346 | 2.50%, 5/1/50, Pool #MA4019 | 1,039,864 | ||||||
|
| |||||||
18,690,929 | ||||||||
|
| |||||||
Government National Mortgage Association (3.0%) | ||||||||
39,743 | 4.00%, 10/20/40, Pool #G24833 | 43,235 | ||||||
117,080 | 4.00%, 1/20/41, Pool #4922 | 127,377 | ||||||
110,616 | 4.00%, 8/15/41, Pool #430354 | 121,730 | ||||||
1,258,404 | 4.00%, 1/20/42, Pool #5280 | 1,369,145 | ||||||
164,931 | 4.00%, 11/20/42, Pool #MA0535 | 179,491 | ||||||
326,580 | 3.00%, 12/20/42, Pool #AA5872 | 347,938 | ||||||
2,785,275 | 3.50%, 1/20/43, Pool #MA0699 | 3,028,000 | ||||||
209,924 | 3.00%, 3/20/43, Pool #AA6146 | 226,266 | ||||||
48,037 | 3.50%, 3/20/43, Pool #AD8884 | 51,990 | ||||||
87,114 | 3.00%, 3/20/43, Pool #AD8812 | 92,749 | ||||||
51,219 | 3.50%, 4/20/43, Pool #AD9075 | 55,055 | ||||||
17,824 | 3.50%, 4/20/43, Pool #AB9891 | 19,288 | ||||||
179,037 | 3.50%, 5/20/46, Pool #MA3663 | 190,916 | ||||||
139,804 | 4.00%, 5/20/46, Pool #MA3664 | 150,881 | ||||||
242,036 | 3.50%, 6/20/46, Pool #MA3736 | 258,728 | ||||||
62,024 | 3.50%, 7/20/46, Pool #MA3803 | 66,301 | ||||||
747,268 | 3.00%, 12/20/46, Pool #MA4126 | 795,271 | ||||||
187,465 | 4.00%, 1/15/47, Pool #AX5857 | 200,020 | ||||||
175,231 | 4.00%, 1/15/47, Pool #AX5831 | 186,966 | ||||||
1,063,737 | 3.00%, 1/20/47, Pool #MA4195 | 1,132,088 | ||||||
522,520 | 4.00%, 3/20/47, Pool #MA4322 | 563,922 | ||||||
161,543 | 4.00%, 4/20/47, Pool #784303 | 171,644 | ||||||
171,485 | 4.00%, 4/20/47, Pool #784304 | 182,185 | ||||||
693,362 | 4.50%, 4/20/47, Pool #MA4384 | 744,352 | ||||||
91,039 | 4.00%, 4/20/47, Pool #MA4383 | 97,467 | ||||||
98,493 | 4.00%, 5/20/47, Pool #MA4452 | 105,448 | ||||||
934,477 | 4.50%, 6/20/47, Pool #MA4512 | 1,018,128 | ||||||
316,255 | 4.00%, 4/20/48, Pool #MA5137 | 335,950 | ||||||
46,749 | 4.00%, 4/20/48, Pool #BG7744 | 49,866 | ||||||
63,243 | 4.00%, 4/20/48, Pool #BG3507 | 67,459 | ||||||
682,364 | 4.00%, 6/20/48, Pool #MA5264 | 724,862 | ||||||
953,729 | 4.00%, 9/20/48, Pool #MA5466 | 1,021,216 | ||||||
31,937 | 3.50%, 12/20/49, Pool #BR8985 | 34,354 | ||||||
24,757 | 3.50%, 12/20/49, Pool #BR8987 | 27,082 | ||||||
32,493 | 3.50%, 12/20/49, Pool #BR8984 | 34,696 | ||||||
|
| |||||||
13,822,066 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $44,497,356) | 46,215,063 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
U.S. Treasury Obligations (12.5%): | ||||||||
U.S. Treasury Bonds (3.1%): | ||||||||
$ | 277,000 | 2.75%, 11/15/47 | $ | 362,394 | ||||
11,629,000 | 3.00%, 2/15/49 | 16,055,289 | ||||||
|
| |||||||
16,417,683 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (0.7%): | ||||||||
2,207,464 | 0.75%, 2/15/45 | 2,696,650 | ||||||
83,230 | 1.00%, 2/15/46 | 107,666 | ||||||
784,722 | 1.00%, 2/15/49 | 1,045,529 | ||||||
|
| |||||||
3,849,845 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Notes (3.1%): | ||||||||
3,240,409 | 0.13%, 10/15/24 | 3,393,041 | ||||||
1,818,970 | 0.25%, 1/15/25 | 1,913,473 | ||||||
5,139,484 | 0.63%, 1/15/26 | 5,562,254 | ||||||
2,171,816 | 0.13%, 7/15/26 | 2,306,019 | ||||||
1,330,462 | 0.88%, 1/15/29 | 1,516,799 | ||||||
952,423 | 0.25%, 7/15/29 | 1,041,632 | ||||||
|
| |||||||
15,733,218 | ||||||||
|
| |||||||
U.S. Treasury Notes (5.6%): | ||||||||
2,910,000 | 0.25%, 6/15/23 | 2,916,366 | ||||||
900,000 | 2.50%, 1/31/24 | 973,688 | ||||||
1,490,000 | 1.75%, 6/30/24 | 1,580,331 | ||||||
9,378,000 | 0.25%, 6/30/25 | 9,360,416 | ||||||
5,588,000 | 2.50%, 2/28/26 | 6,255,068 | ||||||
4,146,000 | 3.13%, 11/15/28 | 5,012,125 | ||||||
2,494,000 | 0.63%, 5/15/30^ | 2,487,375 | ||||||
|
| |||||||
28,585,369 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $57,181,384) | 64,586,115 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.5%): | ||||||||
2,384,691 | BlackRock Liquidity FedFund, Institutional Class, 1.81%(d)(e) | 2,384,691 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 2,384,691 | ||||||
|
| |||||||
Unaffiliated Investment Companies (2.5%): | ||||||||
Money Markets (2.5%): | ||||||||
13,119,113 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(e) | 13,119,113 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $13,119,113) | 13,119,113 | |||||||
|
| |||||||
Total Investment Securities (Cost $468,176,299) — 100.8%(f) | 520,834,803 | |||||||
Net other assets (liabilities) — (0.8)% | (4,063,147 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 516,771,656 | ||||||
| �� |
Percentages indicated are based on net assets as of June 30, 2020.
CVR—Contingency Valued Rights
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
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, 2020. The total value of securities on loan as of June 30, 2020 was $2,114,707. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
† | Represents less than 0.05%. |
(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, 2020. |
(c) | Defaulted bond. |
(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, 2020. |
(e) | The rate represents the effective yield at June 30, 2020. |
Futures Contracts
Cash of $720,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/18/20 | 32 | $ | 4,944,320 | $ | 50,075 | ||||||||||
|
| |||||||||||||||
$ | 50,075 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 468,176,299 | |||
|
| ||||
Investment securities, at value(a) | $ | 520,834,803 | |||
Cash | 5,371 | ||||
Segregated cash for collateral for futures contracts | 720,000 | ||||
Interest and dividends receivable | 2,612,244 | ||||
Receivable for investments sold | 8,813,207 | ||||
Receivable for variation margin on futures contracts | 98,187 | ||||
Reclaims receivable | 155,491 | ||||
Prepaid expenses | 982 | ||||
|
| ||||
Total Assets | 533,240,285 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 13,668,496 | ||||
Payable for capital shares redeemed | 92,289 | ||||
Payable for collateral received on loaned securities | 2,384,691 | ||||
Manager fees payable | 173,594 | ||||
Administration fees payable | 8,274 | ||||
Distribution fees payable | 105,872 | ||||
Custodian fees payable | 6,096 | ||||
Administrative and compliance services fees payable | 951 | ||||
Transfer agent fees payable | 1,121 | ||||
Trustee fees payable | 5,737 | ||||
Other accrued liabilities | 21,508 | ||||
|
| ||||
Total Liabilities | 16,468,629 | ||||
|
| ||||
Net Assets | $ | 516,771,656 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 424,787,000 | |||
Total distributable earnings | 91,984,656 | ||||
|
| ||||
Net Assets | $ | 516,771,656 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 37,663,007 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.72 | |||
|
|
(a) | Includes securities on loan of $2,114,707. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 5,403,437 | |||
Dividends | 2,209,592 | ||||
Income from securities lending | 19,891 | ||||
Foreign withholding tax | (625 | ) | |||
|
| ||||
Total Investment Income | 7,632,295 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,823,245 | ||||
Administration fees | 103,443 | ||||
Distribution fees | 651,158 | ||||
Custodian fees | 17,123 | ||||
Administrative and compliance services fees | 4,664 | ||||
Transfer agent fees | 2,796 | ||||
Trustee fees | 14,790 | ||||
Professional fees | 13,220 | ||||
Shareholder reports | 13,621 | ||||
Other expenses | 5,914 | ||||
|
| ||||
Total expenses before reductions | 2,649,974 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (651,158 | ) | |||
Less expense contractually waived/reimbursed by the Manager | (149,527 | ) | |||
|
| ||||
Net expenses | 1,849,289 | ||||
|
| ||||
Net Investment Income/(Loss) | 5,783,006 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 6,631,796 | ||||
Net realized gains/(losses) on futures contracts | 68,913 | ||||
Net realized gains/(losses) on securities held short | (44,758 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (4,669,397 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 18,146 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 2,004,700 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 7,787,706 | |||
|
|
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 5,783,006 | $ | 13,118,680 | ||||||
Net realized gains/(losses) on investments | 6,655,951 | 15,021,435 | ||||||||
Change in unrealized appreciation/depreciation on investments | (4,651,251 | ) | 60,424,961 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 7,787,706 | 88,565,076 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (35,430,519 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (35,430,519 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 3,687,449 | 9,032,090 | ||||||||
Proceeds from dividends reinvested | — | 35,430,518 | ||||||||
Value of shares redeemed | (53,730,320 | ) | (77,925,529 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (50,042,871 | ) | (33,462,921 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (42,255,165 | ) | 19,671,636 | |||||||
Net Assets: | ||||||||||
Beginning of period | 559,026,821 | 539,355,185 | ||||||||
|
|
|
| |||||||
End of period | $ | 516,771,656 | $ | 559,026,821 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 285,789 | 678,904 | ||||||||
Dividends reinvested | — | 2,759,386 | ||||||||
Shares redeemed | (4,171,277 | ) | (5,869,044 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,885,488 | ) | (2,430,754 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
25
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.45 | $ | 12.26 | $ | 13.35 | $ | 12.43 | $ | 12.06 | $ | 13.72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | (a) | 0.31 | (a) | 0.34 | 0.28 | 0.34 | 0.32 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.12 | 1.76 | (0.58 | ) | 1.09 | 0.44 | (1.07 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.27 | 2.07 | (0.24 | ) | 1.37 | 0.78 | (0.75 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.33 | ) | (0.32 | ) | — | (0.18 | ) | (0.56 | ) | ||||||||||||||||||||
Net Realized Gains | — | (0.55 | ) | (0.53 | ) | (0.45 | ) | (0.23 | ) | (0.35 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.88 | ) | (0.85 | ) | (0.45 | ) | (0.41 | ) | (0.91 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.72 | $ | 13.45 | $ | 12.26 | $ | 13.35 | $ | 12.43 | $ | 12.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 2.01 | %(c) | 17.27 | % | (2.02 | )% | 11.12 | % | 6.52 | % | (5.46 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 516,772 | $ | 559,027 | $ | 539,355 | $ | 627,375 | $ | 657,727 | $ | 735,431 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.22 | % | 2.35 | % | 2.24 | % | 2.06 | % | 2.48 | % | 2.31 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.02 | % | 1.02 | % | 1.01 | % | 1.00 | % | 1.04 | % | 1.04 | % | ||||||||||||||||||
Expenses Net of Reductions (d) | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | 0.97 | % | 1.04 | % | ||||||||||||||||||
Portfolio Turnover Rate | 39 | %(c) | 77 | % | 66 | % | 82 | % | 148 | %(f) | 35 | % |
(a) | Calculated using the average shares method. |
(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) | 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.
26
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 (the “Fund”), and 20 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.
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.
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.
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
27
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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 Fund may engage in short sales against the box (i.e., where the Fund 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 Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund 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 Fund also may be required to pay a premium, which would increase the cost of the security sold.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $1,936 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,384,691 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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
28
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
“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, 2020, 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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $5.3 million for the period ended June 30, 2020. 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, 2020:
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* | $ | 50,075 | Payable for variation margin on futures 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, 2020:
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 | $ | 68,913 | $18,146 |
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, 2021.
29
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
For the period ended June 30, 2020, 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, 2020, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2020 | Expires 12/31/2021 | Expires 12/31/2022 | Expires 12/31/2023 | Total | |||||||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 268,430 | $ | 287,302 | $ | 328,039 | $ | 149,527 | $ | 1,033,298 |
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 SEC. 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, 2020, $2,228 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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
30
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 208,716,233 | $ | — | $ | — | $ | 208,716,233 | ||||||||||||
Rights+ | 12,659 | — | — | 12,659 | ||||||||||||||||
Asset Backed Securities | — | 5,744,288 | — | 5,744,288 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 15,594,587 | — | 15,594,587 | ||||||||||||||||
Bank Loans | — | 305,498 | — | 305,498 | ||||||||||||||||
Corporate Bonds+ | — | 116,964,708 | — | 116,964,708 | ||||||||||||||||
Foreign Bonds+ | — | 42 | — | 42 | ||||||||||||||||
Yankee Dollars+ | — | 42,379,971 | — | 42,379,971 | ||||||||||||||||
Municipal Bonds | — | 4,811,835 | — | 4,811,835 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 46,215,063 | — | 46,215,063 | ||||||||||||||||
U.S. Treasury Obligations | — | 64,586,115 | — | 64,586,115 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 2,384,691 | — | — | 2,384,691 | ||||||||||||||||
Unaffiliated Investment Companies | 13,119,113 | — | — | 13,119,113 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 224,232,696 | 296,602,107 | — | 520,834,803 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 50,075 | — | — | 50,075 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 224,282,771 | $ | 296,602,107 | $ | — | $ | 520,884,878 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 198,722,194 | $ | 244,177,308 |
For the period ended June 30, 2020, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 56,972,972 | $ | 112,923,840 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
31
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
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.
32
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2019 was $522,510,796. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 58,548,018 | ||
Unrealized (depreciation) | (3,185,499 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 55,362,519 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 15,313,364 | $ | 20,117,155 | $ | 35,430,519 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 15,184,809 | $ | 13,637,221 | $ | — | $ | 55,374,920 | $ | 84,196,950 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales and mark-to-market of futures contracts. |
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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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.
33
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-PORT. 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.
34
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund���s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
35
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® FIAM Total Bond Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 22 |
Page 22 |
Statements of Changes in Net Assets Page 23 |
Page 24 |
Notes to the Financial Statements Page 25 |
Page 31 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 32 |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | $ | 1,000.00 | $ | 1,043.10 | $ | 2.90 | 0.57 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | $ | 1,000.00 | $ | 1,042.90 | $ | 4.17 | 0.82 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | $ | 1,000.00 | $ | 1,022.03 | $ | 2.87 | 0.57 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | $ | 1,000.00 | $ | 1,020.79 | $ | 4.12 | 0.82 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Corporate Bonds | 40.1 | % | |||
U.S. Treasury Obligations | 19.1 | ||||
U.S. Government Agency Mortgages | 15.7 | ||||
Yankee Dollars | 13.6 | ||||
Collateralized Mortgage Obligations | 5.1 | ||||
Unaffiliated Investment Companies | 2.2 | ||||
Asset Backed Securities | 1.8 | ||||
Municipal Bonds | 1.4 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.4 | ||||
Bank Loans | 0.1 | ||||
Common Stocks | — | † | |||
|
| ||||
Total Investment Securities | 99.5 | ||||
Net other assets (liabilities) | 0.5 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares or Principal Amount | Fair Value | |||||||
Common Stocks (0.0%†): | ||||||||
Energy Equipment & Services (0.0%†): | ||||||||
912 | Weatherford International plc* | $ | 1,797 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
22 | Amplify Energy Corp., 0.41% | 27 | ||||||
|
| |||||||
Total Common Stocks (Cost $21,432) | 1,824 | |||||||
|
| |||||||
Asset Backed Securities (1.8%): | ||||||||
$ | 456,274 | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | 411,725 | |||||
1,455,252 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | 1,226,826 | ||||||
225,022 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 200,737 | ||||||
300,683 | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | 271,670 | ||||||
244,877 | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | 129,845 | ||||||
242,675 | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | 213,707 | ||||||
143,229 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 123,874 | ||||||
642,427 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 534,630 | ||||||
501,942 | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 466,072 | ||||||
445,354 | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | 389,567 | ||||||
216,990 | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | 120,842 | ||||||
333,328 | DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/21 @ 100(a) | 343,070 | ||||||
560,108 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | 592,836 | ||||||
236,273 | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a) | 207,831 | ||||||
227,386 | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a) | 205,152 | ||||||
335,315 | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | 288,860 | ||||||
390,451 | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | 327,184 | ||||||
250,000 | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | 119,946 | ||||||
424,983 | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | 361,016 | ||||||
401,778 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | 351,085 | ||||||
628,667 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | 559,457 | ||||||
544,271 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | 484,319 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $9,206,582) | 7,930,251 | |||||||
|
|
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations (5.1%): | ||||||||
$ | 750,000 | AIMCO CLO, Ltd., Class A, Series 2019-10A, 2.42%(US0003M+132bps), 7/22/32, Callable 7/22/21 @ 100(a) | $ | 731,155 | ||||
250,000 | Allegany Park CLO, Ltd., Class A, Series 2019-1A, 3.16%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(a) | 245,041 | ||||||
250,000 | Ares CLO, Ltd., Class AR2, Series 2015-2A, 2.03%(US0003M+125bps), 4/17/33, Callable 4/17/21 @ 100(a) | 243,488 | ||||||
393,000 | Ares CLO, Ltd., Class A, Series 2019-54A, 2.54%(US0003M+132bps), 10/15/32, Callable 10/15/21 @ 100(a) | 384,671 | ||||||
534,000 | Ares CLO, Ltd., Class AR, Series 2016-41A, 2.42%(US0003M+120bps), 1/15/29, Callable 7/15/20 @ 100(a) | 527,384 | ||||||
358,000 | Ares LV CLO, Ltd., Class A1, Series 2020-55A, 2.07%(US0003M+170bps), 4/15/31, Callable 7/15/21 @ 100(a) | 357,277 | ||||||
273,000 | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | 255,621 | ||||||
100,000 | BAMLL Commercial Mortgage Securities Trust, Class BNM, Series 2019-BPR, 3.47%, 11/5/32(a) | 87,462 | ||||||
43,000 | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52 | 47,098 | ||||||
272,000 | Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 3.23%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(a) | 267,051 | ||||||
49,000 | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b) | 57,464 | ||||||
67,000 | Benchmark Mortgage Trust, Class A5, Series 2019-B14, 3.05%, 12/15/61 | 74,184 | ||||||
461,000 | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 2.21%(US0003M+99bps), 4/15/29, Callable 1/15/21 @ 100(a) | 452,835 | ||||||
278,000 | BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.43%(US0001M+125bps), 12/15/29(a) | 266,924 | ||||||
212,000 | BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.78%(US0001M+160bps), 12/15/29(a) | 201,428 | ||||||
458,000 | BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.98%(US0001M+80bps), 12/15/29(a) | 451,767 | ||||||
400,000 | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.18%(US0001M+100bps), 4/15/34(a) | 384,140 | ||||||
266,000 | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.48%(US0001M+130bps), 4/15/34(a) | 244,680 | ||||||
176,000 | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.78%(US0001M+160bps), 4/15/34(a) | 158,367 | ||||||
214,010 | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.26%(US0001M+108bps), 10/15/36(a) | 210,241 | ||||||
268,468 | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.43%(US0001M+125bps), 10/15/36(a) | 259,571 |
See accompanying notes to the financial statements.
2
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 381,205 | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.63%(US0001M+145bps), 10/15/36(a) | $ | 367,699 | ||||
535,024 | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.98%(US0001M+180bps), 10/15/36(a) | 512,366 | ||||||
146,300 | BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.98%(US0001M+180bps), 11/15/35(a) | 142,623 | ||||||
154,256 | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.81%(US0001M+263bps), 9/15/20(a) | 113,282 | ||||||
185,000 | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.08%(US0001M+190bps), 4/15/34(a) | 164,633 | ||||||
180,000 | BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.30%(US0001M+112bps), 12/15/29(a) | 174,634 | ||||||
227,000 | BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.18%(US0001M+100bps), 12/15/29(a) | 221,284 | ||||||
261,000 | Cedar Funding CLO, Ltd., Class A1A, Series 2019-11A, 1.71%(US0003M+135bps), 5/29/32, Callable 5/29/21 @ 100(a) | 255,802 | ||||||
346,000 | Cedar Funding CLO, Ltd., Class A, Series 2019-10A, 2.48%(US0003M+134bps), 10/20/32, Callable 10/20/21 @ 100(a) | 337,715 | ||||||
624,306 | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.30%(US0001M+112bps), 6/15/34(a) | 586,803 | ||||||
122,472 | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.68%(US0001M+150bps), 6/15/34(a) | 113,305 | ||||||
138,403 | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.93%(US0001M+175bps), 6/15/34(a) | 125,932 | ||||||
83,000 | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47 | 90,423 | ||||||
225,000 | Credit Suisse Mortgage Capital Certificates, Class C, Series 2019-ICE4, 1.61%(US0001M+143bps), 5/15/36(a) | 214,324 | ||||||
205,000 | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.41%(US0001M+123bps), 5/15/36(a) | 197,329 | ||||||
100,000 | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | 100,984 | ||||||
100,000 | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | 95,407 | ||||||
128,000 | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | 126,307 | ||||||
1,384,000 | CSMC Trust, Class D, Series 2017-PFHP, 2.43%(US0001M+225bps), 12/15/30(a) | 1,213,311 | ||||||
309,000 | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | 301,102 | ||||||
300,000 | Dryden 68 CLO, Ltd., Class A, Series 2019-68A, 2.53%(US0003M+131bps), 7/15/32, Callable 7/15/21 @ 100(a) | 291,671 | ||||||
500,000 | Dryden 76 CLO, Ltd., Class A1, Series 2019-76A, 2.47%(US0003M+133bps), 10/20/32, Callable 10/20/21 @ 100(a) | 492,506 |
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 604,000 | Dryden CLO, Ltd., Class AR2, Series 2014-36A, 2.50%(US0003M+128bps), 4/15/29, Callable 7/15/20 @ 100(a) | $ | 599,503 | ||||
427,000 | Dryden CLO, Ltd., Class A, Series 2019-72A, 1.72%(US0003M+133bps), 5/15/32, Callable 5/15/21 @ 100(a) | 413,990 | ||||||
300,000 | Dryden CLO, Ltd., Class A, Series 2020-78A, 2.45%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(a) | 291,522 | ||||||
438,000 | Flatiron CLO, Ltd., Class A, Series 2019-1A, 1.71%(US0003M+132bps), 11/16/32, Callable 11/16/21 @ 100(a) | 428,355 | ||||||
63,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | 63,651 | ||||||
97,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | 97,564 | ||||||
133,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | 133,371 | ||||||
480,000 | Madison Park Funding XLV, Ltd., Class A, Series 2020-45A(US0003M+165bps), 7/15/31(a) | 480,000 | ||||||
500,000 | Madison Park Funding, Ltd., Class A1, Series 2019-37A, 2.52%(US0003M+130bps), 7/15/32, Callable 7/15/21 @ 100(a) | 487,420 | ||||||
250,000 | Madison Park Funding, Ltd., Class AR2, Series 2012-101, 2.36%(US0003M+122bps), 1/20/29, Callable 7/20/20 @ 100(a) | 246,843 | ||||||
250,000 | Madison Park Funding, Ltd., Class A, Series 2019-33A, 2.55%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(a) | 245,232 | ||||||
295,000 | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 2.02%(US0003M+92bps), 1/22/28, Callable 7/22/20 @ 100(a) | 290,441 | ||||||
461,000 | Magnetite, Ltd., Class A, Series 2019-21A, 2.42%(US0003M+128bps), 4/20/30, Callable 7/20/20 @ 100(a) | 453,042 | ||||||
590,000 | Magnetite, Ltd., Class A, Series 24, 3.24%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(a) | 579,242 | ||||||
464,000 | Milos CLO, Ltd., Class AR, Series 2017-1A, 2.21%(US0003M+107bps), 10/20/30, Callable 4/20/21 @ 100(a) | 452,855 | ||||||
200,000 | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51 | 237,876 | ||||||
375,000 | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.43%(US0001M+125bps), 6/15/35(a) | 360,795 | ||||||
904,000 | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.68%(US0001M+150bps), 6/15/35(a) | 862,967 | ||||||
82,000 | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36(a) | 72,688 | ||||||
86,000 | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36(a) | 80,883 | ||||||
593,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36(a) | 567,608 | ||||||
4,442 | MSCG Trust, Class B, Series 2016-SNR, 4.18%, 11/15/34(a) | 4,488 | ||||||
140,250 | MSCG Trust, Class C, Series 2016-SNR, 5.21%, 11/15/34(a) | 142,261 |
See accompanying notes to the financial statements.
3
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 500,000 | Niagara Park CLO, Ltd., Class A, Series 2019-1A, 2.43%(US0003M+130bps), 7/17/32, Callable 7/17/21 @ 100(a) | $ | 489,435 | ||||
401,000 | RETL, Class C, Series 2019-RVP, 2.28%(US0001M+210bps), 3/15/36(a) | 333,460 | ||||||
535,000 | Stratus CLO, Ltd., Class A, Series 2020-1A, 3.29%(US0003M+198bps), 4/30/28, Callable 4/20/21 @ 100(a) | 535,448 | ||||||
304,000 | Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 2.14%(US0003M+100bps), 1/20/29, Callable 4/20/21 @ 100(a) | 297,837 | ||||||
509,000 | VERDE CLO, Ltd., Class A, Series 2019-1A, 2.57%(US0003M+135bps), 4/15/32, Callable 4/15/21 @ 100(a) | 497,644 | ||||||
516,000 | Voya CLO, Ltd., Class A, Series 2019-2, 2.41%(US0003M+127bps), 7/20/32, Callable 7/20/21 @ 100(a) | 505,184 | ||||||
420,000 | Voya CLO, Ltd., Class A, Series 2020-1A, 2.00%(US0003M+170bps), 7/16/31, Callable 7/16/21 @ 100(a) | 420,000 | ||||||
234,000 | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52 | 275,963 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $23,884,167) | 23,094,859 | |||||||
|
| |||||||
Bank Loans (0.1%): | ||||||||
Diversified Financial Services (0.1%): | ||||||||
142,172 | Intelsat Jackson Holdings SA, 7/13/21 | 144,039 | ||||||
215,000 | Intelsat Jackson Holdings SA, 11/27/23 | 213,522 | ||||||
15,000 | Intelsat Jackson Holdings SA, 1/2/24 | 14,963 | ||||||
|
| |||||||
372,524 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
165,000 | California Resources Corp., 12/31/21 | 7,425 | ||||||
|
| |||||||
Software (0.0%†): | ||||||||
85,000 | Ultimate Software Group, Inc. (The), 4.29%, 5/3/26, Callable 8/5/20 @ 100 | 83,845 | ||||||
|
| |||||||
Total Bank Loans (Cost $547,366) | 463,794 | |||||||
|
| |||||||
Corporate Bonds (40.1%): | ||||||||
Aerospace & Defense (0.8%): | ||||||||
214,000 | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | 236,011 | ||||||
214,000 | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | 238,481 | ||||||
200,000 | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100^ | 227,939 | ||||||
200,000 | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | 235,870 | ||||||
210,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 246,430 | ||||||
315,000 | BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | 325,238 | ||||||
125,000 | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a) | 124,688 | ||||||
150,000 | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a) | 145,688 | ||||||
300,000 | Signature Aviation US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @ 102.69(a) | 299,250 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 25,000 | TransDigm, Inc., 6.50%, 5/15/25, Callable 8/6/20 @ 103.25 | $ | 23,375 | ||||
280,000 | TransDigm, Inc., 8.00%, 12/15/25, Callable 4/8/22 @ 104(a) | 293,650 | ||||||
360,000 | TransDigm, Inc., 6.25%, 3/15/26, Callable 3/15/22 @ 103.13(a) | 359,100 | ||||||
60,000 | TransDigm, Inc., 6.88%, 5/15/26, Callable 5/15/21 @ 105.16 | 56,025 | ||||||
60,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 6/15/21 @ 103.19 | 54,750 | ||||||
55,000 | TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75 | 52,525 | ||||||
610,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | 532,225 | ||||||
|
| |||||||
3,451,245 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%†): | ||||||||
205,000 | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(a) | 214,738 | ||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
354,000 | Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(a) | 365,448 | ||||||
309,000 | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a) | 324,795 | ||||||
|
| |||||||
690,243 | ||||||||
|
| |||||||
Banks (3.2%): | ||||||||
656,000 | Bank of America Corp., 4.20%, 8/26/24, MTN | 727,965 | ||||||
612,000 | Bank of America Corp., Series L, 3.95%, 4/21/25 | 677,319 | ||||||
128,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 147,020 | ||||||
100,000 | CIT Group, Inc., 3.93%(SOFR+4bps), 6/19/24, Callable 6/19/23 @ 100 | 97,000 | ||||||
245,000 | CIT Group, Inc., 6.13%, 3/9/28 | 264,600 | ||||||
1,090,000 | Citigroup, Inc., Series V, 4.05%, 7/30/22 | 1,156,376 | ||||||
393,000 | Citigroup, Inc., 3.35%(US0003M+90bps), 4/24/25, Callable 4/24/24 @ 100 | 424,644 | ||||||
1,642,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,872,668 | ||||||
665,000 | Citigroup, Inc., 4.41%(SOFR+391bps), 3/31/31, Callable 3/31/30 @ 100 | 786,424 | ||||||
2,994,000 | JPMorgan Chase & Co., 3.88%, 9/10/24 | 3,315,611 | ||||||
267,000 | JPMorgan Chase & Co., 2.96%(SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100 | 283,240 | ||||||
500,000 | Regions Bank, 6.45%, 6/26/37 | 674,894 | ||||||
401,000 | Regions Financial Corp., 2.25%, 5/18/25, Callable 4/18/25 @ 100 | 418,988 | ||||||
296,000 | Wells Fargo & Co., 2.41%(US0003M+83bps), 10/30/25, Callable 10/30/24 @ 100, MTN | 307,506 | ||||||
938,000 | Wells Fargo & Co., 4.48%(US0003M+4bps), 4/4/31, Callable 4/4/30 @ 100, MTN | 1,128,044 | ||||||
245,000 | Wells Fargo & Co., Series S, 5.90%(US0003M+311bps), 12/31/49, Callable 6/15/24 @ 100 | 242,856 | ||||||
1,340,000 | Wells Fargo & Co., 5.01%(US0003M+424bps), 4/4/51, Callable 4/4/50 @ 100, MTN | 1,850,130 | ||||||
|
| |||||||
14,375,285 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Beverages (0.7%): | ||||||||
$ | 500,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | $ | 561,550 | ||||
220,000 | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | 250,988 | ||||||
500,000 | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | 593,161 | ||||||
509,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | 614,818 | ||||||
523,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | 737,241 | ||||||
239,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 6/1/60, Callable 12/1/59 @ 100 | 284,795 | ||||||
|
| |||||||
3,042,553 | ||||||||
|
| |||||||
Biotechnology (0.3%): | ||||||||
1,489,000 | Abbvie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100(a) | 1,548,974 | ||||||
|
| |||||||
Building Products (0.1%): | ||||||||
255,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a) | 256,594 | ||||||
|
| |||||||
Capital Markets (2.4%): | ||||||||
282,000 | Affiliated Managers Group, Inc., 4.25%, 2/15/24 | 306,573 | ||||||
572,000 | Affiliated Managers Group, Inc., 3.50%, 8/1/25 | 620,851 | ||||||
706,000 | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | 718,355 | ||||||
1,140,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 1,288,211 | ||||||
194,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 280,802 | ||||||
5,274,000 | Morgan Stanley, 3.74%(US0003M+85bps), 4/24/24, Callable 4/24/23 @ 100 | 5,684,983 | ||||||
632,000 | Morgan Stanley, 3.62%(SOFR+312bps), 4/1/31, Callable 4/1/30 @ 100 | 720,720 | ||||||
457,000 | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | 508,908 | ||||||
500,000 | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | 597,144 | ||||||
27,000 | State Street Corp., 3.15%(SOFR+265bps), 3/30/31, Callable 3/30/30 @ 100(a) | 30,348 | ||||||
35,000 | US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(a) | 36,050 | ||||||
|
| |||||||
10,792,945 | ||||||||
|
| |||||||
Chemicals (0.3%): | ||||||||
151,000 | Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 6/15/27, Callable 6/15/23 @ 102.38(a) | 151,566 | ||||||
185,000 | Chemours Co., 7.00%, 5/15/25, Callable 8/6/20 @ 103.5^ | 176,444 | ||||||
235,000 | Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100 | 212,675 | ||||||
370,000 | Platform Specialty Products Corp., 5.88%, 12/1/25, Callable 12/1/20 @ 102.94(a) | 373,237 | ||||||
200,000 | Valvoline, Inc., 4.38%, 8/15/25, Callable 8/15/20 @ 103.28 | 201,000 | ||||||
35,000 | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 34,344 | ||||||
200,000 | W.R. Grace & Co., 5.63%, 10/1/24(a) | 210,000 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Chemicals, continued | ||||||||
$ | 80,000 | WR Grace & Co., 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a) | $ | 80,900 | ||||
|
| |||||||
1,440,166 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
105,000 | Aramark Services, Inc., 5.00%, 4/1/25, Callable 8/6/20 @ 103.75(a) | 103,425 | ||||||
295,000 | Aramark Services, Inc., 6.38%, 5/1/25, Callable 5/1/22 @ 103.19(a) | 304,219 | ||||||
230,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(a) | 218,500 | ||||||
95,000 | Tempo Acquisition LLC /Tempo Acquisition Finance Corp., 5.75%, 6/1/25, Callable 6/1/22 @ 102.88(a) | 97,375 | ||||||
340,000 | Tempo Finance Corp., 6.75%, 6/1/25, Callable 7/17/20 @ 103.38(a) | 344,250 | ||||||
|
| |||||||
1,067,769 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
200,000 | AECOM, 5.88%, 10/15/24, Callable 7/15/24 @ 100 | 215,000 | ||||||
405,000 | AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100 | 435,375 | ||||||
270,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 8/6/20 @ 106.34(a) | 243,000 | ||||||
|
| |||||||
893,375 | ||||||||
|
| |||||||
Consumer Finance (3.2%): | ||||||||
578,000 | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | 585,225 | ||||||
398,000 | Ally Financial, Inc., 5.13%, 9/30/24 | 429,840 | ||||||
330,000 | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | 368,363 | ||||||
470,000 | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | 502,900 | ||||||
462,000 | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | 480,969 | ||||||
833,000 | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | 912,944 | ||||||
534,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 591,178 | ||||||
644,000 | Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100 | 656,717 | ||||||
250,000 | Discover Bank, Series B, 4.68%(USSW5+173bps), 8/9/28, Callable 8/9/23 @ 100 | 252,230 | ||||||
1,000,000 | Discover Financial Services, 5.20%, 4/27/22 | 1,052,701 | ||||||
383,000 | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | 429,493 | ||||||
457,000 | Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100 | 498,107 | ||||||
240,000 | Ford Motor Credit Co. LLC, 5.09%, 1/7/21 | 239,710 | ||||||
496,000 | Ford Motor Credit Co. LLC, 5.60%, 1/7/22 | 499,829 | ||||||
75,000 | Ford Motor Credit Co. LLC, 3.22%, 1/9/22 | 72,948 | ||||||
55,000 | Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100 | 53,194 | ||||||
504,000 | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | 508,886 | ||||||
1,490,000 | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | 1,423,234 | ||||||
110,000 | Ford Motor Credit Co. LLC, 4.69%, 6/9/25, Callable 4/9/25 @ 100 | 107,173 |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 80,000 | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | $ | 80,042 | ||||
130,000 | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | 126,999 | ||||||
105,000 | General Motors Acceptance Corp., 8.00%, 11/1/31 | 137,288 | ||||||
747,000 | General Motors Financial Co., Inc., 4.20%, 3/1/21, Callable 2/1/21 @ 100 | 756,364 | ||||||
210,000 | Navient Corp., 6.63%, 7/26/21 | 205,800 | ||||||
30,000 | Navient Corp., 7.25%, 1/25/22, MTN | 30,075 | ||||||
275,000 | Navient Corp., 7.25%, 9/25/23 | 268,813 | ||||||
415,000 | Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100 | 421,730 | ||||||
510,000 | Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100 | 518,267 | ||||||
119,000 | Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100 | 119,885 | ||||||
381,000 | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | 401,498 | ||||||
314,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | 329,348 | ||||||
663,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 690,043 | ||||||
644,000 | Synchrony Financial, 5.15%, 3/19/29, Callable 12/19/28 @ 100 | 724,850 | ||||||
144,000 | Toyota Motor Credit Corp., 3.38%, 4/1/30, MTN | 165,373 | ||||||
|
| |||||||
14,642,016 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
150,000 | Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a) | 151,373 | ||||||
80,000 | Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 93,600 | ||||||
300,000 | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 8/6/20 @ 101.28(a) | 301,500 | ||||||
170,000 | Silgan Holdings, Inc., 4.75%, 3/15/25, Callable 8/6/20 @ 102.38 | 172,550 | ||||||
|
| |||||||
719,023 | ||||||||
|
| |||||||
Diversified Consumer Services (0.3%): | ||||||||
200,000 | Ascend Learning LLC, 6.88%, 8/1/25, Callable 8/6/20 @ 103.44(a) | 201,500 | ||||||
40,000 | Ascend Learning LLC, 6.88%, 8/1/25, Callable 8/6/20 @ 103.44(a) | 40,300 | ||||||
120,000 | Frontdoor, Inc., 6.75%, 8/15/26, Callable 8/15/21 @ 105.06(a) | 127,350 | ||||||
690,000 | Laureate Education, Inc., 8.25%, 5/1/25, Callable 8/6/20 @ 106.19(a) | 715,875 | ||||||
100,000 | Service Corp International, 5.13%, 6/1/29, Callable 6/1/24 @ 102.56 | 107,125 | ||||||
210,000 | Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69^(a) | 195,300 | ||||||
|
| |||||||
1,387,450 | ||||||||
|
| |||||||
Diversified Financial Services (0.5%): | ||||||||
91,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | 97,139 | ||||||
320,000 | Banff Merger Sub, Inc., 9.75%, 9/1/26, Callable 9/1/21 @ 104.88(a) | 322,000 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Financial Services, continued | ||||||||
$ | 165,000 | Camelot Finance SA, 4.50%, 11/1/26, Callable 11/1/22 @ 102.25(a) | $ | 165,000 | ||||
280,000 | Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 8/6/20 @ 103.44(a) | 268,450 | ||||||
125,000 | Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 7/15/21 @ 103.94(a) | 121,094 | ||||||
430,000 | Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 8/6/20 @ 101.34 | 433,763 | ||||||
160,000 | Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 7/1/23 @ 102.13(a) | 159,800 | ||||||
500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 546,210 | ||||||
285,000 | Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100 | 303,821 | ||||||
|
| |||||||
2,417,277 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.7%): | ||||||||
42,000 | AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | 47,050 | ||||||
93,000 | AT&T, Inc., 4.10%, 2/15/28, Callable 11/15/27 @ 100 | 105,871 | ||||||
215,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 251,881 | ||||||
500,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 613,349 | ||||||
300,000 | AT&T, Inc., 4.50%, 3/9/48, Callable 9/9/47 @ 100 | 353,471 | ||||||
125,000 | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | 129,219 | ||||||
360,000 | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | 358,650 | ||||||
10,000 | CenturyLink, Inc., Series G, 6.88%, 1/15/28 | 10,600 | ||||||
85,000 | Front Range BidCo, Inc., 4.00%, 3/1/27, Callable 3/1/21 @ 102(a) | 80,538 | ||||||
185,000 | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(a) | 179,913 | ||||||
690,000 | Frontier Communications Corp., 8.00%, 4/1/27, Callable 4/1/22 @ 106(a) | 699,487 | ||||||
137,000 | Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100 | 153,519 | ||||||
140,000 | Verizon Communications, Inc., 4.00%, 3/22/50, Callable 9/22/49 @ 100 | 175,351 | ||||||
|
| |||||||
3,158,899 | ||||||||
|
| |||||||
Electric Utilities (1.7%): | ||||||||
415,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | 412,925 | ||||||
255,000 | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/11/29 @ 100(a) | 263,821 | ||||||
50,000 | Consolidated Edison, Inc., 3.35%, 4/1/30, Callable 1/1/30 @ 100 | 56,647 | ||||||
87,000 | Consolidated Edison, Inc., 3.95%, 4/1/50, Callable 10/1/49 @ 100 | 103,172 | ||||||
171,000 | Duke Energy Corp., 2.45%, 6/1/30, Callable 3/1/30 @ 100 | 178,469 | ||||||
1,217,000 | Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100 | 1,393,037 | ||||||
163,000 | Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100 | 165,851 |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 260,000 | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100 | $ | 290,623 | ||||
176,000 | Entergy Corp., 2.80%, 6/15/30, Callable 3/15/30 @ 100 | 185,666 | ||||||
156,000 | Entergy Corp., 3.75%, 6/15/50, Callable 12/15/49 @ 100 | 174,357 | ||||||
110,000 | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | 126,958 | ||||||
49,000 | Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100 | 62,593 | ||||||
2,306,000 | FirstEnergy, Inc., Series B, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | 2,494,985 | ||||||
211,000 | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | 224,715 | ||||||
175,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(a) | 175,438 | ||||||
209,674 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | 211,771 | ||||||
125,000 | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | 125,781 | ||||||
600,000 | Vistra Operations Co. LLC, 5.50%, 9/1/26, Callable 9/1/21 @ 102.75(a) | 613,500 | ||||||
120,000 | Vistra Operations Co. LLC, 5.63%, 2/15/27, Callable 2/15/22 @ 102.81(a) | 123,150 | ||||||
405,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(a) | 409,556 | ||||||
|
| |||||||
7,793,015 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.1%): | ||||||||
490,000 | TTM Technologies, Inc., 5.63%, 10/1/25, Callable 10/1/20 @ 102.81(a) | 485,713 | ||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
154,000 | Weatherford International, Ltd., 11.00%, 12/1/24, Callable 12/1/21 @ 105.5(a) | 107,415 | ||||||
|
| |||||||
Entertainment (0.1%): | ||||||||
310,000 | Netflix, Inc., 4.88%, 4/15/28 | 329,375 | ||||||
100,000 | Netflix, Inc., 5.88%, 11/15/28 | 113,500 | ||||||
30,000 | Netflix, Inc., 6.38%, 5/15/29 | 34,875 | ||||||
30,000 | Netflix, Inc., 5.38%, 11/15/29(a) | 32,850 | ||||||
|
| |||||||
510,600 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (4.1%): | ||||||||
267,000 | Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30, Callable 9/15/30 @ 100 | 332,284 | ||||||
152,000 | American Campus Communities, Inc., 3.75%, 4/15/23, Callable 1/15/23 @ 100 | 156,159 | ||||||
242,000 | Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100 | 259,998 | ||||||
454,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | 473,084 | ||||||
421,000 | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 432,019 | ||||||
522,000 | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | 551,107 | ||||||
489,000 | Brandywine Realty Trust, 3.95%, 2/15/23, Callable 11/15/22 @ 100 | 503,609 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 514,000 | Brixmor Operating Partnership LP, 3.88%, 8/15/22, Callable 6/15/22 @ 100 | $ | 531,871 | ||||
788,000 | Brixmor Operating Partnership LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100 | 804,615 | ||||||
393,000 | Brixmor Operating Partnership LP, 4.13%, 5/15/29, Callable 2/15/29 @ 100 | 405,027 | ||||||
37,000 | Brixmor Operating Partnership LP, 4.05%, 7/1/30, Callable 4/1/30 @ 100 | 37,628 | ||||||
134,000 | Camden Property Trust, 2.95%, 12/15/22, Callable 9/15/22 @ 100 | 138,840 | ||||||
381,000 | Corporate Office Properties Trust, 3.70%, 6/15/21, Callable 4/15/21 @ 100 | 386,846 | ||||||
414,000 | Corporate Office Properties Trust, 5.00%, 7/1/25, Callable 4/1/25 @ 100 | 440,725 | ||||||
205,000 | Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100 | 200,900 | ||||||
35,000 | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100 | 33,775 | ||||||
273,000 | Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100 | 290,032 | ||||||
146,000 | Duke Realty LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | 161,441 | ||||||
500,000 | Equity One, Inc., 3.75%, 11/15/22, Callable 8/15/22 @ 100 | 519,860 | ||||||
55,000 | Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 8/6/20 @ 102.94 | 43,450 | ||||||
45,000 | HCP, Inc., 3.25%, 7/15/26, Callable 5/15/26 @ 100 | 49,138 | ||||||
52,000 | HCP, Inc., 3.50%, 7/15/29, Callable 4/15/29 @ 100 | 56,244 | ||||||
102,000 | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | 110,120 | ||||||
98,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | 98,717 | ||||||
615,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | 664,995 | ||||||
135,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 131,380 | ||||||
500,000 | Mack-Cali Realty LP, 4.50%, 4/18/22, Callable 1/18/22 @ 100 | 457,452 | ||||||
401,000 | Mack-Cali Realty LP, 3.15%, 5/15/23, Callable 2/15/23 @ 100 | 342,855 | ||||||
40,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | 39,200 | ||||||
395,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100 | 387,100 | ||||||
75,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100 | 77,813 | ||||||
300,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63 | 310,500 | ||||||
820,000 | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | 847,482 | ||||||
126,000 | Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100 | 132,905 |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 281,000 | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | $ | 288,032 | ||||
1,931,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | 2,017,056 | ||||||
435,000 | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | 424,196 | ||||||
70,000 | Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100 | 73,057 | ||||||
68,000 | Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100 | 69,833 | ||||||
104,000 | Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100 | 100,746 | ||||||
458,000 | SBA Tower Trust, 2.84%, 1/15/25(a) | 471,760 | ||||||
101,000 | Simon Property Group LP, 2.45%, 9/13/29, Callable 6/13/29 @ 100 | 97,155 | ||||||
147,000 | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | 149,713 | ||||||
161,000 | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100 | 157,939 | ||||||
452,000 | Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100 | 437,744 | ||||||
387,000 | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100^ | 354,765 | ||||||
215,000 | The Geo Group, Inc., 6.00%, 4/15/26, Callable 4/15/21 @ 103 | 165,550 | ||||||
118,000 | Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100 | 121,084 | ||||||
199,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | 209,395 | ||||||
569,000 | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | 563,546 | ||||||
631,000 | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | 710,383 | ||||||
97,000 | VEREIT Operating Partnership LP, 3.40%, 1/15/28, Callable 11/15/27 @ 100 | 97,057 | ||||||
90,000 | Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(a) | 84,600 | ||||||
130,000 | Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a) | 125,450 | ||||||
135,000 | Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(a) | 131,963 | ||||||
67,000 | Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100 | 68,585 | ||||||
814,000 | WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100 | 852,303 | ||||||
101,000 | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | 105,101 | ||||||
|
| |||||||
18,286,184 | ||||||||
|
| |||||||
Food & Staples Retailing (0.3%): | ||||||||
165,000 | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44(a) | 171,600 | ||||||
176,000 | Sysco Corp., 5.65%, 4/1/25, Callable 3/1/25 @ 100 | 206,054 | ||||||
210,000 | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | 263,470 | ||||||
210,000 | Sysco Corp., 6.60%, 4/1/40, Callable 10/1/39 @ 100 | 283,907 | ||||||
210,000 | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | 291,800 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
$ | 100,000 | US Foods, Inc., 5.88%, 6/15/24, Callable 8/6/20 @ 101.47(a) | $ | 95,000 | ||||
110,000 | US Foods, Inc., 6.25%, 4/15/25, Callable 4/15/22 @ 103.13(a) | 111,925 | ||||||
|
| |||||||
1,423,756 | ||||||||
|
| |||||||
Food Products (0.6%): | ||||||||
60,000 | JBS Investments GmbH, 6.25%, 2/5/23, Callable 8/6/20 @ 101.04(a) | 60,375 | ||||||
550,000 | JBS USA Finance, Inc., 5.88%, 7/15/24, Callable 8/6/20 @ 101.96(a) | 556,875 | ||||||
955,000 | JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 8/6/20 @ 102.88(a) | 968,130 | ||||||
83,000 | JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(a) | 87,565 | ||||||
490,000 | JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a) | 520,013 | ||||||
225,000 | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | 230,625 | ||||||
170,000 | Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a) | 170,638 | ||||||
20,000 | Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a) | 19,550 | ||||||
220,000 | Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a) | 227,150 | ||||||
55,000 | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a) | 56,788 | ||||||
|
| |||||||
2,897,709 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
190,000 | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | 195,700 | ||||||
35,000 | Teleflex, Inc., 4.25%, 6/1/28, Callable 6/1/23 @ 102.13(a) | 35,831 | ||||||
|
| |||||||
231,531 | ||||||||
|
| |||||||
Health Care Providers & Services (2.4%): | ||||||||
385,000 | Centene Corp., 4.75%, 1/15/25, Callable 8/6/20 @ 103.56 | 393,663 | ||||||
50,000 | Centene Corp., 5.25%, 4/1/25, Callable 7/22/20 @ 103.94(a) | 51,438 | ||||||
140,000 | Centene Corp., 5.38%, 6/1/26, Callable 6/1/21 @ 104.03(a) | 145,775 | ||||||
550,000 | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | 567,875 | ||||||
985,000 | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | 1,039,174 | ||||||
360,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 361,800 | ||||||
526,000 | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | 620,826 | ||||||
260,000 | Community Health Systems, Inc., 6.25%, 3/31/23, Callable 8/6/20 @ 103.13 | 243,750 | ||||||
475,000 | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(a) | 448,875 | ||||||
1,076,000 | CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100 | 1,214,136 |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 114,000 | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | $ | 128,214 | ||||
1,181,000 | CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100 | 1,375,320 | ||||||
216,000 | CVS Health Corp., 3.75%, 4/1/30, Callable 1/1/30 @ 100 | 247,471 | ||||||
526,000 | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | 647,918 | ||||||
149,000 | CVS Health Corp., 4.13%, 4/1/40, Callable 10/1/39 @ 100 | 175,675 | ||||||
43,000 | CVS Health Corp., 4.25%, 4/1/50, Callable 10/1/49 @ 100 | 51,800 | ||||||
210,000 | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 208,688 | ||||||
30,000 | HCA, Inc., 4.75%, 5/1/23 | 32,475 | ||||||
295,000 | HCA, Inc., 5.38%, 2/1/25 | 315,650 | ||||||
280,000 | MPH Acquisition Holdings, 7.13%, 6/1/24, Callable 8/6/20 @ 103.56(a) | 260,400 | ||||||
417,000 | Tenet Healthcare Corp., 8.13%, 4/1/22 | 436,808 | ||||||
300,000 | Tenet Healthcare Corp., 7.50%, 4/1/25, Callable 4/1/22 @ 103.75(a) | 318,000 | ||||||
360,000 | Tenet Healthcare Corp., 7.00%, 8/1/25, Callable 8/6/20 @ 103.5^ | 351,000 | ||||||
90,000 | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a) | 87,975 | ||||||
215,000 | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/1/22 @ 103.13(a) | 213,388 | ||||||
45,000 | Tenet Healthcare Corp., 4.63%, 6/15/28, Callable 6/15/23 @ 102.31(a) | 43,875 | ||||||
181,000 | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | 193,022 | ||||||
407,000 | Toledo Hospital (The), 6.02%, 11/15/48 | 449,717 | ||||||
123,000 | UnitedHealth Group, Inc., 2.75%, 5/15/40, Callable 11/15/39 @ 100 | 131,601 | ||||||
20,000 | Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(a) | 20,900 | ||||||
|
| |||||||
10,777,209 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.7%): | ||||||||
125,000 | Boyd Gaming Corp., 6.38%, 4/1/26, Callable 4/1/21 @ 103.19 | 118,594 | ||||||
55,000 | Boyd Gaming Corp., 6.00%, 8/15/26, Callable 8/15/21 @ 103 | 51,563 | ||||||
175,000 | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38(a) | 150,281 | ||||||
400,000 | Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 10/15/20 @ 102.63(a) | 347,999 | ||||||
30,000 | Eldorado Resorts, Inc., 6.00%, 9/15/26 | 32,400 | ||||||
300,000 | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(a) | 277,499 | ||||||
320,000 | Golden Nugget, Inc., 6.75%, 10/15/24, Callable 8/6/20 @ 103.38(a) | 229,200 | ||||||
150,000 | Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26, Callable 5/1/21 @ 102.56 | 148,500 | ||||||
106,000 | McDonald’s Corp., 3.50%, 7/1/27, Callable 5/1/27 @ 100 | 120,161 | ||||||
126,000 | McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100 | 144,871 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 65,000 | McDonald’s Corp., 4.20%, 4/1/50, Callable 10/1/49 @ 100 | $ | 78,686 | ||||
250,000 | MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100 | 247,500 | ||||||
180,000 | Scientific Games International, Inc., 5.00%, 10/15/25, Callable 10/15/20 @ 103.75(a) | 166,725 | ||||||
175,000 | Station Casinos LLC, 5.00%, 10/1/25, Callable 10/1/20 @ 102.5(a) | 154,000 | ||||||
125,000 | Twin River Worldwide Holdings, Inc., 6.75%, 6/1/27, Callable 6/1/22 @ 105.06(a) | 120,000 | ||||||
170,000 | Wyndham Hotels & Resorts, Inc., 5.38%, 4/15/26, Callable 4/15/21 @ 102.69(a) | 163,838 | ||||||
165,000 | Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | 150,563 | ||||||
150,000 | Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100(a) | 129,750 | ||||||
205,000 | Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88(a) | 221,144 | ||||||
|
| |||||||
3,053,274 | ||||||||
|
| |||||||
Household Durables (0.0%†): | ||||||||
135,000 | Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(a) | 138,375 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.4%): | ||||||||
528,000 | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | 548,662 | ||||||
461,000 | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | 470,827 | ||||||
115,000 | Clearway Energy Operating LLC, 5.75%, 10/15/25, Callable 10/15/21 @ 102.88 | 118,738 | ||||||
45,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a) | 45,675 | ||||||
140,000 | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | 147,525 | ||||||
150,000 | NRG Energy, Inc., 5.25%, 6/15/29, Callable 6/15/24 @ 102.63(a) | 157,500 | ||||||
60,000 | Talen Energy Supply LLC, 10.50%, 1/15/26, Callable 1/15/22 @ 105.25(a) | 48,000 | ||||||
35,000 | TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(a) | 35,438 | ||||||
40,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | 41,600 | ||||||
|
| |||||||
1,613,965 | ||||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
28,000 | 3M Co., 3.70%, 4/15/50, Callable 10/15/49 @ 100 | 33,323 | ||||||
130,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24, Callable 6/15/24 @ 100 | 122,200 | ||||||
305,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13 | 305,000 | ||||||
245,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | 236,425 | ||||||
|
| |||||||
696,948 | ||||||||
|
| |||||||
Insurance (2.6%): | ||||||||
149,000 | AFLAC, Inc., 3.60%, 4/1/30, Callable 1/1/30 @ 100 | 173,894 | ||||||
900,000 | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | 948,614 |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Insurance, continued | ||||||||
$ | 1,208,000 | American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100 | $ | 1,334,675 | ||||
900,000 | American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100 | 968,353 | ||||||
340,000 | AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a) | 357,000 | ||||||
586,000 | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | 605,045 | ||||||
150,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a) | 149,625 | ||||||
40,000 | Liberty Mutual Group, Inc., 4.25%, 6/15/23(a) | 43,425 | ||||||
140,000 | Liberty Mutual Group, Inc., 4.57%, 2/1/29(a) | 163,064 | ||||||
149,000 | Marsh & McLennan Cos., Inc., 2.25%, 11/15/30, Callable 8/15/30 @ 100 | 154,615 | ||||||
2,184,000 | Metropolitan Life Global Funding I, 0.58%(SOFR+50bps), 5/28/21(a) | 2,183,906 | ||||||
110,000 | New York Life Insurance Co., 3.75%, 5/15/50, Callable 11/15/49 @ 100(a) | 123,472 | ||||||
651,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 736,243 | ||||||
57,000 | Progressive Corp. (The), 3.20%, 3/26/30, Callable 12/26/29 @ 100 | 64,634 | ||||||
247,000 | Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50, Callable 11/15/49 @ 100(a) | 258,014 | ||||||
165,000 | Tiaa Asset Management Finance LLC, 4.13%, 11/1/24(a) | 185,593 | ||||||
427,000 | Unum Group, 4.50%, 3/15/25, Callable 2/15/25 @ 100 | 458,626 | ||||||
463,000 | Unum Group, 3.88%, 11/5/25 | 480,692 | ||||||
349,000 | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | 359,570 | ||||||
1,556,000 | Unum Group, 5.75%, 8/15/42 | 1,644,602 | ||||||
375,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/6/20 @ 103.44(a) | 378,281 | ||||||
|
| |||||||
11,771,943 | ||||||||
|
| |||||||
Interactive Media & Services (0.2%): | ||||||||
40,000 | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a) | 39,150 | ||||||
680,000 | Rackspace Hosting, Inc., 8.63%, 11/15/24, Callable 8/6/20 @ 106.47(a) | 681,700 | ||||||
|
| |||||||
720,850 | ||||||||
|
| |||||||
IT Services (0.1%): | ||||||||
230,000 | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | 228,849 | ||||||
115,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a) | 111,119 | ||||||
100,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a) | 100,875 | ||||||
85,000 | Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a) | 92,013 | ||||||
|
| |||||||
532,856 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
137,000 | Hasbro, Inc., 2.60%, 11/19/22 | 141,127 | ||||||
311,000 | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | 326,073 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Leisure Products, continued | ||||||||
$ | 120,000 | Mattel, Inc., 6.75%, 12/31/25, Callable 12/31/20 @ 105.06(a) | $ | 124,500 | ||||
5,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a) | 5,150 | ||||||
|
| |||||||
596,850 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
145,000 | Charles River Laboratories International, Inc., 5.50%, 4/1/26, Callable 4/1/21 @ 104.13(a) | 149,168 | ||||||
20,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a) | 19,950 | ||||||
50,000 | IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.5(a) | 51,500 | ||||||
102,000 | Thermo Fisher Scientific, Inc., 4.50%, 3/25/30, Callable 12/25/29 @ 100 | 126,136 | ||||||
|
| |||||||
346,754 | ||||||||
|
| |||||||
Media (2.6%): | ||||||||
230,000 | CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a) | 238,338 | ||||||
700,000 | CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a) | 729,750 | ||||||
80,000 | CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a) | 82,800 | ||||||
105,000 | CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a) | 108,413 | ||||||
395,000 | CCO Holdings LLC, 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(a) | 404,381 | ||||||
95,000 | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | 96,663 | ||||||
103,000 | Comcast Corp., 3.40%, 4/1/30, Callable 1/1/30 @ 100 | 117,150 | ||||||
36,000 | Comcast Corp., 3.75%, 4/1/40, Callable 10/1/39 @ 100 | 42,319 | ||||||
10,000 | CSC Holdings LLC, 10.88%, 10/15/25, Callable 10/15/20 @ 105.44(a) | 10,750 | ||||||
160,000 | CSC Holdings LLC, 7.50%, 4/1/28, Callable 4/1/23 @ 103.75(a) | 174,600 | ||||||
440,000 | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a) | 456,500 | ||||||
130,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | 128,863 | ||||||
215,000 | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | 234,763 | ||||||
580,000 | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | 659,828 | ||||||
157,000 | DISH Network Corp., 2.38%, 3/15/24 | 141,390 | ||||||
410,000 | DISH Network Corp., 3.38%, 8/15/26 | 377,669 | ||||||
103,000 | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | 114,128 | ||||||
149,000 | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 178,920 | ||||||
147,000 | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | 196,444 | ||||||
98,000 | Fox Corp., 5.58%, 1/25/49, Callable 7/25/48 @ 100 | 136,304 | ||||||
750,000 | Neptune Finco Corp., 6.63%, 10/15/25, Callable 10/15/20 @ 103.31(a) | 779,063 | ||||||
580,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25, Callable 7/17/20 @ 103.31(a) | 578,550 |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 300,000 | Sirius XM Radio, Inc., 4.63%, 5/15/23, Callable 7/9/20 @ 100.77(a) | $ | 302,250 | ||||
105,000 | Sirius XM Radio, Inc., 4.63%, 7/15/24, Callable 7/15/21 @ 102.31(a) | 107,625 | ||||||
135,000 | Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a) | 139,556 | ||||||
105,000 | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a) | 107,100 | ||||||
45,000 | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a) | 47,475 | ||||||
40,000 | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a) | 39,400 | ||||||
930,000 | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100 | 954,768 | ||||||
359,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 472,046 | ||||||
418,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | 580,431 | ||||||
2,240,000 | Time Warner Cable, Inc., 6.75%, 6/15/39 | 2,975,299 | ||||||
103,000 | Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 124,787 | ||||||
|
| |||||||
11,838,323 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
230,000 | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | 210,450 | ||||||
40,000 | Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100 | 39,950 | ||||||
60,000 | Kaiser Aluminum Corp., 6.50%, 5/1/25, Callable 5/1/22 @ 103.25(a) | 62,700 | ||||||
170,000 | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a) | 163,200 | ||||||
|
| |||||||
476,300 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
65,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | 60,125 | ||||||
|
| |||||||
Multi-Utilities (0.2%): | ||||||||
62,000 | Berkshire Hathaway Energy Co., 3.70%, 7/15/30, Callable 4/15/30 @ 100(a) | 72,191 | ||||||
35,000 | Berkshire Hathaway Energy Co., 4.25%, 10/15/50, Callable 4/15/50 @ 100(a) | 43,981 | ||||||
49,000 | Puget Energy, Inc., 6.00%, 9/1/21 | 51,297 | ||||||
207,000 | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100(a) | 226,217 | ||||||
506,000 | Sempra Energy, 6.00%, 10/15/39 | 697,462 | ||||||
|
| |||||||
1,091,148 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.4%): | ||||||||
710,000 | Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 10/1/20 @ 102.63 | 707,337 | ||||||
175,000 | Cheniere Energy Partners LP, 5.63%, 10/1/26, Callable 10/1/21 @ 102.81 | 173,688 | ||||||
65,000 | Chesapeake Energy Corp., 7.00%, 10/1/24, Callable 4/1/21 @ 103.5(c) | 1,463 | ||||||
229,000 | Chesapeake Energy Corp., 8.00%, 1/15/25, Callable 8/6/20 @ 106(c) | 5,153 | ||||||
310,000 | Chesapeake Energy Corp., 8.00%, 6/15/27, Callable 6/15/22 @ 104(c) | 6,975 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 361,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | $ | 416,028 | ||||
320,000 | Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 8/6/20 @ 101.56(a) | 318,400 | ||||||
197,000 | Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100 | 224,759 | ||||||
40,000 | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | 37,400 | ||||||
80,000 | Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31 | 74,800 | ||||||
290,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/1/23, Callable 7/22/20 @ 101.56 | 258,100 | ||||||
160,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 8/6/20 @ 104.31 | 137,600 | ||||||
185,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 5/1/27, Callable 5/1/22 @ 102.81(a) | 151,700 | ||||||
230,000 | CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(a) | 211,600 | ||||||
25,000 | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88(a) | 21,875 | ||||||
163,000 | DCP Midstream Operating LP, 3.88%, 3/15/23, Callable 12/15/22 @ 100 | 157,703 | ||||||
200,000 | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | 197,500 | ||||||
160,000 | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | 160,800 | ||||||
215,000 | DCP Midstream Operating LP, 5.13%, 5/15/29, Callable 2/15/29 @ 100 | 204,250 | ||||||
750,000 | DCP Midstream Operating LP, 5.85%(US0003M+385bps), 5/21/43, Callable 5/21/23 @ 100(a) | 526,874 | ||||||
185,000 | DCP Midstream Operating LP, 5.60%, 4/1/44, Callable 10/1/43 @ 100^ | 148,000 | ||||||
455,000 | Denbury Resources, Inc., 9.25%, 3/31/22, Callable 8/6/20 @ 104.63(a) | 170,625 | ||||||
245,000 | Denbury Resources, Inc., 7.75%, 2/15/24, Callable 8/15/20 @ 103.88(a) | 90,650 | ||||||
124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 121,210 | ||||||
30,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a) | 30,225 | ||||||
10,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 1/30/26, Callable 1/30/21 @ 104.13(a) | 9,575 | ||||||
110,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | 105,325 | ||||||
81,000 | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | 85,455 | ||||||
103,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 111,240 | ||||||
167,000 | Energy Transfer Operating LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | 181,613 |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 161,000 | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | $ | 159,390 | ||||
115,000 | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 122,188 | ||||||
360,000 | Energy Transfer Operating LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 340,200 | ||||||
103,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | 109,438 | ||||||
350,000 | Energy Transfer Partners LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 375,813 | ||||||
195,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 198,656 | ||||||
127,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | 131,763 | ||||||
80,000 | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a) | 81,700 | ||||||
990,000 | Exxon Mobil Corp., 3.48%, 3/19/30, Callable 12/19/29 @ 100 | 1,125,115 | ||||||
60,000 | Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27, Callable 8/1/22 @ 103.5 | 55,350 | ||||||
61,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | 62,983 | ||||||
109,000 | Hess Corp., 7.30%, 8/15/31 | 127,803 | ||||||
78,000 | Hess Corp., 7.13%, 3/15/33 | 91,065 | ||||||
107,000 | Hess Corp., 5.60%, 2/15/41 | 112,216 | ||||||
302,000 | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | 327,293 | ||||||
285,000 | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a) | 280,725 | ||||||
170,000 | Hess Midstream Operations LP, 5.13%, 6/15/28, Callable 6/15/23 @ 102.56(a) | 163,200 | ||||||
165,000 | Hilcorp Energy LP, 5.00%, 12/1/24, Callable 8/6/20 @ 101.67(a) | 137,775 | ||||||
250,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 2/1/28, Callable 2/1/23 @ 103.75(a) | 238,125 | ||||||
295,000 | Jonah Energy LLC/Jonah Energy Finance Corp., 7.25%, 10/15/25, Callable 10/15/20 @ 105.44(a) | 36,138 | ||||||
150,000 | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | 157,686 | ||||||
63,000 | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | 81,393 | ||||||
712,000 | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | 844,535 | ||||||
198,000 | Kinder Morgan, Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100 | 239,824 | ||||||
167,000 | Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100 | 191,587 | ||||||
119,000 | MPLX LP, 1.21%(US0003M+90bps), 9/9/21, Callable 9/9/20 @ 100 | 117,959 | ||||||
179,000 | MPLX LP, 1.41%(US0003M+110bps), 9/9/22, Callable 9/9/20 @ 100 | 176,091 | ||||||
172,000 | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | 184,685 | ||||||
242,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 268,923 | ||||||
95,000 | MPLX LP, 4.80%, 2/15/29, Callable 11/15/28 @ 100 | 105,450 | ||||||
285,000 | MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100 | 315,638 | ||||||
222,000 | Occidental Petroleum Corp., 4.85%, 3/15/21, Callable 2/15/21 @ 100 | 222,000 | ||||||
119,000 | Occidental Petroleum Corp., 2.60%, 8/13/21 | 116,323 | ||||||
106,000 | Occidental Petroleum Corp., 2.70%, 8/15/22 | 98,713 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 409,000 | Occidental Petroleum Corp., 2.90%, 8/15/24, Callable 7/15/24 @ 100 | $ | 349,695 | ||||
809,000 | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | 738,212 | ||||||
80,000 | Occidental Petroleum Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100 | 65,500 | ||||||
47,000 | Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100 | 38,188 | ||||||
222,000 | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | 162,338 | ||||||
85,000 | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | 85,000 | ||||||
1,047,000 | Occidental Petroleum Corp., 7.50%, 5/1/31 | 973,709 | ||||||
25,000 | Occidental Petroleum Corp., 7.88%, 9/15/31 | 23,688 | ||||||
632,000 | Occidental Petroleum Corp., 6.45%, 9/15/36 | 539,569 | ||||||
62,000 | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | 42,780 | ||||||
40,000 | Occidental Petroleum Corp., 6.20%, 3/15/40 | 33,500 | ||||||
712,000 | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | 619,439 | ||||||
60,000 | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100^ | 41,850 | ||||||
60,000 | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | 40,650 | ||||||
57,000 | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100^ | 39,330 | ||||||
165,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63(a) | 176,138 | ||||||
30,000 | Phillips 66, 3.70%, 4/6/23 | 32,093 | ||||||
39,000 | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | 43,226 | ||||||
110,000 | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | 112,123 | ||||||
95,000 | Plains All Amer Pipeline, 3.55%, 12/15/29, Callable 9/15/29 @ 100 | 92,005 | ||||||
162,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100 | 170,708 | ||||||
493,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100(a) | 544,148 | ||||||
408,000 | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 7/14/20 @ 103.63(a)(c) | 4,080 | ||||||
346,000 | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100(a) | 344,615 | ||||||
958,000 | Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | 935,247 | ||||||
55,000 | Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23, Callable 8/6/20 @ 102.44 | 54,588 | ||||||
215,000 | Sunoco LP/Sunoco Finance Corp., 5.50%, 2/15/26, Callable 2/15/21 @ 102.75 | 208,550 | ||||||
5,000 | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103 | 5,000 | ||||||
95,000 | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | 94,288 | ||||||
195,000 | Targa Resources Partners LP, 5.13%, 2/1/25, Callable 8/6/20 @ 103.84 | 187,200 | ||||||
195,000 | Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41 | 193,050 |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 195,000 | Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69 | $ | 188,175 | ||||
63,000 | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100(a) | 66,979 | ||||||
203,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100(a) | 216,288 | ||||||
104,000 | Valero Energy Corp., 2.70%, 4/15/23 | 107,895 | ||||||
60,000 | Valero Energy Corp., 2.85%, 4/15/25, Callable 3/15/25 @ 100 | 63,249 | ||||||
200,000 | Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(a) | 195,000 | ||||||
92,000 | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | 86,020 | ||||||
232,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 221,560 | ||||||
900,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | 845,999 | ||||||
101,000 | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | 95,950 | ||||||
30,000 | Western Midstream Operating LP, 4.00%, 7/1/22, Callable 4/1/22 @ 100 | 29,550 | ||||||
120,000 | Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100 | 113,100 | ||||||
205,000 | Western Midstream Operating LP, 4.05%, 2/1/30, Callable 11/1/29 @ 100 | 196,800 | ||||||
60,000 | Western Midstream Operating LP, 5.30%, 3/1/48, Callable 9/1/47 @ 100 | 48,675 | ||||||
25,000 | Western Midstream Operating LP, 5.25%, 2/1/50, Callable 8/1/49 @ 100 | 21,563 | ||||||
524,000 | Williams Cos., Inc. (The), 3.50%, 11/15/30, Callable 8/15/30 @ 100 | 555,209 | ||||||
271,000 | Williams Partners LP, 4.00%, 11/15/21, Callable 8/15/21 @ 100 | 274,821 | ||||||
357,000 | Williams Partners LP, 3.60%, 3/15/22, Callable 1/15/22 @ 100 | 370,834 | ||||||
242,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | 264,629 | ||||||
426,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | 464,339 | ||||||
|
| |||||||
23,862,808 | ||||||||
|
| |||||||
Pharmaceuticals (0.4%): | ||||||||
200,000 | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a) | 229,663 | ||||||
175,000 | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 10/15/20 @ 102.44(a) | 177,625 | ||||||
87,000 | Elanco Animal Health, Inc., 3.91%, 8/27/21 | 89,170 | ||||||
275,000 | Elanco Animal Health, Inc., 4.27%, 8/28/23, Callable 7/28/23 @ 100 | 288,760 | ||||||
116,000 | Elanco Animal Health, Inc., 4.90%, 8/28/28, Callable 5/28/28 @ 100 | 127,600 | ||||||
187,000 | Upjohn, Inc., 1.13%, 6/22/22(a) | 188,127 | ||||||
60,000 | Upjohn, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100(a) | 61,170 | ||||||
305,000 | Upjohn, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100(a) | 313,622 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Pharmaceuticals, continued | ||||||||
$ | 133,000 | Upjohn, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100(a) | $ | 142,837 | ||||
229,000 | Upjohn, Inc., 4.00%, 6/22/50, Callable 12/22/49 @ 100(a) | 245,523 | ||||||
|
| |||||||
1,864,097 | ||||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
60,000 | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a) | 58,500 | ||||||
150,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22, Callable 8/6/20 @ 100(a) | 149,063 | ||||||
|
| |||||||
207,563 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
300,000 | Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 8/6/20 @ 104.03(a) | 278,625 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.2%): | ||||||||
125,000 | Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a) | 127,188 | ||||||
441,000 | Micron Technology, Inc., 2.50%, 4/24/23 | 458,342 | ||||||
126,000 | NVIDIA Corp., 2.85%, 4/1/30, Callable 1/1/30 @ 100 | 139,827 | ||||||
136,000 | NVIDIA Corp., 3.50%, 4/1/40, Callable 10/1/39 @ 100 | 158,413 | ||||||
|
| |||||||
883,770 | ||||||||
|
| |||||||
Software (0.9%): | ||||||||
60,000 | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(a) | 62,925 | ||||||
245,000 | CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94 | 254,188 | ||||||
35,000 | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a) | 36,225 | ||||||
195,000 | Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a) | 213,038 | ||||||
140,000 | Nuance Communications, Inc., 5.63%, 12/15/26, Callable 12/15/21 @ 102.81 | 145,600 | ||||||
425,000 | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | 463,247 | ||||||
400,000 | Oracle Corp., 2.95%, 4/1/30, Callable 1/1/30 @ 100 | 445,501 | ||||||
430,000 | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | 485,333 | ||||||
430,000 | Oracle Corp., 3.60%, 4/1/50, Callable 10/1/49 @ 100 | 480,276 | ||||||
400,000 | Oracle Corp., 3.85%, 4/1/60, Callable 10/1/59 @ 100 | 468,604 | ||||||
437,000 | Sophia LP/Finance, Inc., 9.00%, 9/30/23, Callable 8/6/20 @ 102.25(a) | 441,370 | ||||||
130,000 | SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22 @ 104.13(a) | 132,600 | ||||||
240,000 | Symantec Corp., 5.00%, 4/15/25, Callable 7/17/20 @ 102.5(a) | 243,000 | ||||||
|
| |||||||
3,871,907 | ||||||||
|
| |||||||
Specialty Retail (0.6%): | ||||||||
47,000 | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | 50,984 | ||||||
72,000 | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | 80,509 | ||||||
333,000 | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | 385,028 | ||||||
211,000 | Home Depot, Inc. (The), 3.30%, 4/15/40, Callable 10/15/39 @ 100 | 238,737 |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Specialty Retail, continued | ||||||||
$ | 240,000 | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | $ | 291,177 | ||||
153,000 | Lowe’s Cos., Inc., 5.00%, 4/15/40, Callable 10/15/39 @ 100 | 198,056 | ||||||
180,000 | Lowe’s Cos., Inc., 5.13%, 4/15/50, Callable 10/15/49 @ 100 | 244,267 | ||||||
74,000 | O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | 86,736 | ||||||
274,000 | TJX Cos., Inc. (The), 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 313,412 | ||||||
508,000 | TJX Cos., Inc. (The), 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 596,751 | ||||||
205,000 | TJX Cos., Inc. (The), 4.50%, 4/15/50, Callable 10/15/49 @ 100 | 262,859 | ||||||
|
| |||||||
2,748,516 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.2%): | ||||||||
400,000 | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100(a) | 437,531 | ||||||
81,000 | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a) | 93,097 | ||||||
129,000 | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100(a) | 147,403 | ||||||
148,000 | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100(a) | 170,927 | ||||||
128,000 | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100(a) | 149,059 | ||||||
|
| |||||||
998,017 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.1%): | ||||||||
151,000 | NIKE, Inc., 3.25%, 3/27/40, Callable 9/27/39 @ 100 | 168,801 | ||||||
65,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16 | 62,400 | ||||||
130,000 | William Carter Co., 5.63%, 3/15/27, Callable 3/15/22 @ 102.81(a) | 133,900 | ||||||
160,000 | Wolverine World Wide, Inc., 6.38%, 5/15/25, Callable 5/15/22 @ 103.19(a) | 167,800 | ||||||
|
| |||||||
532,901 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%†): | ||||||||
160,000 | Quicken Loans, Inc., 5.25%, 1/15/28, Callable 1/15/23 @ 102.63(a) | 164,610 | ||||||
|
| |||||||
Tobacco (1.1%): | ||||||||
317,000 | Altria Group, Inc., 4.00%, 1/31/24 | 349,563 | ||||||
453,000 | Altria Group, Inc., 4.80%, 2/14/29, Callable 11/14/28 @ 100 | 528,258 | ||||||
452,000 | Altria Group, Inc., 4.25%, 8/9/42 | 480,146 | ||||||
302,000 | Altria Group, Inc., 4.50%, 5/2/43 | 325,077 | ||||||
520,000 | Altria Group, Inc., 5.38%, 1/31/44 | 622,943 | ||||||
470,000 | Altria Group, Inc., 3.88%, 9/16/46, Callable 3/16/46 @ 100 | 467,850 | ||||||
300,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | 392,772 | ||||||
478,000 | Reynolds American, Inc., 4.00%, 6/12/22 | 505,005 | ||||||
346,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 389,870 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Tobacco, continued | ||||||||
$ | 179,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | $ | 222,920 | ||||
600,000 | Reynolds American, Inc., 7.25%, 6/15/37 | 790,349 | ||||||
|
| |||||||
5,074,753 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.4%): | ||||||||
255,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%(US0003M+430bps), 6/15/45, Callable 6/15/25 @ 100(a) | 186,700 | ||||||
297,000 | Air Lease Corp., 3.88%, 4/1/21, Callable 3/1/21 @ 100 | 299,087 | ||||||
348,000 | Air Lease Corp., 3.38%, 6/1/21 | 349,413 | ||||||
98,000 | Air Lease Corp., 2.25%, 1/15/23 | 95,825 | ||||||
82,000 | Air Lease Corp., 3.00%, 9/15/23, Callable 7/15/23 @ 100 | 80,840 | ||||||
467,000 | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | 480,901 | ||||||
393,000 | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | 393,124 | ||||||
|
| |||||||
1,885,890 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.7%): | ||||||||
145,000 | Sprint Communications, Inc., 6.00%, 11/15/22 | 152,975 | ||||||
400,000 | Sprint Communications, Inc., 6.88%, 11/15/28 | 486,500 | ||||||
180,000 | Sprint Corp., 7.13%, 6/15/24 | 203,175 | ||||||
215,000 | T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/15/21 @ 103.25 | 224,675 | ||||||
90,000 | T-Mobile USA, Inc., 4.50%, 2/1/26, Callable 2/1/21 @ 102.25 | 91,013 | ||||||
650,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a) | 718,747 | ||||||
65,000 | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | 68,575 | ||||||
900,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a) | 997,503 | ||||||
82,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a) | 93,689 | ||||||
161,000 | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100(a) | 187,964 | ||||||
|
| |||||||
3,224,816 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $172,531,380) | 181,147,668 | |||||||
|
| |||||||
Yankee Dollars (13.6%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
126,000 | Avolon Holdings Funding, Ltd., 3.63%, 5/1/22, Callable 4/1/22 @ 100(a) | 118,582 | ||||||
305,000 | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | 277,550 | ||||||
167,000 | Avolon Holdings Funding, Ltd., 3.95%, 7/1/24, Callable 6/1/24 @ 100(a) | 144,455 | ||||||
204,000 | Avolon Holdings Funding, Ltd., 4.38%, 5/1/26, Callable 3/1/26 @ 100(a) | 172,380 | ||||||
215,000 | Bombardier, Inc., 6.00%, 10/15/22, Callable 8/6/20 @ 100(a) | 150,500 | ||||||
320,000 | Bombardier, Inc., 6.13%, 1/15/23(a) | 217,600 | ||||||
|
| |||||||
1,081,067 | ||||||||
|
|
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Banks (2.7%): | ||||||||
$ | 874,000 | Barclays plc, 4.38%, 1/12/26 | $ | 982,420 | ||||
503,000 | Barclays plc, 2.85%(US0003M+245bps), 5/7/26, Callable 5/7/25 @ 100 | 528,169 | ||||||
580,000 | Barclays plc, 5.09%(US0003M+305bps), 6/20/30, Callable 6/20/29 @ 100 | 653,913 | ||||||
451,000 | BNP Paribas SA, 2.22%(SOFR+207bps), 6/9/26, Callable 6/9/25 @ 100(a) | 461,831 | ||||||
200,000 | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a) | 212,500 | ||||||
791,000 | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | 886,048 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 220,556 | ||||||
200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 205,000 | ||||||
1,180,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 1,241,950 | ||||||
535,000 | NatWest Markets plc, 2.38%, 5/21/23(a) | 547,623 | ||||||
200,000 | RBS Citizens Financial Group, Inc., 4.15%, 9/28/22(a) | 207,529 | ||||||
3,808,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | 4,156,766 | ||||||
826,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 910,341 | ||||||
347,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 388,689 | ||||||
286,000 | Royal Bank of Scotland Group plc, 3.07%(H15T1Y+255bps), 5/22/28, Callable 5/22/27 @ 100 | 300,513 | ||||||
454,000 | UniCredit SpA, 6.57%, 1/14/22(a) | 479,837 | ||||||
289,000 | Westpac Banking Corp., 4.11%(H15T5Y+200bps), 7/24/34, Callable 7/24/29 @ 100 | 317,405 | ||||||
|
| |||||||
12,701,090 | ||||||||
|
| |||||||
Beverages (0.0%†): | ||||||||
125,000 | Cott Corp., 5.50%, 4/1/25, Callable 7/17/20 @ 104.13(a) | 125,781 | ||||||
|
| |||||||
Capital Markets (2.0%): | ||||||||
788,000 | Credit Suisse Group AG, 2.59%(SOFR+156bps), 9/11/25, Callable 9/11/24 @ 100(a) | 812,855 | ||||||
602,000 | Credit Suisse Group AG, 4.19%(SOFR+373bps), 4/1/31, Callable 4/1/30 @ 100(a) | 690,788 | ||||||
1,000,000 | Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22 | 1,046,070 | ||||||
1,175,000 | Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23 | 1,262,823 | ||||||
720,000 | Credit Suisse Group Fun, Ltd., 3.75%, 3/26/25 | 788,548 | ||||||
742,000 | Deutsche Bank AG, 5.00%, 2/14/22 | 774,771 | ||||||
1,284,000 | Deutsche Bank AG, 3.30%, 11/16/22 | 1,311,285 | ||||||
1,462,000 | Deutsche Bank AG, 4.50%, 4/1/25 | 1,435,088 | ||||||
733,000 | UBS Group AG, 4.13%, 9/24/25(a) | 830,798 | ||||||
|
| |||||||
8,953,026 | ||||||||
|
| |||||||
Chemicals (0.1%): | ||||||||
265,000 | Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a) | 255,725 | ||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
255,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | 259,144 | ||||||
45,000 | Trivium Packaging Finance BV, 8.50%, 8/15/27, Callable 8/15/22 @ 104.25^(a) | 48,094 | ||||||
|
| |||||||
307,238 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
325,000 | GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(a) | 309,156 | ||||||
|
|
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Diversified Financial Services (1.2%): | ||||||||
$ | 705,000 | Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a) | $ | 738,487 | ||||
200,000 | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a) | 197,500 | ||||||
556,000 | C&W Senior Financing Dac, 7.50%, 10/15/26, Callable 10/15/21 @ 103.75(a) | 565,730 | ||||||
670,000 | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(a) | 663,300 | ||||||
355,000 | Intelsat Jackson Holdings SA, 8.00%, 2/15/24(a) | 359,881 | ||||||
165,000 | Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 10/15/20 @ 106.38(a)(c) | 99,000 | ||||||
435,000 | Nielsen Co. Luxembourg SARL (The), 5.00%, 2/1/25, Callable 8/6/20 @ 103.75^(a) | 427,388 | ||||||
2,052,000 | Park Aerospace Holdings, 5.50%, 2/15/24(a) | 1,877,580 | ||||||
200,000 | Telenet Finance Lux Note, 5.50%, 3/1/28, Callable 12/1/22 @ 102.75(a) | 208,500 | ||||||
|
| |||||||
5,137,366 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.3%): | ||||||||
585,000 | Altice France SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a) | 608,400 | ||||||
325,000 | Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(a) | 355,469 | ||||||
270,000 | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(a) | 253,463 | ||||||
40,000 | Sable International Finance, Ltd., 5.75%, 9/7/27, Callable 9/7/22 @ 102.88(a) | 40,600 | ||||||
45,000 | Telecom Italia Capital, 6.38%, 11/15/33 | 50,625 | ||||||
80,000 | Telecom Italia SpA, 6.00%, 9/30/34 | 86,500 | ||||||
|
| |||||||
1,395,057 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
175,000 | 1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 8/6/20 @ 102.13(a) | 173,687 | ||||||
55,000 | 1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(a) | 57,801 | ||||||
130,000 | Stars Group Holdings BV, 7.00%, 7/15/26, Callable 7/15/21 @ 103.5(a) | 136,825 | ||||||
130,000 | Wynn Macau, Ltd., 5.50%, 10/1/27, Callable 10/1/22 @ 102.75(a) | 128,050 | ||||||
|
| |||||||
496,363 | ||||||||
|
| |||||||
Insurance (0.1%): | ||||||||
465,000 | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | 504,546 | ||||||
200,000 | Swiss Re Finance Luxembourg SA, 5.00%(H15T5Y+358bps), 4/2/49, Callable 4/2/29 @ 100(a) | 225,500 | ||||||
|
| |||||||
730,046 | ||||||||
|
| |||||||
Media (0.1%): | ||||||||
250,000 | Ziggo BV, 5.50%, 1/15/27, Callable 1/15/22 @ 102.75(a) | 252,813 | ||||||
120,000 | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | 117,600 | ||||||
|
| |||||||
370,413 | ||||||||
|
|
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Metals & Mining (0.3%): | ||||||||
$ | 400,000 | BHP Billiton Finance USA, Ltd., 6.25%(USSW5+497bps), 10/19/75, Callable 10/19/20 @ 100(a) | $ | 402,500 | ||||
681,000 | BHP Billiton Finance USA, Ltd., 6.75%(USSW5+509bps), 10/19/75, Callable 10/20/25 @ 100(a) | 783,150 | ||||||
235,000 | First Quantum Minerals, Ltd., 7.25%, 5/15/22, Callable 8/6/20 @ 100(a) | 229,125 | ||||||
5,000 | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | 5,000 | ||||||
|
| |||||||
1,419,775 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
355,000 | InterGen NV, 7.00%, 6/30/23, Callable 8/6/20 @ 101.17(a) | 342,131 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.8%): | ||||||||
309,000 | Canadian Natural Resources, Ltd., 5.85%, 2/1/35 | 357,668 | ||||||
619,000 | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | 562,283 | ||||||
115,000 | eG Global Finance plc, 6.75%, 2/7/25, Callable 5/15/21 @ 103.38(a) | 111,838 | ||||||
205,000 | eG Global Finance plc, 8.50%, 10/30/25, Callable 10/30/21 @ 104.25(a) | 211,150 | ||||||
223,000 | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | 241,621 | ||||||
218,000 | Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100 | 248,023 | ||||||
340,000 | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 8/6/20 @ 101.15(a) | 340,000 | ||||||
60,000 | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a) | 49,800 | ||||||
163,000 | Petrobras Global Finance BV, 5.09%, 1/15/30(a) | 161,981 | ||||||
2,677,000 | Petrobras Global Finance BV, 7.25%, 3/17/44 | 2,921,276 | ||||||
810,000 | Petroleos Mexicanos, 4.50%, 1/23/26^ | 702,657 | ||||||
1,700,000 | Petroleos Mexicanos, 6.50%, 3/13/27 | 1,541,259 | ||||||
1,505,000 | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100(a) | 1,317,278 | ||||||
230,000 | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100(a) | 189,189 | ||||||
2,762,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 2,134,192 | ||||||
2,070,000 | Petroleos Mexicanos, 7.69%, 1/23/50, Callable 7/23/49 @ 100(a) | 1,722,331 | ||||||
502,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100(a) | 386,824 | ||||||
|
| |||||||
13,199,370 | ||||||||
|
| |||||||
Pharmaceuticals (0.5%): | ||||||||
405,000 | Bausch Health Cos., Inc., 7.00%, 3/15/24, Callable 8/6/20 @ 103.5(a) | 420,187 | ||||||
115,000 | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 11/1/20 @ 102.75(a) | 117,875 | ||||||
685,000 | Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100 | 697,834 | ||||||
337,000 | Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100 | 374,949 | ||||||
126,000 | Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21 | 123,638 | ||||||
191,000 | Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23 | 180,495 |
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Pharmaceuticals, continued | ||||||||
$ | 202,000 | VRX Escrow Corp., 6.13%, 4/15/25, Callable 8/6/20 @ 103.06(a) | $ | 204,778 | ||||
|
| |||||||
2,119,756 | ||||||||
|
| |||||||
Software (0.0%†): | ||||||||
95,000 | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a) | 91,438 | ||||||
|
| |||||||
Sovereign Bond (1.7%): | ||||||||
415,000 | Abu Dhabi Government International Bond, 3.13%, 4/16/30(a) | 456,978 | ||||||
355,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | 420,507 | ||||||
355,000 | Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100 | 365,256 | ||||||
400,000 | Corp. Andina de Fomento, 2.38%, 5/12/23 | 405,757 | ||||||
1,344,000 | Dominican Republic, 5.50%, 1/27/25(a) | 1,357,440 | ||||||
250,000 | Dominican Republic, 6.00%, 7/19/28(a) | 250,625 | ||||||
600,000 | Indonesia Government International Bond, 3.85%, 10/15/30 | 666,777 | ||||||
600,000 | Indonesia Government International Bond, 4.20%, 10/15/50 | 671,270 | ||||||
230,000 | Qatar Government International Bond, 3.40%, 4/16/25(a) | 250,475 | ||||||
490,000 | Qatar Government International Bond, 3.75%, 4/16/30(a) | 559,197 | ||||||
470,000 | Qatar Government International Bond, 4.40%, 4/16/50(a) | 583,954 | ||||||
1,500,000 | Republic of Argentina, 5.88%, 1/11/28(c) | 592,500 | ||||||
250,000 | Saudi Government International Bond, 2.90%, 10/22/25(a) | 265,053 | ||||||
230,000 | Saudi Government International Bond, 3.25%, 10/22/30(a) | 246,819 | ||||||
200,000 | Saudi Government International Bond, 4.50%, 4/22/60(a) | 231,302 | ||||||
|
| |||||||
7,323,910 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
200,000 | Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a) | 214,746 | ||||||
200,000 | Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100(a) | 228,680 | ||||||
|
| |||||||
443,426 | ||||||||
|
| |||||||
Tobacco (0.3%): | ||||||||
690,000 | Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22 @ 100(a) | 720,039 | ||||||
690,000 | Imperial Tobacco Finance, 4.25%, 7/21/25, Callable 4/21/25 @ 100(a) | 754,940 | ||||||
|
| |||||||
1,474,979 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.4%): | ||||||||
240,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 12/16/21, Callable 11/16/21 @ 100 | 242,390 | ||||||
412,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | 406,697 | ||||||
463,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | 436,406 |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
$ | 217,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | $ | 227,353 | ||||
251,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | 238,129 | ||||||
150,000 | Fly Leasing, Ltd., 5.25%, 10/15/24, Callable 10/15/20 @ 102.63 | 122,625 | ||||||
|
| |||||||
1,673,600 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
330,000 | Empresa Nacional del Pet, 4.38%, 10/30/24(a) | 353,513 | ||||||
85,000 | Millicom International Cellular SA, 6.00%, 3/15/25, Callable 7/17/20 @ 103(a) | 87,125 | ||||||
325,000 | Millicom International Cellular SA, 6.63%, 10/15/26, Callable 10/15/21 @ 104.97(a) | 347,344 | ||||||
700,000 | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | 749,000 | ||||||
|
| |||||||
1,536,982 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $61,895,519) | 61,487,695 | |||||||
|
| |||||||
Municipal Bonds (1.4%): | ||||||||
California (0.3%): | ||||||||
400,000 | California State, Build America Bonds, GO, 7.50%, 4/1/34 | 650,620 | ||||||
460,000 | California State, Build America Bonds, GO, 7.30%, 10/1/39 | 765,693 | ||||||
10,000 | California State, Build America Bonds, GO, 7.35%, 11/1/39 | 16,496 | ||||||
|
| |||||||
1,432,809 | ||||||||
|
| |||||||
Illinois (1.0%): | ||||||||
310,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series C1, 7.78%, 1/1/35 | 355,465 | ||||||
35,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series B, 5.63%, 1/1/22 | 35,296 | ||||||
105,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series B, 5.43%, 1/1/42 | 102,567 | ||||||
295,000 | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | 300,216 | ||||||
420,000 | Illinois State, Build America Bonds, GO, 4.00%, 12/1/20 | 420,853 | ||||||
88,636 | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | 90,438 | ||||||
88,000 | Illinois State, Build America Bonds, GO, 6.20%, 7/1/21 | 89,918 | ||||||
315,000 | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | 336,174 | ||||||
425,000 | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | 469,132 | ||||||
1,935,000 | Illinois State, Build America Bonds, GO, 7.35%, 7/1/35 | 2,194,270 | ||||||
|
| |||||||
4,394,329 | ||||||||
|
| |||||||
New Jersey (0.1%): | ||||||||
504,000 | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, 7.43%, 2/15/29 | 614,134 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $6,111,649) | 6,441,272 | |||||||
|
|
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages (15.7%): | ||||||||
Federal Home Loan Mortgage Corporation (4.6%) | ||||||||
$ | 48,109 | 2.50%, 6/1/31, Pool #G18604 | $ | 50,501 | ||||
72,499 | 2.50%, 7/1/31, Pool #V61246 | 76,435 | ||||||
124,503 | 2.50%, 8/1/31, Pool #V61273 | 131,534 | ||||||
488,452 | 3.50%, 3/1/32, Pool #C91403 | 520,506 | ||||||
1,325,460 | 3.50%, 7/1/32, Pool #C91467 | 1,412,629 | ||||||
15,807 | 2.50%, 8/1/32, Pool #G18654 | 16,575 | ||||||
16,378 | 2.50%, 11/1/32, Pool #G18665 | 17,174 | ||||||
485,071 | 2.50%, 12/1/32, Pool #G18669 | 508,679 | ||||||
80,665 | 2.50%, 3/1/33, Pool #G18680 | 84,463 | ||||||
53,988 | 3.00%, 4/1/33, Pool #K90336 | 56,901 | ||||||
213,299 | 3.00%, 4/1/33, Pool #G18684 | 224,424 | ||||||
29,237 | 2.50%, 4/1/33, Pool #G18683 | 30,612 | ||||||
16,943 | 2.50%, 5/1/33, Pool #G18687 | 17,752 | ||||||
114,051 | 3.00%, 6/1/33, Pool #K90806 | 120,217 | ||||||
133,515 | 3.00%, 6/1/33, Pool #K90632 | 140,714 | ||||||
73,965 | 3.00%, 6/1/33, Pool #K90684 | 77,954 | ||||||
219,307 | 4.00%, 6/1/33, Pool #G30718 | 238,577 | ||||||
58,681 | 3.00%, 6/1/33, Pool #C91709 | 61,858 | ||||||
266,454 | 3.00%, 7/1/33, Pool #C91714 | 280,880 | ||||||
326,321 | 2.50%, 7/1/33, Pool #G16661 | 342,097 | ||||||
476,782 | 3.50%, 11/1/33, Pool #G16677 | 506,171 | ||||||
458,350 | 3.50%, 2/1/34, Pool #G16752 | 484,746 | ||||||
73,818 | 3.00%, 4/1/34, Pool #G16829 | 78,193 | ||||||
558,521 | 3.50%, 10/1/34, Pool #C91793 | 596,833 | ||||||
1,046,132 | 4.00%, 5/1/37, Pool #C91938 | 1,121,749 | ||||||
1,500,640 | 5.00%, 2/1/38, Pool #G60365 | 1,693,592 | ||||||
75,229 | 3.50%, 4/1/40, Pool #V81744 | 80,623 | ||||||
96,521 | 3.50%, 5/1/40, Pool #V81750 | 103,473 | ||||||
149,521 | 3.50%, 6/1/40, Pool #V81792 | 160,188 | ||||||
69,280 | 3.50%, 8/1/40, Pool #V81886 | 74,251 | ||||||
49,161 | 3.50%, 9/1/40, Pool #V81958 | 52,668 | ||||||
624,425 | 4.00%, 1/1/41, Pool #A96413 | 684,100 | ||||||
60,982 | 4.50%, 1/1/41, Pool #A96051 | 65,838 | ||||||
488,494 | 4.00%, 2/1/41, Pool #A96807 | 534,925 | ||||||
59,639 | 4.50%, 3/1/41, Pool #A97673 | 66,124 | ||||||
97,127 | 4.50%, 4/1/41, Pool #A97942 | 107,652 | ||||||
286,062 | 5.00%, 6/1/41, Pool #G06596 | 325,666 | ||||||
1,263,275 | 4.50%, 1/1/42, Pool #G60517 | 1,399,037 | ||||||
46,181 | 4.00%, 11/1/42, Pool #Q13121 | 49,506 | ||||||
127,718 | 3.00%, 12/1/42, Pool #C04320 | 137,977 | ||||||
74,622 | 4.00%, 5/1/43, Pool #Q18481 | 81,276 | ||||||
40,896 | 4.00%, 7/1/43, Pool #Q19597 | 44,561 | ||||||
48,357 | 4.00%, 10/1/43, Pool #Q22499 | 52,711 | ||||||
85,086 | 4.00%, 1/1/44, Pool #V80950 | 91,171 | ||||||
151,898 | 3.50%, 1/1/44, Pool #G60271 | 167,227 | ||||||
308,396 | 3.50%, 1/1/44, Pool #G07922 | 341,364 | ||||||
293,159 | 4.00%, 1/1/45, Pool #Q30720 | 315,556 | ||||||
193,920 | 4.00%, 2/1/45, Pool #G07949 | 212,377 | ||||||
46,979 | 3.50%, 3/1/45, Pool #Q32328 | 51,314 | ||||||
55,277 | 3.50%, 3/1/45, Pool #Q31974 | 60,378 | ||||||
98,965 | 3.50%, 3/1/45, Pool #Q32008 | 108,063 | ||||||
264,599 | 3.50%, 5/1/45, Pool #Q33547 | 285,382 | ||||||
35,359 | 3.00%, 5/1/45, Pool #Q33468 | 38,040 | ||||||
52,334 | 3.50%, 6/1/45, Pool #Q33791 | 56,455 | ||||||
329,694 | 3.50%, 6/1/45, Pool #Q34311 | 360,025 | ||||||
329,001 | 3.50%, 6/1/45, Pool #Q34164 | 354,917 |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 225,230 | 3.00%, 6/1/45, Pool #Q34156 | $ | 242,192 | ||||
55,366 | 3.00%, 7/1/45, Pool #Q34759 | 59,918 | ||||||
16,963 | 3.00%, 7/1/45, Pool #Q34979 | 18,413 | ||||||
92,468 | 4.00%, 8/1/45, Pool #Q35845 | 100,713 | ||||||
20,700 | 4.00%, 9/1/45, Pool #Q37853 | 22,483 | ||||||
363,036 | 3.50%, 11/1/45, Pool #Q37467 | 396,416 | ||||||
12,307 | 4.00%, 11/1/45, Pool #Q38812 | 13,092 | ||||||
19,338 | 4.00%, 2/1/46, Pool #Q38782 | 21,014 | ||||||
6,961 | 4.00%, 2/1/46, Pool #Q38879 | 7,560 | ||||||
25,776 | 4.00%, 2/1/46, Pool #Q38783 | 27,753 | ||||||
12,872 | 4.00%, 4/1/46, Pool #Q39975 | 13,992 | ||||||
67,222 | 4.00%, 4/1/46, Pool #V82292 | 73,014 | ||||||
127,706 | 3.50%, 5/1/46, Pool #Q40647 | 137,616 | ||||||
123,015 | 3.50%, 5/1/46, Pool #G60603 | 134,190 | ||||||
399,222 | 3.50%, 5/1/46, Pool #G60553 | 438,636 | ||||||
359,607 | 3.50%, 9/1/46, Pool #Q43257 | 392,348 | ||||||
18,023 | 4.00%, 9/1/47, Pool #Q50433 | 19,541 | ||||||
20,332 | 4.00%, 10/1/47, Pool #Q51189 | 22,052 | ||||||
205,193 | 3.50%, 11/1/47, Pool #Q52086 | 218,610 | ||||||
20,934 | 4.00%, 2/1/48, Pool #Q54192 | 22,698 | ||||||
41,867 | 3.50%, 2/1/48, Pool #G61896 | 44,196 | ||||||
556,472 | 3.50%, 2/1/48, Pool #Q54334 | 586,250 | ||||||
275,697 | 3.50%, 3/1/48, Pool #G67710 | 296,240 | ||||||
389,287 | 4.00%, 5/1/48, Pool #Q55992 | 421,586 | ||||||
1,005,877 | 4.00%, 6/1/48, Pool #G67713 | 1,089,815 | ||||||
122,298 | 4.00%, 7/1/48, Pool #Q59935 | 134,225 | ||||||
271,229 | 3.50%, 5/1/49, Pool #Q63646 | 291,487 | ||||||
494,515 | 2.50%, 2/1/50, Pool #SD8043 | 515,829 | ||||||
|
| |||||||
21,116,490 | ||||||||
|
| |||||||
Federal National Mortgage Association (6.3%) | ||||||||
256,818 | 2.50%, 6/1/29, Pool #MA3734 | 269,570 | ||||||
109,690 | 2.50%, 9/1/31, Pool #AS8012 | 115,295 | ||||||
427,147 | 3.00%, 4/1/32, Pool #BD9809 | 453,332 | ||||||
234,722 | 3.00%, 9/1/32, Pool #BM5110 | 249,708 | ||||||
641,416 | 2.50%, 12/1/32, Pool #CA3748 | 672,121 | ||||||
694,107 | 3.00%, 12/1/32, Pool #BM5345 | 737,622 | ||||||
36,742 | 3.00%, 3/1/33, Pool #BM4614 | 39,249 | ||||||
49,457 | 3.00%, 5/1/33, Pool #AT3000 | 52,548 | ||||||
52,433 | 3.00%, 6/1/33, Pool #AT6090 | 55,691 | ||||||
258,589 | 3.00%, 7/1/33, Pool #MA1490 | 274,673 | ||||||
4,586 | 4.50%, 7/1/33, Pool #729327 | 5,012 | ||||||
1,390 | 4.50%, 7/1/33, Pool #720240 | 1,518 | ||||||
6,145 | 4.50%, 8/1/33, Pool #723124 | 6,722 | ||||||
11,631 | 4.50%, 8/1/33, Pool #726956 | 12,723 | ||||||
4,319 | 4.50%, 8/1/33, Pool #727029 | 4,792 | ||||||
6,642 | 4.50%, 8/1/33, Pool #727160 | 7,264 | ||||||
14,432 | 4.50%, 8/1/33, Pool #726928 | 15,787 | ||||||
5,979 | 4.50%, 8/1/33, Pool #729713 | 6,538 | ||||||
31,667 | 4.50%, 8/1/33, Pool #729380 | 34,627 | ||||||
26,183 | 4.50%, 9/1/33, Pool #727147 | 28,640 | ||||||
10,352 | 4.50%, 9/1/33, Pool #734922 | 11,320 | ||||||
1,472,451 | 3.00%, 11/1/33, Pool #BM5111 | 1,570,214 | ||||||
�� | 35,890 | 4.50%, 12/1/33, Pool #AL5321 | 39,239 | |||||
15,922 | 3.50%, 1/1/34, Pool #AS1614 | 17,096 | ||||||
74,893 | 3.50%, 1/1/34, Pool #AS1612 | 80,367 | ||||||
114,012 | 3.50%, 1/1/34, Pool #AS1611 | 122,365 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 39,892 | 3.50%, 1/1/34, Pool #AS1406 | $ | 42,830 | ||||
740,291 | 2.50%, 6/1/34, Pool #BN7572 | 783,358 | ||||||
534,995 | 3.50%, 9/1/34, Pool #FM1578 | 567,645 | ||||||
742,227 | 3.50%, 9/1/34, Pool #FM1577 | 800,567 | ||||||
29,690 | 6.00%, 10/1/34, Pool #AL2130 | 35,246 | ||||||
382,411 | 3.50%, 10/1/34, Pool #FM1579 | 410,679 | ||||||
63,327 | 4.50%, 9/1/35, Pool #AB8198 | 69,922 | ||||||
606,464 | 6.00%, 5/1/36, Pool #745512 | 712,226 | ||||||
294,560 | 6.00%, 1/1/37, Pool #932030 | 348,792 | ||||||
54,174 | 6.00%, 3/1/37, Pool #889506 | 64,602 | ||||||
75,839 | 6.00%, 1/1/38, Pool #889371 | 91,081 | ||||||
223,908 | 5.00%, 2/1/38, Pool #310165 | 252,961 | ||||||
25,734 | 6.00%, 3/1/38, Pool #889219 | 30,907 | ||||||
15,742 | 6.00%, 7/1/38, Pool #889733 | 18,959 | ||||||
94,013 | 4.50%, 3/1/39, Pool #AB0051 | 102,829 | ||||||
422,761 | 4.50%, 4/1/39, Pool #AB0043 | 462,238 | ||||||
149,701 | 5.00%, 6/1/39, Pool #AL7550 | 169,226 | ||||||
396,027 | 5.00%, 6/1/39, Pool #AL7521 | 458,037 | ||||||
330,334 | 2.50%, 8/1/39, Pool #MA3761 | 346,875 | ||||||
42,715 | 4.50%, 11/1/39, Pool #AC5442 | 47,334 | ||||||
103,696 | 6.00%, 5/1/40, Pool #AL2129 | 124,833 | ||||||
59,872 | 4.00%, 12/1/40, Pool #AA4757 | 65,574 | ||||||
56,872 | 4.50%, 2/1/41, Pool #AH5580 | 63,153 | ||||||
8,401 | 6.00%, 1/1/42, Pool #AL2128 | 9,819 | ||||||
288,886 | 2.50%, 2/1/43, Pool #AB8465 | 306,296 | ||||||
69,090 | 4.00%, 10/1/43, Pool #BM1167 | 76,072 | ||||||
318,961 | 4.50%, 3/1/44, Pool #AL5082 | 345,885 | ||||||
317,941 | 5.00%, 11/1/44, Pool #AL7307 | 359,368 | ||||||
29,715 | 4.00%, 12/1/44, Pool #AW9502 | 32,416 | ||||||
141,318 | 4.00%, 12/1/44, Pool #AX8459 | 155,342 | ||||||
15,305 | 4.00%, 12/1/44, Pool #AY0045 | 16,678 | ||||||
233,655 | 4.00%, 3/1/45, Pool #AL6541 | 256,868 | ||||||
106,416 | 4.00%, 5/1/45, Pool #AZ1207 | 113,250 | ||||||
45,632 | 4.00%, 5/1/45, Pool #AZ1876 | 49,514 | ||||||
85,025 | 3.00%, 5/1/45, Pool #AS4972 | 91,358 | ||||||
93,629 | 4.00%, 6/1/45, Pool #AY8126 | 99,556 | ||||||
276,930 | 4.00%, 6/1/45, Pool #AY8096 | 294,461 | ||||||
41,933 | 4.00%, 6/1/45, Pool #AZ2719 | 45,550 | ||||||
36,368 | 5.00%, 6/1/45, Pool #AZ3448 | 40,448 | ||||||
53,300 | 4.00%, 6/1/45, Pool #AZ3341 | 57,875 | ||||||
581,072 | 3.50%, 7/1/45, Pool #AZ0814 | 626,512 | ||||||
216,278 | 4.00%, 7/1/45, Pool #AZ1783 | 230,084 | ||||||
227,207 | 4.00%, 7/1/45, Pool #AZ0833 | 246,581 | ||||||
28,738 | 3.00%, 8/1/45, Pool #AZ3728 | 30,857 | ||||||
207,125 | 3.00%, 8/1/45, Pool #AS5634 | 222,585 | ||||||
81,128 | 3.00%, 8/1/45, Pool #AZ8288 | 87,187 | ||||||
111,403 | 4.00%, 10/1/45, Pool #AL7413 | 122,335 | ||||||
582,125 | 4.00%, 10/1/45, Pool #AL7593 | 639,589 | ||||||
40,904 | 4.00%, 11/1/45, Pool #AZ0560 | 43,513 | ||||||
72,378 | 4.00%, 12/1/45, Pool #BA6404 | 76,960 | ||||||
46,427 | 4.00%, 12/1/45, Pool #AS6350 | 51,008 | ||||||
17,758 | 4.00%, 12/1/45, Pool #BC0997 | 18,882 | ||||||
61,790 | 4.50%, 2/1/46, Pool #BM5199 | 68,375 | ||||||
1,065,569 | 4.00%, 2/1/46, Pool #BC1578 | 1,147,006 | ||||||
44,596 | 4.00%, 4/1/46, Pool #BC3920 | 48,039 | ||||||
38,769 | 4.00%, 4/1/46, Pool #BC7809 | 41,760 |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 18,188 | 4.00%, 5/1/46, Pool #BC2276 | $ | 19,597 | ||||
532,913 | 3.50%, 5/1/46, Pool #BC0880 | 574,247 | ||||||
507,996 | 4.00%, 6/1/46, Pool #AL9282 | 546,529 | ||||||
315,346 | 4.00%, 6/1/46, Pool #BC0960 | 339,197 | ||||||
566,461 | 3.50%, 7/1/46, Pool #AL9515 | 610,372 | ||||||
75,597 | 4.00%, 7/1/46, Pool #BC6148 | 81,377 | ||||||
193,085 | 4.00%, 7/1/46, Pool #BC1443 | 214,648 | ||||||
79,731 | 4.00%, 8/1/46, Pool #BD1451 | 85,843 | ||||||
76,627 | 4.50%, 8/1/46, Pool #AL9111 | 84,076 | ||||||
70,015 | 4.00%, 9/1/46, Pool #BD1489 | 75,311 | ||||||
206,247 | 4.00%, 9/1/46, Pool #BC2843 | 229,301 | ||||||
29,369 | 4.00%, 10/1/46, Pool #BD7599 | 31,605 | ||||||
219,727 | 3.50%, 10/1/46, Pool #AL9285 | 231,111 | ||||||
649,441 | 3.50%, 12/1/46, Pool #BC9077 | 699,862 | ||||||
555,983 | 3.50%, 1/1/47, Pool #AL9776 | 597,263 | ||||||
1,030,940 | 4.50%, 2/1/47, Pool #AL9846 | 1,119,722 | ||||||
129,554 | 3.50%, 2/1/47, Pool #BE5696 | 139,342 | ||||||
2,126,676 | 4.00%, 2/1/47, Pool #AL9779 | 2,334,243 | ||||||
13,945 | 4.00%, 6/1/47, Pool #BH4269 | 15,104 | ||||||
90,985 | 4.00%, 7/1/47, Pool #BE3774 | 97,261 | ||||||
784,243 | 3.50%, 2/1/48, Pool #BJ3436 | 824,527 | ||||||
67,670 | 3.00%, 8/1/49, Pool #CA4017 | 71,486 | ||||||
846,891 | 4.50%, 9/1/49, Pool #FM1534 | 935,152 | ||||||
189,440 | 3.50%, 11/1/49, Pool #CA4557 | 201,010 | ||||||
960,030 | 4.00%, 11/1/49, Pool #CA4628 | 1,030,238 | ||||||
216,562 | 3.00%, 2/1/50, Pool #CA5126 | 228,545 | ||||||
|
| |||||||
28,422,905 | ||||||||
|
| |||||||
Government National Mortgage Association (4.8%) | ||||||||
12,571 | 5.00%, 6/15/34, Pool #629493 | 14,157 | ||||||
5,596 | 5.00%, 3/15/38, Pool #676766 | 6,280 | ||||||
2,738 | 5.00%, 4/15/38, Pool #672672 | 3,097 | ||||||
10,958 | 5.00%, 8/15/38, Pool #687818 | 12,396 | ||||||
85,034 | 5.00%, 1/15/39, Pool #705997 | 98,030 | ||||||
193,759 | 5.00%, 3/15/39, Pool #646746 | 223,408 | ||||||
1,216 | 5.00%, 3/15/39, Pool #697946 | 1,402 | ||||||
199,699 | 4.00%, 10/15/40, Pool #783143 | 211,994 | ||||||
59,615 | 4.00%, 10/20/40, Pool #G24833 | 64,853 | ||||||
175,620 | 4.00%, 1/20/41, Pool #4922 | 191,066 | ||||||
466,920 | 4.50%, 3/20/41, Pool #4978 | 513,480 | ||||||
165,158 | 4.50%, 5/20/41, Pool #005055 | 187,290 | ||||||
339,694 | 4.00%, 5/20/41, Pool #5054 | 369,590 | ||||||
145,112 | 4.50%, 6/15/41, Pool #366975 | 163,171 | ||||||
106,846 | 4.50%, 6/20/41, Pool #005082 | 117,499 | ||||||
387,500 | 4.00%, 10/20/41, Pool #5203 | 421,609 | ||||||
430,466 | 3.50%, 12/20/41, Pool #5258 | 463,172 | ||||||
743,606 | 4.00%, 1/20/42, Pool #5280 | 809,045 | ||||||
516,918 | 3.50%, 10/20/42, Pool #MA0462 | 561,899 | ||||||
260,765 | 3.00%, 12/20/42, Pool #MA0624 | 276,480 | ||||||
326,580 | 3.00%, 12/20/42, Pool #AA5872 | 347,938 | ||||||
2,543,077 | 3.50%, 1/20/43, Pool #MA0699 | 2,764,697 | ||||||
46,360 | 3.00%, 1/20/43, Pool #MA0698 | 49,153 | ||||||
563,544 | 3.50%, 2/20/43, Pool #MA0783 | 605,762 | ||||||
72,056 | 3.50%, 3/20/43, Pool #AD8884 | 77,985 | ||||||
87,114 | 3.00%, 3/20/43, Pool #AD8812 | 92,749 | ||||||
209,924 | 3.00%, 3/20/43, Pool #AA6146 | 226,266 | ||||||
26,735 | 3.50%, 4/20/43, Pool #AB9891 | 28,932 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 76,828 | 3.50%, 4/20/43, Pool #AD9075 | $ | 82,583 | ||||
467,550 | 3.50%, 4/20/43, Pool #783976 | 499,505 | ||||||
531,231 | 4.00%, 10/20/43, Pool #MA1376 | 576,994 | ||||||
7,400 | 4.00%, 7/20/44, Pool #MA2074 | 8,029 | ||||||
109,182 | 4.00%, 5/20/45, Pool #MA2893 | 118,122 | ||||||
180,771 | 4.00%, 8/20/45, Pool #MA3035 | 195,557 | ||||||
7,008 | 4.00%, 9/20/45, Pool #MA3106 | 7,581 | ||||||
7,167 | 4.00%, 10/20/45, Pool #MA3174 | 7,753 | ||||||
8,055 | 4.00%, 12/20/45, Pool #MA3311 | 8,715 | ||||||
7,949 | 4.00%, 1/20/46, Pool #MA3377 | 8,599 | ||||||
301,087 | 4.00%, 4/15/46, Pool #784232 | 330,029 | ||||||
23,194 | 3.50%, 5/20/46, Pool #AR9166 | 24,894 | ||||||
29,153 | 3.50%, 5/20/46, Pool #AR9028 | 31,285 | ||||||
489,317 | 4.00%, 5/20/46, Pool #MA3664 | 528,086 | ||||||
358,073 | 3.50%, 5/20/46, Pool #MA3663 | 381,832 | ||||||
30,291 | 3.50%, 5/20/46, Pool #AS4272 | 32,515 | ||||||
115,466 | 3.50%, 6/20/46, Pool #AT4139 | 123,924 | ||||||
27,036 | 3.50%, 6/20/46, Pool #AT4134 | 29,012 | ||||||
336,443 | 3.50%, 6/20/46, Pool #MA3736 | 359,645 | ||||||
33,919 | 3.50%, 6/20/46, Pool #AS4285 | 36,396 | ||||||
39,805 | 3.50%, 7/20/46, Pool #784391 | 42,743 | ||||||
186,072 | 3.50%, 7/20/46, Pool #MA3803 | 198,902 | ||||||
39,486 | 3.50%, 9/20/46, Pool #MA3937 | 42,187 | ||||||
34,183 | 3.00%, 10/20/46, Pool #MA4003 | 36,379 | ||||||
1,733,776 | 3.00%, 12/20/46, Pool #MA4126 | 1,845,149 | ||||||
257,764 | 4.00%, 1/15/47, Pool #AX5857 | 275,027 | ||||||
240,942 | 4.00%, 1/15/47, Pool #AX5831 | 257,078 | ||||||
547,493 | 3.00%, 1/20/47, Pool #MA4195 | 582,673 | ||||||
309,494 | 3.00%, 2/20/47, Pool #MA4261 | 328,775 | ||||||
74,646 | 4.00%, 3/20/47, Pool #MA4322 | 80,560 | ||||||
1,086,586 | 4.50%, 4/20/47, Pool #MA4384 | 1,166,494 | ||||||
76,328 | 4.00%, 4/20/47, Pool #MA4383 | 81,718 | ||||||
355,397 | 4.00%, 4/20/47, Pool #784303 | 377,619 | ||||||
377,267 | 4.00%, 4/20/47, Pool #784304 | 400,807 | ||||||
49,247 | 4.00%, 5/20/47, Pool #MA4452 | 52,724 | ||||||
685,282 | 4.50%, 6/20/47, Pool #MA4512 | 746,626 | ||||||
207,202 | 4.00%, 6/20/47, Pool #MA4511 | 221,548 | ||||||
283,819 | 4.00%, 4/20/48, Pool #MA5137 | 301,494 | ||||||
252,973 | 4.00%, 4/20/48, Pool #BG3507 | 269,838 | ||||||
186,996 | 4.00%, 4/20/48, Pool #BG7744 | 199,465 | ||||||
612,378 | 4.00%, 6/20/48, Pool #MA5264 | 650,518 | ||||||
1,013,340 | 4.00%, 9/20/48, Pool #MA5466 | 1,085,045 | ||||||
30,763 | Class JA, Series 2015-H21, 2.50%, 6/20/65, Callable 5/20/21 @ 100 | 30,878 | ||||||
|
| |||||||
21,568,703 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $68,425,473) | 71,108,098 | |||||||
|
| |||||||
U.S. Treasury Obligations (19.1%): | ||||||||
U.S. Treasury Bonds (5.3%): | ||||||||
2,785,000 | 2.50%, 2/15/46 | 3,448,613 | ||||||
14,837,000 | 3.00%, 2/15/49 | 20,484,333 | ||||||
|
| |||||||
23,932,946 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (1.2%): | ||||||||
3,410,842 | 0.75%, 2/15/45 | 4,166,704 | ||||||
85,827 | 1.00%, 2/15/46 | 111,027 | ||||||
1,039,502 | 1.00%, 2/15/49 | 1,384,987 | ||||||
|
| |||||||
5,662,718 | ||||||||
|
|
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Inflation Index Notes (5.2%): | ||||||||
$ | 4,834,575 | 0.13%, 10/15/24 | $ | 5,062,297 | ||||
2,035,514 | 0.25%, 1/15/25 | 2,141,267 | ||||||
7,985,519 | 0.63%, 1/15/26 | 8,642,402 | ||||||
4,249,484 | 0.13%, 7/15/26 | 4,512,072 | ||||||
2,051,552 | 0.88%, 1/15/29 | 2,338,881 | ||||||
952,423 | 0.25%, 7/15/29 | 1,041,632 | ||||||
|
| |||||||
23,738,551 | ||||||||
|
| |||||||
U.S. Treasury Notes (7.4%): | ||||||||
2,034,000 | 2.13%, 7/31/24 | 2,190,046 | ||||||
19,744,000 | 0.25%, 6/30/25 | 19,706,980 | ||||||
3,535,600 | 1.63%, 9/30/26 | 3,795,798 | ||||||
3,268,600 | 3.13%, 11/15/28 | 3,951,431 | ||||||
3,558,000 | 0.63%, 5/15/30 | 3,548,549 | ||||||
|
| |||||||
33,192,804 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $76,560,504) | 86,527,019 | |||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.4%): | ||||||||
1,994,813 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(d)(e) | $ | 1,994,813 | |||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 1,994,813 | ||||||
|
| |||||||
Unaffiliated Investment Companies (2.2%): | ||||||||
Money Markets (2.2%): | ||||||||
10,055,525 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(e) | 10,055,525 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $10,055,525) | 10,055,525 | |||||||
|
| |||||||
Total Investment Securities (Cost $431,234,410) — 99.5% | 450,252,818 | |||||||
Net other assets (liabilities) — 0.5% | 2,147,498 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 452,400,316 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
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, 2020. The total value of securities on loan as of June 30, 2020 was $1,905,483. |
† | Represents less than 0.05%. |
(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, 2020. |
(c) | Defaulted bond. |
(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, 2020. |
(e) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2020
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, 2020:
(Unaudited)
Country | Percentage | |||
Argentina | 0.1 | % | ||
Australia | 0.4 | % | ||
Bermuda | — | %† | ||
Brazil | — | %† | ||
Canada | 0.7 | % | ||
Cayman Islands | 0.9 | % | ||
Chile | 0.3 | % | ||
Dominican Republic | 0.4 | % | ||
France | 0.3 | % | ||
Germany | 0.8 | % | ||
Guernsey | 0.7 | % | ||
Hong Kong | 0.1 | % | ||
Indonesia | 0.3 | % | ||
Ireland | 0.7 | % |
Country | Percentage | |||
Italy | 0.4 | % | ||
Jersey | 0.2 | % | ||
Luxembourg | 0.9 | % | ||
Mexico | 1.8 | % | ||
Netherlands | 1.5 | % | ||
Qatar | 0.3 | % | ||
Saudi Arabia | 0.2 | % | ||
Supernational | 0.1 | % | ||
Switzerland | 0.3 | % | ||
United Arab Emirates | 0.3 | % | ||
United Kingdom | 2.3 | % | ||
United States | 86.0 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Total Bond Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 431,234,410 | |||
|
| ||||
Investment securities, at value(a) | $ | 450,252,818 | |||
Cash | 69,798 | ||||
Interest and dividends receivable | 3,705,979 | ||||
Receivable for capital shares issued | 1,574,243 | ||||
Receivable for investments sold | 919,086 | ||||
Receivable for TBA investments sold | 104,285 | ||||
Prepaid expenses | 920 | ||||
|
| ||||
Total Assets | 456,627,129 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 1,805,337 | ||||
Payable for TBA investments purchased | 104,299 | ||||
Payable for capital shares redeemed | 16,803 | ||||
Payable for collateral received on loaned securities | 1,994,813 | ||||
Manager fees payable | 182,665 | ||||
Administration fees payable | 4,144 | ||||
Distribution fees payable | 86,758 | ||||
Custodian fees payable | 3,976 | ||||
Administrative and compliance services fees payable | 817 | ||||
Transfer agent fees payable | 1,829 | ||||
Trustee fees payable | 5,111 | ||||
Other accrued liabilities | 20,261 | ||||
|
| ||||
Total Liabilities | 4,226,813 | ||||
|
| ||||
Net Assets | $ | 452,400,316 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 412,407,338 | |||
Total distributable earnings | 39,992,978 | ||||
|
| ||||
Net Assets | $ | 452,400,316 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 22,465,787 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 2,110,543 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.64 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 429,934,529 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 39,271,438 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.95 | |||
|
|
(a) | Includes securities on loan of $1,905,483. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 7,923,264 | |||
Dividends | 39,832 | ||||
Income from securities lending | 21,830 | ||||
|
| ||||
Total Investment Income | 7,984,926 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,138,403 | ||||
Administration fees | 88,605 | ||||
Distribution fees — Class 2 | 541,606 | ||||
Custodian fees | 11,902 | ||||
Administrative and compliance services fees | 4,578 | ||||
Transfer agent fees | 6,007 | ||||
Trustee fees | 14,439 | ||||
Professional fees | 12,853 | ||||
Shareholder reports | 14,631 | ||||
Other expenses | 5,353 | ||||
|
| ||||
Total expenses | 1,838,377 | ||||
|
| ||||
Net Investment Income/(Loss) | 6,146,549 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | 8,343,382 | ||||
Net realized gains/(losses) on securities held short | (62,586 | ) | |||
Change in net unrealized appreciation/depreciation on securities | 3,493,993 | ||||
Change in net unrealized appreciation/depreciation on securities held short | 785 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 11,775,574 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 17,922,123 | |||
|
|
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Total Bond Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,146,549 | $ | 14,785,027 | ||||||
Net realized gains/(losses) on investments | 8,280,796 | 4,806,703 | ||||||||
Change in unrealized appreciation/depreciation on investments | 3,494,778 | 30,038,295 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 17,922,123 | 49,630,025 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (762,762 | ) | |||||||
Class 2 | — | (14,007,289 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (14,770,051 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 585,337 | 2,473,032 | ||||||||
Proceeds from dividends reinvested | — | 762,762 | ||||||||
Value of shares redeemed | (1,851,414 | ) | (3,389,231 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,266,077 | ) | (153,437 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 22,853,905 | 14,141,674 | ||||||||
Proceeds from dividends reinvested | — | 14,007,289 | ||||||||
Value of shares redeemed | (80,796,346 | ) | (69,635,789 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (57,942,441 | ) | (41,486,826 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (59,208,518 | ) | (41,640,263 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (41,286,395 | ) | (6,780,289 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 493,686,711 | 500,467,000 | ||||||||
|
|
|
| |||||||
End of period | $ | 452,400,316 | $ | 493,686,711 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 56,166 | 246,124 | ||||||||
Dividends reinvested | — | 75,446 | ||||||||
Shares redeemed | (183,797 | ) | (335,189 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (127,631 | ) | (13,619 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 2,120,140 | 1,364,347 | ||||||||
Dividends reinvested | — | 1,345,561 | ||||||||
Shares redeemed | (7,690,678 | ) | (6,698,382 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (5,570,538 | ) | (3,988,474 | ) | ||||||
|
|
|
| |||||||
Change in shares | (5,698,169 | ) | (4,002,093 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
23
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016^ | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.20 | $ | 9.54 | $ | 9.96 | $ | 9.77 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | (a) | 0.32 | (a) | 0.32 | 0.23 | 0.24 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.29 | 0.69 | (0.42 | ) | 0.21 | (0.47 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | 0.44 | 1.01 | (0.10 | ) | 0.44 | (0.23 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.35 | ) | (0.32 | ) | (0.25 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (0.35 | ) | (0.32 | ) | (0.25 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 10.64 | $ | 10.20 | $ | 9.54 | $ | 9.96 | $ | 9.77 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(b) | 4.31 | %(c) | 10.57 | % | (1.00 | )% | 4.55 | % | (2.30 | )%(c) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 22,466 | $ | 22,823 | $ | 21,476 | $ | 24,077 | $ | 25,981 | ||||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.94 | % | 3.17 | % | 2.96 | % | 2.23 | % | 3.03 | % | ||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | 0.59 | % | ||||||||||||||||||||
Expenses Net of Reductions(d) | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | 0.59 | % | ||||||||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 68 | % | 38 | % | 81 | % | 119 | % | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.50 | $ | 9.81 | $ | 10.23 | $ | 10.05 | $ | 9.85 | $ | 10.14 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.14 | (a) | 0.30 | (a) | 0.31 | 0.22 | 0.26 | 0.31 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.31 | 0.71 | (0.44 | ) | 0.21 | 0.29 | (0.40 | ) | ||||||||||||||||||||||
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Total from Investment Activities | 0.45 | 1.01 | (0.13 | ) | 0.43 | 0.55 | (0.09 | ) | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.32 | ) | (0.29 | ) | (0.25 | ) | (0.34 | ) | (0.20 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||
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Total Dividends | — | (0.32 | ) | (0.29 | ) | (0.25 | ) | (0.35 | ) | (0.20 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 10.95 | $ | 10.50 | $ | 9.81 | $ | 10.23 | $ | 10.05 | $ | 9.85 | ||||||||||||||||||
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Total Return(b) | 4.29 | %(c) | 10.28 | % | (1.25 | )% | 4.28 | % | 5.51 | % | (0.89 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 429,935 | $ | 470,864 | $ | 478,991 | $ | 552,678 | $ | 568,216 | $ | 433,205 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.69 | % | 2.92 | % | 2.71 | % | 1.98 | % | 3.06 | % | 2.93 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | % | 0.83 | % | 0.82 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | % | 0.83 | % | 0.82 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 68 | % | 38 | % | 81 | % | 119 | % | 123 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(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.
24
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 (the “Fund”), and 20 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.
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
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 Fund may engage in short sales against the box (i.e., where the Fund 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 Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund 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 Fund also may be required to pay a premium, which would increase the cost of the security sold.
25
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned of expenses and realized and unrealized gains and losses are incurred.
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 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $2,135 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,994,813 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, no collateral had been posted by the Fund to counterparties for TBAs.
26
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, the Fund did not engage in any Rule 17a-7 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 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, 2021.
For the period ended June 30, 2020, 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, 2020, 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, 2020, 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 SEC. 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, 2020, $1,965 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 in total for both trusts.
27
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2020 (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 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.
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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 1,824 | $ | — | $ | — | $ | 1,824 | ||||||||||||
Asset Backed Securities | — | 7,930,251 | — | 7,930,251 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 23,094,859 | — | 23,094,859 | ||||||||||||||||
Bank Loans | — | 463,794 | — | 463,794 | ||||||||||||||||
Corporate Bonds+ | — | 181,147,668 | — | 181,147,668 | ||||||||||||||||
Yankee Dollars+ | — | 61,487,695 | — | 61,487,695 | ||||||||||||||||
Municipal Bonds | — | 6,441,272 | — | 6,441,272 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 71,108,098 | — | 71,108,098 | ||||||||||||||||
U.S. Treasury Obligations | — | 86,527,019 | — | 86,527,019 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 1,994,813 | — | — | 1,994,813 | ||||||||||||||||
Unaffiliated Investment Companies | 10,055,525 | — | — | 10,055,525 | ||||||||||||||||
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Total Investments | $ | 12,052,162 | $ | 438,200,656 | $ | — | $ | 450,252,818 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 158,311,720 | $ | 213,253,287 |
For the period ended June 30, 2020, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 74,031,106 | $ | 152,674,357 |
28
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks“ and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
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 December 31, 2019 was $485,871,006. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 18,76,710 | ||
Unrealized (depreciation) | (3,299,051 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 15,467,659 | ||
|
|
As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2019, the Fund utilized $4,675,284 in CLCFs to offset capital gains.
29
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 4,247,444 | $ | 3,934,341 | $ | 8,181,785 |
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $14,770,051 | $ | — | $ | 14,770,051 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 14,784,981 | $ | — | $ | (8,181,785 | ) | $ | 15,467,659 | $ | 22,070,855 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was 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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
31
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
32
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Gateway Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 976.00 | $ | 5.50 | 1.12 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 1,019.29 | $ | 5.62 | 1.12 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 27.4 | % | |||
Health Care | 14.0 | ||||
Consumer Discretionary | 10.8 | ||||
Communication Services | 10.8 | ||||
Financials | 9.6 | ||||
Industrials | 7.8 | ||||
Consumer Staples | 6.4 | ||||
Utilities | 2.8 | ||||
Energy | 2.7 | ||||
Real Estate | 2.5 | ||||
Materials | 2.4 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 97.2 | ||||
Unaffiliated Investment Companies | 3.8 | ||||
Purchased Put Options | 1.1 | ||||
|
| ||||
Total Investment Securities | 102.1 | ||||
Net other assets (liabilities) | (2.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+ (97.2%): | ||||||||
Aerospace & Defense (1.6%): | ||||||||
3,423 | Boeing Co. (The) | $ | 627,436 | |||||
961 | HEICO Corp. | 95,764 | ||||||
828 | Huntington Ingalls Industries, Inc. | 144,478 | ||||||
13,912 | Raytheon Technologies Corp. | 857,257 | ||||||
537 | Teledyne Technologies, Inc.* | 166,980 | ||||||
700 | TransDigm Group, Inc. | 309,435 | ||||||
|
| |||||||
2,201,350 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
5,398 | United Parcel Service, Inc., Class B | 600,150 | ||||||
749 | XPO Logistics, Inc.* | 57,860 | ||||||
|
| |||||||
658,010 | ||||||||
|
| |||||||
Airlines (0.2%): | ||||||||
2,336 | Alaska Air Group, Inc. | 84,703 | ||||||
4,056 | JetBlue Airways Corp.* | 44,210 | ||||||
3,104 | United Airlines Holdings, Inc.* | 107,430 | ||||||
|
| |||||||
236,343 | ||||||||
|
| |||||||
Auto Components (0.1%): | ||||||||
793 | Autoliv, Inc. | 51,156 | ||||||
2,218 | Cooper Tire & Rubber Co. | 61,239 | ||||||
|
| |||||||
112,395 | ||||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
39,693 | Ford Motor Co. | 241,333 | ||||||
42 | Tesla, Inc.* | 45,352 | ||||||
|
| |||||||
286,685 | ||||||||
|
| |||||||
Banks (3.9%): | ||||||||
2,673 | Associated Banc-Corp. | 36,567 | ||||||
80,819 | Bank of America Corp. | 1,919,451 | ||||||
21,931 | Citigroup, Inc. | 1,120,674 | ||||||
20,629 | Huntington Bancshares, Inc. | 186,383 | ||||||
22,297 | JPMorgan Chase & Co. | 2,097,256 | ||||||
2,161 | Old National Bancorp | 29,735 | ||||||
573 | Signature Bank | 61,265 | ||||||
|
| |||||||
5,451,331 | ||||||||
|
| |||||||
Beverages (1.8%): | ||||||||
23,404 | Coca-Cola Co. (The) | 1,045,691 | ||||||
1,889 | Keurig Dr Pepper, Inc. | 53,648 | ||||||
3,549 | Monster Beverage Corp.* | 246,017 | ||||||
8,696 | PepsiCo, Inc. | 1,150,132 | ||||||
|
| |||||||
2,495,488 | ||||||||
|
| |||||||
Biotechnology (2.3%): | ||||||||
10,542 | AbbVie, Inc. | 1,035,012 | ||||||
3,518 | Amgen, Inc. | 829,755 | ||||||
1,312 | Biogen, Inc.* | 351,026 | ||||||
682 | Exact Sciences Corp.* | 59,293 | ||||||
701 | Ionis Pharmaceuticals, Inc.* | 41,331 | ||||||
681 | Seattle Genetics, Inc.* | 115,716 | ||||||
2,402 | Vertex Pharmaceuticals, Inc.* | 697,325 | ||||||
|
| |||||||
3,129,458 | ||||||||
|
| |||||||
Building Products (0.3%): | ||||||||
2,734 | A.O. Smith Corp. | 128,826 | ||||||
10,053 | Carrier Global Corp. | 223,377 | ||||||
426 | Lennox International, Inc. | 99,254 | ||||||
|
| |||||||
451,457 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Capital Markets (1.9%): | ||||||||
8,193 | Charles Schwab Corp. (The) | $ | 276,432 | |||||
2,775 | Eaton Vance Corp. | 107,115 | ||||||
273 | FactSet Research Systems, Inc. | 89,672 | ||||||
5,010 | Intercontinental Exchange, Inc. | 458,916 | ||||||
1,777 | Legg Mason, Inc. | 88,406 | ||||||
10,331 | Morgan Stanley | 498,987 | ||||||
1,122 | MSCI, Inc. | 374,546 | ||||||
1,859 | S&P Global, Inc. | 612,504 | ||||||
1,911 | TD Ameritrade Holding Corp. | 69,522 | ||||||
|
| |||||||
2,576,100 | ||||||||
|
| |||||||
Chemicals (1.6%): | ||||||||
1,706 | Ashland Global Holdings, Inc. | 117,885 | ||||||
2,200 | Celanese Corp., Series A | 189,948 | ||||||
8,538 | Corteva, Inc. | 228,733 | ||||||
6,808 | Dow, Inc. | 277,494 | ||||||
7,517 | DuPont de Nemours, Inc. | 399,379 | ||||||
2,828 | Eastman Chemical Co. | 196,942 | ||||||
571 | Ingevity Corp.* | 30,017 | ||||||
1,698 | International Flavors & Fragrances, Inc. | 207,937 | ||||||
3,474 | LyondellBasell Industries NV, Class A | 228,311 | ||||||
6,351 | Mosaic Co. (The) | 79,451 | ||||||
4,709 | Olin Corp. | 54,106 | ||||||
1,837 | RPM International, Inc. | 137,885 | ||||||
4,090 | Valvoline, Inc. | 79,060 | ||||||
|
| |||||||
2,227,148 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.6%): | ||||||||
2,488 | Copart, Inc.* | 207,176 | ||||||
1,537 | Waste Connections, Inc. | 144,155 | ||||||
4,981 | Waste Management, Inc. | 527,537 | ||||||
|
| |||||||
878,868 | ||||||||
|
| |||||||
Communications Equipment (1.1%): | ||||||||
28,254 | Cisco Systems, Inc. | 1,317,766 | ||||||
1,702 | Motorola Solutions, Inc. | 238,501 | ||||||
|
| |||||||
1,556,267 | ||||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
866 | Martin Marietta Materials, Inc. | 178,890 | ||||||
|
| |||||||
Consumer Finance (0.3%): | ||||||||
2,142 | Ally Financial, Inc. | 42,476 | ||||||
4,990 | Discover Financial Services | 249,949 | ||||||
5,724 | Synchrony Financial | 126,844 | ||||||
|
| |||||||
419,269 | ||||||||
|
| |||||||
Containers & Packaging (0.4%): | ||||||||
1,498 | Avery Dennison Corp. | 170,907 | ||||||
1,623 | Crown Holdings, Inc.* | 105,706 | ||||||
2,479 | Sonoco Products Co. | 129,627 | ||||||
4,820 | WestRock Co. | 136,213 | ||||||
|
| |||||||
542,453 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
2,193 | Genuine Parts Co. | 190,703 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
1,240 | Service Corp. International | 48,224 | ||||||
|
| |||||||
Diversified Financial Services (1.7%): | ||||||||
12,049 | Berkshire Hathaway, Inc., Class B* | 2,150,867 |
See accompanying notes to the financial statements.
2
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Diversified Financial Services, continued | ||||||||
2,788 | Voya Financial, Inc. | $ | 130,060 | |||||
|
| |||||||
2,280,927 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.9%): | ||||||||
42,330 | AT&T, Inc. | 1,279,636 | ||||||
11,994 | CenturyLink, Inc. | 120,300 | ||||||
23,055 | Verizon Communications, Inc. | 1,271,022 | ||||||
|
| |||||||
2,670,958 | ||||||||
|
| |||||||
Electric Utilities (1.5%): | ||||||||
8,345 | Alliant Energy Corp. | 399,225 | ||||||
8,835 | American Electric Power Co., Inc. | 703,620 | ||||||
3,640 | Edison International | 197,688 | ||||||
2,740 | Entergy Corp. | 257,039 | ||||||
5,238 | Evergy, Inc. | 310,561 | ||||||
2,084 | Hawaiian Electric Industries, Inc. | 75,149 | ||||||
2,865 | OGE Energy Corp. | 86,981 | ||||||
|
| |||||||
2,030,263 | ||||||||
|
| |||||||
Electrical Equipment (0.7%): | ||||||||
5,302 | Eaton Corp. plc | 463,819 | ||||||
6,442 | Emerson Electric Co. | 399,598 | ||||||
1,037 | Hubbell, Inc. | 129,998 | ||||||
|
| |||||||
993,415 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.5%): | ||||||||
1,968 | CDW Corp. | 228,642 | ||||||
7,620 | Corning, Inc. | 197,358 | ||||||
2,110 | Trimble, Inc.* | 91,131 | ||||||
678 | Zebra Technologies Corp., Class A* | 173,534 | ||||||
|
| |||||||
690,665 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
17,918 | Halliburton Co. | 232,576 | ||||||
2,683 | Helmerich & Payne, Inc. | 52,345 | ||||||
|
| |||||||
284,921 | ||||||||
|
| |||||||
Entertainment (2.3%): | ||||||||
5,888 | Activision Blizzard, Inc. | 446,899 | ||||||
2,101 | Live Nation Entertainment, Inc.* | 93,137 | ||||||
2,785 | Netflix, Inc.* | 1,267,286 | ||||||
1,036 | Take-Two Interactive Software, Inc.* | 144,595 | ||||||
11,035 | Walt Disney Co. (The) | 1,230,513 | ||||||
|
| |||||||
3,182,430 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.5%): | ||||||||
7,602 | American Homes 4 Rent, Class A | 204,494 | ||||||
2,862 | Camden Property Trust | 261,072 | ||||||
2,650 | CubeSmart | 71,524 | ||||||
1,769 | Douglas Emmett, Inc. | 54,238 | ||||||
12,204 | Duke Realty Corp. | 431,899 | ||||||
4,044 | Equity Lifestyle Properties, Inc. | 252,669 | ||||||
2,592 | Extra Space Storage, Inc. | 239,423 | ||||||
5,336 | Healthcare Realty Trust, Inc. | 156,291 | ||||||
9,176 | Invitation Homes, Inc. | 252,615 | ||||||
2,994 | Kilroy Realty Corp. | 175,748 | ||||||
979 | Mack-Cali Realty Corp. | 14,969 | ||||||
9,248 | Medical Properties Trust, Inc. | 173,862 | ||||||
2,952 | National Retail Properties, Inc. | 104,737 | ||||||
3,046 | Regency Centers Corp. | 139,781 | ||||||
1,259 | Sabra Health Care REIT, Inc. | 18,167 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
991 | Sun Communities, Inc. | $ | 134,459 | |||||
10,962 | UDR, Inc. | 409,760 | ||||||
3,429 | Ventas, Inc. | 125,570 | ||||||
3,376 | WP Carey, Inc. | 228,386 | ||||||
|
| |||||||
3,449,664 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
544 | Casey’s General Stores, Inc. | 81,339 | ||||||
2,811 | Costco Wholesale Corp. | 852,323 | ||||||
357 | US Foods Holding Corp.* | 7,040 | ||||||
9,766 | Walmart, Inc. | 1,169,772 | ||||||
|
| |||||||
2,110,474 | ||||||||
|
| |||||||
Food Products (0.7%): | ||||||||
1,035 | Bunge, Ltd. | 42,570 | ||||||
1,975 | Lamb Weston Holdings, Inc. | 126,262 | ||||||
14,095 | Mondelez International, Inc., Class A | 720,677 | ||||||
890 | Post Holdings, Inc.* | 77,982 | ||||||
|
| |||||||
967,491 | ||||||||
|
| |||||||
Gas Utilities (0.1%): | ||||||||
1,421 | National Fuel Gas Co. | 59,583 | ||||||
2,695 | UGI Corp. | 85,701 | ||||||
|
| |||||||
145,284 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.5%): | ||||||||
12,581 | Abbott Laboratories | 1,150,281 | ||||||
744 | Align Technology, Inc.* | 204,183 | ||||||
4,731 | Baxter International, Inc. | 407,339 | ||||||
12,884 | Boston Scientific Corp.* | 452,357 | ||||||
5,333 | Edwards Lifesciences Corp.* | 368,564 | ||||||
3,922 | Hologic, Inc.* | 223,554 | ||||||
50 | Insulet Corp.* | 9,713 | ||||||
1,007 | Intuitive Surgical, Inc.* | 573,819 | ||||||
6,233 | Medtronic plc | 571,566 | ||||||
1,932 | ResMed, Inc. | 370,944 | ||||||
1,124 | Steris plc | 172,467 | ||||||
610 | Teleflex, Inc. | 222,028 | ||||||
479 | West Pharmaceutical Services, Inc. | 108,814 | ||||||
|
| |||||||
4,835,629 | ||||||||
|
| |||||||
Health Care Providers & Services (2.8%): | ||||||||
2,248 | Anthem, Inc. | 591,179 | ||||||
2,597 | Cigna Corp. | 487,327 | ||||||
7,953 | CVS Health Corp. | 516,706 | ||||||
2,671 | HCA Healthcare, Inc. | 259,247 | ||||||
315 | Molina Healthcare, Inc.* | 56,064 | ||||||
6,508 | UnitedHealth Group, Inc. | 1,919,535 | ||||||
1,013 | Universal Health Services, Inc., Class B | 94,098 | ||||||
|
| |||||||
3,924,156 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
716 | Veeva Systems, Inc., Class A* | 167,845 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.4%): | ||||||||
1,989 | Aramark | 44,892 | ||||||
214 | Domino’s Pizza, Inc. | 79,060 | ||||||
491 | Dunkin’ Brands Group, Inc. | 32,028 | ||||||
960 | Hilton Grand Vacations, Inc.* | 18,768 | ||||||
3,871 | Hilton Worldwide Holdings, Inc. | 284,325 | ||||||
5,843 | McDonald’s Corp. | 1,077,858 | ||||||
1,249 | Melco Resorts & Entertainment, Ltd., ADR | 19,384 |
See accompanying notes to the financial statements.
3
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
4,706 | Restaurant Brands International, Inc. | $ | 256,171 | |||||
234 | Vail Resorts, Inc. | 42,623 | ||||||
4,279 | Wendy’s Co. (The) | 93,197 | ||||||
|
| |||||||
1,948,306 | ||||||||
|
| |||||||
Household Durables (0.5%): | ||||||||
4,708 | Lennar Corp., Class A | 290,107 | ||||||
4,173 | Newell Brands, Inc. | 66,267 | ||||||
51 | NVR, Inc.* | 166,196 | ||||||
203 | Roku, Inc.* | 23,656 | ||||||
2,775 | Toll Brothers, Inc. | 90,437 | ||||||
|
| |||||||
636,663 | ||||||||
|
| |||||||
Household Products (1.5%): | ||||||||
17,465 | Procter & Gamble Co. (The) | 2,088,290 | ||||||
|
| |||||||
Industrial Conglomerates (1.2%): | ||||||||
4,613 | 3M Co. | 719,582 | ||||||
6,097 | Honeywell International, Inc. | 881,565 | ||||||
|
| |||||||
1,601,147 | ||||||||
|
| |||||||
Insurance (1.8%): | ||||||||
9,114 | Aflac, Inc. | 328,378 | ||||||
52 | Alleghany Corp. | 25,435 | ||||||
4,095 | Allstate Corp. (The) | 397,175 | ||||||
279 | American Financial Group, Inc. | 17,705 | ||||||
2,550 | Aon plc, Class A | 491,130 | ||||||
4,357 | Arch Capital Group, Ltd.* | 124,827 | ||||||
5,062 | Arthur J. Gallagher & Co. | 493,495 | ||||||
3,373 | Brown & Brown, Inc. | 137,483 | ||||||
1,349 | Fidelity National Financial, Inc. | 41,360 | ||||||
2,790 | Lincoln National Corp. | 102,644 | ||||||
208 | Markel Corp.* | 192,019 | ||||||
595 | RenaissanceRe Holdings, Ltd. | 101,763 | ||||||
3,320 | Unum Group | 55,079 | ||||||
|
| |||||||
2,508,493 | ||||||||
|
| |||||||
Interactive Media & Services (5.5%): | ||||||||
1,137 | Alphabet, Inc., Class A* | 1,612,323 | ||||||
1,944 | Alphabet, Inc., Class C* | 2,748,058 | ||||||
13,712 | Facebook, Inc., Class A* | 3,113,584 | ||||||
636 | Match Group, Inc.* | 68,084 | ||||||
614 | Zillow Group, Inc., Class C* | 35,373 | ||||||
|
| |||||||
7,577,422 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (4.8%): | ||||||||
2,276 | Amazon.com, Inc.* | 6,279,074 | ||||||
6,519 | eBay, Inc. | 341,922 | ||||||
82 | MercadoLibre, Inc.* | 80,833 | ||||||
|
| |||||||
6,701,829 | ||||||||
|
| |||||||
IT Services (5.4%): | ||||||||
3,790 | Automatic Data Processing, Inc. | 564,293 | ||||||
229 | Black Knight, Inc.* | 16,616 | ||||||
217 | Booz Allen Hamilton Holding Corp. | 16,880 | ||||||
3,364 | Cognizant Technology Solutions Corp., Class A | 191,142 | ||||||
285 | EPAM Systems, Inc.* | 71,823 | ||||||
4,105 | Fidelity National Information Services, Inc. | 550,439 | ||||||
1,838 | Leidos Holdings, Inc. | 172,165 | ||||||
4,508 | MasterCard, Inc., Class A | 1,333,016 | ||||||
4,165 | Paychex, Inc. | 315,499 | ||||||
8,000 | PayPal Holdings, Inc.* | 1,393,841 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
IT Services, continued | ||||||||
351 | Twilio, Inc., Class A* | $ | 77,016 | |||||
1,955 | VeriSign, Inc.* | 404,353 | ||||||
11,953 | Visa, Inc., Class A | 2,308,962 | ||||||
|
| |||||||
7,416,045 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
30 | Polaris, Inc. | 2,777 | ||||||
|
| |||||||
Life Sciences Tools & Services (0.8%): | ||||||||
1,472 | Illumina, Inc.* | 545,155 | ||||||
266 | Mettler-Toledo International, Inc.* | 214,276 | ||||||
1,190 | PRA Health Sciences, Inc.* | 115,775 | ||||||
914 | Waters Corp.* | 164,886 | ||||||
|
| |||||||
1,040,092 | ||||||||
|
| |||||||
Machinery (1.7%): | ||||||||
4,720 | Caterpillar, Inc. | 597,079 | ||||||
2,192 | Cummins, Inc. | 379,786 | ||||||
2,490 | Deere & Co. | 391,304 | ||||||
3,143 | Otis Worldwide Corp. | 178,711 | ||||||
1,635 | Parker Hannifin Corp. | 299,646 | ||||||
2,262 | Pentair plc | 85,933 | ||||||
935 | Snap-On, Inc. | 129,507 | ||||||
1,171 | Timken Co. | 53,269 | ||||||
292 | Woodward, Inc. | 22,645 | ||||||
2,617 | Xylem, Inc. | 170,000 | ||||||
|
| |||||||
2,307,880 | ||||||||
|
| |||||||
Media (1.0%): | ||||||||
27,187 | Comcast Corp., Class A | 1,059,749 | ||||||
626 | Liberty Broadband Corp., Class C* | 77,599 | ||||||
2,408 | Liberty Global plc, Series C* | 51,796 | ||||||
900 | Liberty Latin America, Ltd., Class C* | 8,496 | ||||||
4,793 | News Corp., Class B | 57,276 | ||||||
2,528 | Omnicom Group, Inc. | 138,029 | ||||||
19,225 | Sirius XM Holdings, Inc. | 112,851 | ||||||
|
| |||||||
1,505,796 | ||||||||
|
| |||||||
Metals & Mining (0.2%): | ||||||||
4,636 | Southern Copper Corp. | 184,373 | ||||||
3,497 | Steel Dynamics, Inc. | 91,237 | ||||||
1,665 | Worthington Industries, Inc. | 62,105 | ||||||
|
| |||||||
337,715 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
2,128 | Annaly Capital Management, Inc. | 13,960 | ||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
850 | Nordstrom, Inc. | 13,167 | ||||||
4,331 | Target Corp. | 519,416 | ||||||
|
| |||||||
532,583 | ||||||||
|
| |||||||
Multi-Utilities (1.3%): | ||||||||
5,299 | Ameren Corp. | 372,838 | ||||||
6,141 | CenterPoint Energy, Inc. | 114,652 | ||||||
3,856 | Consolidated Edison, Inc. | 277,362 | ||||||
6,790 | Public Service Enterprise Group, Inc. | 333,796 | ||||||
7,177 | WEC Energy Group, Inc. | 629,065 | ||||||
|
| |||||||
1,727,713 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.5%): | ||||||||
26 | Apache Corp. | 351 | ||||||
1,266 | Cheniere Energy, Inc.* | 61,173 |
See accompanying notes to the financial statements.
4
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
12,127 | Chevron Corp. | $ | 1,082,092 | |||||
7,881 | ConocoPhillips Co. | 331,160 | ||||||
25,922 | Exxon Mobil Corp. | 1,159,233 | ||||||
1,827 | HollyFrontier Corp. | 53,348 | ||||||
5,667 | Marathon Petroleum Corp. | 211,832 | ||||||
4,661 | ONEOK, Inc. | 154,838 | ||||||
3,451 | Phillips 66 | 248,127 | ||||||
3,157 | Valero Energy Corp. | 185,695 | ||||||
|
| |||||||
3,487,849 | ||||||||
|
| |||||||
Personal Products (0.0%†): | ||||||||
555 | Herbalife Nutrition, Ltd.* | 24,964 | ||||||
|
| |||||||
Pharmaceuticals (4.5%): | ||||||||
13,506 | Bristol-Myers Squibb Co. | 794,153 | ||||||
6,144 | Eli Lilly & Co. | 1,008,722 | ||||||
460 | Jazz Pharmaceuticals plc* | 50,756 | ||||||
14,810 | Johnson & Johnson Co. | 2,082,731 | ||||||
16,573 | Merck & Co., Inc. | 1,281,590 | ||||||
32,022 | Pfizer, Inc. | 1,047,119 | ||||||
|
| |||||||
6,265,071 | ||||||||
|
| |||||||
Professional Services (0.2%): | ||||||||
275 | CoStar Group, Inc.* | 195,433 | ||||||
102 | ManpowerGroup, Inc. | 7,013 | ||||||
993 | TransUnion | 86,431 | ||||||
|
| |||||||
288,877 | ||||||||
|
| |||||||
Road & Rail (0.8%): | ||||||||
432 | Canadian Pacific Railway, Ltd. | 110,307 | ||||||
7,948 | CSX Corp. | 554,293 | ||||||
894 | J.B. Hunt Transport Services, Inc. | 107,584 | ||||||
1,481 | Lyft, Inc., Class A* | 48,888 | ||||||
1,280 | Old Dominion Freight Line, Inc. | 217,075 | ||||||
1,047 | Uber Technologies, Inc.* | 32,541 | ||||||
|
| |||||||
1,070,688 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.9%): | ||||||||
8,385 | Advanced Micro Devices, Inc.* | 441,135 | ||||||
3,873 | Analog Devices, Inc. | 474,985 | ||||||
2,350 | Broadcom, Inc. | 741,684 | ||||||
25,263 | Intel Corp. | 1,511,485 | ||||||
3,176 | Marvell Technology Group, Ltd. | 111,351 | ||||||
6,167 | Micron Technology, Inc.* | 317,724 | ||||||
3,589 | NVIDIA Corp. | 1,363,497 | ||||||
8,006 | Qualcomm, Inc. | 730,227 | ||||||
3,528 | Teradyne, Inc. | 298,151 | ||||||
6,504 | Texas Instruments, Inc. | 825,813 | ||||||
|
| |||||||
6,816,052 | ||||||||
|
| |||||||
Software (9.5%): | ||||||||
3,865 | Adobe, Inc.* | 1,682,473 | ||||||
1,202 | ANSYS, Inc.* | 350,659 | ||||||
3,824 | Cadence Design Systems, Inc.* | 366,951 | ||||||
1,556 | Fortinet, Inc.* | 213,592 | ||||||
41,933 | Microsoft Corp. | 8,533,786 | ||||||
2,148 | Nuance Communications, Inc.* | 54,355 | ||||||
15,726 | Oracle Corp. | 869,176 | ||||||
292 | Palo Alto Networks, Inc.* | 67,064 | ||||||
427 | Paycom Software, Inc.* | 132,255 | ||||||
849 | PTC, Inc.* | 66,044 |
Shares | Fair Value | |||||||
Common Stocks+, continued | ||||||||
Software, continued | ||||||||
1,157 | ServiceNow, Inc.* | $ | 468,654 | |||||
1,236 | SS&C Technologies Holdings, Inc. | 69,809 | ||||||
83 | Tyler Technologies, Inc.* | 28,791 | ||||||
738 | Workday, Inc., Class A* | 138,272 | ||||||
244 | Zoom Video Communications, Inc., Class A* | 61,864 | ||||||
|
| |||||||
13,103,745 | ||||||||
|
| |||||||
Specialty Retail (2.6%): | ||||||||
2,051 | American Eagle Outfitters, Inc. | 22,356 | ||||||
369 | Burlington Stores, Inc.* | 72,667 | ||||||
288 | Five Below, Inc.* | 30,790 | ||||||
707 | Foot Locker, Inc. | 20,616 | ||||||
7,906 | Home Depot, Inc. (The) | 1,980,532 | ||||||
6,091 | Lowe’s Cos., Inc. | 823,016 | ||||||
1,017 | Tiffany & Co. | 124,013 | ||||||
11,079 | TJX Cos., Inc. (The) | 560,154 | ||||||
|
| |||||||
3,634,144 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (6.1%): | ||||||||
23,066 | Apple, Inc. | 8,414,477 | ||||||
473 | Dell Technologies, Inc., Class C* | 25,987 | ||||||
|
| |||||||
8,440,464 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.7%): | ||||||||
707 | Lululemon Athletica, Inc.* | 220,591 | ||||||
7,246 | Nike, Inc., Class B | 710,470 | ||||||
|
| |||||||
931,061 | ||||||||
|
| |||||||
Tobacco (0.9%): | ||||||||
16,707 | Altria Group, Inc. | 655,749 | ||||||
7,978 | Philip Morris International, Inc. | 558,939 | ||||||
|
| |||||||
1,214,688 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.0%†): | ||||||||
508 | GATX Corp. | 30,977 | ||||||
801 | HD Supply Holdings, Inc.* | 27,755 | ||||||
|
| |||||||
58,732 | ||||||||
|
| |||||||
Total Common Stocks (Cost $72,329,220) | 134,657,607 | |||||||
|
| |||||||
Purchased Options (1.1%): | ||||||||
Total Purchased Options (Cost $1,535,186) | 1,575,240 | |||||||
|
| |||||||
Unaffiliated Investment Companies (3.8%): | ||||||||
Money Markets (3.8%): | ||||||||
5,197,304 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(a) | 5,197,304 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $5,197,304) | 5,197,304 | |||||||
|
| |||||||
Total Investment Securities (Cost $79,061,710) — 102.1% | 141,430,151 | |||||||
Net other assets (liabilities) — (2.1)% | (2,954,712 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 138,475,439 | ||||||
|
|
See accompanying notes to the financial statements.
5
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
* | Non-income producing security. |
+ | All or a portion of each common stock has been pledged as collateral for outstanding call options written. |
† | Represents less than 0.05%. |
(a) | The rate represents the effective yield at June 30, 2020. |
Options Contracts
At June 30, 2020, 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 | 2750.00 USD | 8/21/20 | 131 | $ | 360,250 | $ | 502,385 | ||||||||||||||
S&P 500 Index | Put | 2800.00 USD | 9/18/20 | 151 | 422,800 | 1,072,855 | ||||||||||||||||
|
| |||||||||||||||||||||
Total (Cost $1,535,186) | $ | 1,575,240 | ||||||||||||||||||||
|
|
At June 30, 2020, 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 | 3025.00 USD | 7/17/20 | 46 | $ | 139,150 | $ | (507,610 | ) | |||||||||||||
S&P 500 Index | Call | 3050.00 USD | 7/17/20 | 48 | 146,400 | (442,560 | ) | |||||||||||||||
S&P 500 Index | Call | 3075.00 USD | 7/17/20 | 48 | 147,600 | (361,440 | ) | |||||||||||||||
S&P 500 Index | Call | 3100.00 USD | 7/17/20 | 48 | 148,800 | (286,800 | ) | |||||||||||||||
S&P 500 Index | Call | 3225.00 USD | 7/31/20 | 46 | 148,350 | (120,520 | ) | |||||||||||||||
S&P 500 Index | Call | 3125.00 USD | 8/21/20 | 48 | 150,000 | (451,440 | ) | |||||||||||||||
S&P 500 Index | Call | 3150.00 USD | 8/21/20 | 48 | 151,200 | (385,440 | ) | |||||||||||||||
S&P 500 Index | Call | 3200.00 USD | 8/21/20 | 49 | 156,800 | (274,400 | ) | |||||||||||||||
S&P 500 Index | Call | 3300.00 USD | 8/21/20 | 48 | 158,400 | (113,040 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total (Premiums $4,139,019) | $ | (2,943,250 | ) | |||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
Balances Reported in the Statement of Assets and Liabilities for Options Written
Value | ||||
Options Written | $ | (2,943,250 | ) |
See accompanying notes to the financial statements.
6
AZL Gateway Fund
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 79,061,710 | |||
|
| ||||
Investment securities, at value | $ | 141,430,151 | |||
Cash | 2,288 | ||||
Interest and dividends receivable | 98,221 | ||||
Receivable for capital shares issued | 15,875 | ||||
Reclaims receivable | 1,812 | ||||
Prepaid expenses | 260 | ||||
|
| ||||
Total Assets | 141,548,607 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 220 | ||||
Written Options (Premiums received $4,139,019) | 2,943,250 | ||||
Manager fees payable | 89,479 | ||||
Administration fees payable | 2,189 | ||||
Distribution fees payable | 27,962 | ||||
Custodian fees payable | 981 | ||||
Administrative and compliance services fees payable | 269 | ||||
Transfer agent fees payable | 1,093 | ||||
Trustee fees payable | 1,657 | ||||
Other accrued liabilities | 6,068 | ||||
|
| ||||
Total Liabilities | 3,073,168 | ||||
|
| ||||
Net Assets | $ | 138,475,439 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 95,136,420 | |||
Total distributable earnings | 43,339,019 | ||||
|
| ||||
Net Assets | $ | 138,475,439 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 10,309,664 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.43 | |||
|
|
For the Six Months Ended June 30, 2020 (Unaudited)
Investment Income: | |||||
Dividends | $ | 1,347,504 | |||
Foreign withholding tax | (626 | ) | |||
|
| ||||
Total Investment Income | 1,346,878 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 546,325 | ||||
Administration fees | 27,119 | ||||
Distribution fees | 170,727 | ||||
Custodian fees | 2,501 | ||||
Administrative and compliance services fees | 1,260 | ||||
Transfer agent fees | 2,676 | ||||
Trustee fees | 3,994 | ||||
Professional fees | 3,542 | ||||
Shareholder reports | 3,135 | ||||
Other expenses | 1,763 | ||||
|
| ||||
Total expenses | 763,042 | ||||
|
| ||||
Net Investment Income/(Loss) | 583,836 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | 11,266,927 | ||||
Net realized gains/(losses) on written options contracts | (7,816,362 | ) | |||
Change in net unrealized appreciation/depreciation on securities | (11,147,834 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 2,656,282 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (5,040,987 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (4,457,151 | ) | ||
|
|
See accompanying notes to the financial statements.
7
AZL Gateway Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 583,836 | $ | 1,536,335 | ||||||
Net realized gains/(losses) on investments | 3,450,565 | (16,196,484 | ) | |||||||
Change in unrealized appreciation/depreciation on investments | (8,491,552 | ) | 30,173,513 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (4,457,151 | ) | 15,513,364 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (1,477,781 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (1,477,781 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 12,091,162 | 4,817,499 | ||||||||
Proceeds from dividends reinvested | — | 1,477,781 | ||||||||
Value of shares redeemed | (20,119,425 | ) | (17,161,872 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (8,028,263 | ) | (10,866,592 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (12,485,414 | ) | 3,168,991 | |||||||
Net Assets: | ||||||||||
Beginning of period | 150,960,853 | 147,791,862 | ||||||||
|
|
|
| |||||||
End of period | $ | 138,475,439 | $ | 150,960,853 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 918,202 | 366,473 | ||||||||
Dividends reinvested | — | 111,784 | ||||||||
Shares redeemed | (1,581,010 | ) | (1,289,868 | ) | ||||||
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Change in shares | (662,808 | ) | (811,611 | ) | ||||||
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See accompanying notes to the financial statements.
8
AZL Gateway Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.76 | $ | 12.54 | $ | 13.32 | $ | 12.29 | $ | 11.96 | $ | 11.87 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | (a) | 0.13 | (a) | 0.18 | 0.12 | 0.17 | 0.15 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.39 | ) | 1.22 | (0.79 | ) | 1.04 | 0.40 | 0.08 | ||||||||||||||||||||||
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Total from Investment Activities | (0.33 | ) | 1.35 | (0.61 | ) | 1.16 | 0.57 | 0.23 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.17 | ) | (0.13 | ) | (0.24 | ) | (0.14 | ) | |||||||||||||||||||
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Total Dividends | — | (0.13 | ) | (0.17 | ) | (0.13 | ) | (0.24 | ) | (0.14 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 13.43 | $ | 13.76 | $ | 12.54 | $ | 13.32 | $ | 12.29 | $ | 11.96 | ||||||||||||||||||
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Total Return(b) | (2.40 | )%(c) | 10.82 | % | (4.65 | )% | 9.46 | % | 4.84 | % | 1.98 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 138,475 | $ | 150,961 | $ | 147,792 | $ | 213,295 | $ | 178,951 | $ | 200,708 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.86 | % | 1.01 | % | 0.93 | % | 1.06 | % | 1.19 | % | 1.11 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Portfolio Turnover Rate | 21 | %(c) | 19 | % | 9 | % | 24 | % | 20 | % | 5 | % |
(a) | Calculated using the average shares method. |
(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 Gateway Fund
Notes to the Financial Statements
June 30, 2020 (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 21 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Gateway Fund (the “Fund”), and 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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
10
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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, 2020, the monthly average notional amount for written options contracts was $1.3 million. Realized gains and losses are reported as “Net realized gains/(losses) on written 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, 2020:
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 | ||||||||||||
Options Contracts | Written Options Contracts | $ | 2,943,250 |
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, 2020:
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 | ||||||||||
Options Contracts | Net realized gains/(losses) on written options contracts/Change in net unrealized appreciation/depreciation on written options contracts | $ | (7,816,362 | ) | $2,656,282 |
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, 2021.
11
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
For the period ended June 30, 2020, 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, 2020, 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, 2020, 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 SEC. 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, 2020, $585 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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. 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
12
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 134,657,607 | $ | — | $ | — | $ | 134,657,607 | ||||||||||||
Purchased Options | 1,575,240 | — | — | 1,575,240 | ||||||||||||||||
Unaffiliated Investment Companies | 5,197,304 | — | — | 5,197,304 | ||||||||||||||||
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Total Investment Securities | 141,430,151 | — | — | 141,430,151 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Written Options | (2,943,250 | ) | — | — | (2,943,250 | ) | ||||||||||||||
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Total Investments | $ | 138,486,901 | $ | — | $ | — | $ | 138,486,901 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 28,105,868 | $ | 38,601,354 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $79,910,604. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 73,732,494 | ||
Unrealized (depreciation) | (2,584,970 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 71,147,524 | ||
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13
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Gateway Fund | $ | 17,537,382 | $ | 9,257,421 | $ | 26,794,803 |
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Gateway Fund | $ | 1,477,781 | $ | — | $ | 1,477,781 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 Gateway Fund | $ | 1,491,118 | $ | — | $ | (26,794,804 | ) | $ | 73,099,856 | $ | 47,796,170 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of options contracts and other miscellaneous differences. |
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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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.
14
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-PORT. 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.
15
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
16
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Government Money Market Fund
Semi-Annual Report
June 30, 2020
(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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,000.00 | $ | 1,002.10 | $ | 2.69 | 0.54 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,000.00 | $ | 1,022.18 | $ | 2.72 | 0.54 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Government Agency Mortgages | 45.2 | % | |||
Repurchase Agreements | 38.6 | ||||
U.S. Treasury Obligations | 16.0 | ||||
|
| ||||
Total Investment Securities | 99.8 | ||||
Net other assets (liabilities) | 0.2 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages (45.2%): | ||||||||
Federal Farm Credit Bank (11.3%): | ||||||||
$ | 85,000 | 1.79%, 7/7/20(a) | $ | 84,975 | ||||
1,850,000 | 1.62%, 8/14/20(a) | 1,846,382 | ||||||
1,555,000 | 0.14%(US0001M-5bps), 8/17/20 | 1,555,000 | ||||||
3,955,000 | 1.56%, 9/3/20(a) | 3,944,102 | ||||||
2,180,000 | 0.15%(US0001M-4bps), 9/11/20 | 2,179,987 | ||||||
1,060,000 | 1.62%, 9/28/20(a) | 1,055,807 | ||||||
1,285,000 | 0.52%, 10/2/20(a) | 1,283,274 | ||||||
3,135,000 | 0.14%, 11/12/20(a) | 3,133,366 | ||||||
4,000,000 | 0.20%, 11/30/20(a) | 3,996,622 | ||||||
6,215,000 | 1.51%, 12/8/20(a) | 6,173,459 | ||||||
2,325,000 | 0.21%(US0001M+3bps), 12/14/20 | 2,324,957 | ||||||
230,000 | 0.18%(FEDL01+10bps), 12/16/20 | 230,000 | ||||||
860,000 | 0.16%(SOFR+8bps), 1/14/21 | 860,000 | ||||||
2,000,000 | 0.18%(SOFR+11bps), 1/15/21 | 2,000,000 | ||||||
2,565,000 | 0.34%, 1/19/21(a) | 2,560,107 | ||||||
570,000 | 0.89%, 1/20/21(a) | 567,172 | ||||||
2,255,000 | 0.43%, 2/12/21(a) | 2,248,913 | ||||||
2,000,000 | 0.17%, 3/11/21(a) | 1,997,611 | ||||||
1,270,000 | 0.20%(US0001M ), 3/17/21 | 1,269,943 | ||||||
2,125,000 | 0.27%, 3/17/21(a) | 2,120,872 | ||||||
3,015,000 | 0.19%, 6/1/21(a) | 3,009,669 | ||||||
1,785,000 | 0.42%(USBMMY3M+26bps), 6/17/21 | 1,784,830 | ||||||
1,500,000 | 0.33%(US0001M+16bps), 7/1/21 | 1,500,000 | ||||||
990,000 | 0.38%(USBMMY3M+23bps), 7/8/21 | 990,000 | ||||||
480,000 | 0.29%(US0001M+11bps), 7/9/21 | 480,000 | ||||||
370,000 | 0.31%(US0001M+13bps), 10/8/21 | 370,000 | ||||||
535,000 | 0.30%(US0001M+11bps), 11/12/21 | 535,000 | ||||||
880,000 | 0.27%(SOFR+19bps), 11/18/21 | 880,000 | ||||||
1,280,000 | 0.40%(USBMMY3M+15bps), 12/13/21 | 1,278,151 | ||||||
1,955,000 | 0.26%(SOFR+18bps), 1/14/22 | 1,955,000 | ||||||
4,000,000 | 0.43%, 2/8/22 | 4,000,000 | ||||||
685,000 | 0.28%(USBMMY3M+12bps), 5/2/22 | 684,924 | ||||||
|
| |||||||
58,900,123 | ||||||||
|
| |||||||
Federal Home Loan Bank (28.3%): | ||||||||
9,075,000 | 1.58%, 7/6/20(a) | 9,073,020 | ||||||
3,280,000 | 0.17%, 7/8/20(a) | 3,279,892 | ||||||
3,620,000 | 0.18%(US0001M+1bps), 7/10/20 | 3,620,000 | ||||||
9,000,000 | 0.10%, 7/10/20(a) | 8,999,775 | ||||||
1,975,000 | 1.57%, 7/15/20(a) | 1,973,802 | ||||||
4,960,000 | 0.11%, 7/22/20(a) | 4,959,654 | ||||||
600,000 | 0.15%(SOFR+8bps), 7/24/20 | 600,000 | ||||||
7,835,000 | 1.56%, 7/31/20(a) | 7,824,788 | ||||||
1,290,000 | 0.15%(US0001M-3bps), 8/4/20 | 1,290,000 | ||||||
11,550,000 | 0.12%, 8/5/20(a) | 11,548,663 | ||||||
785,000 | 0.11%(SOFR+3bps), 8/5/20 | 785,000 | ||||||
3,310,000 | 1.55%, 8/14/20(a) | 3,303,598 | ||||||
2,870,000 | 1.10%, 8/17/20(a) | 2,865,897 | ||||||
1,135,000 | 0.10%(SOFR+2bps), 8/19/20 | 1,135,000 | ||||||
7,865,000 | 0.25%, 8/20/20(a) | 7,862,269 | ||||||
1,480,000 | 0.14%(US0001M-5bps), 8/20/20 | 1,480,000 | ||||||
2,010,000 | 1.54%, 8/21/20(a) | 2,005,658 | ||||||
530,000 | 0.11%(SOFR+3bps), 8/21/20 | 530,000 | ||||||
630,000 | 0.94%, 8/28/20(a) | 629,046 | ||||||
3,600,000 | 0.10%(SOFR+2bps), 8/28/20 | 3,600,000 | ||||||
4,415,000 | 0.52%, 9/1/20(a) | 4,411,046 | ||||||
3,165,000 | 0.17%(SOFR+9bps), 9/11/20 | 3,165,000 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Bank, continued | ||||||||
$ | 2,100,000 | 0.18%(SOFR+11bps), 10/1/20 | $ | 2,100,000 | ||||
1,170,000 | 1.65%, 10/1/20 | 1,172,833 | ||||||
1,295,000 | 0.20%(SOFR+12bps), 10/7/20 | 1,295,000 | ||||||
10,100,000 | 0.21%(SOFR+13bps), 10/16/20 | 10,100,000 | ||||||
2,935,000 | 0.18%(US0003M-13bps), 12/21/20 | 2,935,000 | ||||||
3,000,000 | 0.18%(SOFR+10bps), 12/23/20 | 3,000,000 | ||||||
1,600,000 | 1.18%(US0003M-17bps), 1/8/21 | 1,600,000 | ||||||
670,000 | 0.13%(SOFR+5bps), 1/22/21 | 670,000 | ||||||
4,020,000 | 0.12%(SOFR+4bps), 2/9/21 | 4,019,584 | ||||||
1,180,000 | 0.16%(SOFR+8bps), 3/4/21 | 1,180,000 | ||||||
1,915,000 | 0.20%(SOFR+12bps), 3/12/21 | 1,915,000 | ||||||
1,040,000 | 0.19%(SOFR+11bps), 3/25/21 | 1,040,000 | ||||||
3,535,000 | 0.16%(US0001M-1bps), 4/5/21 | 3,535,000 | ||||||
2,090,000 | 0.25%(SOFR+17bps), 4/9/21 | 2,090,000 | ||||||
1,785,000 | 0.19%(US0001M-2bps), 4/27/21 | 1,784,575 | ||||||
2,940,000 | 0.20%, 4/29/21(a) | 2,935,067 | ||||||
5,680,000 | 0.24%(SOFR+16bps), 5/7/21 | 5,680,000 | ||||||
2,150,000 | 0.20%, 6/11/21(a) | 2,145,879 | ||||||
3,180,000 | 0.21%, 6/17/21 | 3,179,761 | ||||||
1,420,000 | 0.15%(SOFR+8bps), 7/8/21 | 1,420,000 | ||||||
945,000 | 0.15%(SOFR+8bps), 7/23/21 | 945,000 | ||||||
3,230,000 | 0.17%(SOFR+9bps), 9/10/21 | 3,230,000 | ||||||
2,585,000 | 0.20%(SOFR+12bps), 2/28/22 | 2,585,000 | ||||||
|
| |||||||
145,499,807 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (3.9%): | ||||||||
5,780,000 | 0.46%, 7/17/20(a) | 5,777,321 | ||||||
1,475,000 | 0.67%, 7/24/20(a) | 1,474,369 | ||||||
2,270,000 | 0.66%, 7/28/20(a) | 2,268,876 | ||||||
1,535,000 | 0.10%(SOFR+3bps), 2/26/21 | 1,535,000 | ||||||
4,115,000 | 0.40%(SOFR+12bps), 6/4/21 | 4,107,244 | ||||||
3,070,000 | 0.40%(SOFR+32bps), 9/23/21 | 3,070,000 | ||||||
2,275,000 | 0.26%(SOFR+18bps), 12/13/21 | 2,275,000 | ||||||
|
| |||||||
20,507,810 | ||||||||
|
| |||||||
Federal National Mortgage Association (1.7%): | ||||||||
1,500,000 | 0.67%, 7/24/20(a) | 1,499,358 | ||||||
1,485,000 | 0.15%(SOFR+7bps), 12/11/20 | 1,485,000 | ||||||
2,685,000 | 0.43%(SOFR+35bps), 4/7/22 | 2,685,000 | ||||||
2,935,000 | 0.47%(SOFR+39bps), 4/15/22 | 2,935,000 | ||||||
|
| |||||||
8,604,358 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $233,512,098) | 233,512,098 | |||||||
|
| |||||||
U.S. Treasury Obligations (16.0%): | ||||||||
U.S. Treasury Notes (3.0%): | ||||||||
1,090,000 | 0.30%(USBMMY3M+4bps), 7/31/20 | 1,089,906 | ||||||
5,000,000 | 0.30%(USBMMY3M+5bps), 10/31/20 | 4,998,239 | ||||||
1,280,000 | 1.63%, 11/15/20 | 1,284,638 | ||||||
430,000 | 1.61%, 11/15/20 | 430,216 | ||||||
305,000 | 1.66%, 11/30/20 | 305,425 | ||||||
515,000 | 1.67%, 11/30/20 | 514,914 | ||||||
760,000 | 0.36%, 1/15/21 | 766,699 | ||||||
370,000 | 0.37%(USBMMY3M+14bps), 4/30/21 | 369,747 | ||||||
4,000,000 | 0.37%(USBMMY3M+22bps), 7/31/21 | 4,000,000 | ||||||
1,410,000 | 0.39%(USBMMY3M+30bps), 10/31/21 | 1,411,118 | ||||||
|
| |||||||
15,170,902 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Bills (13.0%): | ||||||||
$ | 8,000,000 | 0.11%, 7/7/20(a) | $ | 7,999,852 | ||||
8,000,000 | 0.13%, 7/23/20(a) | 7,999,388 | ||||||
4,855,000 | 0.12%, 7/30/20(a) | 4,854,502 | ||||||
8,000,000 | 0.14%, 8/4/20(a) | 7,998,941 | ||||||
740,000 | 0.97%, 8/6/20(a) | 739,297 | ||||||
5,775,000 | 0.12%, 8/18/20(a) | 5,774,099 | ||||||
2,400,000 | 0.87%, 8/27/20(a) | 2,396,753 | ||||||
1,480,000 | 0.83%, 9/3/20(a) | 1,477,856 | ||||||
1,020,000 | 1.79%, 9/10/20(a) | 1,016,500 | ||||||
2,355,000 | 0.29%, 10/15/20(a) | 2,352,993 | ||||||
6,045,000 | 0.15%, 10/22/20(a) | 6,042,103 | ||||||
555,000 | 0.15%, 10/29/20(a) | 554,720 | ||||||
2,845,000 | 0.18%, 11/10/20(a) | 2,843,147 | ||||||
5,845,000 | 0.18%, 11/24/20(a) | 5,840,644 | ||||||
1,495,000 | 0.16%, 12/1/20(a) | 1,493,958 | ||||||
5,000,000 | 0.18%, 2/25/21(a) | 4,994,025 | ||||||
3,485,000 | 0.16%, 5/20/21(a) | 3,479,997 | ||||||
|
| |||||||
67,858,775 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $83,029,677) | 83,029,677 | |||||||
|
| |||||||
Repurchase Agreements (38.6%): | ||||||||
32,000,000 | Bank of Nova Scotia, 0.07%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $32,000,062, Collateralized by U.S. Treasury Obligations, 0.13% - 3.13%, 5/15/22 - 5/15/49, fair value of $32,640,064 | 32,000,000 | ||||||
35,000,000 | BNP Paribas, 0.09%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $35,000,088, Collateralized by U.S. Government Agency and U.S. Treasury Obligations, 0.00% - 5.00%, 7/14/20 - 12/20/49, fair value of $35,700,062 | 35,000,000 | ||||||
45,000,000 | Citigroup Global Markets, 0.09%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $45,000,113, Collateralized by U.S. Treasury Obligations, 0.00% - 2.13%, 7/28/20 - 8/15/26, fair value of $45,900,032 | 45,000,000 |
Principal Amount | Fair Value | |||||||
Repurchase Agreements, continued | ||||||||
$ | 20,000,000 | Mitsubishi UFJ Securities USA, Inc., 0.07%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $20,000,039, Collateralized by U.S. Treasury Obligations, 1.13% - 1.38%, 8/31/20 - 9/30/21, fair value of $20,400,034 | $ | 20,000,000 | ||||
10,000,000 | Natixis S.A., 0.07%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $10,000,019, Collateralized by U.S. Treasury Obligations, 0.25% - 3.00%, 11/30/21 - 2/15/45, fair value of $10,200,085 | 10,000,000 | ||||||
13,000,000 | Natixis S.A., 0.09%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $13,000,033, Collateralized by U.S. Government Agency and U.S. Treasury Obligations, 0.00% - 6.50%, 1/15/21 - 7/1/50, fair value of $13,265,041 | 13,000,000 | ||||||
30,000,000 | Toronto Dominion Bank NY, 0.07%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $30,000,058, Collateralized by U.S. Treasury Obligations, 0.50% - 2.63%, 2/28/21 - 2/15/29, fair value of $30,600,064 | 30,000,000 | ||||||
15,000,000 | Toronto Dominion Bank NY, 0.09%, 7/1/20, Purchased on 6/30/20, proceeds at maturity $15,000,038, Collateralized by U.S. Government Agency Obligations, 3.00% - 5.00%, 6/1/23 - 10/20/49, fair value of $15,430,199 | 15,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements (Cost $200,000,000) | 200,000,000 | |||||||
|
| |||||||
Total Investment Securities (Cost $516,541,775) — 99.8% | 516,541,775 | |||||||
Net other assets (liabilities) — 0.2% | 1,052,877 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 517,594,652 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
FEDL01—Effective Federal Fund Rate
LIBOR—London Interbank Offered Rate
SOFR—Secured Overnight Financing Rate
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USBMMY3M—3 Month Treasury Bill Rate
(a) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
3
AZL Government Money Market Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 316,541,775 | |||
|
| ||||
Investment securities, at value | $ | 316,541,775 | |||
Repurchase agreements, at value/cost | 200,000,000 | ||||
Cash | 810,065 | ||||
Interest and dividends receivable | 59,121 | ||||
Receivable for investments sold | 894,748 | ||||
Prepaid expenses | 3,379 | ||||
|
| ||||
Total Assets | 518,309,088 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 554,720 | ||||
Manager fees payable | 24,548 | ||||
Distribution fees payable | 101,665 | ||||
Custodian fees payable | 1,858 | ||||
Administrative and compliance services fees payable | 1,345 | ||||
Transfer agent fees payable | 714 | ||||
Trustee fees payable | 6,785 | ||||
Other accrued liabilities | 22,801 | ||||
|
| ||||
Total Liabilities | 714,436 | ||||
|
| ||||
Net Assets | $ | 517,594,652 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 517,590,657 | |||
Total distributable earnings | 3,995 | ||||
|
| ||||
Net Assets | $ | 517,594,652 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 517,590,780 | ||||
Net Asset Value (offering and redemption price per share) | $ | 1.00 | |||
|
|
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 2,211,122 | |||
|
| ||||
Total Investment Income | 2,211,122 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 845,052 | ||||
Administration fees | 61,144 | ||||
Distribution fees | 603,611 | ||||
Custodian fees | 4,689 | ||||
Administrative and compliance services fees | 4,204 | ||||
Transfer agent fees | 2,692 | ||||
Trustee fees | 13,910 | ||||
Professional fees | 12,771 | ||||
Shareholder reports | 12,251 | ||||
Other expenses | 4,949 | ||||
|
| ||||
Total expenses before reductions | 1,565,273 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (262,766 | ) | |||
|
| ||||
Net expenses | 1,302,507 | ||||
|
| ||||
Net Investment Income/(Loss) | 908,615 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | 2,124 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 2,124 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 910,739 | |||
|
|
See accompanying notes to the financial statements.
4
AZL Government Money Market Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 908,615 | $ | 6,138,006 | ||||||
Net realized gains/(losses) on investments | 2,124 | 1,873 | ||||||||
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Change in net assets resulting from operations | 910,739 | 6,139,879 | ||||||||
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Distributions to Shareholders: | ||||||||||
Distributions | (908,616 | ) | (6,138,916 | ) | ||||||
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Change in net assets resulting from distributions to shareholders | (908,616 | ) | (6,138,916 | ) | ||||||
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Capital Transactions: | ||||||||||
Proceeds from shares issued | 333,843,041 | 514,742,474 | ||||||||
Proceeds from dividends reinvested | 908,615 | 6,138,917 | ||||||||
Value of shares redeemed | (298,683,106 | ) | (492,533,087 | ) | ||||||
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Change in net assets resulting from capital transactions | 36,068,550 | 28,348,304 | ||||||||
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Change in net assets | 36,070,673 | 28,349,267 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 481,523,979 | 453,174,712 | ||||||||
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End of period | $ | 517,594,652 | $ | 481,523,979 | ||||||
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Share Transactions: | ||||||||||
Shares issued | 333,843,040 | 514,742,475 | ||||||||
Dividends reinvested | 908,615 | 6,138,917 | ||||||||
Shares redeemed | (298,683,106 | ) | (492,533,087 | ) | ||||||
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Change in shares | 36,068,549 | 28,348,305 | ||||||||
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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 June 30, 2020 | Year Ended 2019 | Year Ended 2018 | Year Ended 2017 | Year Ended 2016 | Year Ended 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | — | (a)(b) | 0.01 | (b) | 0.01 | — | (a) | — | (a) | — | (a) | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
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Total from Investment Activities | — | (a) | 0.01 | 0.01 | — | — | — | |||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (a) | (0.01 | ) | (0.01 | ) | — | (a) | — | — | ||||||||||||||||||||
Net Realized Gains | — | — | — | — | (a) | — | (a) | — | (a) | |||||||||||||||||||||
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Total Dividends | — | (a) | (0.01 | ) | (0.01 | ) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
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Net Asset Value, End of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
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Total Return(c) | 0.21 | %(d) | 1.39 | % | 1.01 | % | 0.05 | % | 0.01 | % | 0.01 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 517,595 | $ | 481,524 | $ | 453,175 | $ | 490,632 | $ | 663,004 | $ | 687,635 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 0.38 | % | 1.37 | % | 1.00 | % | 0.04 | % | — | — | ||||||||||||||||||||
Expenses Before Reductions(e)(f) | 0.65 | % | 0.88 | % | 0.87 | % | 0.87 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 0.54 | %(g) | 0.87 | %(g) | 0.87 | % | 0.87 | % | 0.44 | %(g) | 0.26 | %(g) |
(a) | Represents less than $0.005. |
(b) | Calculated using the average shares method. |
(c) | 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. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | The expense ratio for the period reflects the reduction of certain expenses to maintain a certain minimum yield. |
See accompanying notes to the financial statements.
6
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
Distributions 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 distributions 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. Distributions 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
June 30, 2020 (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, 2020, the Fund did not engage in any Rule 17a-7 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 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, 2021.
For the period ended June 30, 2020, 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 voluntarily reduced the management fee to 0.34% on all assets. The manager reserves the right to increase the management fee to the amount shown in the table at any time. |
The Manager has voluntarily agreed to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily yield 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, 2020 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, 2020, the reimbursements subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2023 | Total | |||||||||
AZL Government Money Market Fund | $ | 238,623 | $ | 238,623 |
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, 2020, there were $24,143 of 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 SEC. 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.
8
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, $2,036 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
The Fund, which operates as a government money market fund, is eligible and has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act. This involves valuing an instrument at its cost initially and thereafter assuming a constant accretion or amortization to maturity of any discount or premium, respectively, regardless of the impact of fluctuating interest rates on the market value of the instrument. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price the Fund would receive if it sold the investment.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
U.S. Government Agency Mortgages | $ | — | $ | 233,512,098 | $ | — | $ | 233,512,098 | ||||||||||||
U.S. Treasury Obligations | — | 83,029,677 | — | 83,029,677 | ||||||||||||||||
Repurchase Agreements | — | 200,000,000 | — | 200,000,000 | ||||||||||||||||
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Total Investments | $ | — | $ | 516,541,775 | $ | — | $ | 516,541,775 | ||||||||||||
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5. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom FinancialConduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Repurchase Agreement Risk: The Fund may invest in repurchase agreements as a principal strategy. There is a potential for loss to the Fund if the seller defaults and the Fund is delayed or prevented from exercising its rights to dispose of the collateral securities. It is possible the fair value of the collateral securities could decline in value during the period in which the Fund seeks to assert its rights.
6. 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.
9
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2019 was $480,801,436. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | — | ||
Unrealized (depreciation) | — | |||
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Net unrealized appreciation/(depreciation) | $ | — | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Government Money Market Fund | $ | 6,138,916 | $ | — | $ | 6,138,916 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Government Money Market Fund | $ | 1,872 | $ | — | $ | — | $ | — | $ | 1,872 |
7. 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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
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-PORT. 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.
11
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® International Index Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 13 |
Page 13 |
Statements of Changes in Net Assets Page 14 |
Page 15 |
Notes to the Financial Statements Page 16 |
Page 22 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL International Index Fund, Class 1 | $ | 1,000.00 | $ | 887.30 | $ | 2.11 | 0.45 | % | ||||||||||||
AZL International Index Fund, Class 2 | $ | 1,000.00 | $ | 885.60 | $ | 3.28 | 0.70 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL International Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.63 | $ | 2.26 | 0.45 | % | ||||||||||||
AZL International Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.38 | $ | 3.52 | 0.70 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Japan | 25.0 | % | |||
United Kingdom | 13.6 | ||||
Switzerland | 10.4 | ||||
France | 10.2 | ||||
Germany | 9.1 | ||||
Australia | 7.0 | ||||
Netherlands | 4.2 | ||||
Hong Kong | 3.2 | ||||
Sweden | 2.9 | ||||
Spain | 2.4 | ||||
All other countries | 10.8 | ||||
|
| ||||
Total Common and Preferred Stocks | 98.8 | ||||
Rights | — | † | |||
Short-Term Securities Held as Collateral for Securities on Loan | 3.1 | ||||
Unaffiliated Investment Companies | — | † | |||
|
| ||||
Total Investment Securities | 101.9 | ||||
Net other assets (liabilities) | (1.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.4%): | ||||||||
Aerospace & Defense (1.0%): | ||||||||
62,011 | Airbus SE* | $ | 4,412,257 | |||||
342,186 | BAE Systems plc | 2,046,409 | ||||||
260 | Dassault Aviation SA* | 239,371 | ||||||
2,648 | Elbit Systems, Ltd. | 364,733 | ||||||
46,044 | Leonardo SpA | 304,605 | ||||||
5,574 | MTU Aero Engines AG* | 963,256 | ||||||
209,920 | Rolls-Royce Holdings plc | 740,847 | ||||||
34,324 | Safran SA* | 3,433,221 | ||||||
151,200 | Singapore Technologies Engineering, Ltd. | 358,885 | ||||||
11,384 | Thales SA | 918,196 | ||||||
|
| |||||||
13,781,780 | ||||||||
|
| |||||||
Air Freight & Logistics (0.4%): | ||||||||
80,642 | Bollore, Inc. | 252,896 | ||||||
103,817 | Deutsche Post AG* | 3,786,894 | ||||||
17,400 | SG Holdings Co., Ltd. | 567,790 | ||||||
33,000 | Yamato Holdings Co., Ltd. | 713,403 | ||||||
|
| |||||||
5,320,983 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
11,500 | ANA Holdings, Inc.^ | 261,575 | ||||||
24,510 | Deutsche Lufthansa AG, Registered Shares*^ | 245,604 | ||||||
11,770 | Japan Airlines Co., Ltd. | 212,188 | ||||||
83,673 | Qantas Airways, Ltd. | 219,137 | ||||||
131,950 | Singapore Airlines, Ltd. | 355,974 | ||||||
|
| |||||||
1,294,478 | ||||||||
|
| |||||||
Auto Components (0.8%): | ||||||||
17,400 | Aisin Sieki Co., Ltd. | 507,136 | ||||||
56,000 | Bridgestone Corp.^ | 1,802,061 | ||||||
18,264 | Compagnie Generale des Establissements Michelin SCA, Class B* | 1,891,924 | ||||||
11,503 | Continental AG* | 1,123,459 | ||||||
46,300 | Denso Corp. | 1,806,478 | ||||||
7,093 | Faurecia SA* | 276,517 | ||||||
10,300 | Koito Manufacturing Co., Ltd. | 414,684 | ||||||
15,600 | NGK Spark Plug Co., Ltd. | 223,534 | ||||||
35,055 | Pirelli & C SpA* | 148,457 | ||||||
15,200 | Stanley Electric Co., Ltd. | 366,091 | ||||||
80,600 | Sumitomo Electric Industries, Ltd. | 927,201 | ||||||
19,400 | Sumitomo Rubber Industries, Ltd.^ | 191,112 | ||||||
7,200 | Toyoda Gosei Co., Ltd. | 149,807 | ||||||
16,200 | Toyota Industries Corp. | 857,843 | ||||||
24,500 | Valeo SA | 641,703 | ||||||
14,700 | Yokohama Rubber Co., Ltd. (The)^ | 206,601 | ||||||
|
| |||||||
11,534,608 | ||||||||
|
| |||||||
Automobiles (2.5%): | ||||||||
35,373 | Bayerische Motoren Werke AG (BMW) | 2,253,396 | ||||||
91,426 | Daimler AG, Registered Shares* | 3,705,509 | ||||||
13,292 | Ferrari NV | 2,264,701 | ||||||
115,632 | Fiat Chrysler Automobiles NV* | 1,159,829 | ||||||
171,800 | Honda Motor Co., Ltd.^ | 4,392,807 | ||||||
57,100 | Isuzu Motors, Ltd. | 515,704 | ||||||
55,200 | Mazda Motor Corp. | 331,017 | ||||||
79,200 | Mitsubishi Motors Corp. | 195,503 | ||||||
241,200 | Nissan Motor Co., Ltd. | 893,514 | ||||||
62,831 | PSA Peugeot Citroen SA* | 1,019,824 | ||||||
20,695 | Renault SA* | 523,797 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
65,700 | Subaru Corp. | $ | 1,366,493 | |||||
39,300 | Suzuki Motor Corp. | 1,333,639 | ||||||
224,766 | Toyota Motor Corp. | 14,101,896 | ||||||
3,517 | Volkswagen AG* | 564,454 | ||||||
28,200 | Yamaha Motor Co., Ltd. | 441,897 | ||||||
|
| |||||||
35,063,980 | ||||||||
|
| |||||||
Banks (7.5%): | ||||||||
44,661 | ABN AMRO Group NV | 383,857 | ||||||
13,500 | Aozora Bank, Ltd. | 235,050 | ||||||
298,452 | Australia & New Zealand Banking Group, Ltd. | 3,861,191 | ||||||
714,222 | Banco Bilbao Vizcaya Argentaria SA | 2,453,059 | ||||||
1,751,967 | Banco Santander SA | 4,271,830 | ||||||
120,319 | Bank Hapoalim BM | 721,234 | ||||||
162,413 | Bank Leumi Le-Israel Corp. | 819,012 | ||||||
128,600 | Bank of East Asia, Ltd. (The) | 293,966 | ||||||
6,900 | Bank of Kyoto, Ltd. (The) | 244,554 | ||||||
67,553 | Bankinter SA | 321,582 | ||||||
3,273 | Banque Cantonale Vaudois, Registered Shares | 317,966 | ||||||
1,853,894 | Barclays plc | 2,622,402 | ||||||
118,709 | BNP Paribas SA* | 4,705,600 | ||||||
394,000 | BOC Hong Kong Holdings, Ltd. | 1,251,008 | ||||||
372,132 | CaixaBank SA | 792,994 | ||||||
62,300 | Chiba Bank, Ltd. (The) | 293,695 | ||||||
107,038 | Commerzbank AG* | 476,512 | ||||||
188,107 | Commonwealth Bank of Australia | 9,056,475 | ||||||
113,100 | Concordia Financial Group, Ltd. | 362,115 | ||||||
122,617 | Credit Agricole SA* | 1,158,113 | ||||||
74,983 | Danske Bank A/S | 997,451 | ||||||
191,800 | DBS Group Holdings, Ltd. | 2,869,663 | ||||||
101,300 | DNB ASA* | 1,340,912 | ||||||
31,056 | Erste Group Bank AG* | 729,728 | ||||||
64,240 | Finecobank Banca Fineco SpA* | 865,569 | ||||||
16,300 | Fukuoka Financial Group, Inc. | 257,284 | ||||||
81,700 | Hang Seng Bank, Ltd. | 1,379,481 | ||||||
2,161,360 | HSBC Holdings plc | 10,114,936 | ||||||
417,400 | ING Groep NV | 2,899,366 | ||||||
1,594,203 | Intesa Sanpaolo SpA | 3,045,250 | ||||||
117,795 | Isreal Discount Bank | 360,725 | ||||||
39,400 | Japan Post Bank Co., Ltd. | 293,027 | ||||||
26,676 | KBC Group NV | 1,527,712 | ||||||
7,513,814 | Lloyds Banking Group plc | 2,898,115 | ||||||
101,160 | Mebuki Financial Group, Inc. | 234,536 | ||||||
61,717 | Mediobanca SpA | 442,177 | ||||||
1,292,100 | Mitsubishi UFJ Financial Group, Inc. | 5,054,331 | ||||||
15,515 | Mizrahi Tefahot Bank, Ltd. | 292,267 | ||||||
2,577,839 | Mizuho Financial Group, Inc. | 3,161,585 | ||||||
336,955 | National Australia Bank, Ltd. | 4,258,879 | ||||||
347,044 | Nordea Bank AB* | 2,392,588 | ||||||
353,299 | Oversea-Chinese Banking Corp., Ltd. | 2,286,758 | ||||||
17,372 | Raiffeisen International Bank-Holding AG* | 308,979 | ||||||
230,387 | Resona Holdings, Inc. | 786,259 | ||||||
511,533 | Royal Bank of Scotland Group plc | 769,254 | ||||||
57,800 | Seven Bank, Ltd. | 158,129 | ||||||
14,600 | Shinsei Bank, Ltd. | 175,839 | ||||||
41,100 | Shizuoka Bank, Ltd. (The) | 264,211 | ||||||
173,877 | Skandinaviska Enskilda Banken AB, Class A* | 1,504,317 | ||||||
86,612 | Societe Generale* | 1,440,833 |
See accompanying notes to the financial statements.
2
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
290,250 | Standard Chartered plc | $ | 1,579,957 | |||||
136,969 | Sumitomo Mitsui Financial Group, Inc. | 3,852,534 | ||||||
36,703 | Sumitomo Mitsui Trust Holdings, Inc. | 1,030,229 | ||||||
166,168 | Svenska Handelsbanken AB, Class A* | 1,575,724 | ||||||
96,751 | Swedbank AB, Class A* | 1,238,687 | ||||||
222,943 | Unicredit SpA | 2,046,577 | ||||||
123,173 | United Overseas Bank, Ltd. | 1,792,123 | ||||||
381,102 | Westpac Banking Corp. | 4,745,817 | ||||||
|
| |||||||
105,614,024 | ||||||||
|
| |||||||
Beverages (2.0%): | ||||||||
80,249 | Anheuser-Busch InBev NV | 3,954,872 | ||||||
40,200 | Asahi Breweries, Ltd.^ | 1,408,532 | ||||||
187,200 | Budweiser Brewing Co. APAC, Ltd. | 543,880 | ||||||
11,428 | Carlsberg A/S, Class B | 1,509,798 | ||||||
48,245 | Coca-Cola Amatil, Ltd. | 289,117 | ||||||
14,800 | Coca-Cola Bottlers Japan Holdings, Inc. | 268,279 | ||||||
21,985 | Coca-Cola European Partners plc | 831,429 | ||||||
21,123 | Coca-Cola HBC AG | 530,053 | ||||||
58,641 | Davide Campari-Milano NV | 493,476 | ||||||
248,315 | Diageo plc | 8,241,198 | ||||||
11,965 | Heineken Holding NV | 978,130 | ||||||
27,739 | Heineken NV | 2,554,324 | ||||||
5,800 | ITO EN, Ltd. | 327,019 | ||||||
87,900 | Kirin Holdings Co., Ltd.^ | 1,853,974 | ||||||
22,700 | Pernod Ricard SA | 3,567,445 | ||||||
2,253 | Remy Cointreau SA | 306,526 | ||||||
14,400 | Suntory Beverage & Food, Ltd. | 561,596 | ||||||
80,195 | Treasury Wine Estates, Ltd. | 580,366 | ||||||
|
| |||||||
28,800,014 | ||||||||
|
| |||||||
Biotechnology (1.1%): | ||||||||
3,973 | BeiGene, Ltd., ADR* | 748,513 | ||||||
48,258 | CSL, Ltd. | 9,564,490 | ||||||
4,569 | Galapagos NV* | 896,861 | ||||||
6,952 | Genmab A/S* | 2,325,837 | ||||||
31,104 | Grifols SA^ | 943,453 | ||||||
9,300 | Peptidream, Inc.* | 426,115 | ||||||
|
| |||||||
14,905,269 | ||||||||
|
| |||||||
Building Products (1.0%): | ||||||||
21,000 | AGC, Inc.^ | 597,464 | ||||||
107,082 | ASSA Abloy AB, Class B | 2,174,938 | ||||||
54,258 | Compagnie de Saint-Gobain SA | 1,950,007 | ||||||
26,600 | Daikin Industries, Ltd. | 4,278,039 | ||||||
3,950 | Geberit AG, Registered Shares | 1,975,341 | ||||||
16,424 | Kingspan Group plc | 1,056,869 | ||||||
28,100 | Lixil Group Corp. | 392,756 | ||||||
33,900 | Nibe Industrier AB, Class B* | 748,408 | ||||||
15,400 | TOTO, Ltd. | 590,288 | ||||||
|
| |||||||
13,764,110 | ||||||||
|
| |||||||
Capital Markets (2.7%): | ||||||||
103,957 | 3i Group plc | 1,070,507 | ||||||
6,909 | Amundi SA | 540,370 | ||||||
20,108 | ASX, Ltd. | 1,187,853 | ||||||
257,044 | Credit Suisse Group AG | 2,652,959 | ||||||
146,900 | Daiwa Securities Group, Inc. | 612,913 | ||||||
209,766 | Deutsche Bank AG, Registered Shares* | 1,988,832 | ||||||
20,286 | Deutsche Boerse AG | 3,666,367 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
25,900 | EQT AB | $ | 463,893 | |||||
33,742 | Hargreaves Lansdown plc | 679,790 | ||||||
127,993 | Hong Kong Exchanges & Clearing, Ltd. | 5,455,034 | ||||||
53,300 | Japan Exchange Group, Inc. | 1,231,420 | ||||||
24,447 | Julius Baer Group, Ltd. | 1,021,543 | ||||||
33,558 | London Stock Exchange Group plc | 3,470,798 | ||||||
35,215 | Macquarie Group, Ltd. | 2,897,833 | ||||||
12,857 | Magellan Financial Group, Ltd. | 523,167 | ||||||
101,059 | Natixis* | 263,284 | ||||||
336,800 | Nomura Holdings, Inc. | 1,507,491 | ||||||
1,997 | Partners Group Holding AG | 1,808,862 | ||||||
24,290 | SBI Holdings, Inc. | 524,885 | ||||||
12,878 | Schroders plc | 469,882 | ||||||
84,800 | Singapore Exchange, Ltd. | 509,001 | ||||||
56,912 | St. James Place plc | 670,766 | ||||||
392,366 | UBS Group AG | 4,508,907 | ||||||
|
| |||||||
37,726,357 | ||||||||
|
| |||||||
Chemicals (3.5%): | ||||||||
50,183 | Air Liquide SA | 7,230,209 | ||||||
17,400 | Air Water, Inc. | 245,463 | ||||||
21,610 | Akzo Nobel NV | 1,933,169 | ||||||
7,589 | Arkema SA | 724,667 | ||||||
131,800 | Asahi Kasei Corp. | 1,070,966 | ||||||
97,188 | BASF SE | 5,430,409 | ||||||
11,572 | Christian Hansen Holding A/S | 1,192,977 | ||||||
20,935 | Clariant AG* | 410,708 | ||||||
19,222 | Covestro AG* | 729,438 | ||||||
13,596 | Croda International plc | 884,472 | ||||||
30,000 | Daicel Corp. | 231,839 | ||||||
883 | EMS-Chemie Holding AG | 683,379 | ||||||
23,429 | Evonik Industries AG | 593,482 | ||||||
8,204 | Fuchs Petrolub AG | 329,080 | ||||||
983 | Givaudan SA, Registered Shares | 3,657,305 | ||||||
71,434 | ICL Group, Ltd. | 212,809 | ||||||
— | International Flavors & Fragrances, Inc. | 47 | ||||||
20,108 | Johnson Matthey plc | 521,852 | ||||||
22,300 | JSR Corp. | 430,410 | ||||||
18,300 | Kansai Paint Co., Ltd. | 385,767 | ||||||
18,212 | Koninklijke DSM NV | 2,517,106 | ||||||
32,800 | Kuraray Co., Ltd.^ | 342,342 | ||||||
9,160 | Lanxess AG* | 481,457 | ||||||
136,800 | Mitsubishi Chemical Holdings Corp. | 796,291 | ||||||
17,500 | Mitsubishi Gas Chemical Co., Inc. | 264,764 | ||||||
19,500 | Mitsui Chemicals, Inc. | 406,502 | ||||||
15,600 | Nippon Paint Holdings Co., Ltd.^ | 1,132,343 | ||||||
13,300 | Nissan Chemical Corp. | 681,352 | ||||||
17,000 | Nitto Denko Corp. | 962,085 | ||||||
22,665 | Novozymes A/S, Class B | 1,309,930 | ||||||
40,418 | Orica, Ltd. | 464,554 | ||||||
37,800 | Shin-Etsu Chemical Co., Ltd. | 4,419,379 | ||||||
13,500 | Showa Denko K.K. | 302,710 | ||||||
13,994 | Sika AG | 2,690,498 | ||||||
7,931 | Solvay SA | 634,106 | ||||||
150,700 | Sumitomo Chemical Co., Ltd. | 450,412 | ||||||
13,745 | Symrise AG | 1,594,557 | ||||||
16,500 | Taiyo Nippon Sanso Corp. | 275,664 | ||||||
20,600 | Teijin, Ltd. | 327,457 |
See accompanying notes to the financial statements.
3
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
146,700 | Toray Industries, Inc. | $ | 691,069 | |||||
27,300 | Tosoh Corp. | 372,350 | ||||||
20,861 | Umicore SA | 980,788 | ||||||
18,917 | Yara International ASA | 657,526 | ||||||
|
| |||||||
49,653,690 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
166,144 | Brambles, Ltd. | 1,249,511 | ||||||
26,700 | Dai Nippon Printing Co., Ltd. | 611,624 | ||||||
25,983 | Edenred | 1,135,021 | ||||||
10,000 | Park24 Co., Ltd. | 171,153 | ||||||
194,716 | Rentokil Initial plc | 1,227,698 | ||||||
22,300 | SECOM Co., Ltd. | 1,948,625 | ||||||
31,678 | Securitas AB, Class B* | 426,403 | ||||||
7,800 | Sohgo Security Services Co., Ltd. | 363,133 | ||||||
26,200 | Toppan Printing Co., Ltd. | 436,828 | ||||||
|
| |||||||
7,569,996 | ||||||||
|
| |||||||
Communications Equipment (0.4%): | ||||||||
603,530 | Nokia OYJ | 2,642,848 | ||||||
309,633 | Telefonaktiebolaget LM Ericsson, Class B | 2,860,238 | ||||||
|
| |||||||
5,503,086 | ||||||||
|
| |||||||
Construction & Engineering (0.9%): | ||||||||
27,869 | ACS Actividades de Construccion y Servicios SA | 701,116 | ||||||
23,166 | Bouygues SA* | 790,171 | ||||||
11,842 | Cimic Group, Ltd. | 198,335 | ||||||
9,168 | Eiffage SA* | 837,030 | ||||||
50,429 | Ferrovial SA | 1,340,722 | ||||||
2,965 | Hochtief AG | 262,406 | ||||||
23,600 | JGC Holdings Corp. | 248,443 | ||||||
49,100 | Kajima Corp. | 584,899 | ||||||
66,800 | Obayashi Corp. | 624,767 | ||||||
59,700 | Shimizu Corp. | 490,160 | ||||||
36,273 | Skanska AB, Class B* | 736,857 | ||||||
20,200 | Taisei Corp. | 734,679 | ||||||
54,465 | Vinci SA | 5,008,116 | ||||||
|
| |||||||
12,557,701 | ||||||||
|
| |||||||
Construction Materials (0.5%): | ||||||||
84,433 | CRH plc | 2,887,614 | ||||||
15,340 | HeidelbergCement AG | 817,269 | ||||||
44,879 | James Hardie Industries SE | 856,366 | ||||||
55,307 | LafargeHolcim, Ltd., Registered Shares | 2,419,658 | ||||||
14,000 | Taiheiyo Cement Corp. | 323,794 | ||||||
|
| |||||||
7,304,701 | ||||||||
|
| |||||||
Consumer Finance (0.0%†): | ||||||||
36,500 | ACOM Co., Ltd. | 139,146 | ||||||
— | Isracard, Ltd. | 1 | ||||||
|
| |||||||
139,147 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
24,026 | Smurfit Kappa Group plc | 801,697 | ||||||
|
| |||||||
Distributors (0.0%†): | ||||||||
10,588 | Jardine Cycle & Carriage, Ltd. | 153,556 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
6,800 | Benesse Holdings, Inc. | 182,886 | ||||||
|
| |||||||
Diversified Financial Services (0.7%): | ||||||||
337,859 | AMP, Ltd.* | 433,028 | ||||||
3,485 | Eurazeo Se* | 178,449 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Financial Services, continued | ||||||||
11,831 | EXOR NV | $ | 674,507 | |||||
8,766 | Groupe Bruxelles Lambert SA | 734,425 | ||||||
15,777 | Industrivarden AB, Class C* | 357,063 | ||||||
48,723 | Investor AB, Class B | 2,568,167 | ||||||
24,510 | Kinnevik AB, Class B | 643,962 | ||||||
7,951 | L E Lundbergforetagen AB* | 360,449 | ||||||
261,753 | M&G plc | 542,495 | ||||||
39,200 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 185,560 | ||||||
141,500 | ORIX Corp. | 1,744,984 | ||||||
4,432 | Pargesa Holding SA* | 332,915 | ||||||
1,676 | Sofina SA | 441,935 | ||||||
245,114 | Standard Life Aberdeen plc | 811,112 | ||||||
5,200 | Tokyo Century Corp. | 265,950 | ||||||
2,640 | Wendel* | 251,346 | ||||||
|
| |||||||
10,526,347 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.1%): | ||||||||
919,130 | BT Group plc | 1,297,042 | ||||||
26,762 | Cellnex Telecom SAU | 1,628,680 | ||||||
352,869 | Deutsche Telekom AG, Registered Shares | 5,902,090 | ||||||
15,196 | Elisa OYJ | 923,612 | ||||||
396,525 | HKT Trust & HKT, Ltd. | 582,862 | ||||||
1,661 | Iliad SA* | 323,710 | ||||||
26,091 | Infrastrutture Wireless Italiane SpA | 261,251 | ||||||
381,663 | Koninklijke KPN NV | 1,010,782 | ||||||
137,304 | Nippon Telegraph & Telephone Corp. | 3,196,908 | ||||||
213,428 | Orange SA | 2,549,437 | ||||||
471,000 | PCCW, Ltd. | 268,751 | ||||||
15,181 | Proximus SADP | 309,104 | ||||||
872,300 | Singapore Telecommunications, Ltd. | 1,542,952 | ||||||
191,337 | Spark New Zealand, Ltd. | 566,404 | ||||||
2,767 | Swisscom AG, Registered Shares | 1,447,570 | ||||||
576,307 | Telecom Italia SpA | 223,078 | ||||||
962,007 | Telecom Italia SpA | 377,444 | ||||||
113,195 | Telefonica Deutschland Holding AG | 333,866 | ||||||
500,534 | Telefonica SA | 2,395,100 | ||||||
74,291 | Telenor ASA | 1,082,775 | ||||||
270,540 | Telia Co AB | 1,009,736 | ||||||
444,722 | Telstra Corp., Ltd. | 962,438 | ||||||
32,942 | TPG Telecom, Ltd.* | 202,267 | ||||||
16,471 | Tuas, Ltd.* | 7,670 | ||||||
11,519 | United Internet AG, Registered Shares | 486,022 | ||||||
|
| |||||||
28,891,551 | ||||||||
|
| |||||||
Electric Utilities (2.3%): | ||||||||
193,004 | AusNet Services | 222,567 | ||||||
68,800 | Chubu Electric Power Co., Inc. | 865,507 | ||||||
32,400 | Chugoku Electric Power Co., Inc. (The) | 432,678 | ||||||
65,570 | CK Infrastructure Holdings, Ltd. | 337,842 | ||||||
175,500 | CLP Holdings, Ltd. | 1,718,672 | ||||||
273,455 | EDP — Energias de Portugal SA | 1,304,029 | ||||||
63,294 | Electricite de France | 582,821 | ||||||
3,358 | Elia Group SA/NV | 364,082 | ||||||
33,934 | Endesa SA^ | 835,125 | ||||||
862,791 | Enel SpA | 7,432,474 | ||||||
48,796 | Fortum OYJ | 925,647 | ||||||
283,500 | HK Electric Investments, Ltd. | 294,517 | ||||||
615,875 | Iberdrola SA | 7,132,688 |
See accompanying notes to the financial statements.
4
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
76,000 | Kansai Electric Power Co., Inc. (The) | $ | 736,506 | |||||
36,800 | Kyushu Electric Power Co., Inc. | 308,769 | ||||||
61,309 | Mercury NZ, Ltd. | 185,678 | ||||||
20,200 | Orsted A/S | 2,329,907 | ||||||
152,000 | Power Assets Holdings, Ltd. | 825,433 | ||||||
45,101 | Red Electrica Corp SA^ | 840,613 | ||||||
110,548 | Scottish & Southern Energy plc | 1,866,182 | ||||||
150,318 | Terna SpA | 1,031,944 | ||||||
45,200 | Tohoku Electric Power Co., Inc. | 429,913 | ||||||
150,600 | Tokyo Electric Power Co. Holdings, Inc.* | 462,264 | ||||||
6,614 | Verbund AG, Class A | 295,786 | ||||||
|
| |||||||
31,761,644 | ||||||||
|
| |||||||
Electrical Equipment (1.6%): | ||||||||
193,761 | ABB, Ltd. | 4,356,424 | ||||||
13,400 | Fuji Electric Co., Ltd. | 366,290 | ||||||
28,504 | Legrand SA | 2,162,646 | ||||||
531,920 | Melrose Industries plc | 749,591 | ||||||
194,800 | Mitsubishi Electric Corp. | 2,529,895 | ||||||
47,900 | Nidec Corp. | 3,198,578 | ||||||
27,397 | Prysmian SpA | 633,713 | ||||||
58,556 | Schneider Electric SA | 6,491,428 | ||||||
24,868 | Siemens Gamesa Renewable Energy* | 440,091 | ||||||
20,939 | Vestas Wind Systems A/S | 2,130,875 | ||||||
|
| |||||||
23,059,531 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.9%): | ||||||||
40,560 | Halma plc | 1,155,708 | ||||||
15,300 | Hamamatsu Photonics KK | 662,629 | ||||||
29,338 | Hexagon AB, Class B* | 1,710,578 | ||||||
3,214 | Hirose Electric Co., Ltd. | 352,362 | ||||||
103,420 | Hitachi, Ltd. | 3,265,365 | ||||||
6,329 | Ingenico Group | 1,007,752 | ||||||
19,380 | Keyence Corp. | 8,092,704 | ||||||
34,300 | Kyocera Corp. | 1,866,576 | ||||||
61,300 | Murata Manufacturing Co., Ltd. | 3,592,321 | ||||||
19,800 | Omron Corp. | 1,326,721 | ||||||
24,400 | Shimadzu Corp. | 649,165 | ||||||
13,600 | TDK Corp. | 1,348,416 | ||||||
27,200 | Venture Corp., Ltd. | 316,527 | ||||||
25,600 | Yaskawa Electric Corp. | 885,285 | ||||||
21,900 | Yokogawa Electric Corp. | 341,580 | ||||||
|
| |||||||
26,573,689 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
50,094 | Tenaris SA | 322,904 | ||||||
|
| |||||||
Entertainment (0.8%): | ||||||||
9,600 | Konami Holdings Corp. | 319,833 | ||||||
51,100 | Nexon Co., Ltd. | 1,154,291 | ||||||
11,800 | Nintendo Co., Ltd. | 5,251,316 | ||||||
10,500 | Square Enix Holdings Co., Ltd. | 529,643 | ||||||
12,800 | Toho Co., Ltd. | 462,260 | ||||||
9,660 | UbiSoft Entertainment SA* | 795,528 | ||||||
88,527 | Vivendi Universal SA | 2,268,862 | ||||||
|
| |||||||
10,781,733 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.4%): | ||||||||
338,827 | Ascendas Real Estate Investment Trust | 772,663 | ||||||
97,460 | British Land Co. plc | 465,935 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
265,218 | CapitaLand Commercial Trust | $ | 322,482 | |||||
299,900 | CapitaLand Mall Trust | 422,964 | ||||||
5,451 | Covivio | 394,471 | ||||||
223 | Daiwahouse Residential Investment Corp. | 525,281 | ||||||
112,934 | Dexus | 719,474 | ||||||
4,889 | Gecina SA | 603,461 | ||||||
396 | GLP J-REIT | 575,115 | ||||||
175,806 | Goodman Group | 1,808,825 | ||||||
196,080 | GPT Group | 566,695 | ||||||
2,872 | Icade | 199,800 | ||||||
87 | Japan Prime Realty Investment Corp. | 256,449 | ||||||
141 | Japan Real Estate Investment Corp. | 723,303 | ||||||
258 | Japan Retail Fund Investment Corp. | 322,205 | ||||||
20,181 | Klepierre^ | 401,506 | ||||||
77,715 | Land Securities Group plc | 531,713 | ||||||
215,700 | Link REIT (The) | 1,760,113 | ||||||
230,900 | Mapletree Commercial Trust | 320,648 | ||||||
289,200 | Mapletree Logistics Trust | 403,599 | ||||||
415,033 | Mirvac Group | 624,548 | ||||||
130 | Nippon Building Fund, Inc. | 740,096 | ||||||
208 | Nippon Prologis REIT, Inc. | 632,238 | ||||||
430 | Nomura Real Estate Master Fund, Inc. | 516,532 | ||||||
301 | Orix JREIT, Inc. | 395,078 | ||||||
579,264 | Scentre Group | 871,996 | ||||||
117,161 | SERGO plc | 1,297,633 | ||||||
243,016 | Stockland | 558,032 | ||||||
224,500 | Suntec Real Estate Investment Trust | 227,835 | ||||||
14,782 | Unibail — Rodamco-Westfield^ | 831,401 | ||||||
347 | United Urban Investment Corp. | 373,162 | ||||||
337,565 | Vicinity Centres | 334,650 | ||||||
|
| |||||||
19,499,903 | ||||||||
|
| |||||||
Food & Staples Retailing (1.8%): | ||||||||
69,900 | AEON Co., Ltd. | 1,623,801 | ||||||
64,684 | Carrefour SA^ | 998,464 | ||||||
4,646 | Casino Guichard-Perrachon SA* | 172,071 | ||||||
142,441 | Coles Group, Ltd. | 1,691,552 | ||||||
5,622 | Colruyt SA | 309,119 | ||||||
2,200 | Cosmos Pharmaceutical Corp. | 337,223 | ||||||
41,500 | Dairy Farm International Holdings, Ltd. | 193,267 | ||||||
26,700 | FamilyMart Co., Ltd. | 458,261 | ||||||
10,375 | ICA Gruppen AB | 491,794 | ||||||
177,104 | J Sainsbury plc | 457,510 | ||||||
26,537 | Jeronimo Martins SGPS SA* | 464,255 | ||||||
6,700 | Kobe Bussan Co., Ltd. | 377,753 | ||||||
117,526 | Koninklijke Ahold Delhaize NV | 3,200,119 | ||||||
5,100 | LAWSON, Inc. | 255,752 | ||||||
16,077 | METRO AG | 151,875 | ||||||
80,500 | Seven & I Holdings Co., Ltd. | 2,627,399 | ||||||
8,500 | Sundrug Co., Ltd. | 280,886 | ||||||
1,044,868 | Tesco plc | 2,949,751 | ||||||
3,700 | Tsuruha Holdings, Inc. | 509,373 | ||||||
4,700 | Welcia Holdings Co., Ltd. | 378,982 | ||||||
121,224 | Wesfarmers, Ltd. | 3,764,077 | ||||||
244,081 | William Morrison Supermarkets plc | 575,714 | ||||||
134,876 | Woolworths Group, Ltd. | 3,477,160 | ||||||
|
| |||||||
25,746,158 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products (3.8%): | ||||||||
78,280 | A2 Milk Co., Ltd.* | $ | 1,024,782 | |||||
50,700 | Ajinomoto Co., Inc. | 842,446 | ||||||
37,296 | Associated British Foods plc | 883,665 | ||||||
316 | Barry Callebaut AG, Registered Shares | 602,417 | ||||||
8,800 | Calbee, Inc. | 243,371 | ||||||
10 | Chocoladefabriken Lindt & Spruengli AG | 858,749 | ||||||
66,116 | Danone SA* | 4,568,335 | ||||||
16,965 | Kerry Group plc, Class A | 2,110,388 | ||||||
15,300 | Kikkoman Corp. | 736,899 | ||||||
114 | Lindt & Spruengli AG | 937,973 | ||||||
12,552 | Meiji Holdings Co., Ltd. | 998,305 | ||||||
46,896 | Mowi ASA | 891,703 | ||||||
315,986 | Nestle SA, Registered Shares | 34,917,827 | ||||||
8,400 | NH Foods, Ltd. | 337,063 | ||||||
19,545 | Nisshin Seifun Group, Inc. | 291,646 | ||||||
6,800 | Nissin Foods Holdings Co., Ltd. | 601,965 | ||||||
82,673 | Orkla ASA, Class A | 724,973 | ||||||
8,700 | Toyo Suisan Kaisha, Ltd. | 485,768 | ||||||
993,388 | WH Group, Ltd. | 852,533 | ||||||
213,000 | Wilmar International, Ltd. | 627,484 | ||||||
13,100 | Yakult Honsha Co., Ltd. | 771,158 | ||||||
13,600 | Yamazaki Baking Co., Ltd. | 233,694 | ||||||
|
| |||||||
54,543,144 | ||||||||
|
| |||||||
Gas Utilities (0.4%): | ||||||||
126,055 | APA Group | 970,386 | ||||||
31,542 | Gas Natural SDG SA | 586,237 | ||||||
1,138,701 | Hong Kong & China Gas Co., Ltd. | 1,760,929 | ||||||
41,600 | Osaka Gas Co., Ltd. | 820,752 | ||||||
8,300 | Toho Gas Co., Ltd. | 414,926 | ||||||
38,500 | Tokyo Gas Co., Ltd. | 920,925 | ||||||
|
| |||||||
5,474,155 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.5%): | ||||||||
52,257 | Alcon, Inc.* | 2,994,919 | ||||||
17,748 | Ambu A/S, Class B | 557,892 | ||||||
20,600 | Asahi Intecc Co., Ltd. | 585,437 | ||||||
4,124 | BioMerieux* | 566,179 | ||||||
4,288 | Carl Zeiss Meditec AG* | 417,780 | ||||||
6,970 | Cochlear, Ltd. | 909,179 | ||||||
12,692 | Coloplast A/S, Class B | 1,967,833 | ||||||
12,129 | Demant A/S* | 319,663 | ||||||
2,737 | DiaSorin SpA | 523,513 | ||||||
30,403 | EssilorLuxottica SA* | 3,896,409 | ||||||
61,365 | Fisher & Paykel Healthcare Corp., Ltd. | 1,418,629 | ||||||
13,919 | GN Store Nord A/S | 741,212 | ||||||
40,400 | HOYA Corp. | 3,869,442 | ||||||
95,194 | Koninklijke Philips NV | 4,432,495 | ||||||
124,500 | Olympus Corp. | 2,398,233 | ||||||
3,716 | Sartorius AG | 1,220,702 | ||||||
15,766 | Siemens Healthineers AG | 755,000 | ||||||
93,426 | Smith & Nephew plc | 1,740,215 | ||||||
5,804 | Sonova Holding AG, Registered Shares* | 1,157,636 | ||||||
1,103 | Straumann Holding AG, Registered Shares | 946,264 | ||||||
17,400 | Sysmex Corp. | 1,336,621 | ||||||
68,900 | Terumo Corp. | 2,608,776 | ||||||
|
| |||||||
35,364,029 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services (0.6%): | ||||||||
18,400 | Alfresa Holdings Corp. | $ | 383,105 | |||||
22,767 | Fresenius Medical Care AG & Co., KGaA* | 1,940,899 | ||||||
44,618 | Fresenius SE & Co. KGaA* | 2,202,198 | ||||||
20,100 | Medipal Holdings Corp. | 387,004 | ||||||
5,620 | Orpea | 649,078 | ||||||
19,438 | Ramsay Health Care, Ltd. | 895,705 | ||||||
44,167 | Ryman Healthcare, Ltd. | 374,541 | ||||||
47,804 | Sonic Healthcare, Ltd. | 1,008,898 | ||||||
6,570 | Suzuken Co., Ltd. | 244,918 | ||||||
|
| |||||||
8,086,346 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
47,100 | M3, Inc. | 2,003,267 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.3%): | ||||||||
19,564 | Accor SA* | 530,786 | ||||||
60,581 | Aristocrat Leisure, Ltd. | 1,071,068 | ||||||
189,629 | Compass Group plc | 2,608,320 | ||||||
42,677 | Crown Resorts, Ltd. | 285,122 | ||||||
13,821 | Evolution Gaming Group AB | 823,417 | ||||||
16,266 | Flutter Entertainment plc | 2,134,947 | ||||||
231,000 | Galaxy Entertainment Group, Ltd. | 1,568,497 | ||||||
628,157 | Genting Singapore, Ltd. | 343,547 | ||||||
60,301 | GVC Holdings plc | 552,413 | ||||||
17,773 | InterContinental Hotels Group plc | 787,631 | ||||||
9,344 | La Francaise des Jeux SAEM | 287,910 | ||||||
7,129 | McDonald’s Holdings Co., Ltd. | 384,640 | ||||||
20,557 | Melco Resorts & Entertainment, Ltd., ADR | 319,045 | ||||||
21,300 | Oriental Land Co., Ltd. | 2,812,885 | ||||||
257,132 | Sands China, Ltd. | 1,006,241 | ||||||
220,987 | SJM Holdings, Ltd. | 247,055 | ||||||
9,852 | Sodexo SA | 665,450 | ||||||
226,584 | Tabcorp Holdings, Ltd. | 530,450 | ||||||
21,589 | Whitbread plc | 593,490 | ||||||
152,000 | Wynn Macau, Ltd. | 264,071 | ||||||
|
| |||||||
17,816,985 | ||||||||
|
| |||||||
Household Durables (1.4%): | ||||||||
108,781 | Barratt Developments plc | 667,162 | ||||||
13,067 | Berkeley Group Holdings plc (The) | 673,308 | ||||||
19,600 | Casio Computer Co., Ltd. | 340,188 | ||||||
23,643 | Electrolux AB, Series B, Class B | 394,823 | ||||||
49,568 | Husqvarna AB, Class B | 405,465 | ||||||
16,200 | Iida Group Holdings Co., Ltd. | 248,139 | ||||||
28,700 | Nikon Corp. | 240,195 | ||||||
235,900 | Panasonic Corp. | 2,056,677 | ||||||
35,262 | Persimmon plc | 997,029 | ||||||
3,700 | Rinnai Corp. | 308,103 | ||||||
2,235 | SEB SA | 368,987 | ||||||
37,400 | Sekisui Chemical Co., Ltd. | 535,018 | ||||||
66,300 | Sekisui House, Ltd. | 1,262,381 | ||||||
25,700 | Sharp Corp. | 273,393 | ||||||
135,300 | Sony Corp. | 9,266,810 | ||||||
349,568 | Taylor Wimpey plc | 616,603 | ||||||
146,500 | Techtronic Industries Co., Ltd. | 1,429,251 | ||||||
|
| |||||||
20,083,532 | ||||||||
|
| |||||||
Household Products (0.9%): | ||||||||
64,521 | Essity AB, Class B* | 2,083,705 | ||||||
11,397 | Henkel AG & Co. KGaA | 947,078 |
See accompanying notes to the financial statements.
6
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Products, continued | ||||||||
22,400 | Lion Corp. | $ | 537,112 | |||||
12,200 | Pigeon Corp. | 471,744 | ||||||
75,238 | Reckitt Benckiser Group plc | 6,922,902 | ||||||
43,100 | Unicharm Corp. | 1,766,074 | ||||||
|
| |||||||
12,728,615 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
12,800 | Electric Power Development Co., Ltd. | 242,711 | ||||||
144,456 | Meridian Energy, Ltd. | 448,009 | ||||||
21,504 | Uniper SE | 693,933 | ||||||
|
| |||||||
1,384,653 | ||||||||
|
| |||||||
Industrial Conglomerates (1.3%): | ||||||||
287,744 | CK Hutchison Holdings, Ltd. | 1,844,640 | ||||||
10,325 | DCC plc | 859,753 | ||||||
16,095 | Investment AB Latour, Class B^ | 291,619 | ||||||
23,500 | Jardine Matheson Holdings, Ltd. | 982,054 | ||||||
23,500 | Jardine Strategic Holdings, Ltd. | 507,251 | ||||||
9,300 | Keihan Holdings Co., Ltd. | 414,294 | ||||||
155,300 | Keppel Corp., Ltd.^ | 665,344 | ||||||
173,834 | NWS Holdings, Ltd. | 150,194 | ||||||
24,800 | Seibu Holdings, Inc. | 269,324 | ||||||
81,317 | Siemens AG, Registered Shares | 9,551,328 | ||||||
43,341 | Smiths Group plc | 756,825 | ||||||
40,500 | Toshiba Corp. | 1,290,839 | ||||||
|
| |||||||
17,583,465 | ||||||||
|
| |||||||
Insurance (4.9%): | ||||||||
19,559 | Admiral Group plc | 556,531 | ||||||
191,169 | AEGON NV | 568,554 | ||||||
19,592 | Ageas NV | 692,869 | ||||||
1,279,200 | AIA Group, Ltd. | 11,905,910 | ||||||
44,341 | Allianz SE, Registered Shares+ | 9,043,644 | ||||||
117,396 | Assicurazioni Generali SpA | 1,774,005 | ||||||
418,497 | Aviva plc | 1,416,015 | ||||||
203,839 | AXA SA* | 4,253,584 | ||||||
5,102 | Baloise Holding AG, Registered Shares | 764,280 | ||||||
14,891 | CNP Assurances SA* | 171,104 | ||||||
115,200 | Dai-ichi Life Holdings, Inc. | 1,372,196 | ||||||
144,862 | Direct Line Insurance Group plc | 485,704 | ||||||
19,206 | Gjensidige Forsikring ASA* | 353,922 | ||||||
6,317 | Hannover Rueck SE | 1,086,451 | ||||||
246,903 | Insurance Australia Group, Ltd. | 986,675 | ||||||
168,300 | Japan Post Holdings Co., Ltd. | 1,196,943 | ||||||
25,800 | Japan Post Insurance Co., Ltd. | 338,301 | ||||||
637,285 | Legal & General Group plc | 1,740,000 | ||||||
124,272 | Mapfre SA | 220,858 | ||||||
298,241 | Medibank Private, Ltd. | 616,851 | ||||||
47,711 | MS&AD Insurance Group Holdings, Inc. | 1,310,448 | ||||||
15,180 | Muenchener Rueckversicherungs-Gesellschaft AG | 3,939,265 | ||||||
30,993 | NN Group NV | 1,039,265 | ||||||
57,201 | Poste Italiane SpA | 496,646 | ||||||
273,828 | Prudential plc | 4,123,079 | ||||||
158,326 | QBE Insurance Group, Ltd. | 973,037 | ||||||
110,215 | RSA Insurance Group plc | 558,616 | ||||||
49,204 | Sampo Oyj, Class A | 1,690,319 | ||||||
17,331 | SCOR SA* | 474,268 | ||||||
35,925 | Sompo Holdings, Inc. | 1,235,622 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
17,300 | Sony Financial Holdings, Inc. | $ | 416,433 | |||||
130,608 | Suncorp Group, Ltd. | 835,956 | ||||||
3,404 | Swiss Life Holding AG, Registered Shares | 1,259,203 | ||||||
31,563 | Swiss Re AG | 2,430,434 | ||||||
57,936 | T&D Holdings, Inc. | 495,364 | ||||||
68,200 | Tokio Marine Holdings, Inc. | 2,971,612 | ||||||
11,889 | Tryg A/S | 344,018 | ||||||
15,823 | Zurich Insurance Group AG | 5,573,820 | ||||||
|
| |||||||
69,711,802 | ||||||||
|
| |||||||
Interactive Media & Services (0.3%): | ||||||||
105,267 | Auto Trader Group plc | 685,765 | ||||||
13,000 | Kakaku.com, Inc. | 329,237 | ||||||
5,800 | Line Corp.* | 291,678 | ||||||
6,156 | REA Group, Ltd.^ | 460,610 | ||||||
11,697 | Scout24 AG | 909,076 | ||||||
276,700 | Z Holdings Corp. | 1,350,538 | ||||||
|
| |||||||
4,026,904 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.8%): | ||||||||
13,178 | Delivery Hero SE* | 1,342,557 | ||||||
13,193 | Just Eat Takeaway*^ | 1,372,674 | ||||||
8,900 | Mercari, Inc.* | 275,073 | ||||||
50,191 | Ocado Group plc* | 1,259,788 | ||||||
52,133 | Prosus NV* | 4,838,076 | ||||||
92,000 | Rakuten, Inc. | 809,153 | ||||||
15,444 | Zalando SE* | 1,086,068 | ||||||
10,400 | ZOZO, Inc. | 231,214 | ||||||
|
| |||||||
11,214,603 | ||||||||
|
| |||||||
IT Services (1.5%): | ||||||||
1,912 | Adyen NV* | 2,785,341 | ||||||
23,218 | Afterpay, Ltd.* | 1,000,363 | ||||||
46,195 | Amadeus IT Group SA | 2,403,456 | ||||||
10,497 | Atos SE* | 893,366 | ||||||
17,018 | Capgemini SA | 1,946,536 | ||||||
54,245 | Computershare, Ltd. | 498,302 | ||||||
21,000 | Fujitsu, Ltd. | 2,458,478 | ||||||
4,600 | GMO Payment Gateway, Inc. | 479,428 | ||||||
9,500 | Itochu Techno-Solutions Corp. | 356,085 | ||||||
34,123 | Nexi SpA* | 589,409 | ||||||
34,738 | Nomura Research Institute, Ltd. | 948,006 | ||||||
66,600 | NTT Data Corp. | 741,142 | ||||||
7,600 | OBIC Co., Ltd. | 1,336,625 | ||||||
10,800 | Otsuka Corp. | 568,930 | ||||||
5,700 | SCSK Corp. | 277,008 | ||||||
24,300 | TIS, Inc. | 516,907 | ||||||
5,192 | Wix.com, Ltd.* | 1,330,294 | ||||||
14,964 | Worldline SA* | 1,292,734 | ||||||
|
| |||||||
20,422,410 | ||||||||
|
| |||||||
Leisure Products (0.3%): | ||||||||
21,300 | Bandai Namco Holdings, Inc. | 1,119,601 | ||||||
18,400 | Sega Sammy Holdings, Inc. | 220,161 | ||||||
7,900 | Shimano, Inc. | 1,519,627 | ||||||
14,900 | Yamaha Corp. | 701,104 | ||||||
|
| |||||||
3,560,493 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.5%): | ||||||||
1,434 | Eurofins Scientific SE | 898,906 | ||||||
7,946 | Lonza Group AG, Registered Shares | 4,190,984 |
See accompanying notes to the financial statements.
7
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services, continued | ||||||||
24,092 | Qiagen NV* | $ | 1,037,275 | |||||
2,954 | Sartorius Stedim Biotech | 745,568 | ||||||
|
| |||||||
6,872,733 | ||||||||
|
| |||||||
Machinery (2.8%): | ||||||||
34,262 | Alfa Laval AB* | 750,731 | ||||||
20,369 | Alstom SA | 946,021 | ||||||
32,800 | Amada Holdings Co., Ltd. | 268,130 | ||||||
7,942 | Andritz AG* | 288,811 | ||||||
41,212 | Atlas Copco AB | 1,522,354 | ||||||
71,801 | Atlas Copco AB, Class A | 3,037,194 | ||||||
112,687 | CNH Industrial NV | 787,148 | ||||||
10,800 | Daifuku Co., Ltd. | 943,698 | ||||||
41,260 | Epiroc AB | 504,093 | ||||||
70,406 | Epiroc AB, Class A | 876,314 | ||||||
20,600 | FANUC Corp. | 3,681,581 | ||||||
15,509 | GEA Group AG | 489,413 | ||||||
29,600 | Hino Motors, Ltd. | 199,992 | ||||||
12,300 | Hitachi Construction Machinery Co., Ltd. | 340,255 | ||||||
5,400 | Hoshizaki Corp. | 462,779 | ||||||
23,100 | JTEKT Corp. | 179,524 | ||||||
17,100 | Kawasaki Heavy Industries, Ltd. | 246,069 | ||||||
6,416 | Kion Group AG* | 393,844 | ||||||
5,129 | Knorr-Bremse AG* | 518,909 | ||||||
91,600 | Komatsu, Ltd. | 1,873,000 | ||||||
36,279 | Kone OYJ, Class B | 2,492,769 | ||||||
110,800 | Kubota Corp.^ | 1,652,638 | ||||||
9,900 | Kurita Water Industries, Ltd. | 274,715 | ||||||
23,900 | Makita Corp. | 868,097 | ||||||
9,911 | Metso Oyj | 324,309 | ||||||
39,100 | MINEBEA MITSUMI, Inc. | 709,016 | ||||||
29,900 | Misumi Group, Inc. | 747,129 | ||||||
34,200 | Mitsubishi Heavy Industries, Ltd. | 806,908 | ||||||
9,500 | Miura Co., Ltd. | 395,071 | ||||||
10,700 | Nabtesco Corp.^ | 329,651 | ||||||
25,300 | NGK Insulators, Ltd. | 349,387 | ||||||
42,400 | NSK, Ltd. | 314,474 | ||||||
120,926 | Sandvik AB* | 2,256,223 | ||||||
4,463 | Schindler Holding AG | 1,049,568 | ||||||
2,127 | Schindler Holding AG, Registered Shares | 500,632 | ||||||
41,858 | SKF AB, Class B | 776,883 | ||||||
6,100 | SMC Corp. | 3,113,875 | ||||||
7,870 | Spirax-Sarco Engineering plc | 971,486 | ||||||
10,400 | Sumitomo Heavy Industries, Ltd. | 226,368 | ||||||
12,100 | THK Co., Ltd. | 299,305 | ||||||
159,257 | Volvo AB, Class B | 2,490,253 | ||||||
45,633 | Wartsila OYJ Abp, Class B | 376,647 | ||||||
306,850 | Yangzijiang Shipbuilding Holdings, Ltd. | 205,058 | ||||||
|
| |||||||
39,840,322 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
370 | A.P. Moeller — Maersk A/S, Class A | 401,337 | ||||||
662 | A.P. Moeller — Maersk A/S, Class B | 770,724 | ||||||
5,556 | Kuehne & Nagel International AG, Registered Shares* | 922,194 | ||||||
17,000 | Nippon Yusen KK | 239,226 | ||||||
|
| |||||||
2,333,481 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media (0.4%): | ||||||||
65,352 | Altice Europe NV, Class A* | $ | 251,598 | |||||
10,400 | Cyberagent, Inc. | 510,257 | ||||||
23,277 | Dentsu Group, Inc. | 552,214 | ||||||
22,700 | Hakuhodo DY Holdings, Inc. | 269,805 | ||||||
160,342 | Informa plc | 932,769 | ||||||
390,353 | ITV plc | 360,648 | ||||||
8,903 | JCDecaux SA* | 165,347 | ||||||
82,101 | Pearson plc | 586,771 | ||||||
23,041 | Publicis Groupe SA | 744,779 | ||||||
11,652 | Schibsted ASA, Class B* | 276,176 | ||||||
40,089 | SES Global, Class A | 273,479 | ||||||
3,983 | Telenet Group Holding NV | 163,772 | ||||||
132,375 | WPP plc | 1,032,862 | ||||||
|
| |||||||
6,120,477 | ||||||||
|
| |||||||
Metals & Mining (2.8%): | ||||||||
130,458 | Anglo American plc | 3,015,038 | ||||||
44,246 | Antofagasta plc | 513,047 | ||||||
74,555 | ArcelorMittal* | 782,774 | ||||||
222,807 | BHP Group plc | 4,573,401 | ||||||
312,701 | BHP Group, Ltd. | 7,757,957 | ||||||
50,530 | BlueScope Steel, Ltd. | 409,706 | ||||||
28,378 | Boliden AB | 644,761 | ||||||
176,023 | Evolution Mining, Ltd. | 703,499 | ||||||
60,439 | EVRAZ plc | 215,444 | ||||||
184,094 | Fortescue Metals Group, Ltd. | 1,765,903 | ||||||
1,053,867 | Glencore plc | 2,230,301 | ||||||
23,000 | Hitachi Metals, Ltd. | 273,870 | ||||||
53,100 | JFE Holdings, Inc. | 380,383 | ||||||
5,000 | Maruichi Steel Tube, Ltd. | 124,212 | ||||||
12,800 | Mitsubishi Materials Corp. | 270,171 | ||||||
86,239 | Newcrest Mining, Ltd. | 1,922,157 | ||||||
83,948 | Nippon Steel Corp. | 789,618 | ||||||
139,445 | Norsk Hydro ASA* | 385,878 | ||||||
80,451 | Northern Star Resources, Ltd. | 765,551 | ||||||
118,916 | Rio Tinto plc | 6,690,296 | ||||||
39,703 | Rio Tinto, Ltd. | 2,691,402 | ||||||
503,161 | South32, Ltd. | 712,261 | ||||||
25,900 | Sumitomo Metal & Mining Co., Ltd. | 723,274 | ||||||
40,763 | ThyssenKrupp AG* | 288,252 | ||||||
10,996 | Voestalpine AG | 236,227 | ||||||
|
| |||||||
38,865,383 | ||||||||
|
| |||||||
Multiline Retail (0.2%): | ||||||||
37,900 | Isetan Mitsukoshi Holdings, Ltd. | 217,341 | ||||||
20,000 | Marui Group Co., Ltd. | 361,230 | ||||||
13,924 | Next plc | 843,013 | ||||||
43,600 | Pan Pacific International Holdings Corp. | 956,314 | ||||||
25,400 | Ryohin Keikaku Co., Ltd. | 359,518 | ||||||
|
| |||||||
2,737,416 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
66,544 | AGL Energy, Ltd. | 784,594 | ||||||
239,771 | E.ON SE | 2,695,463 | ||||||
195,639 | Engie Group* | 2,414,634 | ||||||
369,226 | National Grid plc | 4,520,509 | ||||||
62,345 | RWE AG | 2,180,886 | ||||||
35,447 | Suez | 415,001 | ||||||
57,574 | Veolia Environnement SA | 1,293,048 | ||||||
|
| |||||||
14,304,135 | ||||||||
|
|
See accompanying notes to the financial statements.
8
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels (3.4%): | ||||||||
25,483 | Ampol, Ltd. | $ | 517,518 | |||||
2,152,126 | BP plc | 8,177,640 | ||||||
22,895 | Enagas SA | 558,821 | ||||||
327,820 | ENEOS Holdings, Inc. | 1,161,691 | ||||||
272,389 | ENI SpA | 2,593,545 | ||||||
107,007 | Equinor ASA | 1,522,431 | ||||||
50,007 | Galp Energia SGPS SA | 577,609 | ||||||
20,287 | Idemitsu Kosan Co., Ltd. | 430,464 | ||||||
112,800 | INPEX Corp. | 698,438 | ||||||
7,184 | Koninklijke Vopak NV | 379,627 | ||||||
20,139 | Lundin Energy AB^ | 484,767 | ||||||
45,184 | Neste Oyj | 1,764,501 | ||||||
214,511 | Oil Search, Ltd. | 472,246 | ||||||
15,669 | OMV AG* | 523,106 | ||||||
192,376 | Origin Energy, Ltd. | 779,066 | ||||||
151,313 | Repsol SA | 1,320,463 | ||||||
436,782 | Royal Dutch Shell plc, Class A | 6,949,061 | ||||||
394,670 | Royal Dutch Shell plc, Class B | 5,971,215 | ||||||
191,203 | Santos, Ltd. | 702,831 | ||||||
217,615 | Snam SpA | 1,058,358 | ||||||
263,007 | Total SA^ | 10,016,997 | ||||||
12,993 | Washington H. Soul Pattinson & Co., Ltd. | 176,136 | ||||||
100,670 | Woodside Petroleum, Ltd. | 1,512,496 | ||||||
|
| |||||||
48,349,027 | ||||||||
|
| |||||||
Paper & Forest Products (0.3%): | ||||||||
50,546 | Mondi plc | 944,338 | ||||||
91,400 | Oji Holdings Corp. | 424,662 | ||||||
60,679 | Stora Enso OYJ, Registered Shares, Class R | 723,552 | ||||||
65,864 | Svenska Cellulosa AB SCA, Class B* | 782,404 | ||||||
57,022 | UPM-Kymmene OYJ | 1,645,404 | ||||||
|
| |||||||
4,520,360 | ||||||||
|
| |||||||
Personal Products (2.3%): | ||||||||
10,769 | Beiersdorf AG | 1,221,694 | ||||||
51,500 | Kao Corp.^ | 4,077,681 | ||||||
5,100 | Kobayashi Pharmaceutical Co., Ltd. | 448,111 | ||||||
3,600 | Kose Corp. | 432,877 | ||||||
26,668 | L’Oreal SA* | 8,548,783 | ||||||
10,700 | Pola Orbis Holdings, Inc. | 186,159 | ||||||
42,700 | Shiseido Co., Ltd. | 2,707,559 | ||||||
155,167 | Unilever NV | 8,228,652 | ||||||
123,893 | Unilever plc | 6,678,907 | ||||||
|
| |||||||
32,530,423 | ||||||||
|
| |||||||
Pharmaceuticals (9.8%): | ||||||||
197,400 | Astellas Pharma, Inc. | 3,286,501 | ||||||
139,073 | AstraZeneca plc | 14,495,510 | ||||||
104,298 | Bayer AG, Registered Shares | 7,654,791 | ||||||
70,500 | Chugai Pharmaceutical Co., Ltd. | 3,769,247 | ||||||
59,900 | Daiichi Sankyo Co., Ltd. | 4,892,513 | ||||||
26,900 | Eisai Co., Ltd. | 2,132,544 | ||||||
533,916 | GlaxoSmithKline plc | 10,816,394 | ||||||
7,816 | H. Lundbeck A/S | 293,791 | ||||||
15,806 | Hikma Pharmaceuticals plc | 434,373 | ||||||
5,000 | Hisamitsu Pharmaceutical Co., Inc. | 269,474 | ||||||
3,643 | Ipsen SA | 309,312 | ||||||
29,400 | Kyowa Kirin Co., Ltd.^ | 771,485 | ||||||
13,808 | Merck KGaA | 1,600,621 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
5,200 | Nippon Shinyaku Co., Ltd. | $ | 422,896 | |||||
227,968 | Novartis AG, Registered Shares | 19,813,519 | ||||||
187,364 | Novo Nordisk A/S, Class B | 12,125,826 | ||||||
37,900 | Ono Pharmaceutical Co., Ltd. | 1,102,564 | ||||||
11,803 | Orion OYJ, Class B | 570,587 | ||||||
41,700 | Otsuka Holdings Co., Ltd.^ | 1,817,704 | ||||||
11,679 | Recordati SpA | 582,663 | ||||||
74,597 | Roche Holding AG | 25,834,651 | ||||||
120,166 | Sanofi | 12,224,554 | ||||||
37,900 | Santen Pharmaceutical Co., Ltd. | 696,792 | ||||||
28,800 | Shionogi & Co., Ltd. | 1,803,114 | ||||||
17,800 | Sumitomo Dainippon Pharma Co., Ltd. | 246,102 | ||||||
3,300 | Taisho Pharmaceutical Holdings Co., Ltd. | 201,990 | ||||||
166,973 | Takeda Pharmacuetical Co., Ltd. | 5,960,205 | ||||||
116,196 | Teva Pharmaceutical Industries, Ltd., ADR* | 1,432,697 | ||||||
13,507 | UCB SA | 1,563,290 | ||||||
4,861 | Vifor Pharma AG | 730,631 | ||||||
|
| |||||||
137,856,341 | ||||||||
|
| |||||||
Professional Services (1.6%): | ||||||||
17,109 | Adecco SA, Registered Shares | 801,832 | ||||||
31,384 | Bureau Veritas SA | 661,181 | ||||||
97,060 | Experian plc | 3,384,808 | ||||||
16,942 | Intertek Group plc | 1,140,300 | ||||||
16,200 | Nihon M&A Center, Inc. | 731,879 | ||||||
21,200 | Persol Holdings Co., Ltd. | 291,239 | ||||||
12,022 | Randstad NV | 534,829 | ||||||
134,200 | Recruit Holdings Co., Ltd. | 4,588,144 | ||||||
204,125 | RELX plc | 4,723,751 | ||||||
32,954 | Seek, Ltd. | 500,019 | ||||||
647 | SGS SA, Registered Shares | 1,579,171 | ||||||
6,227 | Teleperformance* | 1,578,560 | ||||||
29,168 | Wolters Kluwer NV | 2,275,216 | ||||||
|
| |||||||
22,790,929 | ||||||||
|
| |||||||
Real Estate Management & Development (1.7%): | ||||||||
10,760 | AEON Mall Co., Ltd. | 142,766 | ||||||
124,734 | Aroundtown SA | 713,886 | ||||||
4,496 | Azrieli Group | 203,807 | ||||||
74,028 | BGP Holdings plc*(a) | 108 | ||||||
266,800 | CapitaLand, Ltd.* | 560,491 | ||||||
47,900 | City Developments, Ltd. | 290,301 | ||||||
276,244 | CK Asset Holdings, Ltd. | 1,642,719 | ||||||
7,000 | Daito Trust Construction Co., Ltd. | 643,251 | ||||||
60,500 | Daiwa House Industry Co., Ltd. | 1,427,129 | ||||||
36,604 | Deutsche Wohnen SE | 1,641,943 | ||||||
203,000 | Hang Lung Properties, Ltd. | 481,255 | ||||||
150,956 | Henderson Land Development Co., Ltd. | 571,671 | ||||||
126,900 | Hongkong Land Holdings, Ltd. | 525,247 | ||||||
32,500 | Hulic Co., Ltd.^ | 307,866 | ||||||
75,775 | Kerry Properties, Ltd. | 195,778 | ||||||
6,974 | LEG Immobilien AG* | 884,713 | ||||||
70,590 | Lend Lease Group | 605,630 | ||||||
126,300 | Mitsubishi Estate Co., Ltd. | 1,878,408 | ||||||
97,400 | Mitsui Fudosan Co., Ltd. | 1,726,083 | ||||||
168,655 | New World Development Co., Ltd. | 801,657 | ||||||
12,300 | Nomura Real Estate Holdings, Inc. | 228,366 | ||||||
310,601 | Sino Land Co., Ltd. | 391,091 |
See accompanying notes to the financial statements.
9
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
32,700 | Sumitomo Realty & Development Co., Ltd. | $ | 899,290 | |||||
136,500 | Sun Hung Kai Properties, Ltd. | 1,739,627 | ||||||
57,964 | Swire Pacific, Ltd., Class A | 306,607 | ||||||
122,000 | Swire Properties, Ltd. | 309,829 | ||||||
8,114 | Swiss Prime Site AG | 749,706 | ||||||
61,000 | Tokyu Fudosan Holdings Corp. | 285,483 | ||||||
51,296 | UOL Group, Ltd. | 250,768 | ||||||
55,080 | Vonovia SE* | 3,373,745 | ||||||
177,300 | Wharf Real Estate Investment Co., Ltd.^ | 846,169 | ||||||
|
| |||||||
24,625,390 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
214,136 | Aurizon Holdings, Ltd. | 728,862 | ||||||
15,400 | Central Japan Railway Co. | 2,384,213 | ||||||
22,555 | DSV PANALPINA A/S | 2,751,904 | ||||||
32,213 | East Japan Railway Co. | 2,232,664 | ||||||
23,800 | Hankyu Hanshin Holdings, Inc. | 804,567 | ||||||
23,600 | Keikyu Corp. | 361,299 | ||||||
11,100 | Keio Corp. | 634,061 | ||||||
13,700 | Keisei Electric Railway Co., Ltd. | 428,958 | ||||||
18,300 | Kintetsu Group Holdings Co., Ltd. | 822,057 | ||||||
16,600 | Kyushu Railway Co. | 430,733 | ||||||
164,494 | MTR Corp., Ltd. | 850,842 | ||||||
19,200 | Nagoya Railroad Co., Ltd.^ | 542,058 | ||||||
8,200 | Nippon Express Co., Ltd. | 424,488 | ||||||
31,400 | Odakyu Electric Railway Co., Ltd. | 771,900 | ||||||
20,200 | Tobu Railway Co., Ltd. | 667,700 | ||||||
50,200 | Tokyu Corp. | 706,277 | ||||||
17,200 | West Japan Railway Co. | 964,587 | ||||||
|
| |||||||
16,507,170 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.1%): | ||||||||
20,600 | Advantest Corp. | 1,170,260 | ||||||
35,900 | ASM Pacific Technology, Ltd. | 379,442 | ||||||
45,131 | ASML Holding NV | 16,542,667 | ||||||
3,100 | Disco Corp. | 750,688 | ||||||
133,812 | Infineon Technologies AG | 3,127,367 | ||||||
8,200 | Lasertec Corp. | 773,325 | ||||||
78,700 | Renesas Electronics Corp.* | 402,755 | ||||||
9,100 | ROHM Co., Ltd. | 603,152 | ||||||
66,711 | STMicroelectronics NV | 1,809,599 | ||||||
27,200 | SUMCO Corp.^ | 416,466 | ||||||
15,800 | Tokyo Electron, Ltd. | 3,878,052 | ||||||
|
| |||||||
29,853,773 | ||||||||
|
| |||||||
Software (1.8%): | ||||||||
5,984 | AVEVA Group plc | 302,896 | ||||||
12,360 | Check Point Software Technologies, Ltd.* | 1,327,834 | ||||||
4,451 | CyberArk Software, Ltd.* | 441,851 | ||||||
14,049 | Dassault Systemes SA | 2,421,055 | ||||||
6,278 | Nemetschek SE | 430,711 | ||||||
6,468 | NICE Systems, Ltd.* | 1,222,776 | ||||||
3,700 | Oracle Corp. | 436,644 | ||||||
116,349 | Sage Group plc | 967,375 | ||||||
110,671 | SAP SE | 15,403,625 | ||||||
14,132 | TeamViewer AG* | 770,954 | ||||||
7,228 | Temenos AG | 1,120,969 | ||||||
14,500 | Trend Micro, Inc. | 809,902 | ||||||
16,409 | WiseTech Global, Ltd.^ | 219,399 | ||||||
|
| |||||||
25,875,991 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail (0.9%): | ||||||||
3,700 | ABC-Mart, Inc. | $ | 216,503 | |||||
6,200 | Fast Retailing Co., Ltd. | 3,550,345 | ||||||
85,829 | Hennes & Mauritz AB, Class B | 1,241,473 | ||||||
2,000 | Hikari Tsushin, Inc. | 455,542 | ||||||
116,752 | Industria de Diseno Textil SA | 3,086,580 | ||||||
50,176 | JD Sports Fashion plc | 386,281 | ||||||
225,438 | Kingfisher plc | 615,818 | ||||||
8,600 | Nitori Co., Ltd. | 1,684,590 | ||||||
2,400 | Shimamura Co., Ltd. | 162,475 | ||||||
24,400 | USS Co., Ltd. | 389,869 | ||||||
83,400 | Yamada Denki Co., Ltd. | 413,770 | ||||||
|
| |||||||
12,203,246 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
22,600 | Brother Industries, Ltd. | 407,296 | ||||||
106,800 | Canon, Inc.^ | 2,125,079 | ||||||
38,400 | FUJIFILM Holdings Corp. | 1,643,314 | ||||||
17,878 | Logitech International SA, Class R | 1,166,028 | ||||||
26,400 | NEC Corp. | 1,266,237 | ||||||
69,000 | Ricoh Co., Ltd. | 492,449 | ||||||
27,900 | Seiko Epson Corp. | 319,289 | ||||||
|
| |||||||
7,419,692 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.3%): | ||||||||
20,130 | Adidas AG* | 5,265,965 | ||||||
42,083 | Burberry Group plc | 832,629 | ||||||
55,913 | Cie Financiere Richemont SA | 3,561,422 | ||||||
3,389 | Hermes International SA | 2,828,301 | ||||||
7,991 | Kering | 4,340,107 | ||||||
29,411 | LVMH Moet Hennessy Louis Vuitton SA | 12,880,910 | ||||||
21,108 | Moncler SpA | 805,892 | ||||||
10,406 | Pandora A/S | 564,967 | ||||||
8,997 | Puma SE* | 693,751 | ||||||
3,207 | Swatch Group AG (The), Class B | 639,159 | ||||||
5,032 | Swatch Group AG (The), Registered Shares | 196,549 | ||||||
|
| |||||||
32,609,652 | ||||||||
|
| |||||||
Tobacco (1.1%): | ||||||||
243,880 | British American Tobacco plc | 9,368,678 | ||||||
101,128 | Imperial Brands plc, Class A | 1,925,478 | ||||||
128,100 | Japan Tobacco, Inc. | 2,377,078 | ||||||
17,764 | Swedish Match AB, Class B | 1,247,711 | ||||||
|
| |||||||
14,918,945 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.3%): | ||||||||
12,768 | AerCap Holdings NV* | 393,254 | ||||||
48,666 | Ashtead Group plc | 1,635,700 | ||||||
15,688 | Brenntag AG | 823,504 | ||||||
35,472 | Bunzl plc | 950,876 | ||||||
24,202 | Ferguson plc | 1,979,518 | ||||||
143,700 | Itochu Corp. | 3,095,029 | ||||||
179,500 | Marubeni Corp. | 812,057 | ||||||
144,200 | Mitsubishi Corp. | 3,036,265 | ||||||
176,800 | Mitsui & Co., Ltd. | 2,614,703 | ||||||
12,700 | MonotaRo Co., Ltd. | 508,745 | ||||||
127,000 | Sumitomo Corp. | 1,454,564 | ||||||
23,400 | Toyota Tsushu Corp. | 592,688 | ||||||
|
| |||||||
17,896,903 | ||||||||
|
|
See accompanying notes to the financial statements.
10
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Transportation Infrastructure (0.5%): | ||||||||
7,195 | Aena SME SA* | $ | 957,776 | |||||
3,172 | Aeroports de Paris | 325,181 | ||||||
51,721 | Atlantia SpA* | 829,456 | ||||||
132,104 | Auckland International Airport, Ltd. | 558,734 | ||||||
4,779 | Fraport AG^ | 208,221 | ||||||
47,743 | Getlink SE | 688,017 | ||||||
5,100 | Japan Airport Terminal Co., Ltd. | 217,246 | ||||||
12,000 | Kamigumi Co., Ltd. | 235,380 | ||||||
114,915 | Sydney Airport | 450,432 | ||||||
291,995 | Transurban Group | 2,850,521 | ||||||
|
| |||||||
7,320,964 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
25,272 | Severn Trent plc | 775,254 | ||||||
74,656 | United Utilities Group plc | 840,814 | ||||||
|
| |||||||
1,616,068 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.8%): | ||||||||
174,200 | KDDI Corp. | 5,223,739 | ||||||
124,100 | NTT DoCoMo, Inc. | 3,311,007 | ||||||
202,700 | Softbank Corp. | 2,580,391 | ||||||
166,300 | SoftBank Group Corp. | 8,380,652 | ||||||
53,324 | Tele2 AB | 706,508 | ||||||
2,867,562 | Vodafone Group plc | 4,571,748 | ||||||
|
| |||||||
24,774,045 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,180,866,556) | 1,385,582,792 | |||||||
|
| |||||||
Preferred Stocks (0.4%): | ||||||||
Automobiles (0.3%): | ||||||||
6,667 | Bayerische Motoren Werke AG (BMW), 5.85%, 5/15/20 | 322,626 | ||||||
15,807 | Porsche Automobil Holding SE, 4.33%, 5/20/20* | 905,826 | ||||||
19,849 | Volkswagen AG, 3.61%, 5/8/20* | 3,001,477 | ||||||
|
| |||||||
4,229,929 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Household Products (0.1%): | ||||||||
19,034 | Henkel AG & Co. KGaA, 2.24%, 4/21/20 | $ | 1,769,352 | |||||
|
| |||||||
Total Preferred Stocks (Cost $5,512,420) | 5,999,281 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Construction & Engineering (0.0%†): | ||||||||
27,869 | ACS Actividades de Construccion y Servicios SA, Expires on 7/8/20* | 43,471 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
500,534 | Telefonica SA, Expires on 7/2/20*^ | 98,460 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
151,313 | Repsol SA, Expires on 7/7/20*^ | 73,655 | ||||||
|
| |||||||
Total Rights (Cost $235,803) | 215,586 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (3.1%): | ||||||||
43,467,073 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c) | 43,467,073 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 43,467,073 | ||||||
|
| |||||||
Unaffiliated Investment Companies (0.0%†): | ||||||||
Money Markets (0.0%†): | ||||||||
146,658 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(c) | 146,658 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $146,658) | 146,658 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,230,228,510) — 101.9% | 1,435,411,390 | |||||||
Net other assets (liabilities) — (1.9)% | (27,416,062 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,407,995,328 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $41,174,292. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. 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, 2020. |
(c) | The rate represents the effective yield at June 30, 2020. |
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
11
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2020 (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, 2020:
(Unaudited)
Country | Percentage | |||
Australia | 6.8 | % | ||
Austria | 0.2 | % | ||
Belgium | 0.9 | % | ||
Bermuda | 0.1 | % | ||
China | 0.1 | % | ||
Denmark | 2.3 | % | ||
Finland | 1.1 | % | ||
France | 10.0 | % | ||
Germany | 8.9 | % | ||
Hong Kong | 3.1 | % | ||
Ireland | 1.1 | % | ||
Isle of Man | — | %† | ||
Israel | 0.6 | % | ||
Italy | 2.1 | % | ||
Japan | 24.7 | % | ||
Luxembourg | 0.1 | % | ||
Netherlands | 4.1 | % | ||
New Zealand | 0.3 | % | ||
Norway | 0.5 | % | ||
Portugal | 0.2 | % | ||
Singapore | 1.1 | % | ||
Spain | 2.3 | % | ||
Sweden | 2.8 | % | ||
Switzerland | 10.2 | % | ||
United Kingdom | 13.4 | % | ||
United States | 3.0 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
Futures Contracts
Cash of $1,403,624 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
ASX SPI 200 Index September Futures (Australian Dollar) | 9/17/20 | 14 | $ | 1,422,707 | $ | 6,433 | ||||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/18/20 | 120 | 4,344,886 | 40,636 | ||||||||||||
FTSE 100 Index September Futures (British Pounds) | 9/18/20 | 33 | 2,513,318 | (10,759 | ) | |||||||||||
SGX Nikkei 225 Index September Futures (Japanese Yen) | 9/10/20 | 30 | 3,092,812 | (16,597 | ) | |||||||||||
|
| |||||||||||||||
$ | 19,713 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
12
AZL International Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,224,114,062 | |||
Investments in affiliates, at cost | 6,114,448 | ||||
|
| ||||
Investments in non-affiliates, at value(a) | $ | 1,426,367,746 | |||
Investments in affiliates, at value | 9,043,644 | ||||
Segregated cash for collateral for futures contracts | 1,403,624 | ||||
Interest and dividends receivable | 1,782,113 | ||||
Foreign currency, at value (cost $7,451,663) | 7,477,571 | ||||
Receivable for investments sold | 564,857 | ||||
Reclaims receivable | 6,613,597 | ||||
Prepaid expenses | 3,021 | ||||
|
| ||||
Total Assets | 1,453,256,173 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 5,682 | ||||
Payable for capital shares redeemed | 781,863 | ||||
Payable for collateral received on loaned securities | 43,467,073 | ||||
Payable for variation margin on futures contracts | 32,245 | ||||
Manager fees payable | 413,536 | ||||
Administration fees payable | 832 | ||||
Distribution fees payable | 277,100 | ||||
Custodian fees payable | 58,331 | ||||
Administrative and compliance services fees payable | 3,211 | ||||
Transfer agent fees payable | 2,691 | ||||
Trustee fees payable | 20,984 | ||||
Other accrued liabilities | 197,297 | ||||
|
| ||||
Total Liabilities | 45,260,845 | ||||
|
| ||||
Net Assets | $ | 1,407,995,328 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 1,192,070,759 | |||
Total distributable earnings | 215,924,569 | ||||
|
| ||||
Net Assets | $ | 1,407,995,328 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 88,105,724 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 8,613,325 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.23 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 1,319,889,604 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 88,737,371 | ||||
Net Asset Value (offering and redemption price per share) | $ | 14.87 | |||
|
|
(a) | Includes securities on loan of $41,174,292. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 23,421,820 | |||
Dividends from affiliates | 463,330 | ||||
Income from securities lending | 113,366 | ||||
Foreign withholding tax | (2,327,507 | ) | |||
|
| ||||
Total Investment Income | 21,671,009 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,546,048 | ||||
Administration fees | 210,124 | ||||
Distribution fees — Class 2 | 1,706,720 | ||||
Custodian fees | 122,239 | ||||
Administrative and compliance services fees | 14,017 | ||||
Transfer agent fees | 6,353 | ||||
Trustee fees | 44,206 | ||||
Professional fees | 38,630 | ||||
Shareholder reports | 34,040 | ||||
Other expenses | 270,282 | ||||
|
| ||||
Total expenses | 4,992,659 | ||||
|
| ||||
Net Investment Income/(Loss) | 16,678,350 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | (23,100,949 | ) | |||
Net realized gains/(losses) on affiliated transactions | 120,416 | ||||
Net realized gains/(losses) on futures contracts | 5,275,572 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (190,381,259 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (2,159,663 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 212,533 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (210,033,350 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (193,355,000 | ) | ||
|
|
See accompanying notes to the financial statements.
13
AZL International Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 16,678,350 | $ | 43,725,702 | ||||||
Net realized gains/(losses) on investments | (17,704,961 | ) | 7,017,408 | |||||||
Change in unrealized appreciation/depreciation on investments | (192,328,389 | ) | 265,416,714 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (193,355,000 | ) | 316,159,824 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (4,671,747 | ) | |||||||
Class 2 | — | (45,310,584 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (49,982,331 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 195,642 | 277,487 | ||||||||
Proceeds from dividends reinvested | — | 4,671,747 | ||||||||
Value of shares redeemed | (6,606,759 | ) | (12,887,802 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (6,411,117 | ) | (7,938,568 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 95,724,244 | 45,976,347 | ||||||||
Proceeds from dividends reinvested | — | 45,310,584 | ||||||||
Value of shares redeemed | (185,852,720 | ) | (173,248,705 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (90,128,476 | ) | (81,961,774 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (96,539,593 | ) | (89,900,342 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (289,894,593 | ) | 176,277,151 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,697,889,921 | 1,521,612,770 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,407,995,328 | $ | 1,697,889,921 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 21,166 | 24,903 | ||||||||
Dividends reinvested | — | 441,564 | ||||||||
Shares redeemed | (656,176 | ) | (1,169,990 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (635,010 | ) | (703,523 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 7,322,657 | 2,878,245 | ||||||||
Dividends reinvested | — | 2,940,336 | ||||||||
Shares redeemed | (13,354,707 | ) | (10,864,598 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (6,032,050 | ) | (5,046,017 | ) | ||||||
|
|
|
| |||||||
Change in shares | (6,667,060 | ) | (5,749,540 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
14
AZL International Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016^ | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.53 | $ | 9.94 | $ | 12.30 | $ | 10.07 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.13 | (a) | 0.32 | (a) | 0.36 | 0.37 | 0.12 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.43 | ) | 1.79 | (2.00 | ) | 2.15 | (0.05 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | (1.30 | ) | 2.11 | (1.64 | ) | 2.52 | 0.07 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.42 | ) | (0.50 | ) | (0.16 | ) | — | ||||||||||||||||||||||
Net Realized Gains | — | (0.10 | ) | (0.22 | ) | (0.13 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (0.52 | ) | (0.72 | ) | (0.29 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 10.23 | $ | 11.53 | $ | 9.94 | $ | 12.30 | $ | 10.07 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(b) | (11.27 | )%(c) | 21.67 | % | (13.80 | )% | 25.12 | % | 0.70 | %(c) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 88,106 | $ | 106,657 | $ | 98,902 | $ | 132,265 | $ | 123,158 | ||||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.52 | % | 2.89 | % | 2.62 | % | 2.48 | % | 1.19 | % | ||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.45 | % | 0.44 | % | 0.45 | % | 0.48 | % | 0.40 | % | ||||||||||||||||||||
Expenses Net of Reductions(d) | 0.45 | % | 0.44 | % | 0.45 | % | 0.48 | % | 0.40 | % | ||||||||||||||||||||
Portfolio Turnover Rate(f) | 8 | % | 4 | % | 2 | % | 8 | % | 55 | %(g) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.79 | $ | 14.25 | $ | 17.30 | $ | 14.10 | $ | 14.42 | $ | 15.28 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.17 | (a) | 0.42 | (a) | 0.43 | 0.36 | 0.15 | 0.58 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.09 | ) | 2.60 | (2.81 | ) | 3.12 | (0.10 | ) | (0.79 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.92 | ) | 3.02 | (2.38 | ) | 3.48 | 0.05 | (0.21 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.38 | ) | (0.45 | ) | (0.15 | ) | (0.37 | ) | (0.65 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.10 | ) | (0.22 | ) | (0.13 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.48 | ) | (0.67 | ) | (0.28 | ) | (0.37 | ) | (0.65 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 14.87 | $ | 16.79 | $ | 14.25 | $ | 17.30 | $ | 14.10 | $ | 14.42 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (11.44 | )%(c) | 21.44 | % | (14.04 | )% | 24.77 | % | 0.37 | % | (1.39 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,319,890 | $ | 1,591,233 | $ | 1,422,711 | $ | 1,862,508 | $ | 1,605,552 | $ | 576,330 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.28 | % | 2.64 | % | 2.36 | % | 2.21 | % | 2.11 | % | 2.16 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.70 | % | 0.69 | % | 0.70 | % | 0.73 | % | 0.71 | % | 0.75 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.70 | % | 0.69 | % | 0.70 | % | 0.73 | % | 0.71 | % | 0.74 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 8 | % | 4 | % | 2 | % | 8 | % | 55 | %(g) | 13 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(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. |
(g) | 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.
15
AZL International Index Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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
16
AZL International Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $11,400 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $43,467,073 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $41.6 million for the period ended June 30, 2020. 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, 2020:
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* | $47,069 | Payable for variation margin on futures contracts* | $27,356 |
* | 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. |
17
AZL International Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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 | $5,275,572 | $212,533 |
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, 2021.
For the period ended June 30, 2020, 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.” AtJune 30, 2020, 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, 2020, there were no voluntary waivers.
At June 30, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2020 | Shares as of 6/30/2020 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
Allianz SE, Registered Shares | $ | 11,646,273 | $ | 486,543 | $ | (1,049,925 | ) | $ | 120,416 | $ | (2,159,663 | ) | $ | 9,043,644 | 44,341 | $ | 463,330 | $ | — | ||||||||||||||||||||||||||
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$ | 11,646,273 | $ | 486,543 | $ | (1,049,925 | ) | $ | 120,416 | $ | (2,159,663 | ) | $ | 9,043,644 | 44,341 | $ | 463,330 | $ | — | |||||||||||||||||||||||||||
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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 SEC. 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.
18
AZL International Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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, 2020, $6,222 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 6,203,472 | $ | 1,379,379,212 | $ | 108 | $ | 1,385,582,792 | ||||||||||||
Preferred Stocks+ | — | 5,999,281 | — | 5,999,281 | ||||||||||||||||
Rights+ | 215,586 | — | — | 215,586 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 43,467,073 | — | — | 43,467,073 | ||||||||||||||||
Unaffiliated Investment Companies | 146,658 | — | — | 146,658 | ||||||||||||||||
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Total Investment Securities | 50,032,789 | 1,385,378,493 | 108 | 1,435,411,390 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 19,713 | — | — | 19,713 | ||||||||||||||||
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Total Investments | $ | 50,052,502 | $ | 1,385,378,493 | $ | 108 | $ | 1,435,431,103 | ||||||||||||
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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. |
19
AZL International Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 109,191,928 | $ | 163,947,778 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $1,311,386,440. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 413,829,267 | ||
Unrealized (depreciation) | (55,660,724 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 358,168,543 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL International Index Fund | $ | 39,883,140 | $ | 10,099,191 | $ | 49,982,331 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 International Index Fund | $ | 49,683,624 | $ | 1,147,318 | $ | — | $ | 358,448,627 | $ | 409,279,569 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, mark-to-market of futures contracts and other miscellaneous differences. |
20
AZL International Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 60% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
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Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
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The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® MetWest Total Return Bond Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 12 |
Page 12 |
Statements of Changes in Net Assets Page 13 |
Page 14 |
Notes to the Financial Statements Page 15 |
Page 22 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 1,000.00 | $ | 1,058.80 | $ | 4.15 | 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 1,000.00 | $ | 1,020.84 | $ | 4.07 | 0.81 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Government Agency Mortgages | 35.5 | % | |||
U.S. Treasury Obligations | 25.8 | ||||
Corporate Bonds | 23.4 | ||||
Collateralized Mortgage Obligations | 8.7 | ||||
Yankee Dollars | 5.5 | ||||
Asset Backed Securities | 4.7 | ||||
Unaffiliated Investment Companies | 2.3 | ||||
Municipal Bonds | 0.8 | ||||
Commercial Paper | 0.4 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.2 | ||||
|
| ||||
Total Investment Securities | 107.3 | ||||
Net other assets (liabilities) | (7.3 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Asset Backed Securities (4.7%): | ||||||||
$ | 1,395,769 | Ajax Mortgage Loan Trust, Class A1, Series 2019-F, 2.86%, 7/25/59, Callable 11/25/22 @ 100(a)(b) | $ | 1,418,336 | ||||
530,274 | Navient Student Loan Trust, Class A, Series 2014-2, 0.82%(US0001M+64bps), 3/25/83, Callable 9/25/33 @ 100 | 507,338 | ||||||
965,000 | Navient Student Loan Trust, Class A3, Series 2016-2, 1.68%(US0001M+150bps), 6/25/65, Callable 2/25/32 @ 100(a) | 965,022 | ||||||
950,000 | Navient Student Loan Trust, Class A3, Series 2017-3A, 1.23%(US0001M+105bps), 7/26/66, Callable 11/25/34 @ 100(a) | 917,544 | ||||||
919,704 | SLC Student Loan Trust, Class 2A3, Series 2008-1, 1.91%(US0003M+160bps), 12/15/32, Callable 12/15/27 @ 100 | 925,484 | ||||||
2,285,000 | SLC Student Loan Trust, Class 2A3, Series 2006-1, 0.47%(US0003M+16bps), 3/15/55, Callable 9/15/30 @ 100 | 2,085,607 | ||||||
364,123 | SLM Student Loan Trust, Class A, Series 2008-9, 2.49%(US0003M+150bps), 4/25/23, Callable 7/25/22 @ 100 | 352,004 | ||||||
901,393 | SLM Student Loan Trust, Class A6A, Series 2004-3A, 1.54%(US0003M+55bps), 10/25/64, Callable 4/25/29 @ 100(a) | 856,254 | ||||||
655,463 | SLM Student Loan Trust, Class A3, Series 2012-1, 1.13%(US0001M+95bps), 9/25/28, Callable 11/25/27 @ 100 | 617,737 | ||||||
590,429 | SLM Student Loan Trust, Class 2A3, Series 2003-7, 0.88%(US0003M+57bps), 9/15/39, Callable 12/15/28 @ 100 | 522,314 | ||||||
977,026 | SLM Student Loan Trust, Class A4, Series 2008-6, 2.09%(US0003M+110bps), 7/25/23, Callable 4/25/24 @ 100 | 933,273 | ||||||
1,220,000 | SLM Student Loan Trust, Class 2A3, Series 2008-5, 2.84%(US0003M+185bps), 7/25/73, Callable 7/25/22 @ 100 | 1,147,662 | ||||||
240,000 | SLM Student Loan Trust, Class 2A3, Series 2008-9, 3.24%(US0003M+225bps), 10/25/83, Callable 7/25/22 @ 100 | 232,033 | ||||||
69,251 | SLM Student Loan Trust, Class A, Series 2009-3, 0.93%(US0001M+75bps), 1/25/45, Callable 3/25/34 @ 100(a) | 64,606 | ||||||
637,754 | SLM Student Loan Trust, Class A4, Series 2007-7, 1.32%(US0003M+33bps), 1/25/22, Callable 4/25/23 @ 100 | 616,885 | ||||||
1,704,118 | Wachovia Student Loan Trust, Class 2A3, Series 2006-1, 1.16%(US0003M+17bps), 4/25/40, Callable 4/25/26 @ 100(a) | 1,585,882 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $14,095,685) | 13,747,981 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (8.7%): | ||||||||
843,390 | AIMCO CLO, Class AR, Series 2015-AA, 2.07%(US0003M+85bps), 1/15/28, Callable 7/15/20 @ 100(a) | 831,453 | ||||||
1,316,425 | Alternative Loan Trust, Class 4A1, Series 2005-56, 0.49%(US0001M+31bps), 11/25/35, Callable 7/25/20 @ 100 | 1,213,130 |
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 805,866 | America Home Mortgage Investment Trust, Class 6A, Series 2005-1, 2.58%(US0006M+200bps), 6/25/45, Callable 7/25/20 @ 100 | $ | 767,602 | ||||
515,000 | Bank of America Merrill Lynch Large Loan, Inc., Class A, Series 2018-PARK, 4.23%, 8/10/38(a)(b) | 572,644 | ||||||
339,980 | Bank of America Mortgage Securities, Inc., Class 2A3, Series 2005-F, 3.89%, 7/25/35, Callable 7/25/20 @ 100(b) | 312,587 | ||||||
155,000 | BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(a) | 161,580 | ||||||
355,000 | CALI Mortgage Trust, Class A, Series 2019-101C, 3.96%, 3/10/39(a) | 405,705 | ||||||
844,635 | Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5, 3.97%, 4/25/37, Callable 1/25/30 @ 100(b) | 750,042 | ||||||
365,000 | Commercial Mortgage Trust, Class A, Series 2016-787S, 3.54%, 2/10/36(a)(b) | 395,740 | ||||||
300,000 | CPT Mortgage Trust, Class A, Series 2019-CPT, 2.87%, 11/13/39(a) | 322,239 | ||||||
916,748 | Credit Suisse Mortgage Capital Certificates, Class A2E, Series 2007-CB2, 3.92%, 2/25/37, Callable 4/25/24 @ 100(b) | 718,196 | ||||||
325,000 | DC Office Trust, Class A, Series 2019-MTC, 2.97%, 9/15/45(a) | 350,327 | ||||||
215,646 | First Franklin Mortgage Loan Trust, Class M1, Series 2005-FF8, 0.92%(US0001M+49bps), 9/25/35, Callable 7/25/20 @ 100 | 211,337 | ||||||
643,042 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AA12, 3.31%, 2/25/36, Callable 7/25/20 @ 100(b) | 471,708 | ||||||
350,634 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AR3, 3.86%, 8/25/35, Callable 7/25/20 @ 100(b) | 300,356 | ||||||
762,906 | First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 3.64%, 3/25/36, Callable 7/25/20 @ 100(b) | 617,189 | ||||||
724,740 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 3.51%, 4/25/36, Callable 7/25/20 @ 100(b) | 616,234 | ||||||
695,789 | GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1, 3.74%, 4/19/36, Callable 7/19/20 @ 100(b) | 586,809 | ||||||
576,003 | GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5, 3.89%, 9/19/35, Callable 7/19/20 @ 100(b) | 503,124 | ||||||
850,000 | GoldenTree Loan Opportunities IX, Ltd., Class AR2, Series 2014-9A, 1.95%(US0003M+111bps), 10/29/29, Callable 10/29/20 @ 100(a) | 833,658 | ||||||
1,323,885 | GreenPoint Mortgage Funding Trust, Class A1A, Series 2006-AR1, 0.76%(US0001M+58bps), 2/25/36, Callable 7/25/20 @ 100 | 1,125,495 | ||||||
1,434,009 | HarborView Mortgage Loan Trust, Class 1A1A, Series 2006-10, 0.39%(US0001M+20bps), 11/19/36, Callable 5/19/22 @ 100 | 1,198,547 | ||||||
330,000 | Hudson Yards Mortgage Trust, Class A, Series 2019-30HY, 3.23%, 6/10/37(a) | 364,815 |
See accompanying notes to the financial statements.
2
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 325,000 | Hudson Yards Mortgage Trust, Class A, Series 2019-55HY, 3.04%, 12/10/41(a) | $ | 353,155 | ||||
325,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2019-OSB, 3.40%, 6/5/39(a) | 362,632 | ||||||
820,000 | LCM LP, Class ARR, Series 13A, 2.28%(US0003M+114bps), 7/19/27, Callable 7/19/20 @ 100(a) | 810,316 | ||||||
822,663 | Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4, 0.30%(US0001M+12bps), 7/25/37, Callable 7/25/23 @ 100 | 438,505 | ||||||
395,000 | MKT Mortgage Trust, Class A, Series 2020-525M, 2.69%, 2/12/40(a) | 415,722 | ||||||
427,059 | Morgan Stanley Resecuritization Trust, Class 3A, Series 2014-R8, 2.43%(12MTA+75bps), 6/26/47(a) | 417,313 | ||||||
465,601 | MortgageIT Trust, Class 2A3, Series 2005-2, 1.82%(US0001M+165bps), 5/25/35, Callable 7/25/20 @ 100 | 426,995 | ||||||
320,000 | Natixis Commercial Mortgage Securities, Class A, Series 20-2PAC, 2.97%, 1/15/25(a) | 331,044 | ||||||
438,166 | Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 5.69%, 7/25/35, Callable 7/25/20 @ 100(b) | 423,989 | ||||||
440,402 | Nomura Resecuritization Trust, Class 2A3, Series 2014-7R, 0.37%(US0001M+20bps), 12/26/35(a) | 437,176 | ||||||
210,000 | Octagon Investment Partners 25, Class AR, Series 2015-1A, 1.94%(US0003M+80bps), 10/20/26, Callable 7/20/20 @ 100(a) | 206,325 | ||||||
415,000 | One Bryant Park Trust, Class A, Series 2019-OBP, 2.52%, 9/13/49(a) | 439,979 | ||||||
385,000 | RBSCF Trust, Class A, Series 2013-GSP, 3.96%, 1/13/32(a)(b) | 406,137 | ||||||
536,659 | Recette Clo, Ltd., Class AR, Series 2015-1A, 2.06%(US0003M+92bps), 10/20/27, Callable 7/20/20 @ 100(a) | 529,682 | ||||||
1,223,616 | Residential Accredit Loans, Inc., Class A2, Series 2006-QA10, 0.36%(US0001M+18bps), 12/25/36, Callable 1/25/21 @ 100 | 972,153 | ||||||
1,424,404 | Structured Asset Mortgage Investments II Trust, Class 3A1, Series 2006-AR1, 0.41%(US0001M+23bps), 2/25/36, Callable 7/25/20 @ 100 | 1,211,641 | ||||||
550,000 | TCI-Flatiron CLO, Ltd., Class AR, Series 2016-1, 2.35%(US0003M+122bps), 7/17/28, Callable 7/17/20 @ 100(a) | 539,116 | ||||||
624,170 | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR6, 0.64%(US0001M+23bps), 4/25/45, Callable 7/25/20 @ 100 | 581,384 | ||||||
1,345,501 | WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR8, 0.76%(US0001M+29bps), 7/25/45, Callable 7/25/20 @ 100 | 1,175,793 | ||||||
533,660 | WaMu Mortgage Pass-Through Certificates, Class A2, Series 2005-AR3, 3.62%, 3/25/35, Callable 7/25/20 @ 100(b) | 497,912 |
Principal Amount | Fair Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 264,172 | WaMu Mortgage Pass-Through Certificates, Class A1A, Series 2004-AR10, 0.62%(US0001M+44bps), 7/25/44, Callable 7/25/20 @ 100 | $ | 239,684 | ||||
450,503 | Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 4.33%, 9/25/36, Callable 7/25/20 @ 100(b) | 402,555 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $26,041,013) | 25,249,725 | |||||||
|
| |||||||
Corporate Bonds (23.4%): | ||||||||
Airlines (0.2%): | ||||||||
110,980 | U.S. Airways Group, Inc., Series 2001-1G PTT, 7.08%, 9/20/22 | 104,791 | ||||||
586,555 | U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24 | 493,603 | ||||||
|
| |||||||
598,394 | ||||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
635,000 | Daimler Finance NA LLC, 2.20%, 10/30/21(a) | 642,156 | ||||||
|
| |||||||
Banks (2.6%): | ||||||||
510,000 | Bank of America Corp., 3.00%(US0003M+79bps), 12/20/23, Callable 12/20/22 @ 100 | 534,755 | ||||||
110,000 | Bank of America Corp., 1.32%(SOFR+115bps), 6/19/26, Callable 6/19/25 @ 100, MTN | 110,000 | ||||||
220,000 | Bank of America Corp., 2.88%(US0003M+119bps), 10/22/30, Callable 10/22/29 @ 100, MTN | 237,082 | ||||||
160,000 | Bank of America Corp., 2.59%(SOFR+215bps), 4/29/31, Callable 4/29/30 @ 100 | 168,736 | ||||||
550,000 | Bank of America Corp., 4.08%(US0003M+315bps), 3/20/51, Callable 3/20/50 @ 100, MTN | 678,649 | ||||||
355,000 | Citigroup, Inc., 2.57%(SOFR+211bps), 6/3/31, Callable 6/3/30 @ 100 | 365,663 | ||||||
730,000 | JPMorgan Chase & Co., 4.02%(US0003M+100bps), 12/5/24, Callable 12/5/23 @ 100 | 802,801 | ||||||
300,000 | JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100 | 332,460 | ||||||
270,000 | JPMorgan Chase & Co., 2.74%(SOFR+151bps), 10/15/30, Callable 10/15/29 @ 100 | 288,007 | ||||||
430,000 | JPMorgan Chase & Co., 2.52%(SOFR+204bps), 4/22/31, Callable 4/22/30 @ 100 | 453,824 | ||||||
260,000 | JPMorgan Chase & Co., 3.11%(SOFR+244bps), 4/22/51, Callable 4/22/50 @ 100 | 277,673 | ||||||
410,000 | Wells Fargo & Co., 3.58%(US0003M+131bps), 5/22/28, Callable 5/22/27 @ 100, MTN | 455,004 | ||||||
330,000 | Wells Fargo & Co., 2.39%(SOFR+210bps), 6/2/28, Callable 6/2/27 @ 100, MTN | 339,846 | ||||||
200,000 | Wells Fargo & Co., 2.88%(US0003M+117bps), 10/30/30, Callable 10/30/29 @ 100, MTN | 213,671 | ||||||
410,000 | Wells Fargo & Co., 3.07%(SOFR+253bps), 4/30/41, Callable 4/30/40 @ 100 | 426,471 | ||||||
1,310,000 | Wells Fargo & Co., 5.01%(US0003M+424bps), 4/4/51, Callable 4/4/50 @ 100, MTN | 1,808,710 | ||||||
|
| |||||||
7,493,352 | ||||||||
|
| |||||||
Beverages (0.3%): | ||||||||
70,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46, Callable 8/1/45 @ 100 | 85,181 |
See accompanying notes to the financial statements.
3
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Beverages, continued | ||||||||
$ | 640,000 | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | $ | 759,246 | ||||
|
| |||||||
844,427 | ||||||||
|
| |||||||
Biotechnology (0.9%): | ||||||||
428,000 | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100(a) | 520,018 | ||||||
145,000 | AbbVie, Inc., 4.05%, 11/21/39, Callable 5/21/39 @ 100(a) | 168,984 | ||||||
300,000 | AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100 | 368,834 | ||||||
150,000 | AbbVie, Inc., 4.88%, 11/14/48, Callable 5/14/48 @ 100 | 194,826 | ||||||
940,000 | AbbVie, Inc., 4.25%, 11/21/49, Callable 5/21/49 @ 100(a) | 1,123,189 | ||||||
125,000 | Amgen, Inc., 4.66%, 6/15/51, Callable 12/15/50 @ 100 | 167,008 | ||||||
|
| |||||||
2,542,859 | ||||||||
|
| |||||||
Capital Markets (0.7%): | ||||||||
150,000 | Goldman Sachs Group, Inc. (The), 3.69%(US0003M+151bps), 6/5/28, Callable 6/5/27 @ 100 | 167,789 | ||||||
185,000 | Goldman Sachs Group, Inc. (The), 2.60%, 2/7/30, Callable 11/7/29 @ 100 | 193,899 | ||||||
365,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 412,454 | ||||||
620,000 | Morgan Stanley, 0.76%(SOFR+70bps), 1/20/23, Callable 1/20/22 @ 100, MTN | 616,900 | ||||||
255,000 | Raymond James Financial, 4.95%, 7/15/46 | 311,831 | ||||||
250,000 | SL Green Operating Partnership LP, 3.25%, 10/15/22, Callable 9/15/22 @ 100 | 248,400 | ||||||
|
| |||||||
1,951,273 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
475,000 | International Flavors & Fragrances, Inc., 5.00%, 9/26/48, Callable 3/26/48 @ 100 | 555,142 | ||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
267,000 | Clean Harbors, Inc., 5.13%, 7/15/29, Callable 7/15/24 @ 102.56(a) | 275,677 | ||||||
100,000 | Matthews International Corp., 5.25%, 12/1/25, Callable 12/1/20 @ 103.94(a) | 90,500 | ||||||
114,000 | Waste Pro USA, Inc., 5.50%, 2/15/26, Callable 2/15/21 @ 104.13(a) | 107,303 | ||||||
|
| |||||||
473,480 | ||||||||
|
| |||||||
Consumer Finance (1.2%): | ||||||||
650,000 | Ford Motor Credit Co. LLC, 3.20%, 1/15/21 | 641,887 | ||||||
105,000 | Ford Motor Credit Co. LLC, 5.75%, 2/1/21 | 105,438 | ||||||
55,000 | Ford Motor Credit Co. LLC, 3.34%, 3/18/21 | 54,451 | ||||||
255,000 | Ford Motor Credit Co. LLC, 3.81%, 10/12/21 | 251,405 | ||||||
150,000 | Ford Motor Credit Co. LLC, 2.19%(US0003M+88bps), 10/12/21 | 143,100 | ||||||
95,000 | Ford Motor Credit Co. LLC, 3.22%, 1/9/22 | 92,401 | ||||||
455,000 | Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100 | 440,061 | ||||||
575,000 | General Motors Financial Co, Inc., 4.20%, 11/6/21 | 588,519 | ||||||
300,000 | General Motors Financial Co., Inc., 3.20%, 7/6/21, Callable 6/6/21 @ 100 | 303,311 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 275,000 | General Motors Financial Co., Inc., 4.38%, 9/25/21 | $ | 282,856 | ||||
60,000 | General Motors Financial Co., Inc., 3.45%, 4/10/22, Callable 2/10/22 @ 100 | 61,130 | ||||||
375,000 | General Motors Financial Co., Inc., 3.15%, 6/30/22, Callable 5/30/22 @ 100 | 380,399 | ||||||
155,000 | General Motors Financial Co., Inc., 3.55%, 7/8/22 | 158,621 | ||||||
|
| |||||||
3,503,579 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
200,000 | Ball Corp., 4.00%, 11/15/23 | 207,250 | ||||||
95,000 | Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a) | 95,869 | ||||||
110,000 | Graphic Packaging International LLC, 4.75%, 7/15/27, Callable 4/15/27 @ 100(a) | 116,050 | ||||||
25,000 | Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24, Callable 8/6/20 @ 102.75(a) | 24,500 | ||||||
25,000 | Sealed Air Corp., 4.00%, 12/1/27, Callable 9/1/27 @ 100(a) | 24,938 | ||||||
|
| |||||||
468,607 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
275,000 | Duke University, 2.68%, 10/1/44 | 288,644 | ||||||
|
| |||||||
Diversified Financial Services (0.6%): | ||||||||
600,000 | Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100 | 651,334 | ||||||
420,000 | BP Capital Markets America, Inc., 3.63%, 4/6/30, Callable 1/6/30 @ 100 | 473,785 | ||||||
55,000 | BP Capital Markets America, Inc., 3.00%, 2/24/50, Callable 8/24/49 @ 100 | 53,997 | ||||||
220,000 | Dell International LLC / EMC Corp., 4.42%, 6/15/21, Callable 5/15/21 @ 100(a) | 226,323 | ||||||
275,000 | GE Capital Funding LLC, 4.40%, 5/15/30, Callable 2/15/30 @ 100(a) | 285,602 | ||||||
35,000 | Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 8/6/20 @ 101.34 | 35,306 | ||||||
91,000 | Level 3 Financing, Inc., 4.63%, 9/15/27, Callable 9/15/22 @ 102.31(a) | 91,228 | ||||||
|
| |||||||
1,817,575 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.0%): | ||||||||
375,000 | AT&T, Inc., 1.50%(US0003M+118bps), 6/12/24 | 375,755 | ||||||
300,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 351,462 | ||||||
290,000 | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | 341,620 | ||||||
255,000 | AT&T, Inc., 4.30%, 12/15/42, Callable 6/15/42 @ 100 | 282,169 | ||||||
410,000 | AT&T, Inc., 4.80%, 6/15/44, Callable 12/15/43 @ 100 | 477,596 | ||||||
125,000 | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100 | 145,424 | ||||||
500,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 613,350 | ||||||
64,000 | CenturyLink, Inc., 4.00%, 2/15/27, Callable 2/15/23 @ 102(a) | 62,160 | ||||||
175,000 | Qwest Corp., 7.25%, 9/15/25 | 194,619 | ||||||
|
| |||||||
2,844,155 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities (2.0%): | ||||||||
$ | 280,000 | American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44 @ 100(a) | $ | 349,848 | ||||
500,000 | Appalachian Power Co., Series H, 5.95%, 5/15/33 | 650,082 | ||||||
400,000 | Cleco Power LLC, 6.00%, 12/1/40 | 497,987 | ||||||
1,000,000 | Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100 | 1,225,400 | ||||||
750,000 | Jersey Central Power & Light Co., 6.40%, 5/15/36 | 1,002,079 | ||||||
1,250,000 | NextEra Energy Capital Holdings, Inc., 0.92%(US0003M+55bps), 8/28/21, Callable 8/6/20 @ 100 | 1,250,237 | ||||||
700,000 | Public Service Oklahoma, 4.40%, 2/1/21 | 715,751 | ||||||
|
| |||||||
5,691,384 | ||||||||
|
| |||||||
Electrical Equipment (0.1%): | ||||||||
256,000 | PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a) | 259,840 | ||||||
|
| |||||||
Entertainment (0.3%): | ||||||||
95,000 | Live Nation Entertainment Inc., 4.75%, 10/15/27, Callable 10/15/22 @ 103.56(a) | 81,819 | ||||||
275,000 | Walt Disney Co. (The), 2.65%, 1/13/31 | 291,906 | ||||||
545,000 | Walt Disney Co. (The), 3.60%, 1/13/51, Callable 7/13/50 @ 100 | 608,208 | ||||||
|
| |||||||
981,933 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.3%): | ||||||||
590,000 | American Campus Communities Operating Partnership LP, 3.63%, 11/15/27, Callable 8/15/27 @ 100 | 605,476 | ||||||
205,000 | GLP Capital LP, 5.25%, 6/1/25, Callable 3/1/25 @ 100 | 222,184 | ||||||
440,000 | GLP Capital LP, 5.38%, 4/15/26, Callable 1/15/26 @ 100 | 479,053 | ||||||
105,000 | GLP Capital LP, 5.75%, 6/1/28, Callable 3/3/28 @ 100 | 114,951 | ||||||
290,000 | GLP Capital LP, 5.30%, 1/15/29, Callable 10/15/28 @ 100 | 313,594 | ||||||
5,000 | GLP Capital LP, 4.00%, 1/15/30, Callable 10/15/29 @ 100 | 4,943 | ||||||
20,000 | HCP, Inc., 4.25%, 11/15/23, Callable 8/15/23 @ 100 | 21,822 | ||||||
265,000 | HCP, Inc., 3.88%, 8/15/24, Callable 5/17/24 @ 100 | 290,831 | ||||||
100,000 | MGM Growth/MGM Finance, 5.63%, 5/1/24, Callable 2/1/24 @ 100 | 103,500 | ||||||
112,000 | SBA Communications Corp., 4.88%, 9/1/24, Callable 8/6/20 @ 103.66 | 114,660 | ||||||
1,440,000 | Welltower, Inc., 3.75%, 3/15/23, Callable 12/15/22 @ 100 | 1,517,215 | ||||||
|
| |||||||
3,788,229 | ||||||||
|
| |||||||
Food & Staples Retailing (0.5%): | ||||||||
104,000 | Rite Aid Corp., 6.13%, 4/1/23, Callable 8/6/20 @ 101.53(a) | 100,620 | ||||||
190,000 | The Kroger Co., 5.40%, 1/15/49, Callable 7/15/48 @ 100 | 265,185 | ||||||
790,000 | Walgreens Boots Alliance, Inc., 3.80%, 11/18/24, Callable 8/18/24 @ 100 | 870,873 | ||||||
300,000 | Walgreens Boots Alliance, Inc., 4.80%, 11/18/44, Callable 5/18/44 @ 100 | 325,416 | ||||||
|
| |||||||
1,562,094 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Food Products (1.0%): | ||||||||
$ | 30,000 | JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | $ | 30,750 | ||||
215,000 | Kraft Heinz Foods Co., 5.00%, 6/4/42 | 223,720 | ||||||
515,000 | Kraft Heinz Foods Co., 5.20%, 7/15/45, Callable 1/15/45 @ 100 | 550,019 | ||||||
955,000 | Kraft Heinz Foods Co., 4.38%, 6/1/46, Callable 12/1/45 @ 100 | 938,268 | ||||||
960,000 | Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 4/1/49 @ 100(a) | 990,843 | ||||||
25,000 | Pilgrim’s Pride Corp., 5.88%, 9/30/27, Callable 9/30/22 @ 102.94(a) | 24,969 | ||||||
25,000 | Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a) | 24,438 | ||||||
150,000 | Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a) | 154,875 | ||||||
|
| |||||||
2,937,882 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
375,000 | Becton Dickinson & Co., 1.18%(US0003M+88bps), 12/29/20, Callable 8/6/20 @ 100 | 374,007 | ||||||
92,000 | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | 96,600 | ||||||
295,000 | Zimmer Biomet Holdings, Inc., 3.55%, 3/20/30, Callable 12/20/29 @ 100 | 318,318 | ||||||
|
| |||||||
788,925 | ||||||||
|
| |||||||
Health Care Providers & Services (2.5%): | ||||||||
200,000 | Aetna, Inc., 3.50%, 11/15/24, Callable 8/15/24 @ 100 | 217,266 | ||||||
500,000 | Anthem, Inc., 3.50%, 8/15/24, Callable 5/15/24 @ 100 | 546,724 | ||||||
478,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 480,390 | ||||||
1,300,000 | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | 1,487,953 | ||||||
160,000 | Cigna Corp., 2.40%, 3/15/30, Callable 12/15/29 @ 100 | 165,513 | ||||||
1,140,000 | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100 | 1,485,879 | ||||||
164,000 | Encompass Health Corp., 4.75%, 2/1/30, Callable 2/1/25 @ 102.38 | 157,030 | ||||||
490,000 | HCA, Inc., 5.00%, 3/15/24 | 543,900 | ||||||
93,000 | HCA, Inc., 5.25%, 4/15/25 | 106,601 | ||||||
160,000 | HCA, Inc., 5.88%, 2/1/29, Callable 8/1/28 @ 100 | 181,000 | ||||||
320,000 | HCA, Inc., 5.13%, 6/15/39, Callable 12/15/38 @ 100 | 374,400 | ||||||
145,000 | HCA, Inc., 5.25%, 6/15/49, Callable 12/15/48 @ 100 | 174,544 | ||||||
75,000 | Humana, Inc., 4.95%, 10/1/44, Callable 4/1/44 @ 100 | 97,633 | ||||||
70,000 | Humana, Inc., 3.95%, 8/15/49, Callable 2/15/49 @ 100 | 81,458 | ||||||
170,000 | Molina Healthcare, Inc., 5.38%, 11/15/22, Callable 8/15/22 @ 100 | 174,675 | ||||||
156,000 | Tenet Healthcare Corp., 4.63%, 7/15/24, Callable 8/6/20 @ 102.31 | 152,490 | ||||||
156,000 | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a) | 152,490 | ||||||
135,000 | Tenet Healthcare Corp., 5.13%, 11/1/27, Callable 11/1/22 @ 102.56(a) | 132,638 |
See accompanying notes to the financial statements.
5
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 205,000 | UnitedHealth Group, Inc., 3.70%, 8/15/49, Callable 2/15/49 @ 100 | $ | 243,247 | ||||
225,000 | UnitedHealth Group, Inc., 2.90%, 5/15/50, Callable 11/15/49 @ 100 | 237,482 | ||||||
85,000 | UnitedHealth Group, Inc., 3.88%, 8/15/59, Callable 2/15/59 @ 100 | 103,384 | ||||||
|
| |||||||
7,296,697 | ||||||||
|
| |||||||
Health Care Technology (0.0%†): | ||||||||
25,000 | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 3/1/25, Callable 7/17/20 @ 102.88(a) | 24,688 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.2%): | ||||||||
274,000 | Churchill Downs, Inc., 5.50%, 4/1/27, Callable 4/1/22 @ 102.75(a) | 265,780 | ||||||
100,000 | Churchill Downs, Inc., 4.75%, 1/15/28, Callable 1/15/23 @ 102.38(a) | 95,250 | ||||||
330,000 | Starbucks Corp., 2.25%, 3/12/30, Callable 12/12/29 @ 100 | 341,667 | ||||||
|
| |||||||
702,697 | ||||||||
|
| |||||||
Household Products (0.1%): | ||||||||
200,000 | Spectrum Brands, Inc., 5.75%, 7/15/25, Callable 8/6/20 @ 102.88 | 205,250 | ||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
190,000 | General Electric Capital Corp., Series A, 6.75%, 3/15/32, MTN | 232,074 | ||||||
273,000 | General Electric Capital Corp., 5.88%, 1/14/38, MTN | 307,177 | ||||||
|
| |||||||
539,251 | ||||||||
|
| |||||||
Insurance (0.6%): | ||||||||
900,000 | Farmers Exchange Capital III, 5.45%(US0003M+345bps), 10/15/54, Callable 10/15/34 @ 100(a) | 1,032,597 | ||||||
670,000 | Farmers Insurance Exchange, 4.75%(US0003M+323bps), 11/1/57, Callable 11/1/37 @ 100(a) | 675,432 | ||||||
|
| |||||||
1,708,029 | ||||||||
|
| |||||||
IT Services (0.1%): | ||||||||
87,000 | Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a) | 86,565 | ||||||
175,000 | Mastercard, Inc., 3.85%, 3/26/50, Callable 9/26/49 @ 100 | 217,042 | ||||||
|
| |||||||
303,607 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
200,000 | IQVIA, Inc., 5.00%, 5/15/27, Callable 5/15/22 @ 102.5(a) | 204,500 | ||||||
|
| |||||||
Media (0.5%): | ||||||||
125,000 | CCO Holdings LLC, 5.38%, 6/1/29, Callable 6/1/24 @ 102.69(a) | 131,719 | ||||||
210,000 | CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | 213,675 | ||||||
172,000 | CCO Holdings LLC, 4.50%, 5/1/32, Callable 5/1/26 @ 102.25(a) | 174,365 | ||||||
250,000 | Charter Communications Operating LLC, 6.48%, 10/23/45, Callable 4/23/45 @ 100 | 331,321 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 35,000 | Charter Communications Operating LLC, 4.80%, 3/1/50, Callable 9/1/49 @ 100 | $ | 38,727 | ||||
200,000 | CSC Holdings LLC, 5.50%, 5/15/26, Callable 5/15/21 @ 102.75(a) | 205,750 | ||||||
30,000 | CSC Holdings LLC, 5.38%, 2/1/28, Callable 2/1/23 @ 102.69(a) | 31,200 | ||||||
290,000 | Time Warner Cable, Inc., 5.88%, 11/15/40, Callable 5/15/40 @ 100 | 356,270 | ||||||
|
| |||||||
1,483,027 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
355,000 | Dominion Energy, Inc., Series A, 3.30%, 3/15/25, Callable 2/15/25 @ 100 | 379,934 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.0%): | ||||||||
146,000 | Antero Resources Corp., 5.13%, 12/1/22, Callable 8/6/20 @ 100 | 105,120 | ||||||
40,000 | Antero Resources Corp., 5.63%, 6/1/23, Callable 8/6/20 @ 101.41^ | 25,400 | ||||||
304,000 | Antero Resources Corp., 5.00%, 3/1/25, Callable 8/6/20 @ 103.75^ | 177,840 | ||||||
25,000 | Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 10/1/20 @ 102.63 | 24,906 | ||||||
35,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | 33,513 | ||||||
500,000 | Energy Transfer Operating LP, 5.88%, 1/15/24, Callable 10/15/23 @ 100 | 556,250 | ||||||
210,000 | Energy Transfer Operating LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | 233,625 | ||||||
700,000 | Energy Transfer Partners LP, 5.95%, 10/1/43, Callable 4/1/43 @ 100 | 702,624 | ||||||
160,000 | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | 129,200 | ||||||
245,000 | Exxon Mobil Corp., 3.48%, 3/19/30, Callable 12/19/29 @ 100 | 278,438 | ||||||
80,000 | Exxon Mobil Corp., 2.61%, 10/15/30, Callable 7/15/30 @ 100 | 85,571 | ||||||
185,000 | Exxon Mobil Corp., 4.23%, 3/19/40, Callable 9/19/39 @ 100 | 222,652 | ||||||
605,000 | Exxon Mobil Corp., 4.33%, 3/19/50, Callable 9/19/49 @ 100 | 752,911 | ||||||
15,000 | Exxon Mobil Corp., 3.45%, 4/15/51, Callable 10/15/50 @ 100 | 16,578 | ||||||
400,000 | Kinder Morgan Energy Partners LP, 5.80%, 3/15/35 | 472,279 | ||||||
200,000 | Occidental Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100^ | 138,000 | ||||||
150,000 | Plains All American Pipeline LP, 4.65%, 10/15/25, Callable 7/15/25 @ 100 | 160,207 | ||||||
56,000 | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100^ | 42,280 | ||||||
250,000 | Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100(a) | 231,875 | ||||||
250,000 | Rockies Express Pipeline LLC, 4.80%, 5/15/30, Callable 2/15/30 @ 100(a) | 230,625 | ||||||
60,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.88%, 1/15/29, Callable 1/15/24 @ 103.44 | 62,850 | ||||||
600,000 | TC PipeLines LP, 3.90%, 5/25/27, Callable 2/25/27 @ 100 | 636,451 |
See accompanying notes to the financial statements.
6
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 350,000 | Williams Partners LP, 6.30%, 4/15/40 | $ | 420,000 | ||||
|
| |||||||
5,739,195 | ||||||||
|
| |||||||
Pharmaceuticals (1.0%): | ||||||||
64,000 | Bausch Health Cos., Inc., 5.75%, 8/15/27, Callable 8/15/22 @ 102.88(a) | 67,840 | ||||||
75,000 | Bayer US Finance II LLC, 3.88%, 12/15/23, Callable 11/15/23 @ 100(a) | 82,227 | ||||||
195,000 | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a) | 223,921 | ||||||
1,205,000 | Bayer US Finance II LLC, 4.38%, 12/15/28, Callable 9/15/28 @ 100(a) | 1,409,903 | ||||||
410,000 | Bayer US Finance II LLC, 4.63%, 6/25/38, Callable 12/25/37 @ 100(a) | 502,888 | ||||||
380,000 | Bayer US Finance II LLC, 4.88%, 6/25/48, Callable 12/25/47 @ 100(a) | 480,486 | ||||||
200,000 | Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 10/15/20 @ 102.44(a) | 203,000 | ||||||
|
| |||||||
2,970,265 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.5%): | ||||||||
445,000 | Broadcom Cayman Finance, Ltd., 3.63%, 1/15/24, Callable 11/15/23 @ 100 | 478,359 | ||||||
215,000 | Intel Corp., 4.10%, 5/19/46, Callable 11/19/45 @ 100 | 268,660 | ||||||
485,000 | Intel Corp., 4.75%, 3/25/50, Callable 9/25/49 @ 100 | 683,673 | ||||||
|
| |||||||
1,430,692 | ||||||||
|
| |||||||
Software (0.0%†): | ||||||||
121,000 | SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22 @ 104.13(a) | 123,420 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.0%†): | ||||||||
25,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 4/1/26, Callable 4/1/21 @ 105.16 | 24,281 | ||||||
81,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16 | 77,760 | ||||||
|
| |||||||
102,041 | ||||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
615,000 | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100 | 671,132 | ||||||
610,000 | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | 747,533 | ||||||
|
| |||||||
1,418,665 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
655,000 | Air Lease Corp., 3.50%, 1/15/22 | 661,733 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.9%): | ||||||||
27,000 | Sprint Corp., 7.88%, 9/15/23 | 30,375 | ||||||
323,750 | Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a) | 327,197 | ||||||
910,000 | Sprint Spectrum Co. LLC, 4.74%, 3/20/25(a) | 989,580 | ||||||
235,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a) | 260,459 | ||||||
492,000 | T-Mobile USA, Inc., 2.55%, 2/15/31, Callable 11/15/30 @ 100(a) | 490,531 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 395,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a) | $ | 451,308 | ||||
|
| |||||||
2,549,450 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $62,823,830) | 67,877,071 | |||||||
|
| |||||||
Yankee Dollars (5.5%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
35,000 | Avolon Holdings Funding, Ltd., 5.13%, 10/1/23, Callable 9/1/23 @ 100(a) | 32,463 | ||||||
30,000 | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a) | 27,300 | ||||||
345,000 | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(a) | 290,231 | ||||||
|
| |||||||
349,994 | ||||||||
|
| |||||||
Banks (0.5%): | ||||||||
485,000 | Lloyds Banking Group plc, 2.86%(US0003M+125bps), 3/17/23, Callable 3/17/22 @ 100 | 499,552 | ||||||
425,000 | Lloyds Banking Group plc, 2.91%(US0003M+81bps), 11/7/23, Callable 11/7/22 @ 100 | 440,938 | ||||||
390,000 | Lloyds Banking Group plc, 3.90%, 3/12/24 | 424,446 | ||||||
410,000 | Santander UK plc, 5.00%, 11/7/23(a) | 446,738 | ||||||
|
| |||||||
1,811,674 | ||||||||
|
| |||||||
Beverages (0.1%): | ||||||||
135,000 | Bacardi, Ltd., 4.70%, 5/15/28, Callable 2/15/28 @ 100(a) | 152,869 | ||||||
105,000 | Bacardi, Ltd., 5.30%, 5/15/48, Callable 11/15/47 @ 100(a) | 128,803 | ||||||
|
| |||||||
281,672 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
178,000 | GFL Environmental, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | 183,340 | ||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
275,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | 279,469 | ||||||
|
| |||||||
Diversified Financial Services (1.1%): | ||||||||
1,191,000 | GE Capital International Funding, 4.42%, 11/15/35 | 1,200,413 | ||||||
111,000 | Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 10/15/20 @ 106.38(a)(c) | 66,600 | ||||||
540,000 | Intelsat Jackson Holdings SA, 9.75%, 7/15/25, Callable 7/15/21 @ 104.88(a)(c) | 326,700 | ||||||
200,000 | NXP BV/NXP Funding LLC, 4.13%, 6/1/21(a) | 205,750 | ||||||
29,000 | OI European Group BV, 4.00%, 3/15/23, Callable 12/15/22 @ 100(a) | 28,638 | ||||||
610,000 | Park Aerospace Holdings, 5.25%, 8/15/22, Callable 7/15/22 @ 100(a) | 571,874 | ||||||
285,000 | Park Aerospace Holdings, 4.50%, 3/15/23, Callable 2/15/23 @ 100(a) | 260,063 | ||||||
255,000 | Park Aerospace Holdings, 5.50%, 2/15/24(a) | 233,325 | ||||||
290,000 | Virgin Media Secured Finance plc, 5.50%, 5/15/29, Callable 5/15/24 @ 102.75(a) | 303,775 | ||||||
|
| |||||||
3,197,138 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
63,050 | Transocean Phoenix 2, Ltd., 7.75%, 10/15/24, Callable 10/15/20 @ 103.88(a) | 58,952 |
See accompanying notes to the financial statements.
7
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Energy Equipment & Services, continued | ||||||||
$ | 126,085 | Transocean Pontus, Ltd., 6.13%, 8/1/25, Callable 8/1/21 @ 104.59(a) | $ | 110,324 | ||||
121,000 | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/1/22 @ 105.16(a) | 104,665 | ||||||
44,850 | Transocean Proteus, Ltd., 6.25%, 12/1/24, Callable 12/1/20 @ 103.13(a) | 40,814 | ||||||
|
| |||||||
314,755 | ||||||||
|
| |||||||
Food & Staples Retailing (0.1%): | ||||||||
475,000 | Alimentation Couche-Tard, Inc., 3.55%, 7/26/27, Callable 4/26/27 @ 100(a) | 508,843 | ||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
465,000 | Siemens Financieringsmat, 1.70%, 9/15/21(a) | 471,364 | ||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
200,000 | Indonesia Asahan Aluminium Persero PT, 6.53%, 11/15/28(a) | 237,000 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.7%): | ||||||||
200,000 | KazMunayGas National Co. JSC, 5.38%, 4/24/30 | 226,000 | ||||||
151,000 | Petrobras Global Finance BV, 5.09%, 1/15/30(a) | 150,056 | ||||||
200,000 | Petroleos del Peru SA, 4.75%, 6/19/32 | 222,000 | ||||||
175,000 | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100(a) | 143,948 | ||||||
365,000 | Petroleos Mexicanos, 6.63%, 6/15/35 | 297,603 | ||||||
630,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 486,800 | ||||||
85,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100(a) | 65,498 | ||||||
|
| |||||||
1,591,905 | ||||||||
|
| |||||||
Pharmaceuticals (0.1%): | ||||||||
215,000 | Bausch Health Cos., Inc., 7.00%, 3/15/24, Callable 8/6/20 @ 103.5(a) | 223,063 | ||||||
|
| |||||||
Professional Services (0.2%): | ||||||||
121,000 | IHS Markit, Ltd., 5.00%, 11/1/22, Callable 8/1/22 @ 100(a) | 130,075 | ||||||
125,000 | IHS Markit, Ltd., 4.75%, 2/15/25, Callable 11/15/24 @ 100(a) | 140,000 | ||||||
104,000 | IHS Markit, Ltd., 4.00%, 3/1/26, Callable 12/1/25 @ 100(a) | 114,920 | ||||||
295,000 | IHS Markit, Ltd., 4.75%, 8/1/28, Callable 5/1/28 @ 100 | 346,256 | ||||||
|
| |||||||
731,251 | ||||||||
|
| |||||||
Sovereign Bond (1.2%): | ||||||||
400,000 | Abu Dhabi Government International, 2.50%, 9/30/29 | 419,808 | ||||||
200,000 | Arab Republic of Egypt, 7.60%, 3/1/29(a) | 203,495 | ||||||
200,000 | Dominican Republic, 6.00%, 7/19/28(a) | 200,500 | ||||||
151,005 | Oriental Republic of Uruguay, 4.38%, 10/27/27 | 172,901 | ||||||
200,000 | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | 215,000 | ||||||
200,000 | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100 | 196,277 | ||||||
200,000 | Republic of Colombia, 5.00%, 6/15/45, Callable 12/15/44 @ 100 | 222,756 | ||||||
200,000 | Republic of Peru, 4.13%, 8/25/27 | 229,277 | ||||||
200,000 | Republic of South Africa, 4.30%, 10/12/28 | 185,746 | ||||||
200,000 | Russian Federation, 4.75%, 5/27/26 | 227,848 |
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 200,000 | Saudi Government International Bond, 3.63%, 3/4/28 | $ | 219,746 | ||||
200,000 | Saudi Government International Bond, 3.75%, 1/21/55^(a) | 203,746 | ||||||
200,000 | State of Qatar, 4.63%, 6/2/46 | 257,378 | ||||||
400,000 | United Mexican States, 3.25%, 4/16/30, Callable 1/16/30 @ 100 | 393,646 | ||||||
|
| |||||||
3,348,124 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
230,000 | Nationwide Building Society, 3.62%, 4/26/23, Callable 4/26/22 @ 100(a) | 238,895 | ||||||
|
| |||||||
Trading Companies & Distributors (0.4%): | ||||||||
530,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 5/15/21 | 533,291 | ||||||
555,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, 2/1/22, Callable 1/1/22 @ 100 | 554,945 | ||||||
|
| |||||||
1,088,236 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
813,000 | Vodafone Group plc, 4.88%, 6/19/49 | 1,032,242 | ||||||
|
| |||||||
Total Yankee Dollars (Cost $16,177,054) | 15,888,965 | |||||||
|
| |||||||
Municipal Bonds (0.8%): | ||||||||
California (0.6%): | ||||||||
84 | California State, Build America Bonds, GO, 7.95%, 3/1/36, Continuously Callable @100 | 81 | ||||||
700,000 | Los Angeles Unified School District, Build America Bonds, GO, 5.76%, 7/1/29 | 899,289 | ||||||
805,000 | Regents of the University of California Medical Center Pooled Revenue, Series N, 3.26%, 5/15/60, Continuously Callable @100 | 837,176 | ||||||
|
| |||||||
1,736,546 | ||||||||
|
| |||||||
Massachusetts (0.2%): | ||||||||
460,000 | Commonwealth of Massachusetts, GO, Series C, 3.00%, 3/1/49, Continuously Callable @100 | 482,982 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $2,081,536) | 2,219,528 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (35.5%): | ||||||||
Federal Home Loan Mortgage Corporation (15.2%) | ||||||||
500,000 | Class AX, Series 2020-RR06, 1.88%, 10/27/28 | 64,574 | ||||||
406,292 | 3.00%, 3/1/31, Pool #G18592 | 428,471 | ||||||
927,970 | 2.50%, 12/1/31, Pool #G16598 | 978,583 | ||||||
481,796 | 2.50%, 7/1/32, Pool #G16660 | 504,733 | ||||||
475,000 | Class BX, Series 2020-RR06, 1.40%, 5/27/33 | 80,597 | ||||||
665,000 | Class A3, Series K158, 3.90%, 10/25/33 | 826,622 | ||||||
1,156,833 | 3.50%, 1/1/34, Pool #G16756 | 1,228,338 | ||||||
817,593 | 2.50%, 5/1/40, Pool #RB5048 | 854,776 | ||||||
1,797,729 | 2.50%, 6/1/40, Pool #RB5054 | 1,879,491 | ||||||
1,474,119 | 3.50%, 4/1/44, Pool #G07848 | 1,611,855 | ||||||
2,074,685 | 3.50%, 4/1/45, Pool #G60023 | 2,302,398 | ||||||
1,787,691 | 4.00%, 12/1/45, Pool #G60344 | 1,990,932 | ||||||
1,895,688 | 3.00%, 6/1/46, Pool #G08710 | 2,002,285 | ||||||
1,603,027 | 3.50%, 6/1/46, Pool #G08711 | 1,706,862 | ||||||
1,085,306 | 3.50%, 8/1/46, Pool #G08716 | 1,155,599 | ||||||
936,077 | 3.00%, 8/1/46, Pool #G08715 | 988,718 | ||||||
251,128 | 3.00%, 9/1/46, Pool #G08721 | 265,260 | ||||||
431,465 | 3.50%, 9/1/46, Pool #G08722 | 459,447 | ||||||
1,248,807 | 3.00%, 10/1/46, Pool #G08726 | 1,319,080 |
See accompanying notes to the financial statements.
8
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 1,370,563 | 3.00%, 11/1/46, Pool #G08732 | $ | 1,447,758 | ||||
1,613,684 | 3.00%, 1/1/47, Pool #G08741 | 1,704,688 | ||||||
1,168,877 | 3.50%, 4/1/47, Pool #G67703 | 1,284,414 | ||||||
505,020 | Class PA, Series 4846, 4.00%, 6/15/47 | 526,126 | ||||||
471,046 | 3.00%, 12/1/47, Pool #G08791 | 496,845 | ||||||
854,361 | 3.50%, 12/1/47, Pool #G08792 | 902,149 | ||||||
1,622,591 | 3.50%, 12/1/47, Pool #G67706 | 1,779,827 | ||||||
2,686,380 | 3.50%, 1/1/48, Pool #G67707 | 2,952,647 | ||||||
1,025,959 | 3.50%, 2/1/48, Pool #G08800 | 1,080,861 | ||||||
3,018,597 | 3.50%, 3/1/48, Pool #G67708 | 3,283,801 | ||||||
896,436 | 3.50%, 3/1/48, Pool #G67710 | 963,231 | ||||||
1,630,074 | 4.00%, 3/1/48, Pool #G67711 | 1,749,041 | ||||||
263,873 | Class CA, Series 4818, 3.00%, 4/15/48 | 273,551 | ||||||
561,607 | 4.00%, 6/1/48, Pool #G67713 | 608,471 | ||||||
1,177,989 | 3.50%, 6/1/48, Pool #G08816 | 1,241,027 | ||||||
279,541 | 5.00%, 7/1/48, Pool #G08833 | 305,291 | ||||||
729,844 | 4.50%, 10/1/48, Pool #G08843 | 790,291 | ||||||
1,159,882 | 4.00%, 1/1/49, Pool #G67718 | 1,255,479 | ||||||
1,280,722 | Class HZ, Series 4639, 3.25%, 4/15/53 | 1,462,974 | ||||||
|
| |||||||
44,757,093 | ||||||||
|
| |||||||
Federal National Mortgage Association (13.4%) | ||||||||
1,245,000 | 3.06%, 5/1/22, Pool #471258 | 1,293,460 | ||||||
610,000 | Class X8, Series 2020-M10, 0.78%, 12/25/27 | 25,790 | ||||||
528,897 | Class X9, Series 2020-M10, 0.99%, 12/25/27 | 24,007 | ||||||
665,000 | Class X6, Series 2020-M10, 1.50%, 8/25/28 | 65,480 | ||||||
639,221 | Class X3, Series 2020-M10, 1.44%, 11/25/28 | 54,366 | ||||||
630,000 | Class X5, Series 2020-M10, 1.55%, 11/25/28 | 65,732 | ||||||
1,578,932 | Class X2, Series 2020-M10, 1.83%, 12/25/30 | 203,051 | ||||||
754,792 | Class X1, Series 2020-M10, 1.92%, 12/25/30 | 111,223 | ||||||
707,812 | 3.50%, 1/1/32, Pool #AB4262 | 744,852 | ||||||
129,060 | 3.00%, 7/1/32, Pool #MA3060 | 135,962 | ||||||
549,479 | Class X4, Series 2020-M10, 1.00%, 7/25/32 | 41,661 | ||||||
494,467 | 3.00%, 10/1/33, Pool #MA1676 | 525,274 | ||||||
700,000 | 2.00%, 8/25/35, TBA | 722,832 | ||||||
4,125,000 | 2.50%, 8/25/35, TBA | 4,312,075 | ||||||
839,748 | 3.21%, 11/1/37, Pool #AN7345 | 958,071 | ||||||
485,000 | 2.46%, 4/1/40, Pool #BL6060 | 511,598 | ||||||
1,295,696 | 2.50%, 6/1/40, Pool #MA4054 | 1,354,627 | ||||||
59,037 | 4.00%, 8/1/42, Pool #MA1146 | 65,002 | ||||||
1,023,864 | 3.50%, 4/1/43, Pool #MA1404 | 1,090,464 | ||||||
569,939 | 4.50%, 2/1/46, Pool #AL9106 | 626,310 | ||||||
400,201 | Class QA, Series 2018-57, 3.50%, 5/25/46 | 416,254 | ||||||
1,070,082 | Class PA, Series 2018-55, 3.50%, 1/25/47 | 1,099,396 | ||||||
583,217 | 4.00%, 6/1/47, Pool #AS9830 | 621,500 | ||||||
506,988 | 4.00%, 7/1/47, Pool #AS9972 | 543,406 | ||||||
30,039 | 4.00%, 8/1/47, Pool #MA3088 | 32,163 | ||||||
1,558,291 | 3.50%, 1/1/48, Pool #CA0996 | 1,694,819 | ||||||
110,840 | 3.50%, 1/1/48, Pool #MA3238 | 117,437 | ||||||
117,301 | 4.50%, 5/1/48, Pool #CA1711 | 126,974 | ||||||
1,265,033 | 4.50%, 5/1/48, Pool #CA1710 | 1,369,356 | ||||||
1,131,980 | Class CT, Series 2018-43, 3.00%, 6/25/48 | 1,181,280 | ||||||
1,275,000 | 5.00%, 7/25/48, TBA | 1,391,941 | ||||||
831,762 | 4.50%, 8/1/48, Pool #CA2208 | 898,792 | ||||||
1,657,722 | 3.50%, 6/1/49, Pool #CA3633 | 1,811,913 | ||||||
7,275,000 | 2.50%, 7/25/49, TBA | 7,585,323 | ||||||
1,229,088 | 3.00%, 10/1/49, Pool #MA3811 | 1,270,058 |
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 1,125,000 | 2.00%, 7/25/50, TBA | $ | 1,151,191 | ||||
800,000 | 2.00%, 8/25/50, TBA | 818,125 | ||||||
1,150,000 | 2.50%, 8/25/50, TBA | 1,196,584 | ||||||
2,450,000 | 3.00%, 9/25/50, TBA | 2,570,682 | ||||||
|
| |||||||
38,829,031 | ||||||||
|
| |||||||
Government National Mortgage Association (6.9%) | ||||||||
673,058 | 3.50%, 3/20/46, Pool #MA3521 | 716,701 | ||||||
696,870 | 3.50%, 4/20/46, Pool #MA3597 | 744,931 | ||||||
134,699 | 3.50%, 5/20/46, Pool #MA3663 | 143,636 | ||||||
288,090 | 3.50%, 9/20/46, Pool #MA3937 | 307,798 | ||||||
1,574,953 | 3.00%, 12/20/46, Pool #MA4126 | 1,676,124 | ||||||
1,185,334 | 3.50%, 1/20/47, Pool #MA4196 | 1,267,068 | ||||||
194,435 | 5.00%, 3/20/47, Pool #MA4324 | 219,420 | ||||||
262,540 | 3.50%, 6/20/47, Pool #MA4510 | 278,688 | ||||||
482,822 | 5.00%, 6/20/47, Pool #MA4513 | 526,540 | ||||||
723,157 | 4.00%, 9/20/47, Pool #MA4720 | 776,963 | ||||||
342,984 | 5.00%, 9/20/47, Pool #MA4722 | 378,793 | ||||||
501,828 | 4.00%, 11/20/47, Pool #MA4838 | 539,167 | ||||||
310,563 | 3.50%, 11/20/47, Pool #MA4837 | 330,664 | ||||||
1,285,786 | 3.00%, 11/20/47, Pool #MA4836 | 1,365,647 | ||||||
237,579 | 4.00%, 12/20/47, Pool #MA4901 | 255,256 | ||||||
2,587,563 | 3.50%, 12/20/47, Pool #MA4900 | 2,755,042 | ||||||
874,355 | 4.00%, 3/20/48, Pool #MA5078 | 928,805 | ||||||
1,791,092 | 4.50%, 8/20/48, Pool #MA5399 | 1,919,982 | ||||||
485,028 | 4.00%, 9/20/48, Pool #MA5466 | 519,349 | ||||||
544,737 | Class NW, Series 2018-124, 3.50%, 9/20/48 | 570,673 | ||||||
575,000 | 3.00%, 7/20/49, TBA | 609,141 | ||||||
1,486,979 | 3.00%, 10/20/49, Pool #MA6209 | 1,545,333 | ||||||
1,450,000 | 2.50%, 7/20/50, TBA | 1,526,352 | ||||||
|
| |||||||
19,902,073 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $99,474,290) | 103,488,197 | |||||||
|
| |||||||
U.S. Treasury Obligations (25.8%): | ||||||||
U.S. Treasury Bills (12.6%): | ||||||||
430,000 | 0.13%, 9/10/20(d)(e) | 429,886 | ||||||
2,550,000 | 0.15%, 11/3/20(d) | 2,548,628 | ||||||
14,895,000 | 0.16%, 11/5/20(d) | 14,886,591 | ||||||
870,000 | 0.15%, 11/19/20(d) | 869,472 | ||||||
1,040,000 | 0.15%, 11/24/20(d) | 1,039,346 | ||||||
14,040,000 | 0.15%, 12/3/20(d) | 14,030,629 | ||||||
2,800,000 | 0.15%, 12/10/20(d) | 2,798,047 | ||||||
|
| |||||||
36,602,599 | ||||||||
|
| |||||||
U.S. Treasury Bonds (2.2%): | ||||||||
1,634,000 | 2.00%, 2/15/50 | 1,871,441 | ||||||
4,786,000 | 1.25%, 5/15/50 | 4,599,047 | ||||||
|
| |||||||
6,470,488 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (1.5%): | ||||||||
3,910,122 | 0.25%, 2/15/50 | 4,384,435 | ||||||
|
| |||||||
U.S. Treasury Inflation Index Notes (2.4%): | ||||||||
2,869,250 | 0.13%, 4/15/25 | 3,008,459 | ||||||
3,683,369 | 0.25%, 7/15/29 | 4,028,376 | ||||||
|
| |||||||
7,036,835 | ||||||||
|
| |||||||
U.S. Treasury Notes (7.1%): | ||||||||
10,045,000 | 0.25%, 5/31/25 | 10,032,444 | ||||||
5,950,000 | 0.25%, 6/30/25 | 5,938,844 |
See accompanying notes to the financial statements.
9
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares or Principal Amount | Fair Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Notes, continued | ||||||||
$ | 4,690,000 | 0.63%, 5/15/30 | $ | 4,677,542 | ||||
|
| |||||||
20,648,830 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $74,056,292) | 75,143,187 | |||||||
|
| |||||||
Commercial Paper (0.4%): | ||||||||
1,035,000 | Ford Motor Credit Co., 3.71%(a)(d) | 1,024,437 | ||||||
|
| |||||||
Total Commercial Paper (Cost $1,026,177) | 1,024,437 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.2%): | ||||||||
612,770 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(d)(f) | 612,770 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for | 612,770 | ||||||
|
|
Shares | Fair Value | |||||||
Unaffiliated Investment Companies (2.3%): | ||||||||
Money Markets (2.3%): | ||||||||
6,690,913 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(d) | $ | 6,690,913 | |||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $6,690,913) | 6,690,913 | |||||||
|
| |||||||
Total Investment Securities (Cost $303,079,560) — 107.3% | 311,942,774 | |||||||
Net other assets (liabilities) — (7.3)% | (21,291,820 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 290,650,954 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
12MTA—12 Month Treasury Average
GO—General Obligation
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
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, 2020. The total value of securities on loan as of June 30, 2020 was $581,394. |
† | Represents less than 0.05%. |
(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, 2020. |
(c) | Defaulted bond. |
(d) | The rate represents the effective yield at June 30, 2020. |
(e) | All or a portion of this security has been pledged as collateral for open derivative positions. |
(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, 2020. |
Futures Contracts
At June 30, 2020, the Fund’s futures contracts were as follows:
Short Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/21/20 | 18 | $ | (2,834,719 | ) | $ | (17,479 | ) | ||||||||
|
| |||||||||||||||
$ | (17,479 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
10
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
U.S. Treasury 5-Year Note September Futures (U.S. Dollar) | 9/30/20 | 211 | $ | 26,531,602 | $ | 65,699 | ||||||||||
Ultra Long Term U.S. Treasury Bond September Future (U.S. Dollar) | 9/21/20 | 2 | 436,313 | (1,733 | ) | |||||||||||
|
| |||||||||||||||
$ | 63,966 | |||||||||||||||
|
| |||||||||||||||
Total Net Futures Contracts | $ | 46,487 | ||||||||||||||
|
|
See accompanying notes to the financial statements.
11
AZL MetWest Total Return Bond Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 303,079,560 | |||
|
| ||||
Investment securities, at value(a) | $ | 311,942,774 | |||
Cash | 66,186 | ||||
Interest and dividends receivable | 1,124,962 | ||||
Receivable for capital shares issued | 5,778 | ||||
Receivable for investments sold | 1,388,555 | ||||
Receivable for TBA investments sold | 14,932,003 | ||||
Prepaid expenses | 598 | ||||
|
| ||||
Total Assets | 329,460,856 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 451,750 | ||||
Payable for TBA investments purchased | 37,547,192 | ||||
Payable for capital shares redeemed | 86 | ||||
Payable for collateral received on loaned securities | 612,770 | ||||
Payable for variation margin on futures contracts | 4,156 | ||||
Manager fees payable | 116,744 | ||||
Administration fees payable | 5,420 | ||||
Distribution fees payable | 58,372 | ||||
Custodian fees payable | 2,350 | ||||
Administrative and compliance services fees payable | 376 | ||||
Transfer agent fees payable | 783 | ||||
Trustee fees payable | 2,400 | ||||
Other accrued liabilities | 7,503 | ||||
|
| ||||
Total Liabilities | 38,809,902 | ||||
|
| ||||
Net Assets | $ | 290,650,954 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 255,417,726 | |||
Total distributable earnings | 35,233,228 | ||||
|
| ||||
Net Assets | $ | 290,650,954 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 26,027,658 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.17 | |||
|
|
(a) | Includes securities on loan of $581,394. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 3,774,783 | |||
Dividends | 35,010 | ||||
Income from securities lending | 3,879 | ||||
|
| ||||
Total Investment Income | 3,813,672 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 874,494 | ||||
Administration fees | 60,251 | ||||
Distribution fees | 364,373 | ||||
Custodian fees | 6,749 | ||||
Administrative and compliance services fees | 2,096 | ||||
Transfer agent fees | 2,187 | ||||
Trustee fees | 6,592 | ||||
Professional fees | 5,855 | ||||
Shareholder reports | 3,662 | ||||
Other expenses | 2,523 | ||||
|
| ||||
Total expenses before reductions | 1,328,782 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (145,747 | ) | |||
|
| ||||
Net expenses | 1,183,035 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,630,637 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 8,553,499 | ||||
Net realized gains/(losses) on forward currency contracts | 419,633 | ||||
Net realized gains/(losses) on futures contracts | 2,104,102 | ||||
Net realized gains/(losses) on written options contracts | 70,121 | ||||
Net realized gains/(losses) on swap agreements | 16,697 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | 2,740,413 | ||||
Change in net unrealized appreciation/depreciation on forward currency contracts | (62,415 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 54,371 | ||||
Change in net unrealized appreciation/depreciation on swap agreements | (270 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 13,896,151 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 16,526,788 | |||
|
|
See accompanying notes to the financial statements.
12
AZL MetWest Total Return Bond Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,630,637 | $ | 7,662,752 | ||||||
Net realized gains/(losses) on investments | 11,164,052 | 11,754,572 | ||||||||
Change in unrealized appreciation/depreciation on investments | 2,732,099 | 7,398,188 | ||||||||
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Change in net assets resulting from operations | 16,526,788 | 26,815,512 | ||||||||
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Distributions to Shareholders: | ||||||||||
Distributions | — | (7,861,474 | ) | |||||||
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Change in net assets resulting from distributions to shareholders | — | (7,861,474 | ) | |||||||
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Capital Transactions: | ||||||||||
Proceeds from shares issued | 26,131,069 | 8,208,805 | ||||||||
Proceeds from dividends reinvested | — | 7,861,474 | ||||||||
Value of shares redeemed | (70,413,902 | ) | (37,961,471 | ) | ||||||
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Change in net assets resulting from capital transactions | (44,282,833 | ) | (21,891,192 | ) | ||||||
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Change in net assets | (27,756,045 | ) | (2,937,154 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 318,406,999 | 321,344,153 | ||||||||
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End of period | $ | 290,650,954 | $ | 318,406,999 | ||||||
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Share Transactions: | ||||||||||
Shares issued | 2,378,095 | 787,407 | ||||||||
Dividends reinvested | — | 745,871 | ||||||||
Shares redeemed | (6,521,255 | ) | (3,603,464 | ) | ||||||
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Change in shares | (4,143,160 | ) | (2,070,186 | ) | ||||||
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See accompanying notes to the financial statements.
13
AZL MetWest Total Return Bond Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.55 | $ | 9.97 | $ | 10.20 | $ | 10.07 | $ | 10.01 | $ | 10.07 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | (a) | 0.25 | (a) | 0.26 | 0.17 | 0.16 | 0.11 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.52 | 0.60 | (0.29 | ) | 0.15 | 0.07 | (0.13 | ) | ||||||||||||||||||||||
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Total from Investment Activities | 0.62 | 0.85 | (0.03 | ) | 0.32 | 0.23 | (0.02 | ) | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.27 | ) | (0.20 | ) | (0.16 | ) | (0.11 | ) | (0.01 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | (0.03 | ) | (0.06 | ) | (0.03 | ) | |||||||||||||||||||||
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Total Dividends | — | (0.27 | ) | (0.20 | ) | (0.19 | ) | (0.17 | ) | (0.04 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 11.17 | $ | 10.55 | $ | 9.97 | $ | 10.20 | $ | 10.07 | $ | 10.01 | ||||||||||||||||||
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Total Return(b) | 5.88 | %(c) | 8.49 | % | (0.21 | )% | 3.14 | % | 2.30 | % | (0.20 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 290,651 | $ | 318,407 | $ | 321,344 | $ | 366,574 | $ | 359,253 | $ | 392,669 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.80 | % | 2.37 | % | 2.25 | % | 1.63 | % | 1.45 | % | 1.02 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.91 | % | 0.91 | % | 0.91 | % | 0.91 | % | 0.91 | % | 0.89 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.81 | % | 0.81 | % | 0.85 | % | 0.86 | % | 0.86 | % | 0.84 | % | ||||||||||||||||||
Portfolio Turnover Rate | 82 | %(c) | 203 | % | 184 | % | 198 | % | 185 | % | 256 | % |
(a) | Calculated using the average shares method. |
(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.
14
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
15
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $383 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $612,770 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, 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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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, 2020, the monthly average notional amount for short contracts was $4.2 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, 2020, 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
16
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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. For the period ended June 30, 2020, the monthly average notional amount for long contracts was $36.2 million, and the monthly average notional amount for short contracts was $4.2 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the 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, 2020, 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, 2020, the monthly average notional amount for written options contracts was $3.2 thousand. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the 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.
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 reported as “Payable/Receivable for variation margin on centrally cleared swap agreements” on the Statement of Operations.
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 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, 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. During the period ended June 30, 2020, the Fund entered into OTC and centrally cleared 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 $23.5 million for the period ended June 30, 2020.
17
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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* | $ | 65,699 | Payable for variation margin on futures contracts* | $ | 19,212 |
* | 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, 2020:
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 | ||||||||||
Options Contracts | Net Realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written option contracts | $ | 70,121 | $ | — | |||||
Interest Rate Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | 2,104,102 | 54,371 | |||||||
Centrally Cleared Interest Rate Swap Agreements | Net realized gains/(losses) on swap agreements/ Change in net unrealized appreciation/depreciation on swap agreements | 16,697 | (270 | ) | ||||||
Foreign Exchange Risk | ||||||||||
Forward Currency Contracts | Net Realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | 419,633 | (62,415 | ) |
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, 2021.
For the period ended June 30, 2020, 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 0.50% 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, 2020, 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 SEC. 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.”
18
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, $1,261 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
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. For options where market quotations are not readily available, fair value procedures as described below may be applied.
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.
19
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 13,747,981 | $ | — | $ | 13,747,981 | ||||||||||||
Collateralized Mortgage Obligations | — | 25,249,725 | — | 25,249,725 | ||||||||||||||||
Corporate Bonds+ | — | 67,877,071 | — | 67,877,071 | ||||||||||||||||
Yankee Dollars+ | — | 15,888,965 | — | 15,888,965 | ||||||||||||||||
Municipal Bonds | — | 2,219,528 | — | 2,219,528 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 103,488,197 | — | 103,488,197 | ||||||||||||||||
U.S. Treasury Obligations | — | 75,143,187 | — | 75,143,187 | ||||||||||||||||
Commercial Paper | — | 1,024,437 | — | 1,024,437 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 612,770 | — | — | 612,770 | ||||||||||||||||
Unaffiliated Investment Companies | 6,690,913 | — | — | 6,690,913 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 7,303,683 | 304,639,091 | — | 311,942,774 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 46,487 | — | — | 46,487 | ||||||||||||||||
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| |||||||||||||
Total Investments | $ | 7,350,170 | $ | 304,639,091 | $ | — | $ | 311,989,261 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 217,038,751 | $ | 289,179,904 |
For the period ended June 30, 2020, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL MetWest Total Return Bond Fund | $ | 175,121,120 | $ | 255,748,892 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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
20
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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 December 31, 2019 was $318,146,666. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 7,603,202 | ||
Unrealized (depreciation) | (1,541,743 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 6,061,459 | ||
|
|
As of the end of its tax year ended December 31, 2019, the Fund did not have capital loss carry forwards (“CLCFs”).
During the year ended December 31, 2019, the Fund utilized $6,088,635 in CLCFs to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MetWest Total Return Bond Fund | $ | 7,861,474 | $ | — | $ | 7,861,474 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 MetWest Total Return Bond Fund | $ | 11,386,474 | $ | 1,258,505 | $ | — | $ | 6,061,461 | $ | 18,706,440 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales and mark-to-market of futures contracts. |
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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 75% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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.
21
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-PORT. 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.
22
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
23
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Mid Cap Index Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Mid Cap Index Fund, Class 1 | $ | 1,000.00 | $ | 869.60 | $ | 1.49 | 0.32 | % | ||||||||||||
AZL Mid Cap Index Fund, Class 2 | $ | 1,000.00 | $ | 868.60 | $ | 2.65 | 0.57 | % |
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 1/1/20 | Ending 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Mid Cap Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.27 | $ | 1.61 | 0.32 | % | ||||||||||||
AZL Mid Cap Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.03 | $ | 2.87 | 0.57 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 16.3 | % | |||
Industrials | 15.3 | ||||
Financials | 14.6 | ||||
Consumer Discretionary | 14.8 | ||||
Health Care | 10.8 | ||||
Real Estate | 9.6 | ||||
Materials | 5.8 | ||||
Utilities | 4.0 | ||||
Consumer Staples | 3.6 | ||||
Communication Services | 1.8 | ||||
Energy | 1.4 | ||||
Private Placements | 1.0 | ||||
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Total Common Stocks and Private Placements | 99.0 | ||||
Unaffiliated Investment Companies | 1.4 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.4 | ||||
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Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.0%): | ||||||||
Aerospace & Defense (1.1%): | ||||||||
37,012 | Axon Enterprise, Inc.* | $ | 3,631,988 | |||||
24,569 | Curtiss-Wright Corp. | 2,193,520 | ||||||
49,249 | Hexcel Corp. | 2,227,040 | ||||||
32,796 | Mercury Systems, Inc.* | 2,579,733 | ||||||
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10,632,281 | ||||||||
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Air Freight & Logistics (0.4%): | ||||||||
53,752 | XPO Logistics, Inc.* | 4,152,342 | ||||||
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Airlines (0.2%): | ||||||||
159,092 | JetBlue Airways Corp.* | 1,734,103 | ||||||
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Auto Components (1.3%): | ||||||||
51,550 | Adient plc* | 846,451 | ||||||
85,225 | Dana, Inc. | 1,038,893 | ||||||
50,935 | Delphi Technologies plc* | 723,786 | ||||||
144,442 | Gentex Corp. | 3,722,269 | ||||||
137,407 | Goodyear Tire & Rubber Co. | 1,229,106 | ||||||
32,164 | Lear Corp. | 3,506,519 | ||||||
16,399 | Visteon Corp.* | 1,123,332 | ||||||
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12,190,356 | ||||||||
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Automobiles (0.6%): | ||||||||
90,352 | Harley-Davidson, Inc. | 2,147,667 | ||||||
32,560 | Thor Industries, Inc. | 3,468,617 | ||||||
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5,616,284 | ||||||||
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Banks (6.0%): | ||||||||
92,117 | Associated Banc-Corp. | 1,260,161 | ||||||
58,326 | BancorpSouth Bank | 1,326,333 | ||||||
23,911 | Bank of Hawaii Corp. | 1,468,375 | ||||||
72,202 | Bank OZK | 1,694,581 | ||||||
45,331 | Cathay General Bancorp | 1,192,205 | ||||||
58,786 | CIT Group, Inc. | 1,218,634 | ||||||
59,511 | Commerce Bancshares, Inc. | 3,539,119 | ||||||
33,817 | Cullen/Frost Bankers, Inc. | 2,526,468 | ||||||
84,032 | East West Bancorp, Inc. | 3,045,320 | ||||||
193,332 | F.N.B. Corp. | 1,449,990 | ||||||
84,498 | First Financial Bankshares, Inc. | 2,441,147 | ||||||
185,752 | First Horizon National Corp. | 1,850,090 | ||||||
97,399 | Fulton Financial Corp. | 1,025,611 | ||||||
52,833 | Glacier Bancorp, Inc. | 1,864,477 | ||||||
51,824 | Hancock Whitney Corp. | 1,098,669 | ||||||
92,027 | Home Bancshares, Inc. | 1,415,375 | ||||||
33,247 | International Bancshares Corp. | 1,064,569 | ||||||
69,638 | PacWest Bancorp | 1,372,565 | ||||||
42,489 | Pinnacle Financial Partners, Inc. | 1,784,113 | ||||||
54,958 | Prosperity Bancshares, Inc. | 3,263,406 | ||||||
31,776 | Signature Bank | 3,397,490 | ||||||
116,233 | Sterling Bancorp | 1,362,251 | ||||||
87,845 | Synovus Financial Corp. | 1,803,458 | ||||||
90,355 | TCF Financial Corp. | 2,658,244 | ||||||
30,365 | Texas Capital Bancshares, Inc.* | 937,368 | ||||||
38,191 | Trustmark Corp. | 936,443 | ||||||
25,103 | UMB Financial Corp. | 1,294,060 | ||||||
131,524 | Umpqua Holdings Corp. | 1,399,415 | ||||||
75,799 | United Bankshares, Inc. | 2,096,600 | ||||||
233,739 | Valley National Bancorp | 1,827,839 | ||||||
53,600 | Webster Financial Corp. | 1,533,496 | ||||||
34,427 | Wintrust Financial Corp. | 1,501,706 | ||||||
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56,649,578 | ||||||||
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Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages (0.3%): | ||||||||
5,696 | Boston Beer Co., Inc. (The), Class A*^ | $ | 3,056,758 | |||||
|
| |||||||
Biotechnology (1.5%): | ||||||||
60,033 | Arrowhead Pharmaceuticals, Inc.* | 2,592,825 | ||||||
180,888 | Exelixis, Inc.* | 4,294,282 | ||||||
9,467 | Ligand Pharmaceuticals, Inc., Class B* | 1,058,884 | ||||||
27,768 | Repligen Corp.* | 3,432,402 | ||||||
25,961 | United Therapeutics Corp.* | 3,141,281 | ||||||
|
| |||||||
14,519,674 | ||||||||
|
| |||||||
Building Products (1.4%): | ||||||||
20,562 | Lennox International, Inc. | 4,790,740 | ||||||
63,612 | Owens Corning | 3,547,005 | ||||||
34,126 | Trex Co., Inc.* | 4,438,769 | ||||||
|
| |||||||
12,776,514 | ||||||||
|
| |||||||
Capital Markets (2.9%): | ||||||||
27,864 | Affiliated Managers Group, Inc. | 2,077,540 | ||||||
67,204 | Eaton Vance Corp. | 2,594,074 | ||||||
23,911 | Evercore, Inc., Class A | 1,408,836 | ||||||
22,339 | FactSet Research Systems, Inc. | 7,337,691 | ||||||
56,730 | Federated Investors, Inc., Class B | 1,344,501 | ||||||
45,274 | Interactive Brokers Group, Inc., Class A | 1,891,095 | ||||||
90,532 | Janus Henderson Group plc^ | 1,915,657 | ||||||
49,320 | Legg Mason, Inc. | 2,453,670 | ||||||
73,299 | SEI Investments Co. | 4,029,979 | ||||||
40,413 | Stifel Financial Corp. | 1,916,789 | ||||||
|
| |||||||
26,969,832 | ||||||||
|
| |||||||
Chemicals (2.5%): | ||||||||
35,661 | Ashland Global Holdings, Inc. | 2,464,175 | ||||||
33,412 | Cabot Corp. | 1,237,915 | ||||||
96,867 | Chemours Co. (The) | 1,486,908 | ||||||
24,308 | Ingevity Corp.* | 1,277,872 | ||||||
20,122 | Minerals Technologies, Inc. | 944,325 | ||||||
4,259 | NewMarket Corp. | 1,705,644 | ||||||
93,632 | Olin Corp. | 1,075,832 | ||||||
53,912 | PolyOne Corp. | 1,414,112 | ||||||
76,383 | RPM International, Inc. | 5,733,308 | ||||||
23,234 | Scotts Miracle-Gro Co. (The) | 3,124,276 | ||||||
24,997 | Sensient Technologies Corp. | 1,303,844 | ||||||
109,143 | Valvoline, Inc. | 2,109,734 | ||||||
|
| |||||||
23,877,945 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.6%): | ||||||||
29,780 | Brink’s Co. (The) | 1,355,288 | ||||||
30,264 | Clean Harbors, Inc.* | 1,815,235 | ||||||
24,675 | Deluxe Corp. | 580,850 | ||||||
43,896 | Healthcare Services Group, Inc. | 1,073,696 | ||||||
34,632 | Herman Miller, Inc. | 817,662 | ||||||
25,156 | HNI Corp. | 769,019 | ||||||
76,220 | KAR Auction Services, Inc. | 1,048,787 | ||||||
21,083 | MSA Safety, Inc. | 2,412,739 | ||||||
53,924 | Stericycle, Inc.* | 3,018,665 | ||||||
31,868 | Tetra Tech, Inc. | 2,521,395 | ||||||
|
| |||||||
15,413,336 | ||||||||
|
| |||||||
Communications Equipment (1.2%): | ||||||||
90,715 | Ciena Corp.* | 4,913,124 | ||||||
18,140 | InterDigital, Inc. | 1,027,268 | ||||||
44,181 | Lumentum Holdings, Inc.* | 3,597,659 |
See accompanying notes to the financial statements.
2
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
37,489 | NetScout Systems, Inc.* | $ | 958,219 | |||||
34,459 | ViaSat, Inc.* | 1,322,192 | ||||||
|
| |||||||
11,818,462 | ||||||||
|
| |||||||
Construction & Engineering (1.1%): | ||||||||
94,430 | AECOM* | 3,548,680 | ||||||
18,660 | Dycom Industries, Inc.* | 763,007 | ||||||
32,352 | EMCOR Group, Inc. | 2,139,761 | ||||||
82,199 | Fluor Corp. | 992,964 | ||||||
34,368 | MasTec, Inc.* | 1,542,092 | ||||||
12,623 | Valmont Industries, Inc. | 1,434,225 | ||||||
|
| |||||||
10,420,729 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
24,549 | Eagle Materials, Inc., Class A | 1,723,831 | ||||||
|
| |||||||
Consumer Finance (0.4%): | ||||||||
24,444 | Firstcash, Inc. | 1,649,481 | ||||||
100,606 | Navient Corp. | 707,260 | ||||||
221,257 | SLM Corp. | 1,555,437 | ||||||
|
| |||||||
3,912,178 | ||||||||
|
| |||||||
Containers & Packaging (1.1%): | ||||||||
37,862 | AptarGroup, Inc. | 4,239,787 | ||||||
15,597 | Greif, Inc., Class A | 536,693 | ||||||
92,356 | O-I Glass, Inc. | 829,357 | ||||||
45,779 | Silgan Holdings, Inc. | 1,482,782 | ||||||
59,181 | Sonoco Products Co. | 3,094,574 | ||||||
|
| |||||||
10,183,193 | ||||||||
|
| |||||||
Distributors (0.7%): | ||||||||
23,557 | Pool Corp. | 6,404,442 | ||||||
|
| |||||||
Diversified Consumer Services (1.2%): | ||||||||
30,556 | Adtalem Global Education, Inc.* | 951,819 | ||||||
2,521 | Graham Holdings Co., Class B | 863,871 | ||||||
27,908 | Grand Canyon Education, Inc.* | 2,526,511 | ||||||
105,081 | Service Corp. International | 4,086,600 | ||||||
13,104 | Strategic Education, Inc. | 2,013,430 | ||||||
27,487 | WW International, Inc.* | 697,620 | ||||||
|
| |||||||
11,139,851 | ||||||||
|
| |||||||
Diversified Financial Services (0.2%): | ||||||||
133,202 | Jefferies Financial Group, Inc. | 2,071,291 | ||||||
|
| |||||||
Electric Utilities (1.3%): | ||||||||
30,548 | ALLETE, Inc. | 1,668,226 | ||||||
64,381 | Hawaiian Electric Industries, Inc. | 2,321,579 | ||||||
29,761 | IDACORP, Inc. | 2,600,219 | ||||||
118,073 | OGE Energy Corp. | 3,584,696 | ||||||
46,985 | PNM Resources, Inc. | 1,806,103 | ||||||
|
| |||||||
11,980,823 | ||||||||
|
| |||||||
Electrical Equipment (2.0%): | ||||||||
23,383 | Acuity Brands, Inc. | 2,238,688 | ||||||
25,041 | EnerSys | 1,612,140 | ||||||
48,008 | Enphase Energy, Inc.* | 2,283,741 | ||||||
36,972 | Generac Holdings, Inc.* | 4,507,995 | ||||||
31,971 | Hubbell, Inc. | 4,007,885 | ||||||
92,174 | nVent Electric plc | 1,726,419 | ||||||
24,009 | Regal-Beloit Corp. | 2,096,466 | ||||||
|
| |||||||
18,473,334 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components (3.9%): | ||||||||
46,404 | Arrow Electronics, Inc.* | $ | 3,187,491 | |||||
58,256 | Avnet, Inc. | 1,624,469 | ||||||
22,570 | Belden, Inc. | 734,654 | ||||||
101,273 | Cognex Corp. | 6,048,024 | ||||||
14,306 | Coherent, Inc.* | 1,873,800 | ||||||
51,674 | II-VI, Inc.* | 2,440,046 | ||||||
80,902 | Jabil, Inc. | 2,595,336 | ||||||
14,284 | Littlelfuse, Inc. | 2,437,279 | ||||||
69,404 | National Instruments Corp. | 2,686,629 | ||||||
24,291 | SYNNEX Corp. | 2,909,333 | ||||||
21,034 | Tech Data Corp.* | 3,049,930 | ||||||
147,327 | Trimble, Inc.* | 6,363,052 | ||||||
78,211 | Vishay Intertechnology, Inc. | 1,194,282 | ||||||
|
| |||||||
37,144,325 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
109,940 | ChampionX Corp.* | 1,073,014 | ||||||
341,381 | Transocean, Ltd.* | 624,727 | ||||||
|
| |||||||
1,697,741 | ||||||||
|
| |||||||
Entertainment (0.2%): | ||||||||
63,120 | Cinemark Holdings, Inc. | 729,036 | ||||||
27,320 | World Wrestling Entertainment, Inc., Class A | 1,187,054 | ||||||
|
| |||||||
1,916,090 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (9.3%): | ||||||||
81,168 | American Campus Communities, Inc. | 2,837,633 | ||||||
174,659 | Brixmor Property Group, Inc. | 2,239,128 | ||||||
57,441 | Camden Property Trust | 5,239,768 | ||||||
70,579 | Corecivic, Inc. | 660,619 | ||||||
23,776 | Coresite Realty Corp. | 2,878,323 | ||||||
66,164 | Corporate Office Properties Trust | 1,676,596 | ||||||
87,619 | Cousins Properties, Inc. | 2,613,675 | ||||||
67,953 | Cyrusone, Inc. | 4,943,581 | ||||||
97,241 | Douglas Emmett, Inc. | 2,981,409 | ||||||
23,037 | EastGroup Properties, Inc. | 2,732,419 | ||||||
45,703 | EPR Properties | 1,514,140 | ||||||
75,036 | First Industrial Realty Trust, Inc. | 2,884,384 | ||||||
71,830 | Geo Group, Inc. (The) | 849,749 | ||||||
79,592 | Healthcare Realty Trust, Inc. | 2,331,250 | ||||||
61,279 | Highwoods Properties, Inc. | 2,287,545 | ||||||
90,424 | Hudson Pacific Properties, Inc. | 2,275,068 | ||||||
69,215 | JBG SMITH Properties | 2,046,688 | ||||||
62,448 | Kilroy Realty Corp. | 3,665,698 | ||||||
50,929 | Lamar Advertising Co., Class A | 3,400,020 | ||||||
27,671 | Life Storage, Inc. | 2,627,361 | ||||||
53,671 | Mack-Cali Realty Corp. | 820,630 | ||||||
311,646 | Medical Properties Trust, Inc. | 5,858,945 | ||||||
101,435 | National Retail Properties, Inc. | 3,598,914 | ||||||
133,842 | Omega Healthcare Investors, Inc. | 3,979,123 | ||||||
138,969 | Parks Hotels & Resorts, Inc. | 1,374,403 | ||||||
77,231 | Pebblebrook Hotel Trust | 1,054,975 | ||||||
119,483 | Physicians Realty Trust | 2,093,342 | ||||||
39,419 | PotlatchDeltic Corp. | 1,499,105 | ||||||
11,833 | PS Business Parks, Inc. | 1,566,689 | ||||||
81,676 | Rayonier, Inc. | 2,024,748 | ||||||
121,253 | Sabra Health Care REIT, Inc. | 1,749,681 | ||||||
97,490 | Service Properties Trust | 691,204 | ||||||
60,721 | Spirit Realty Capital, Inc. | 2,116,734 |
See accompanying notes to the financial statements.
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
131,245 | STORE Capital Corp. | $ | 3,124,943 | |||||
36,341 | Taubman Centers, Inc. | 1,372,236 | ||||||
68,805 | The Macerich Co.^ | 617,181 | ||||||
65,303 | Urban Edge Properties | 775,147 | ||||||
70,927 | Weingarten Realty Investors | 1,342,648 | ||||||
|
| |||||||
88,345,702 | ||||||||
|
| |||||||
Food & Staples Retailing (1.0%): | ||||||||
72,766 | BJ’s Wholesale Club Holdings, Inc.* | 2,711,989 | ||||||
21,704 | Casey’s General Stores, Inc. | 3,245,182 | ||||||
37,494 | Grocery Outlet Holding Corp.* | 1,529,755 | ||||||
69,683 | Sprouts Farmers Market, Inc.* | 1,783,188 | ||||||
|
| |||||||
9,270,114 | ||||||||
|
| |||||||
Food Products (2.0%): | ||||||||
96,761 | Darling Ingredients, Inc.* | 2,382,256 | ||||||
113,569 | Flowers Foods, Inc. | 2,539,403 | ||||||
46,307 | Hain Celestial Group, Inc. (The)* | 1,459,134 | ||||||
39,505 | Ingredion, Inc. | 3,278,915 | ||||||
11,685 | Lancaster Colony Corp. | 1,811,058 | ||||||
30,564 | Pilgrim’s Pride Corp.* | 516,226 | ||||||
37,803 | Post Holdings, Inc.* | 3,312,299 | ||||||
11,676 | Sanderson Farms, Inc. | 1,353,132 | ||||||
10,087 | Tootsie Roll Industries, Inc.^ | 345,681 | ||||||
33,289 | TreeHouse Foods, Inc.* | 1,458,058 | ||||||
|
| |||||||
18,456,162 | ||||||||
|
| |||||||
Gas Utilities (1.5%): | ||||||||
53,302 | National Fuel Gas Co. | 2,234,953 | ||||||
56,481 | New Jersey Resources Corp. | 1,844,105 | ||||||
31,184 | ONE Gas, Inc. | 2,402,727 | ||||||
32,512 | Southwest Gas Holdings, Inc. | 2,244,954 | ||||||
30,222 | Spire, Inc. | 1,985,888 | ||||||
122,862 | UGI Corp. | 3,907,011 | ||||||
|
| |||||||
14,619,638 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.5%): | ||||||||
28,170 | Avanos Medical, Inc.* | 827,916 | ||||||
21,971 | Cantel Medical Corp. | 971,777 | ||||||
44,632 | Globus Medical, Inc., Class A* | 2,129,393 | ||||||
29,721 | Haemonetics Corp.* | 2,661,813 | ||||||
39,259 | Hill-Rom Holdings, Inc. | 4,309,853 | ||||||
11,428 | ICU Medical, Inc.* | 2,106,295 | ||||||
41,538 | Integra LifeSciences Holdings Corp.* | 1,951,871 | ||||||
28,659 | LivaNova plc* | 1,379,358 | ||||||
29,367 | Masimo Corp.* | 6,695,381 | ||||||
30,230 | NuVasive, Inc.* | 1,682,602 | ||||||
19,502 | Penumbra, Inc.* | 3,487,348 | ||||||
22,544 | Quidel Corp.* | 5,043,995 | ||||||
|
| |||||||
33,247,602 | ||||||||
|
| |||||||
Health Care Providers & Services (2.9%): | ||||||||
52,465 | Acadia Healthcare Co., Inc.* | 1,317,921 | ||||||
19,099 | Amedisys, Inc.* | 3,791,915 | ||||||
9,364 | Chemed Corp. | 4,223,819 | ||||||
58,636 | Encompass Health Corp. | 3,631,327 | ||||||
42,116 | HealthEquity, Inc.* | 2,470,946 | ||||||
17,515 | LHC Group, Inc.* | 3,053,215 | ||||||
50,380 | MEDNAX, Inc.* | 861,498 | ||||||
34,920 | Molina Healthcare, Inc.* | 6,215,063 | ||||||
51,014 | Patterson Cos., Inc. | 1,122,308 | ||||||
61,768 | Tenet Healthcare Corp.* | 1,118,618 | ||||||
|
| |||||||
27,806,630 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure (3.3%): | ||||||||
47,368 | Boyd Gaming Corp. | $ | 989,991 | |||||
327,295 | Caesars Entertainment Corp.* | 3,970,089 | ||||||
18,628 | Choice Hotels International, Inc. | 1,469,749 | ||||||
20,703 | Churchill Downs, Inc. | 2,756,604 | ||||||
13,976 | Cracker Barrel Old Country Store, Inc. | 1,550,078 | ||||||
48,435 | Dunkin’ Brands Group, Inc. | 3,159,416 | ||||||
49,114 | Eldorado Resorts, Inc.* | 1,967,507 | ||||||
13,373 | Jack in the Box, Inc. | 990,806 | ||||||
21,552 | Marriott Vacations Worldwide Corp. | 1,771,790 | ||||||
13,140 | Papa John’s International, Inc. | 1,043,447 | ||||||
76,191 | Penn National Gaming, Inc.* | 2,326,873 | ||||||
32,322 | Scientific Games Corp., Class A* | 499,698 | ||||||
46,488 | Six Flags Entertainment Corp. | 893,034 | ||||||
38,432 | Texas Roadhouse, Inc., Class A | 2,020,370 | ||||||
105,088 | Wendy’s Co. (The) | 2,288,817 | ||||||
50,218 | Wyndham Destinations, Inc. | 1,415,143 | ||||||
54,911 | Wyndham Hotels & Resorts, Inc. | 2,340,307 | ||||||
|
| |||||||
31,453,719 | ||||||||
|
| |||||||
Household Durables (1.4%): | ||||||||
14,891 | Helen of Troy, Ltd.* | 2,807,847 | ||||||
51,325 | KB Home | 1,574,651 | ||||||
76,447 | Taylor Morrison Home Corp., Class A* | 1,474,663 | ||||||
25,537 | Tempur Sealy International, Inc.* | 1,837,387 | ||||||
68,176 | Toll Brothers, Inc. | 2,221,856 | ||||||
19,677 | TopBuild Corp.* | 2,238,652 | ||||||
76,823 | TRI Pointe Group, Inc.* | 1,128,530 | ||||||
|
| |||||||
13,283,586 | ||||||||
|
| |||||||
Household Products (0.2%): | ||||||||
37,727 | Energizer Holdings, Inc. | 1,791,655 | ||||||
|
| |||||||
Industrial Conglomerates (0.4%): | ||||||||
32,391 | Carlisle Cos., Inc. | 3,876,231 | ||||||
|
| |||||||
Insurance (4.5%): | ||||||||
8,459 | Alleghany Corp. | 4,137,634 | ||||||
44,034 | American Financial Group, Inc. | 2,794,398 | ||||||
55,449 | Brighthouse Financial, Inc.* | 1,542,591 | ||||||
138,827 | Brown & Brown, Inc. | 5,658,588 | ||||||
84,922 | CNO Financial Group, Inc. | 1,322,236 | ||||||
65,875 | First American Financial Corp. | 3,163,318 | ||||||
298,292 | Genworth Financial, Inc., Class A* | 689,055 | ||||||
22,474 | Hanover Insurance Group, Inc. (The) | 2,277,290 | ||||||
36,226 | Kemper Corp. | 2,627,110 | ||||||
16,148 | Mercury General Corp. | 658,031 | ||||||
168,745 | Old Republic International Corp. | 2,752,231 | ||||||
24,081 | Primerica, Inc. | 2,807,845 | ||||||
40,075 | Reinsurance Group of America, Inc. | 3,143,483 | ||||||
29,093 | RenaissanceRe Holdings, Ltd. | 4,975,776 | ||||||
23,622 | RLI Corp. | 1,939,366 | ||||||
35,279 | Selective Insurance Group, Inc. | 1,860,614 | ||||||
|
| |||||||
42,349,566 | ||||||||
|
| |||||||
Interactive Media & Services (0.2%): | ||||||||
59,432 | TripAdvisor, Inc. | 1,129,802 | ||||||
38,589 | Yelp, Inc.* | 892,564 | ||||||
|
| |||||||
2,022,366 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (1.2%): | ||||||||
70,004 | Etsy, Inc.* | 7,436,525 | ||||||
54,241 | Grubhub, Inc.* | 3,813,142 | ||||||
|
| |||||||
11,249,667 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services (2.6%): | ||||||||
25,004 | Alliance Data Systems Corp. | $ | 1,128,180 | |||||
14,797 | CACI International, Inc., Class A* | 3,209,173 | ||||||
46,842 | CoreLogic, Inc. | 3,148,719 | ||||||
83,936 | KBR, Inc. | 1,892,757 | ||||||
38,544 | LiveRamp Holdings, Inc.* | 1,636,964 | ||||||
36,167 | Maximus, Inc. | 2,547,965 | ||||||
80,636 | Perspecta, Inc. | 1,873,174 | ||||||
162,522 | Sabre Corp. | 1,309,927 | ||||||
29,140 | Science Applications International Corp. | 2,263,595 | ||||||
64,001 | Teradata Corp.* | 1,331,221 | ||||||
25,666 | WEX, Inc.* | 4,235,148 | ||||||
|
| |||||||
24,576,823 | ||||||||
|
| |||||||
Leisure Products (0.9%): | ||||||||
46,675 | Brunswick Corp. | 2,987,667 | ||||||
204,624 | Mattel, Inc.* | 1,978,714 | ||||||
33,961 | Polaris, Inc. | 3,143,090 | ||||||
|
| |||||||
8,109,471 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.8%): | ||||||||
22,547 | Bio-Techne Corp. | 5,953,986 | ||||||
29,191 | Charles River Laboratories International, Inc.* | 5,089,451 | ||||||
37,531 | PRA Health Sciences, Inc.* | 3,651,391 | ||||||
36,868 | Syneos Health, Inc.* | 2,147,561 | ||||||
|
| |||||||
16,842,389 | ||||||||
|
| |||||||
Machinery (4.5%): | ||||||||
36,758 | AGCO Corp. | 2,038,599 | ||||||
49,556 | Colfax Corp.* | 1,382,612 | ||||||
29,069 | Crane Co. | 1,728,443 | ||||||
74,216 | Donaldson Co., Inc. | 3,452,528 | ||||||
98,271 | Graco, Inc. | 4,716,025 | ||||||
51,923 | ITT, Inc. | 3,049,957 | ||||||
48,917 | Kennametal, Inc. | 1,404,407 | ||||||
35,031 | Lincoln Electric Holdings, Inc. | 2,951,011 | ||||||
32,785 | Middleby Corp. (The)* | 2,588,048 | ||||||
30,281 | Nordson Corp. | 5,744,610 | ||||||
40,153 | Oshkosh Corp. | 2,875,758 | ||||||
37,608 | Terex Corp. | 705,902 | ||||||
39,753 | Timken Co. | 1,808,364 | ||||||
63,219 | Toro Co. (The) | 4,193,948 | ||||||
55,605 | Trinity Industries, Inc. | 1,183,830 | ||||||
33,436 | Woodward, Inc. | 2,592,962 | ||||||
|
| |||||||
42,417,004 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
35,415 | Kirby Corp.* | 1,896,827 | ||||||
|
| |||||||
Media (1.3%): | ||||||||
23,923 | AMC Networks, Inc., Class A* | 559,559 | ||||||
3,104 | Cable One, Inc. | 5,509,133 | ||||||
25,885 | John Wiley & Sons, Inc., Class A | 1,009,514 | ||||||
85,117 | New York Times Co. (The), Class A | 3,577,468 | ||||||
128,904 | Tegna, Inc. | 1,435,991 | ||||||
|
| |||||||
12,091,665 | ||||||||
|
| |||||||
Metals & Mining (1.8%): | ||||||||
74,869 | Allegheny Technologies, Inc.* | 762,915 | ||||||
28,199 | Carpenter Technology Corp. | 684,672 | ||||||
70,231 | Commercial Metals Co. | 1,432,712 | ||||||
19,870 | Compass Minerals International, Inc. | 968,663 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
37,540 | Reliance Steel & Aluminum Co. | $ | 3,563,672 | |||||
38,684 | Royal Gold, Inc. | 4,809,194 | ||||||
124,068 | Steel Dynamics, Inc. | 3,236,934 | ||||||
129,753 | United States Steel Corp.^ | 936,817 | ||||||
21,625 | Worthington Industries, Inc. | 806,613 | ||||||
|
| |||||||
17,202,192 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
63,900 | Nordstrom, Inc.^ | 989,811 | ||||||
33,356 | Ollie’s Bargain Outlet Holdings, Inc.* | 3,257,213 | ||||||
|
| |||||||
4,247,024 | ||||||||
|
| |||||||
Multi-Utilities (0.7%): | ||||||||
37,014 | Black Hills Corp. | 2,097,213 | ||||||
118,282 | MDU Resources Group, Inc. | 2,623,495 | ||||||
29,785 | NorthWestern Corp. | 1,623,878 | ||||||
|
| |||||||
6,344,586 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.2%): | ||||||||
165,831 | Antero Midstream Corp. | 845,738 | ||||||
60,226 | Cimarex Energy Co. | 1,655,613 | ||||||
110,340 | CNX Resources Corp.* | 954,441 | ||||||
150,742 | EQT Corp. | 1,793,830 | ||||||
239,738 | Equitrans Midstream Corp. | 1,992,223 | ||||||
86,159 | Murphy Oil Corp. | 1,188,994 | ||||||
60,160 | PBF Energy, Inc., Class A | 616,038 | ||||||
37,349 | World Fuel Services Corp. | 962,110 | ||||||
240,881 | WPX Energy, Inc.* | 1,536,821 | ||||||
|
| |||||||
11,545,808 | ||||||||
|
| |||||||
Paper & Forest Products (0.3%): | ||||||||
32,556 | Domtar Corp. | 687,257 | ||||||
66,187 | Louisiana-Pacific Corp. | 1,697,697 | ||||||
|
| |||||||
2,384,954 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
32,053 | Edgewell Personal Care Co.* | 998,771 | ||||||
30,614 | Nu Skin Enterprises, Inc., Class A | 1,170,374 | ||||||
|
| |||||||
2,169,145 | ||||||||
|
| |||||||
Pharmaceuticals (1.1%): | ||||||||
95,820 | Catalent, Inc.* | 7,023,605 | ||||||
104,991 | Nektar Therapeutics* | 2,431,592 | ||||||
29,687 | Prestige Consumer Healthcare, Inc.* | 1,115,044 | ||||||
|
| |||||||
10,570,241 | ||||||||
|
| |||||||
Professional Services (0.9%): | ||||||||
30,962 | ASGN, Inc.* | 2,064,546 | ||||||
21,883 | FTI Consulting, Inc.* | 2,506,698 | ||||||
21,495 | Insperity, Inc. | 1,391,371 | ||||||
34,242 | ManpowerGroup, Inc. | 2,354,138 | ||||||
|
| |||||||
8,316,753 | ||||||||
|
| |||||||
Real Estate Management & Development (0.3%): | ||||||||
30,455 | Jones Lang LaSalle, Inc. | 3,150,874 | ||||||
|
| |||||||
Road & Rail (0.9%): | ||||||||
31,592 | Avis Budget Group, Inc.* | 723,141 | ||||||
72,049 | Knight-Swift Transportation Holdings, Inc. | 3,005,164 | ||||||
22,634 | Landstar System, Inc. | 2,542,025 | ||||||
31,697 | Ryder System, Inc. | 1,188,954 | ||||||
33,904 | Werner Enterprises, Inc. | 1,475,841 | ||||||
|
| |||||||
8,935,125 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (4.4%): | ||||||||
17,143 | Cabot Microelectronics Corp. | $ | 2,392,134 | |||||
34,434 | Cirrus Logic, Inc.* | 2,127,333 | ||||||
63,800 | Cree, Inc.* | 3,776,322 | ||||||
44,979 | First Solar, Inc.* | 2,226,461 | ||||||
32,367 | MKS Instruments, Inc. | 3,665,239 | ||||||
24,543 | Monolithic Power Systems, Inc. | 5,816,691 | ||||||
38,431 | Semtech Corp.* | 2,006,867 | ||||||
25,770 | Silicon Laboratories, Inc.* | 2,583,958 | ||||||
29,276 | SolarEdge Technologies, Inc.* | 4,062,923 | ||||||
20,077 | Synaptics, Inc.* | 1,207,029 | ||||||
97,781 | Teradyne, Inc. | 8,263,472 | ||||||
25,008 | Universal Display Corp. | 3,741,697 | ||||||
|
| |||||||
41,870,126 | ||||||||
|
| |||||||
Software (3.9%): | ||||||||
68,392 | ACI Worldwide, Inc.* | 1,845,900 | ||||||
29,270 | Blackbaud, Inc. | 1,670,732 | ||||||
71,686 | CDK Global, Inc. | 2,969,234 | ||||||
59,880 | Ceridian HCM Holding, Inc.* | 4,746,688 | ||||||
25,055 | CommVault Systems, Inc.* | 969,629 | ||||||
17,108 | Fair Isaac Corp.* | 7,151,828 | ||||||
26,738 | J2 Global, Inc.* | 1,690,109 | ||||||
28,768 | LogMeIn, Inc. | 2,438,663 | ||||||
37,472 | Manhattan Associates, Inc.* | 3,529,862 | ||||||
21,217 | Paylocity Holding Corp.* | 3,095,348 | ||||||
61,420 | PTC, Inc.* | 4,777,862 | ||||||
19,763 | Qualys, Inc.* | 2,055,747 | ||||||
|
| |||||||
36,941,602 | ||||||||
|
| |||||||
Specialty Retail (2.2%): | ||||||||
39,855 | Aaron’s, Inc. | 1,809,417 | ||||||
91,766 | American Eagle Outfitters, Inc. | 1,000,249 | ||||||
33,954 | AutoNation, Inc.* | 1,275,991 | ||||||
38,433 | Dick’s Sporting Goods, Inc. | 1,585,746 | ||||||
32,876 | Five Below, Inc.* | 3,514,773 | ||||||
61,459 | Foot Locker, Inc. | 1,792,144 | ||||||
16,179 | Murphy U.S.A., Inc.* | 1,821,594 | ||||||
9,786 | RH* | 2,435,735 | ||||||
68,896 | Sally Beauty Holdings, Inc.* | 863,267 | ||||||
41,903 | Urban Outfitters, Inc.* | 637,764 | ||||||
45,868 | Williams-Sonoma, Inc. | 3,761,635 | ||||||
|
| |||||||
20,498,315 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.1%): | ||||||||
75,385 | NCR Corp.* | 1,305,668 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.0%): | ||||||||
25,725 | Carter’s, Inc. | 2,076,008 | ||||||
16,771 | Columbia Sportswear Co. | 1,351,407 | ||||||
16,516 | Deckers Outdoor Corp.* | 3,243,576 | ||||||
80,325 | Skechers U.S.A., Inc., Class A* | 2,520,599 | ||||||
|
| |||||||
9,191,590 | ||||||||
|
|
Contracts, Shares, Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance (0.8%): | ||||||||
46,115 | Essent Group, Ltd. | $ | 1,672,591 | |||||
4,547 | LendingTree, Inc.*^ | 1,316,493 | ||||||
275,559 | New York Community Bancorp, Inc. | 2,810,701 | ||||||
45,490 | Washington Federal, Inc. | 1,220,952 | ||||||
|
| |||||||
7,020,737 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.9%): | ||||||||
20,583 | GATX Corp. | 1,255,151 | ||||||
26,796 | MSC Industrial Direct Co., Inc., Class A | 1,951,017 | ||||||
81,696 | Univar Solutions, Inc.* | 1,377,395 | ||||||
19,323 | Watsco, Inc. | 3,433,697 | ||||||
|
| |||||||
8,017,260 | ||||||||
|
| |||||||
Water Utilities (0.6%): | ||||||||
131,533 | Essential Utilities, Inc. | 5,555,954 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.1%): | ||||||||
57,810 | Telephone & Data Systems, Inc. | 1,149,263 | ||||||
|
| |||||||
Total Common Stocks (Cost $832,668,157) | 926,599,327 | |||||||
|
| |||||||
Private Placements (1.0%): | ||||||||
Internet & Direct Marketing Retail (0.7%): | ||||||||
76,914 | Airbnb, Inc., Series D, 0.00%(a)(b) | 7,482,194 | ||||||
|
| |||||||
Software (0.3%): | ||||||||
229,712 | Palantir Technologies, Inc., Series G, 0.00%*(a)(b) | 1,578,121 | ||||||
67,672 | Palantir Technologies, Inc., Series H, 0.00%(a)(b) | 464,907 | ||||||
67,672 | Palantir Technologies, Inc., Series H1, 0.00%(a)(b) | 464,907 | ||||||
|
| |||||||
2,507,935 | ||||||||
|
| |||||||
Total Private Placements (Cost $4,309,378) | 9,990,129 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.4%): | ||||||||
4,022,585 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d) | 4,022,585 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 4,022,585 | ||||||
|
| |||||||
Unaffiliated Investment Companies (1.4%): | ||||||||
Money Markets (1.4%): | ||||||||
13,067,684 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(d) | 13,067,684 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $13,067,684) | 13,067,684 | |||||||
|
| |||||||
Total Investment Securities (Cost $854,067,804) — 100.8% | 953,679,725 | |||||||
Net other assets (liabilities) — (0.8)% | (7,958,791 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 945,720,934 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $3,970,792. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. The total of all such securities represent 1.06% 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, 2020, these securities represent 1.06% 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, 2020. |
(d) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2020
Futures Contracts
Cash of $1,091,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P MidCap 400 E-Mini September Futures (U.S Dollar) | 9/18/20 | 72 | $ | 12,809,520 | $ | 186,177 | ||||||||||
|
| |||||||||||||||
$ | 186,177 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 854,067,804 | |||
|
| ||||
Investment securities, at value(a) | $ | 953,679,725 | |||
Cash | 10,183 | ||||
Segregated cash for collateral for futures contracts | 1,091,000 | ||||
Interest and dividends receivable | 957,522 | ||||
Receivable for variation margin on futures contracts | 179,167 | ||||
Reclaims receivable | 7,935 | ||||
Prepaid expenses | 2,070 | ||||
|
| ||||
Total Assets | 955,927,602 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 5,157,796 | ||||
Payable for capital shares redeemed | 519,571 | ||||
Payable for collateral received on loaned securities | 4,022,585 | ||||
Manager fees payable | 199,439 | ||||
Administration fees payable | 1,449 | ||||
Distribution fees payable | 190,776 | ||||
Custodian fees payable | 10,135 | ||||
Administrative and compliance services fees payable | 2,129 | ||||
Transfer agent fees payable | 2,303 | ||||
Trustee fees payable | 13,978 | ||||
Other accrued liabilities | 86,507 | ||||
|
| ||||
Total Liabilities | 10,206,668 | ||||
|
| ||||
Net Assets | $ | 945,720,934 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 790,945,719 | |||
Total distributable earnings | 154,775,215 | ||||
|
| ||||
Net Assets | $ | 945,720,934 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 41,743,427 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 5,794,986 | ||||
Net Asset Value (offering and redemption price per share) | $ | 7.20 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 903,977,507 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 47,492,667 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.03 | |||
|
|
(a) | Includes securities on loan of $3,970,792. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 9,123,259 | |||
Interest | 2,591 | ||||
Income from securities lending | 44,964 | ||||
Foreign withholding tax | (1,060 | ) | |||
|
| ||||
Total Investment Income | 9,169,754 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,257,522 | ||||
Administration fees | 142,101 | ||||
Distribution fees — Class 2 | 1,205,185 | ||||
Custodian fees | 21,401 | ||||
Administrative and compliance services fees | 9,418 | ||||
Transfer agent fees | 5,788 | ||||
Trustee fees | 29,665 | ||||
Professional fees | 25,871 | ||||
Shareholder reports | 22,532 | ||||
Other expenses | 112,702 | ||||
|
| ||||
Total expenses | 2,832,185 | ||||
|
| ||||
Net Investment Income/(Loss) | 6,337,569 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 3,976,816 | ||||
Net realized gains/(losses) on futures contracts | 2,248,405 | ||||
Change in net unrealized appreciation/depreciation on securities | (158,232,705 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 141,110 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (151,866,374 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (145,528,805 | ) | ||
|
|
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, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,337,569 | $ | 12,576,114 | ||||||
Net realized gains/(losses) on investments | 6,225,221 | 32,883,493 | ||||||||
Change in unrealized appreciation/depreciation on investments | (158,091,595 | ) | 215,795,657 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (145,528,805 | ) | 261,255,264 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (8,975,429 | ) | |||||||
Class 2 | — | (86,015,224 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (94,990,653 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 56,746 | 92,252 | ||||||||
Proceeds from dividends reinvested | — | 8,975,429 | ||||||||
Value of shares redeemed | (1,863,548 | ) | (5,774,892 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,806,802 | ) | 3,292,789 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 115,084,605 | 11,787,126 | ||||||||
Proceeds from dividends reinvested | — | 86,015,225 | ||||||||
Value of shares redeemed | (222,182,356 | ) | (132,133,299 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (107,097,751 | ) | (34,330,948 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (108,904,553 | ) | (31,038,159 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (254,433,358 | ) | 135,226,452 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,200,154,292 | 1,064,927,840 | ||||||||
|
|
|
| |||||||
End of period | $ | 945,720,934 | $ | 1,200,154,292 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 8,252 | 10,059 | ||||||||
Dividends reinvested | — | 1,188,799 | ||||||||
Shares redeemed | (263,140 | ) | (640,518 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (254,888 | ) | 558,340 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 7,385,092 | 564,844 | ||||||||
Dividends reinvested | — | 4,305,066 | ||||||||
Shares redeemed | (12,386,683 | ) | (6,051,749 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (5,001,591 | ) | (1,181,839 | ) | ||||||
|
|
|
| |||||||
Change in shares | (5,256,479 | ) | (623,499 | ) | ||||||
|
|
|
|
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 June 30, 2020 | Year Ended 2019 | Year Ended 2018 | Year Ended 2017 | Year Ended 2016^ | Year Ended 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.28 | $ | 8.16 | $ | 11.25 | $ | 10.90 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.05 | (a) | 0.12 | (a) | 0.15 | 0.25 | 0.12 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.13 | ) | 1.79 | (1.13 | ) | 1.41 | 0.78 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | (1.08 | ) | 1.91 | (0.98 | ) | 1.66 | 0.90 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.30 | ) | (0.28 | ) | (0.12 | ) | — | ||||||||||||||||||||||
Net Realized Gains | — | (1.49 | ) | (1.83 | ) | (1.19 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (1.79 | ) | (2.11 | ) | (1.31 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 7.20 | $ | 8.28 | $ | 8.16 | $ | 11.25 | $ | 10.90 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(b) | (13.04 | )%(c) | 25.47 | % | (11.01 | )% | 16.08 | % | 9.00 | %(c) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 41,743 | $ | 50,096 | $ | 44,788 | $ | 55,764 | $ | 54,300 | ||||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.50 | % | 1.31 | % | 1.32 | % | 1.27 | % | 1.26 | % | ||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.32 | % | 0.32 | % | 0.31 | % | 0.31 | % | 0.31 | % | ||||||||||||||||||||
Expenses Net of Reductions(d) | 0.32 | % | 0.32 | % | 0.31 | % | 0.31 | % | 0.31 | % | ||||||||||||||||||||
Portfolio Turnover Rate(f) | 14 | % | 14 | % | 18 | % | 21 | % | 86 | %(g) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 21.91 | $ | 19.00 | $ | 23.45 | $ | 21.45 | $ | 21.10 | $ | 23.49 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | (a) | 0.23 | (a) | 0.25 | 0.24 | 0.13 | 0.30 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (3.00 | ) | 4.41 | (2.65 | ) | 3.06 | 3.67 | (0.91 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.88 | ) | 4.64 | (2.40 | ) | 3.30 | 3.80 | (0.61 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.24 | ) | (0.22 | ) | (0.11 | ) | (0.24 | ) | (0.27 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.49 | ) | (1.83 | ) | (1.19 | ) | (3.21 | ) | (1.51 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.73 | ) | (2.05 | ) | (1.30 | ) | (3.45 | ) | (1.78 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 19.03 | $ | 21.91 | $ | 19.00 | $ | 23.45 | $ | 21.45 | $ | 21.10 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (13.14 | )%(c) | 25.28 | % | (11.35 | )% | 15.80 | % | 19.52 | % | (2.67 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 903,978 | $ | 1,150,058 | $ | 1,020,140 | $ | 1,208,935 | $ | 1,222,550 | $ | 406,092 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.25 | % | 1.06 | % | 1.08 | % | 1.02 | % | 1.14 | % | 0.95 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 14 | % | 14 | % | 18 | % | 21 | % | 86 | %(g) | 26 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(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. |
(g) | 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, 2020 (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 21 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 20 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.
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.
Private Placements
The Fund may invest in private placement securities which are securities issued by corporations without registration under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on a “private placement” exemption. These unregistered securities may be restricted and generally are sold to institutional investors, such as the Fund, who agree that they are purchasing the securities for investment and not with a view to public distribution. Unregistered securities are normally resold to other institutional investors through or with the assistance of the issuer or investment dealers who make a market in such securities.
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.
Distributions to Shareholders
Distributions 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 distributions 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
11
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions 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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $4,425 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,022,585 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $16.9 million for the period ended June 30, 2020. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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* | $ | 186,177 | Payable for variation margin on futures 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, 2020:
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 | $ | 2,248,405 | $ | 141,110 |
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, 2021.
For the period ended June 30, 2020, 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, 2020, 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, 2020, 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 SEC. 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.
13
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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, 2020, $4,310 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 926,599,327 | $ | — | $ | — | $ | 926,599,327 | ||||||||||||
Private Placements+ | — | — | 9,990,129 | 9,990,129 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 4,022,585 | — | — | 4,022,585 | ||||||||||||||||
Unaffiliated Investment Companies | 13,067,684 | — | — | 13,067,684 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 943,689,596 | — | 9,990,129 | 953,679,725 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 186,177 | — | — | 186,177 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 943,875,773 | $ | — | $ | 9,990,129 | $ | 953,865,902 | ||||||||||||
|
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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. |
14
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 141,652,968 | $ | 224,658,928 |
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, 2020 are identified below:
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Airbnb, Inc., Series D, 0.00% | 4/16/2014 | $ | 3,131,402 | 76,914 | $ | 7,482,194 | 0.79 | % | |||||||||||||||||
Palantir Technologies, Inc., Series G, 0.00% | 7/19/2012 | 702,919 | 229,712 | 1,578,121 | 0.17 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series H, 0.00% | 10/25/2013 | 237,529 | 67,672 | 464,907 | 0.05 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series H1, 0.00% | 10/25/2013 | 237,529 | 67,672 | 464,907 | 0.05 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $961,329,223. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 314,976,203 | ||
Unrealized (depreciation) | (60,113,391 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 254,862,812 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Mid Cap Index Fund | $ | 20,013,506 | $ | 74,977,147 | $ | 94,990,653 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
15
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
At December 31, 2019, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings / (Deficit) | |||||||||||||||||||||
AZL Mid Cap Index Fund | $ | 13,125,873 | $ | 32,315,337 | $ | — | $ | 254,862,810 | $ | 300,304,020 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
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.
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-PORT. 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.
17
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Moderate Index Strategy Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 1,000.00 | $ | 982.00 | $ | 0.39 | 0.08 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 1,000.00 | $ | 1,024.47 | $ | 0.40 | 0.08 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Domestic Equity Funds | 45.6 | % | |||
Fixed Income Funds | 39.5 | ||||
International Equity Funds | 15.0 | ||||
|
| ||||
Total Investment Securities | 100.1 | ||||
Net other assets (liabilities) | (0.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Moderate Index Strategy Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Affiliated Investment Companies (100.1%): | ||||||||
Domestic Equity Funds (45.6%): | ||||||||
2,698,008 | AZL Mid Cap Index Fund, Class 2 | $ | 51,343,100 | |||||
10,139,444 | AZL S&P 500 Index Fund, Class 2 | 178,352,815 | ||||||
2,397,100 | AZL Small Cap Stock Index Fund, Class 2 | 25,984,559 | ||||||
|
| |||||||
255,680,474 | ||||||||
|
| |||||||
Fixed Income Funds (39.5%): | ||||||||
18,694,966 | AZL Enhanced Bond Index Fund | 221,909,253 | ||||||
|
| |||||||
International Equity Funds (15.0%): | ||||||||
5,652,050 | AZL International Index Fund, Class 2 | 84,045,982 | ||||||
|
| |||||||
Total Affiliated Investment Companies (Cost $500,571,826) | 561,635,709 | |||||||
|
| |||||||
Total Investment Securities (Cost $500,571,826) — 100.1% | 561,635,709 | |||||||
Net other assets (liabilities) — (0.1%) | (413,541 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 561,222,168 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
See accompanying notes to the financial statements.
2
AZL Moderate Index Strategy Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investments in affiliates, at cost | $ | 500,571,826 | |||
|
| ||||
Investments in affiliates, at value | $ | 561,635,709 | |||
Interest and dividends receivable | 99 | ||||
Foreign currency, at value (cost $108,869) | 109,710 | ||||
Receivable for investments sold | 768,771 | ||||
Prepaid expenses | 1,032 | ||||
|
| ||||
Total Assets | 562,515,321 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 752,329 | ||||
Payable for capital shares redeemed | 478,088 | ||||
Manager fees payable | 23,127 | ||||
Administration fees payable | 7,282 | ||||
Custodian fees payable | 1,155 | ||||
Administrative and compliance services fees payable | 1,060 | ||||
Transfer agent fees payable | 938 | ||||
Trustee fees payable | 6,389 | ||||
Other accrued liabilities | 22,785 | ||||
|
| ||||
Total Liabilities | 1,293,153 | ||||
|
| ||||
Net Assets | $ | 561,222,168 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 461,750,181 | |||
Total distributable earnings | 99,471,987 | ||||
|
| ||||
Net Assets | $ | 561,222,168 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 42,919,089 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.08 | |||
|
|
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 118 | |||
Foreign withholding tax | (53,139 | ) | |||
|
| ||||
Total Investment Income | (53,021 | ) | |||
|
| ||||
Expenses: | |||||
Manager fees | 1,114,659 | ||||
Administration fees | 30,698 | ||||
Custodian fees | 3,753 | ||||
Administrative and compliance services fees | 4,974 | ||||
Transfer agent fees | 2,792 | ||||
Trustee fees | 15,807 | ||||
Professional fees | 14,061 | ||||
Shareholder reports | 12,990 | ||||
Other expenses | 6,062 | ||||
|
| ||||
Total expenses before reductions | 1,205,796 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (975,319 | ) | |||
|
| ||||
Net expenses | 230,477 | ||||
|
| ||||
Net Investment Income/(Loss) | (283,498 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 20,905 | ||||
Net realized gains/(losses) on affiliated underlying funds | 6,967,771 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (72 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated underlying funds | (19,102,008 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (12,113,404 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (12,396,902 | ) | ||
|
|
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, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (283,498 | ) | $ | 10,910,835 | |||||
Net realized gains/(losses) on investments | 6,988,676 | 21,142,999 | ||||||||
Change in unrealized appreciation/depreciation on investments | (19,102,080 | ) | 75,300,388 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (12,396,902 | ) | 107,354,222 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (40,584,497 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (40,584,497 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 7,486,008 | 9,874,464 | ||||||||
Proceeds from dividends reinvested | — | 40,584,497 | ||||||||
Value of shares redeemed | (45,851,135 | ) | (95,336,967 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (38,365,127 | ) | (44,878,006 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (50,762,029 | ) | 21,891,719 | |||||||
Net Assets: | ||||||||||
Beginning of period | 611,984,197 | 590,092,478 | ||||||||
|
|
|
| |||||||
End of period | $ | 561,222,168 | $ | 611,984,197 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 616,374 | 756,832 | ||||||||
Dividends reinvested | — | 3,228,679 | ||||||||
Shares redeemed | (3,651,101 | ) | (7,273,028 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,034,727 | ) | (3,287,517 | ) | ||||||
|
|
|
|
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, 2020 | Year Ended 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.32 | $ | 11.98 | $ | 13.30 | $ | 15.54 | $ | 15.03 | $ | 16.50 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | (0.01 | )(a) | 0.23 | (a) | 0.26 | 0.12 | 0.32 | 0.19 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.23 | ) | 2.03 | (0.92 | ) | 1.78 | 1.00 | (0.61 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.24 | ) | 2.26 | (0.66 | ) | 1.90 | 1.32 | (0.42 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.32 | ) | (0.13 | ) | (0.35 | ) | (0.30 | ) | (0.36 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.60 | ) | (0.53 | ) | (3.79 | ) | (0.51 | ) | (0.69 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.92 | ) | (0.66 | ) | (4.14 | ) | (0.81 | ) | (1.05 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.08 | $ | 13.32 | $ | 11.98 | $ | 13.30 | $ | 15.54 | $ | 15.03 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (1.80 | )%(c) | 19.33 | % | (5.17 | )% | 13.30 | % | 8.91 | % | (2.47 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 561,222 | $ | 611,984 | $ | 590,092 | $ | 740,959 | $ | 720,934 | $ | 1,282,506 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | (0.10 | )% | 1.78 | % | 1.75 | % | 0.77 | % | 1.25 | % | 1.22 | % | ||||||||||||||||||
Expenses Before Reductions*(d)(e) | 0.43 | % | 0.43 | % | 0.42 | % | 0.43 | % | 0.96 | % | 1.05 | % | ||||||||||||||||||
Expenses Net of Reductions*(d) | 0.08 | % | 0.08 | % | 0.07 | % | 0.08 | % | 0.83 | % | 0.96 | % | ||||||||||||||||||
Portfolio Turnover Rate | 11 | %(c) | 5 | % | 4 | % | 7 | %(f) | 190 | % | 117 | % |
* | The expense ratios exclude the impact of fees/expenses paid by each underlying fund. |
(a) | Calculated using the average shares method. |
(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) | The Fund’s purchase 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, 2020 (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 21 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 20 are presented in separate reports.
The Fund is a “fund of funds,” which means that the Fund invests primarily in other mutual funds (the “Underlying 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. 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
6
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, the Fund did not engage in any Rule 17a-7 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 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, 2021.
For the period ended June 30, 2020, 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, 2020, 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 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, 2020, 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, 2020 is as follows:
Fair Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2020 | Shares as of 6/30/2020 | Dividend Income | Net Realized Gains Distributions from Affiliated Underlying Funds | |||||||||||||||||||||||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 240,597,281 | $ | 22,012,911 | $ | (53,468,630 | ) | $ | 2,678,899 | $ | 10,088,792 | $ | 221,909,253 | 18,694,966 | $ | — | $ | — | |||||||||||||||||||||||||||
AZL International Index Fund, Class 2 | 92,940,215 | 10,015,969 | (9,449,838 | ) | 129,277 | (9,589,641 | ) | 84,045,982 | 5,652,050 | — | — | ||||||||||||||||||||||||||||||||||
AZL Mid Cap Index Fund, Class 2 | 56,066,872 | 8,790,264 | (7,704,412 | ) | (610,144 | ) | (5,199,480 | ) | 51,343,100 | 2,698,008 | — | — | |||||||||||||||||||||||||||||||||
AZL S&P 500 Index Fund, Class 2 | 194,154,397 | 17,207,803 | (27,621,130 | ) | 5,520,103 | (10,908,358 | ) | 178,352,815 | 10,139,444 | — | — | ||||||||||||||||||||||||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | 28,331,154 | 5,131,365 | (3,234,275 | ) | (750,364 | ) | (3,493,321 | ) | 25,984,559 | 2,397,100 | — | — | |||||||||||||||||||||||||||||||||
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$ | 612,089,919 | $ | 63,158,312 | $ | (101,478,285 | ) | $ | 6,967,771 | $ | (19,102,008 | ) | $ | 561,635,709 | 39,581,568 | $ | — | $ | — | |||||||||||||||||||||||||||
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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 SEC. 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.
7
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives 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, 2020, $2,367 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Affiliated Investment Companies | $ | 561,635,709 | $ | — | $ | — | $ | 561,635,709 | ||||||||||||
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Total Investments | $ | 561,635,709 | $ | — | $ | — | $ | 561,635,709 | ||||||||||||
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5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 63,158,311 | $ | 101,478,283 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Fund of Fund 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.
Market Risk: The market price of securities owned by the underlying funds may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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.
8
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2019 was $532,300,814. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 79,789,105 | |||
Unrealized (depreciation) | — | ||||
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Net unrealized appreciation/(depreciation) | $ | 79,789,105 | |||
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The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Moderate Index Strategy Fund | $ | 14,322,026 | $ | 26,262,471 | $ | 40,584,497 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 Moderate Index Strategy Fund | $ | 11,245,078 | $ | 20,833,793 | $ | — | $ | 79,790,018 | $ | 111,868,889 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was 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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
10
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
11
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Morgan Stanley Global Real Estate Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 1 | $ | 1,000.00 | $ | 728.00 | $ | 4.00 | 0.93 | % | ||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 2 | $ | 1,000.00 | $ | 727.10 | $ | 5.07 | 1.18 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 1 | $ | 1,000.00 | $ | 1,020.24 | $ | 4.67 | 0.93 | % | ||||||||||||
AZL Morgan Stanley Global Real Estate Fund, Class 2 | $ | 1,000.00 | $ | 1,019.00 | $ | 5.92 | 1.18 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
United States | 52.5 | % | |||
Japan | 11.0 | ||||
Hong Kong | 7.6 | ||||
United Kingdom | 5.4 | ||||
Germany | 4.5 | ||||
France | 3.8 | ||||
Australia | 2.5 | ||||
Singapore | 1.7 | ||||
Canada | 1.5 | ||||
Sweden | 1.1 | ||||
All other countries | 5.4 | ||||
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Total Common Stocks | 97.0 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 2.8 | ||||
Unaffiliated Investment Companies | 2.3 | ||||
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Total Investment Securities | 102.1 | ||||
Net other assets (liabilities) | (2.1 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (97.0%): | ||||||||
Diversified Real Estate Activities (7.6%): | ||||||||
156,000 | Hang Lung Properties, Ltd. | $ | 369,831 | |||||
15,400 | Kenedix, Inc.^ | 75,899 | ||||||
76,911 | Mitsubishi Estate Co., Ltd. | 1,143,865 | ||||||
62,998 | Mitsui Fudosan Co., Ltd. | 1,116,425 | ||||||
91,700 | New World Development Co., Ltd. | 435,872 | ||||||
28,931 | Sumitomo Realty & Development Co., Ltd. | 795,638 | ||||||
128,971 | Sun Hung Kai Properties, Ltd. | 1,643,673 | ||||||
13,015 | UOL Group, Ltd. | 63,626 | ||||||
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5,644,829 | ||||||||
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Diversified REITs (5.7%): | ||||||||
26 | Activia Properties, Inc. | 90,568 | ||||||
950 | Covivio | 68,748 | ||||||
6,164 | Gecina SA | 760,838 | ||||||
128,969 | GPT Group | 372,736 | ||||||
8,389 | H&R Real Estate Investment Trust | 60,319 | ||||||
61 | Hulic REIT, Inc. | 75,854 | ||||||
396 | Icade | 27,549 | ||||||
37 | Kenedix Office Investment Corp. | 207,952 | ||||||
154,058 | Land Securities Group plc | 1,054,040 | ||||||
19,560 | Lexington Realty Trust | 206,358 | ||||||
61,612 | Merlin Properties Socimi SA^ | 510,288 | ||||||
141,660 | Mirvac Group | 213,172 | ||||||
265 | Nomura Real Estate Master Fund, Inc. | 318,328 | ||||||
70 | Premier Investment Corp. | 77,808 | ||||||
11,474 | Stockland | 26,347 | ||||||
195 | United Urban Investment Corp. | 209,702 | ||||||
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4,280,607 | ||||||||
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Health Care Facilities (0.0%†): | ||||||||
901 | Five Star Senior Living, Inc.* | 3,514 | ||||||
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Health Care REITs (5.2%): | ||||||||
33,357 | Healthcare Realty Trust, Inc. | 977,027 | ||||||
14,704 | Healthcare Trust of America, Inc., Class A | 389,950 | ||||||
18,081 | Healthpeak Properties, Inc. | 498,312 | ||||||
43,989 | Ventas, Inc. | 1,610,877 | ||||||
7,585 | Welltower, Inc. | 392,524 | ||||||
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3,868,690 | ||||||||
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Hotel & Resort REITs (4.1%): | ||||||||
30,046 | DiamondRock Hospitality Co. | 166,154 | ||||||
149,175 | Host Hotels & Resorts, Inc. | 1,609,598 | ||||||
439 | Invincible Investment Corp. | 113,402 | ||||||
359 | Japan Hotel REIT Investment Corp. | 148,433 | ||||||
40,910 | RLJ Lodging Trust | 386,190 | ||||||
73,977 | Sunstone Hotel Investors, Inc. | 602,913 | ||||||
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3,026,690 | ||||||||
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Industrial REITs (8.5%): | ||||||||
159,938 | Ascendas Real Estate Investment Trust | 364,722 | ||||||
12,630 | Duke Realty Corp. | 446,976 | ||||||
29,600 | Frasers Logistics & Commercial Trust | 25,571 | ||||||
220 | GLP J-REIT | 319,509 | ||||||
9,451 | Goodman Group | 97,239 | ||||||
72,600 | Mapletree Industrial Trust | 150,909 | ||||||
84,000 | Mapletree Logistics Trust | 117,228 | ||||||
54 | Mitsubishi Estate Logistics REIT Investment Corp. | 198,701 | ||||||
77 | Mitsui Fudosan Logistics Park, Inc. | 343,149 | ||||||
92 | Nippon Prologis REIT, Inc. | 279,644 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial REITs, continued | ||||||||
41,012 | ProLogis, Inc. | $ | 3,827,651 | |||||
15,303 | SERGO plc | 169,490 | ||||||
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6,340,789 | ||||||||
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Office REITs (20.6%): | ||||||||
4,111 | Alexandria Real Estate Equities, Inc. | 667,010 | ||||||
23,961 | Alstria Office REIT-AG* | 356,884 | ||||||
21,813 | Boston Properties, Inc. | 1,971,459 | ||||||
30,644 | CapitaLand Commercial Trust | 37,260 | ||||||
18,645 | Cousins Properties, Inc. | 556,180 | ||||||
40 | Daiwa Office Investment Corp. | 221,433 | ||||||
16,354 | Derwent Valley Holdings plc | 561,879 | ||||||
114,323 | Dexus | 728,324 | ||||||
57,432 | Great Portland Estates plc | 449,337 | ||||||
408,947 | Hibernia REIT plc | 514,363 | ||||||
4,260 | Highwoods Properties, Inc. | 159,026 | ||||||
38,569 | Hudson Pacific Properties, Inc. | 970,396 | ||||||
34,562 | Inmobiliaria Colonial Socimi SA | 303,936 | ||||||
19 | Japan Prime Realty Investment Corp. | 56,006 | ||||||
132 | Japan Real Estate Investment Corp. | 677,135 | ||||||
15,712 | JBG SMITH Properties | 464,604 | ||||||
12,144 | Kilroy Realty Corp. | 712,853 | ||||||
27,792 | Mack-Cali Realty Corp. | 424,940 | ||||||
71 | Mori Trust Sogo REIT, Inc. | 87,455 | ||||||
172 | Nippon Building Fund, Inc. | 979,205 | ||||||
5,180 | NSI NV | 200,366 | ||||||
57 | Orix JREIT, Inc. | 74,815 | ||||||
41,467 | Paramount Group, Inc. | 319,711 | ||||||
56,596 | SL Green Realty Corp. | 2,789,616 | ||||||
26,639 | Vornado Realty Trust | 1,017,876 | ||||||
9,686 | Workspace Group plc | 78,376 | ||||||
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15,380,445 | ||||||||
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Real Estate Development (2.5%): | ||||||||
26,925 | China Overseas Land & Investment, Ltd. | 81,312 | ||||||
90,000 | China Resources Land, Ltd. | 340,092 | ||||||
56,040 | CK Asset Holdings, Ltd. | 333,249 | ||||||
19,000 | KWG Group Holdings, Ltd. | 31,862 | ||||||
103,500 | Longfor Group Holdings, Ltd. | 492,991 | ||||||
3,600 | Poly Property Development Co., Ltd., Class H | 36,280 | ||||||
24,500 | Shimao Property Holdings, Ltd. | 103,828 | ||||||
23,081 | St. Modwen Properties plc | 98,713 | ||||||
7,000 | Sunac China Holdings, Ltd. | 29,363 | ||||||
100,546 | Urban & Civic plc | 290,025 | ||||||
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1,837,715 | ||||||||
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Real Estate Operating Companies (10.2%): | ||||||||
2,804 | ADO Properties SA* | 76,264 | ||||||
8,783 | Atrium Ljungberg AB, Class B | 123,594 | ||||||
2,485,087 | BGP Holdings plc*(a) | 3,629 | ||||||
292 | CA Immobilien Anlagen AG* | 9,717 | ||||||
59,215 | Capital & Counties Properties plc | 107,028 | ||||||
7,320 | Carmila*^ | 100,245 | ||||||
4,578 | Castellum AB | 85,449 | ||||||
21,796 | Deutsche Wohnen SE | 977,701 | ||||||
24,531 | Entra ASA | 313,649 | ||||||
24,194 | Fabege AB | 282,498 | ||||||
40,222 | First Capital Real Estate Investment Trust^ | 411,287 | ||||||
16,363 | Grainger plc | 57,925 |
See accompanying notes to the financial statements.
2
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Operating Companies, continued | ||||||||
174,952 | Hongkong Land Holdings, Ltd. | $ | 724,138 | |||||
20,423 | Hufvudstaden AB | 253,560 | ||||||
18,356 | Hulic Co., Ltd.^ | 173,883 | ||||||
31,669 | Hysan Development Co., Ltd. | 102,111 | ||||||
10,971 | Kojamo Oyj | 231,507 | ||||||
13,153 | Kungsleden AB | 97,870 | ||||||
2,857 | LEG Immobilien AG* | 362,435 | ||||||
33,959 | Norwegian Property ASA | 43,270 | ||||||
2,382 | PSP Swiss Property AG | 268,074 | ||||||
299,529 | Swire Properties, Ltd. | 760,678 | ||||||
25,717 | Vonovia SE* | 1,575,212 | ||||||
101,710 | Wharf Real Estate Investment Co., Ltd. | 485,414 | ||||||
|
| |||||||
7,627,138 | ||||||||
|
| |||||||
Residential REITs (12.2%): | ||||||||
106 | Advance Residence Investment | 315,949 | ||||||
28,770 | American Campus Communities, Inc. | 1,005,799 | ||||||
11,281 | American Homes 4 Rent, Class A | 303,459 | ||||||
13,817 | AvalonBay Communities, Inc. | 2,136,661 | ||||||
3,308 | Boardwalk REIT | 72,404 | ||||||
14,481 | Camden Property Trust | 1,320,957 | ||||||
1,631 | Equity Lifestyle Properties, Inc. | 101,905 | ||||||
23,779 | Equity Residential | 1,398,681 | ||||||
3,472 | Essex Property Trust, Inc. | 795,678 | ||||||
39,608 | Invitation Homes, Inc. | 1,090,408 | ||||||
3,787 | Mid-America Apartment Communities, Inc. | 434,255 | ||||||
2,638 | UDR, Inc. | 98,608 | ||||||
|
| |||||||
9,074,764 | ||||||||
|
| |||||||
Retail REITs (14.0%): | ||||||||
197,110 | British Land Co. plc | 942,342 | ||||||
1,420 | Brixmor Property Group, Inc. | 18,204 | ||||||
39,352 | CapitaLand Mall Trust | 55,500 | ||||||
12,935 | Crombie REIT | 121,974 | ||||||
19,449 | Eurocommercial Properties NV | 248,622 | ||||||
141,754 | Hammerson plc^ | 140,777 | ||||||
45 | Japan Retail Fund Investment Corp. | 56,198 | ||||||
47,762 | Klepierre | 950,237 | ||||||
133,684 | Link REIT (The) | 1,090,862 | ||||||
112,099 | Mapletree Commercial Trust | 155,671 | ||||||
34,370 | Mercialys SA | 287,464 | ||||||
17,246 | Regency Centers Corp. | 791,419 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Retail REITs, continued | ||||||||
34,289 | RioCan REIT | $ | 388,005 | |||||
221,474 | Scentre Group | 333,396 | ||||||
5,242 | Shaftesbury plc | 34,234 | ||||||
43,492 | Simon Property Group, Inc. | 2,973,984 | ||||||
3,735 | SmartCentres Real Estate Investment Trust | 57,536 | ||||||
6,190 | Taubman Centers, Inc. | 233,734 | ||||||
4,823 | The Macerich Co.^ | 43,262 | ||||||
11,208 | Unibail-Rodamco-Westfield^ | 630,384 | ||||||
116,298 | Vicinity Centres | 115,294 | ||||||
39,574 | Weingarten Realty Investors | 749,136 | ||||||
|
| |||||||
10,418,235 | ||||||||
|
| |||||||
Specialized REITs (6.4%): | ||||||||
28,532 | CubeSmart | 770,079 | ||||||
10,295 | Digital Realty Trust, Inc. | 1,463,022 | ||||||
4,980 | Extra Space Storage, Inc. | 460,003 | ||||||
12,559 | Gaming and Leisure Properties, Inc. | 434,541 | ||||||
176,600 | Keppel DC REIT | 322,276 | ||||||
2,020 | Life Storage, Inc. | 191,799 | ||||||
5,916 | Public Storage, Inc. | 1,135,222 | ||||||
11 | QTS Realty Trust, Inc., Class A | 705 | ||||||
|
| |||||||
4,777,647 | ||||||||
|
| |||||||
Total Common Stocks (Cost $79,774,910) | 72,281,063 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (2.8%): | ||||||||
2,100,922 | BlackRock Liquidity FedFund, Institutional Class, 1.81%(b)(c) | 2,100,922 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 2,100,922 | ||||||
|
| |||||||
Unaffiliated Investment Companies (2.3%): | ||||||||
Money Markets (2.3%): | ||||||||
1,745,061 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(c) | 1,745,061 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $1,745,061) | 1,745,061 | |||||||
|
| |||||||
Total Investment Securities (Cost $83,620,893) — 102.1% | 76,127,046 | |||||||
Net other assets (liabilities) — (2.1)% | (1,596,544 | ) | ||||||
|
| |||||||
Net Assets —100.0% | $ | 74,530,502 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $1,984,071. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. 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, 2020. |
(c) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
3
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2020 (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, 2020:
(Unaudited)
Country | Percentage | |||
Australia | 2.5 | % | ||
Austria | — | %† | ||
Bermuda | 1.0 | % | ||
Canada | 1.5 | % | ||
China | 0.9 | % | ||
Finland | 0.3 | % | ||
France | 3.7 | % | ||
Germany | 4.4 | % | ||
Hong Kong | 7.4 | % | ||
Ireland | 0.7 | % | ||
Japan | 10.6 | % | ||
Netherlands | 0.6 | % | ||
Norway | 0.5 | % | ||
Singapore | 1.7 | % | ||
Spain | 1.1 | % | ||
Sweden | 1.1 | % | ||
Switzerland | 0.4 | % | ||
United Kingdom | 5.2 | % | ||
United States | 56.4 | % | ||
|
| |||
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, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 83,620,893 | |||
|
| ||||
Investment securities, at value(a) | $ | 76,127,046 | |||
Interest and dividends receivable | 278,376 | ||||
Foreign currency, at value (cost $201,497) | 207,258 | ||||
Receivable for capital shares issued | 1,503 | ||||
Reclaims receivable | 106,556 | ||||
Prepaid expenses | 191 | ||||
|
| ||||
Total Assets | 76,720,930 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 14,308 | ||||
Payable for collateral received on loaned securities | 2,100,922 | ||||
Payable for capital shares redeemed | 623 | ||||
Manager fees payable | 47,625 | ||||
Administration fees payable | 1,896 | ||||
Distribution fees payable | 12,717 | ||||
Custodian fees payable | 7,572 | ||||
Administrative and compliance services fees payable | 40 | ||||
Transfer agent fees payable | 943 | ||||
Trustee fees payable | 387 | ||||
Other accrued liabilities | 3,395 | ||||
|
| ||||
Total Liabilities | 2,190,428 | ||||
|
| ||||
Net Assets | $ | 74,530,502 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 88,690,206 | |||
Total distributable earnings | (14,159,704 | ) | |||
|
| ||||
Net Assets | $ | 74,530,502 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 14,806,626 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 2,214,594 | ||||
Net Asset Value (offering and redemption price per share) | $ | 6.69 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 59,723,876 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 8,276,509 | ||||
Net Asset Value (offering and redemption price per share) | $ | 7.22 | |||
|
|
(a) | Includes securities on loan of $1,984,071. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 1,584,394 | |||
Income from securities lending | 5,475 | ||||
Foreign withholding tax | (79,645 | ) | |||
|
| ||||
Total Investment Income | 1,510,224 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 373,893 | ||||
Administration fees | 19,785 | ||||
Distribution fees — Class 2 | 82,809 | ||||
Custodian fees | 25,481 | ||||
Administrative and compliance services fees | 517 | ||||
Transfer agent fees | 3,696 | ||||
Trustee fees | 1,575 | ||||
Professional fees | 1,333 | ||||
Shareholder reports | 3,425 | ||||
Other expenses | 1,404 | ||||
|
| ||||
Total expenses before reductions | 513,918 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (45,091 | ) | |||
|
| ||||
Net expenses | 468,827 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,041,397 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | (7,768,214 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (21,132,887 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (28,901,101 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (27,859,704 | ) | ||
|
|
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, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,041,397 | $ | 2,327,513 | ||||||
Net realized gains/(losses) on investments | (7,768,214 | ) | 2,041,825 | |||||||
Change in unrealized appreciation/depreciation on investments | (21,132,887 | ) | 13,722,205 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (27,859,704 | ) | 18,091,543 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (682,097 | ) | |||||||
Class 2 | — | (2,244,874 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (2,926,971 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 60,051 | 44,075 | ||||||||
Proceeds from dividends reinvested | — | 682,097 | ||||||||
Value of shares redeemed | (895,756 | ) | (2,827,294 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (835,705 | ) | (2,101,122 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 6,358,811 | 1,121,131 | ||||||||
Proceeds from dividends reinvested | — | 2,244,874 | ||||||||
Value of shares redeemed | (9,841,963 | ) | (12,924,267 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (3,483,152 | ) | (9,558,262 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (4,318,857 | ) | (11,659,384 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (32,178,561 | ) | 3,505,188 | |||||||
Net Assets: | ||||||||||
Beginning of period | 106,709,063 | 103,203,875 | ||||||||
|
|
|
| |||||||
End of period | $ | 74,530,502 | $ | 106,709,063 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 9,652 | 4,859 | ||||||||
Dividends reinvested | — | 77,687 | ||||||||
Shares redeemed | (118,266 | ) | (315,353 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (108,614 | ) | (232,807 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 902,193 | 117,495 | ||||||||
Dividends reinvested | — | 236,551 | ||||||||
Shares redeemed | (1,224,616 | ) | (1,333,969 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (322,423 | ) | (979,923 | ) | ||||||
|
|
|
| |||||||
Change in shares | (431,037 | ) | (1,212,730 | ) | ||||||
|
|
|
|
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016^ | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.19 | $ | 8.01 | $ | 9.72 | $ | 10.05 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | (a) | 0.21 | (a) | 0.29 | 0.28 | — | (a)(b) | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.60 | ) | 1.26 | (1.02 | ) | 0.67 | 0.05 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | (2.50 | ) | 1.47 | (0.73 | ) | 0.95 | 0.05 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.29 | ) | (0.42 | ) | (0.43 | ) | — | ||||||||||||||||||||||
Net Realized Gains | — | — | (0.56 | ) | (0.85 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (0.29 | ) | (0.98 | ) | (1.28 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 6.69 | $ | 9.19 | $ | 8.01 | $ | 9.72 | $ | 10.05 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(c) | (27.20 | )%(d) | 18.53 | % | (7.91 | )% | 10.00 | % | 0.50 | %(d) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 14,807 | $ | 21,342 | $ | 20,484 | $ | 25,794 | $ | 27,302 | ||||||||||||||||||||
Net Investment Income/(Loss)(e) | 2.74 | % | 2.34 | % | 2.67 | % | 2.38 | % | 0.13 | % | ||||||||||||||||||||
Expenses Before Reductions(e)(f) | 1.04 | % | 1.04 | % | 1.02 | % | 1.03 | % | 1.04 | % | ||||||||||||||||||||
Expenses Net of Reductions(e) | 0.93 | % | 0.99 | % | 0.97 | % | 0.98 | % | 1.03 | % | ||||||||||||||||||||
Portfolio Turnover Rate(g) | 22 | % | 24 | % | 34 | % | 33 | % | 52 | % | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.93 | $ | 8.64 | $ | 10.39 | $ | 10.68 | $ | 10.51 | $ | 11.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | (a) | 0.20 | (a) | 0.29 | 0.27 | 0.20 | (a) | 0.22 | |||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.81 | ) | 1.35 | (1.09 | ) | 0.71 | 0.13 | (0.39 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.71 | ) | 1.55 | (0.80 | ) | 0.98 | 0.33 | (0.17 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.26 | ) | (0.39 | ) | (0.42 | ) | (0.16 | ) | (0.43 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.56 | ) | (0.85 | ) | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.26 | ) | (0.95 | ) | (1.27 | ) | (0.16 | ) | (0.43 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 7.22 | $ | 9.93 | $ | 8.64 | $ | 10.39 | $ | 10.68 | $ | 10.51 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (27.29 | )%(d) | 18.10 | % | (8.07 | )% | 9.72 | % | 3.14 | % | (1.34 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 59,724 | $ | 85,367 | $ | 82,720 | $ | 109,926 | $ | 115,339 | $ | 159,821 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 2.45 | % | 2.09 | % | 2.41 | % | 2.17 | % | 1.84 | % | 1.70 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 1.29 | % | 1.29 | % | 1.27 | % | 1.28 | % | 1.29 | % | 1.29 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 1.18 | % | 1.24 | % | 1.22 | % | 1.23 | % | 1.29 | % | 1.29 | % | ||||||||||||||||||
Portfolio Turnover Rate(g) | 22 | % | 24 | % | 34 | % | 33 | % | 52 | % | 25 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(b) | Represents less than $0.005. |
(c) | 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. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | 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, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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
8
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $549 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,100,922 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2021.
For the period ended June 30, 2020, 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 | % |
* | Effective March 1, 2020, the Manager voluntarily reduced the management fee to 0.75% on all assets. Prior to that date, 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, 2020, there were no contractual reimbursements subject to repayment by the Fund in subsequent years.
9
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2020 (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 SEC. 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, 2020, $363 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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, 2020 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 40,234,761 | $ | 32,042,673 | $ | 3,629 | $ | 72,281,063 | ||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 2,100,922 | — | — | 2,100,922 | ||||||||||||||||
Unaffiliated Investment Companies | 1,745,061 | — | — | 1,745,061 | ||||||||||||||||
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| |||||||||||||
Total Investments | $ | 44,080,744 | $ | 32,042,673 | $ | 3,629 | $ | 76,127,046 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 17,946,912 | $ | 21,827,626 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $96,718,739. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 13,531,808 | ||
Unrealized (depreciation) | (3,303,208 | ) | ||
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| |||
Net unrealized appreciation/(depreciation) | $ | 10,228,600 | ||
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As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2019, the Fund utilized $572,504 in CLCFs to offset capital gains.
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | — | $ | 250,198 | $ | 250,198 |
11
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 2,926,971 | $ | — | $ | 2,926,971 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 Morgan Stanley Global Real Estate Fund | $ | 3,709,438 | $ | — | $ | (250,198 | ) | $ | 10,240,760 | $ | 13,700,000 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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, except as noted below.
On June 12, 2020, the Board approved a reorganization whereby, subject to shareholder approval, the AZL S&P 500 Index Fund will acquire the assets and liabilities of the Fund. A meeting of shareholders to approve the proposal was set for August 19, 2020, and if approved, the reorganization is expected to be completed on or about August 21, 2020.
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-PORT. 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.
13
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
14
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® MSCI Emerging Markets Equity Index Fund
Semi-Annual Report
June 30, 2020
(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 24 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 25 |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 899.40 | $ | 3.35 | 0.71 | % | ||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 898.10 | $ | 4.53 | 0.96 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 1,021.33 | $ | 3.57 | 0.71 | % | ||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 1,020.09 | $ | 4.82 | 0.96 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 18.9 | % | |||
Information Technology | 16.7 | ||||
Consumer Discretionary | 15.7 | ||||
Communication Services | 14.7 | ||||
Materials | 6.8 | ||||
Consumer Staples | 6.4 | ||||
Energy | 5.9 | ||||
Industrials | 4.7 | ||||
Health Care | 4.2 | ||||
Real Estate | 2.5 | ||||
Utilities | 2.1 | ||||
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Total Common Stocks and Preferred Stocks | 98.6 | ||||
Rights | — | † | |||
Short-Term Securities Held as Collateral for Securities on Loan | 0.9 | ||||
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Total Investment Securities | 99.5 | ||||
Net other assets (liabilities) | 0.5 | ||||
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Net Assets | 100.0 | % | |||
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† | Represents less than 0.05%. |
1
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (97.2%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
6,899 | Aecc Aviation Power Co., Ltd.* | $ | 22,916 | |||||
15,085 | Aselsan Elektronik Sanayi Ve Ticaret AS | 71,561 | ||||||
7,300 | Avic Aircraft Co., Ltd. | 18,320 | ||||||
4,600 | AVIC Shenyang Aircraft Co., Ltd., Class A | 21,354 | ||||||
139,000 | AviChina Industry & Technology Co., Ltd., Class H^ | 63,003 | ||||||
4,500 | China Spacesat Co., Ltd., Class A* | 19,633 | ||||||
3,628 | Korea Aerospace Industries, Ltd. | 72,482 | ||||||
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289,269 | ||||||||
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Air Freight & Logistics (0.3%): | ||||||||
9,147 | BEST, Inc., ADR* | 39,149 | ||||||
730 | Hyundai Glovis Co., Ltd. | 62,224 | ||||||
7,700 | SF Holding Co., Ltd., Class A | 59,590 | ||||||
3,900 | Yunda Holding Co., Ltd., Class A | 13,529 | ||||||
15,585 | ZTO Express Cayman, Inc., ADR | 572,126 | ||||||
|
| |||||||
746,618 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
98,000 | Air China, Ltd. | 58,496 | ||||||
65,000 | China Airlines, Ltd. | 18,028 | ||||||
39,299 | China Eastern Airlines Corp., Ltd.* | 23,365 | ||||||
50,000 | China Eastern Airlines Corp., Ltd., Class H* | 17,851 | ||||||
38,000 | China Southern Airlines Co., Ltd. | 27,674 | ||||||
82,000 | China Southern Airlines Co., Ltd., Class H*^ | 36,214 | ||||||
99,676 | Eva Airways Corp. | 37,749 | ||||||
4,189 | InterGlobe Aviation, Ltd. | 54,532 | ||||||
2,231 | Korean Air Lines Co., Ltd.* | 32,644 | ||||||
28,736 | Turk Hava Yollari Anonim Ortakligi* | 52,544 | ||||||
|
| |||||||
359,097 | ||||||||
|
| |||||||
Auto Components (0.4%): | ||||||||
10,860 | Bharat Forge, Ltd. | 46,381 | ||||||
129 | Bosch, Ltd. | 19,530 | ||||||
77,000 | Cheng Shin Rubber Industry Co., Ltd. | 87,931 | ||||||
10,000 | Fuyao Glass Industry Group Co., Ltd.* | 29,526 | ||||||
12,800 | Fuyao Glass Industry Group Co., Ltd., Class H* | 30,521 | ||||||
2,479 | Hankook Tire & Technology Co., Ltd. | 50,784 | ||||||
6,919 | Hanon Systems | 52,103 | ||||||
10,400 | Huayu Automotive Systems Co., Ltd. | 30,597 | ||||||
2,823 | Hyundai Mobis Co., Ltd. | 450,431 | ||||||
31,296 | Motherson Sumi Systems, Ltd. | 39,530 | ||||||
8,300 | Ningbo Joyson Electronic Corp.* | 28,183 | ||||||
|
| |||||||
865,517 | ||||||||
|
| |||||||
Automobiles (1.5%): | ||||||||
822,800 | Astra International Tbk PT | 278,095 | ||||||
3,300 | BAIC BluePark New Energy Technology Co., Ltd., Class A* | 3,014 | ||||||
91,500 | BAIC Motor Corp., Ltd., Class H | 39,835 | ||||||
3,421 | Bajaj Auto, Ltd. | 128,675 | ||||||
124,000 | Brilliance China Automotive Holdings, Ltd. | 111,820 | ||||||
3,933 | BYD Co., Ltd. | 40,176 | ||||||
28,500 | BYD Co., Ltd., Class H^ | 219,578 | ||||||
8,200 | Chongqing Changan Automobile Co., Ltd., Class A | 12,824 | ||||||
108,000 | Dongfeng Motor Group Co., Ltd., Class H | 64,585 | ||||||
564 | Eicher Motors, Ltd. | 137,734 | ||||||
2,009 | Ford Otomotiv Sanayi AS | 20,806 | ||||||
214,000 | Geely Automobile Holdings, Ltd. | 336,012 | ||||||
125,500 | Great Wall Motor Co., Ltd., Class H | 78,686 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
125,200 | Guangzhou Automobile Group Co., Ltd. | $ | 90,407 | |||||
4,024 | Hero MotoCorp, Ltd. | 136,411 | ||||||
6,113 | Hyundai Motor Co., Ltd. | 502,466 | ||||||
1,155 | Hyundai Motor Co., Ltd. | 53,434 | ||||||
10,962 | Kia Motors Corp. | 295,610 | ||||||
30,039 | Mahindra & Mahindra, Ltd. | 204,218 | ||||||
4,761 | Maruti Suzuki India, Ltd. | 370,088 | ||||||
33,235 | NIO, Inc., ADR*^ | 256,574 | ||||||
26,000 | SAIC Motor Corp., Ltd. | 62,765 | ||||||
65,884 | Tata Motors, Ltd.* | 85,825 | ||||||
|
| |||||||
3,529,638 | ||||||||
|
| |||||||
Banks (12.2%): | ||||||||
29,428 | Absa Group, Ltd. | 144,642 | ||||||
115,432 | Abu Dhabi Commercial Bank | 156,909 | ||||||
194,200 | Agricultural Bank of China, Ltd.* | 92,635 | ||||||
1,073,000 | Agricultural Bank of China, Ltd., Class A | 432,418 | ||||||
139,318 | Akbank T.A.S.* | 123,713 | ||||||
50,825 | Al Rajhi Bank | 767,396 | ||||||
39,535 | Alinma Bank* | 153,362 | ||||||
89,500 | AMMB Holdings Berhad | 65,234 | ||||||
25,089 | Arab National Bank | 127,169 | ||||||
84,432 | Axis Bank, Ltd. | 460,342 | ||||||
57,224 | Banco Bradesco SA | 199,545 | ||||||
1,862,909 | Banco de Chile | 164,528 | ||||||
1,798 | Banco de Credito e Inversiones | 61,111 | ||||||
33,971 | Banco do Brasil SA | 200,870 | ||||||
18,727 | Banco Santander Brasil SA | 96,507 | ||||||
2,964,227 | Banco Santander Chile | 121,328 | ||||||
12,806 | Bancolombia SA | 81,855 | ||||||
16,148 | Bancolombia SA | 106,226 | ||||||
19,119 | Bandhan Bank, Ltd.* | 82,011 | ||||||
23,500 | Bangkok Bank Public Co., Ltd. | 81,518 | ||||||
18,699 | Bank AlBilad | 110,344 | ||||||
19,448 | Bank Al-Jazira | 58,625 | ||||||
786,900 | Bank Mandiri Persero Tbk PT | 274,341 | ||||||
75,300 | Bank of Beijing Co., Ltd., Class A | 52,054 | ||||||
3,150,000 | Bank of China, Ltd.* | 1,165,010 | ||||||
127,900 | Bank of China, Ltd., Class A* | 62,832 | ||||||
121,799 | Bank of Communications Co., Ltd., Class A | 88,162 | ||||||
304,000 | Bank of Communications Co., Ltd., Class H | 187,200 | ||||||
20,000 | Bank of Hangzhou Co., Ltd. | 25,147 | ||||||
55,800 | Bank of Jiangsu Co., Ltd. | 44,604 | ||||||
39,000 | Bank of Nanjing Co., Ltd. | 40,299 | ||||||
17,600 | Bank of Ningbo Co., Ltd. | 65,407 | ||||||
55,170 | Bank of Shanghai Co., Ltd., Class A | 64,616 | ||||||
43,656 | Bank of the Philippine Islands | 63,535 | ||||||
7,141 | Bank Pekao SA | 97,166 | ||||||
22,647 | Banque Saudi Fransi | 172,498 | ||||||
81,114 | BDO Unibank, Inc. | 160,071 | ||||||
9,341 | BNK Financial Group, Inc. | 38,816 | ||||||
2,118 | Capitec Bank Holdings, Ltd. | 104,810 | ||||||
199,090 | Chang Hwa Commercial Bank | 130,390 | ||||||
369,000 | China Citic Bank Co., Ltd. | 161,061 | ||||||
17,600 | China Citic Bank Corp., Ltd. | 12,786 | ||||||
3,941,000 | China Construction Bank | 3,184,723 | ||||||
32,600 | China Construction Bank Corp. | 29,018 | ||||||
526,000 | China Development Financial Holding Corp. | 168,349 |
See accompanying notes to the financial statements.
2
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
122,500 | China Everbright Bank Co., Ltd. | $ | 61,810 | |||||
99,000 | China Everbright Bank Co., Ltd., Class H | 37,197 | ||||||
53,944 | China Merchants Bank Co., Ltd. | 257,344 | ||||||
155,000 | China Merchants Bank Co., Ltd. | 713,912 | ||||||
222,800 | China Minsheng Banking Corp., Ltd. | 153,053 | ||||||
104,500 | China Minsheng Banking Corp., Ltd., Class A | 83,576 | ||||||
125,000 | Chongqing Rural Commercial Bank Co., Ltd. | 49,380 | ||||||
222,300 | CIMB Group Holdings Berhad | 186,120 | ||||||
77,279 | Commercial Bank of Qatar Qsc (The) | 80,710 | ||||||
56,946 | Commercial International Bank Egypt SAE | 228,448 | ||||||
2,882 | Credicorp, Ltd. | 385,237 | ||||||
709,000 | CTBC Financial Holding Co., Ltd. | 488,067 | ||||||
88,063 | Dubai Islamic Bank | 91,668 | ||||||
445,502 | E.Sun Financial Holding Co., Ltd. | 418,761 | ||||||
46,361 | Emirates NBD Bank PJSC | 112,247 | ||||||
115,739 | First Abu Dhabi Bank PJSC | 357,978 | ||||||
426,417 | First Financial Holdings Co., Ltd. | 326,709 | ||||||
109,643 | Grupo Financiero Banorte SAB de C.V.* | 380,378 | ||||||
58,223 | Grupo Financiero Inbursa SAB de C.V., Class O* | 40,413 | ||||||
12,569 | Habib Bank, Ltd. | 7,263 | ||||||
12,361 | Hana Financial Holdings Group, Inc. | 281,385 | ||||||
25,700 | Hong Leong Bank Berhad | 84,850 | ||||||
15,800 | Hong Leong Financial Group Berhad | 48,631 | ||||||
341,160 | Hua Nan Financial Holdings Co., Ltd. | 230,824 | ||||||
26,900 | Huaxia Bank Co., Ltd., Class A | 23,225 | ||||||
197,345 | ICICI Bank, Ltd. | 914,848 | ||||||
143,100 | Industrial & Commercial Bank of China, Ltd., Class A | 100,555 | ||||||
2,459,000 | Industrial & Commercial Bank of China, Ltd., Class H | 1,489,459 | ||||||
54,200 | Industrial Bank Co., Ltd.* | 120,461 | ||||||
8,902 | Industrial Bank of Korea (IBK) | 60,459 | ||||||
178,741 | Itausa – Investimentos Itau S.A. | 315,259 | ||||||
53,300 | Kasikornbank Public Co., Ltd. | 161,164 | ||||||
19,600 | Kasikornbank Public Co., Ltd. | 59,265 | ||||||
16,698 | KB Financial Group, Inc. | 477,458 | ||||||
2,004 | Komercni Banka AS* | 46,631 | ||||||
114,800 | Krung Thai Bank | 38,296 | ||||||
164,701 | Malayan Banking Bhd | 289,975 | ||||||
150,977 | Masraf Al Rayan | 158,463 | ||||||
792 | mBank SA* | 46,040 | ||||||
29,363 | MCB Bank, Ltd. | 28,414 | ||||||
445,000 | Mega Financial Holdings Co., Ltd. | 465,432 | ||||||
89,092 | Metropolitan Bank & Trust | 66,299 | ||||||
24,321 | Moneta Money Bank AS | 54,975 | ||||||
57,706 | National Commercial Bank | 573,447 | ||||||
14,993 | Nedcor, Ltd. | 88,188 | ||||||
9,520 | OTP Bank Nyrt* | 334,102 | ||||||
51,000 | Ping An Bank Co., Ltd., Class A | 91,876 | ||||||
386,000 | Postal Savings Bank of China Co., Ltd., Class H | 221,873 | ||||||
36,596 | Powszechna Kasa Oszczednosci Bank Polski SA | 211,994 | ||||||
386,100 | PT Bank Central Asia Tbk | 774,048 | ||||||
302,700 | PT Bank Negara Indonesia Tbk | 97,669 | ||||||
2,349,000 | PT Bank Rakyat Indonesia Tbk | 504,097 | ||||||
117,400 | Public Bank Berhad | 454,440 | ||||||
27,221 | Qatar International Islamic Bank QSC | 60,772 | ||||||
44,437 | Qatar Islamic Bank | 192,626 | ||||||
181,892 | Qatar National Bank | 869,841 | ||||||
59,900 | RHB Bank Bhd | 67,375 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
55,731 | Riyad Bank | $ | 250,676 | |||||
40,410 | Samba Financial Group | 289,475 | ||||||
1,058 | Santander Bank Polska SA* | 46,897 | ||||||
437,913 | Sberbank of Russia | 1,247,540 | ||||||
141,724 | Shanghai Commercial & Savings Bank, Ltd. (The) | 218,213 | ||||||
88,300 | Shanghai Pudong Development Bank Co., Ltd.* | 131,633 | ||||||
19,287 | Shinhan Financial Group Co., Ltd. | 460,807 | ||||||
39,600 | Siam Commercial Bank Public Co., Ltd. | 92,979 | ||||||
448,800 | SinoPac Financial Holdings Co., Ltd. | 164,702 | ||||||
53,102 | Standard Bank Group, Ltd. | 319,770 | ||||||
74,165 | State Bank of India* | 175,579 | ||||||
410,580 | Taishin Financial Holding Co., Ltd. | 185,392 | ||||||
214,863 | Taiwan Business Bank | 78,479 | ||||||
395,876 | Taiwan Cooperative Financial Holding Co., Ltd. | 277,880 | ||||||
29,175 | The Saudi British Bank | 177,300 | ||||||
858,486 | TMB Bank pcl | 29,228 | ||||||
84,640 | Turkiye Garanti Bankasi AS* | 104,573 | ||||||
75,100 | Turkiye Is Bankasi AS, Class C* | 61,206 | ||||||
18,589 | VTB Bank PJSC, GDR* | 17,416 | ||||||
112,678,346 | VTB Bank PJSC* | 55,276 | ||||||
22,157 | Woori Financial Group, Inc. | 164,164 | ||||||
100,695 | Yapi ve Kredi Bankasi AS* | 35,884 | ||||||
|
| |||||||
29,431,239 | ||||||||
|
| |||||||
Beverages (1.4%): | ||||||||
195,299 | Ambev SA Com Npv | 507,895 | ||||||
1,645 | Anadolu Efes Biracilik ve Malt Sanayii AS | 5,123 | ||||||
1,900 | Anhui Gujing Distillery Co., Ltd., Class A* | 40,382 | ||||||
3,000 | Anhui Gujing Distillery Co., Ltd., Class B* | 32,253 | ||||||
4,100 | Anhui Kouzi Distillery Co., Ltd. | 29,520 | ||||||
18,016 | Arca Continental SAB de C.V. | 78,990 | ||||||
17,696 | Becle SAB de CV | 34,084 | ||||||
3,700 | Beijing Shunxin Agriculture Co., Ltd., Class A | 29,826 | ||||||
7,400 | Carlsberg Brewery Malaysia Berhad | 43,146 | ||||||
60,000 | China Resources Beer Holdings Co., Ltd. | 334,877 | ||||||
200 | Chongqing Brewery Co., Ltd., Class A | 2,065 | ||||||
23,712 | Coca-Cola Femsa S.A.B de C.V. | 103,829 | ||||||
7,901 | Compania Cervecerias Unidas SA | 56,930 | ||||||
18,288 | Embotelladora Andina SA | 44,779 | ||||||
82,278 | Fomento Economico Mexicano S.A.B. de C.V. | 510,193 | ||||||
6,500 | Fraser & Neave Holdings Bhd | 49,338 | ||||||
2,800 | Jiangsu King’s Luck Brewery JSC, Ltd., Class A | 15,823 | ||||||
4,900 | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | 72,878 | ||||||
3,172 | Kweichow Moutai Co., Ltd. | 656,457 | ||||||
5,200 | Luzhou Laojiao Co., Ltd. | 67,033 | ||||||
23,700 | Osotspa pcl | 29,396 | ||||||
3,300 | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A | 67,684 | ||||||
2,600 | Tsingtao Brewery Co., Ltd., Class A | 28,136 | ||||||
18,000 | Tsingtao Brewery Co., Ltd., Class H | 133,670 | ||||||
11,271 | United Spirits, Ltd.* | 88,819 | ||||||
9,900 | Wuliangye Yibin Co., Ltd., Class A | 239,693 | ||||||
|
| |||||||
3,302,819 | ||||||||
|
| |||||||
Biotechnology (0.8%): | ||||||||
51,000 | 3SBio, Inc.* | 64,965 |
See accompanying notes to the financial statements.
3
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
4,500 | Beijing Tiantan Biological Products Corp., Ltd., Class A* | $ | 28,913 | |||||
600 | BGI Genomics Co., Ltd.* | 13,213 | ||||||
10,381 | Biocon, Ltd. | 53,782 | ||||||
3,893 | Celltrion, Inc.* | 997,600 | ||||||
3,200 | Chongqing Zhifei Biological Products Co., Ltd., Class A* | 45,329 | ||||||
1,152 | Helixmith Co., Ltd.* | 59,022 | ||||||
6,370 | Hualan Biological Engineering, Inc., Class A | 45,304 | ||||||
39,000 | Innovent Biologics, Inc.* | 289,677 | ||||||
14 | Legend Biotech Corp., ADR* | 606 | ||||||
21,600 | Shanghai Raas Blood Products Co., Ltd.* | 25,924 | ||||||
2,500 | Shenzhen Kangtai Biological Products Co., Ltd., Class A | 57,347 | ||||||
4,000 | Walvax Biotechnology Co., Ltd., Class A | 29,707 | ||||||
2,191 | Zai Lab, Ltd., ADR* | 179,947 | ||||||
|
| |||||||
1,891,336 | ||||||||
|
| |||||||
Building Products (0.0%†): | ||||||||
3,000 | Beijing New Building Materials plc | 9,052 | ||||||
53,000 | China Lesso Group Holdings, Ltd. | 68,810 | �� | |||||
|
| |||||||
77,862 | ||||||||
|
| |||||||
Capital Markets (1.4%): | ||||||||
84,932 | B3 SA- Brasil Bolsa Balcao | 860,536 | ||||||
8,820 | Banco BTG Pactual SA | 124,095 | ||||||
68,300 | Bangkok Commercial Asset Management pcl, Class R | 53,812 | ||||||
17,800 | Caitong Securities Co., Ltd. | 25,627 | ||||||
410,000 | China Cinda Asset Management Co., Ltd., Class H | 80,484 | ||||||
48,000 | China Everbright, Ltd. | 69,564 | ||||||
164,000 | China Galaxy Securities Co.* | 88,753 | ||||||
327,000 | China Huarong Asset Management Co., Ltd., Class H | 33,129 | ||||||
54,400 | China International Capital Corp., Ltd.*^ | 106,952 | ||||||
24,800 | China Merchants Securities Co., Ltd. | 76,637 | ||||||
29,100 | Citic Securities Co., Ltd., Class A | 98,688 | ||||||
82,000 | Citic Securities Co., Ltd., Class A | 155,320 | ||||||
8,700 | CSC Financial Co., Ltd., Class A | 48,487 | ||||||
19,440 | East Money Information Co., Ltd., Class A | 55,091 | ||||||
16,200 | Everbright Securities Co., Ltd. | 36,603 | ||||||
20,100 | Founder Securities Co., Ltd., Class A | 20,136 | ||||||
54,800 | GF Securities Co., Ltd. | 58,739 | ||||||
15,400 | GF Securities Co., Ltd., Class A | 30,602 | ||||||
12,599 | Guosen Securities Co., Ltd., Class A | 20,043 | ||||||
30,400 | Guotai Junan Securities Co., Ltd. | 73,853 | ||||||
13,800 | Guotai Junan Securities Co., Ltd. | 19,219 | ||||||
114,000 | Haitong Securities Co., Ltd. | 92,183 | ||||||
28,600 | Haitong Securities Co., Ltd. | 50,646 | ||||||
1,835 | HDFC Asset Management Co., Ltd. | 60,470 | ||||||
2,100 | Hithink RoyalFlush Information Network Co., Ltd., Class A | 39,250 | ||||||
23,600 | Huatai Securities Co., Ltd., Class A | 62,444 | ||||||
62,800 | Huatai Securities Co., Ltd., Class H | 100,068 | ||||||
24,300 | Industrial Securities Co., Ltd. | 23,549 | ||||||
1,625 | Korea Investment Holdings Co., Ltd. | 60,089 | ||||||
10,139 | Meritz Securities Co., Ltd. | 25,826 | ||||||
13,132 | Mirae Asset Daewoo Co., Ltd. | 73,841 | ||||||
6,300 | Nanjing Securities Co., Ltd. | 12,618 | ||||||
2,777 | NH Investment & Securities Co., Ltd. | 19,310 | ||||||
1,631 | Noah Holdings, Ltd., ADR* | 41,542 | ||||||
20,500 | Orient Securities Co., Ltd./China | 27,388 | ||||||
15,700 | Pacific Securities Co. Ltd (The), Class A* | 7,041 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
5,890 | Reinet Investments SCA | $ | 103,410 | |||||
2,406 | Samsung Securities Co., Ltd. | 53,323 | ||||||
8,000 | SDIC Capital Co., Ltd., Class A | 14,411 | ||||||
69,900 | Shenwan Hongyuan Group Co., Ltd.* | 49,734 | ||||||
58,293 | The Moscow Exchange | 92,719 | ||||||
26,100 | Tianfeng Securities Co., Ltd., Class A | 22,381 | ||||||
367,000 | Yuanta Financial Holding Co., Ltd. | 216,502 | ||||||
16,400 | Zheshang Securities Co., Ltd. | 22,833 | ||||||
|
| |||||||
3,407,948 | ||||||||
|
| |||||||
Chemicals (2.3%): | ||||||||
4,207 | Advanced Petrochemical Co. | 59,689 | ||||||
12,294 | Asian Paints, Ltd. | 276,484 | ||||||
9,301 | Berger Paints India, Ltd. | 61,239 | ||||||
147,000 | Formosa Chemicals & Fibre Corp. | 376,291 | ||||||
159,000 | Formosa Plastics Corp. | 471,151 | ||||||
4,017 | Hanwha Chemical Corp. | 65,224 | ||||||
13,400 | Hengli Petrochemical Co., Ltd. | 26,541 | ||||||
21,292 | Hengyi Petrochemical Co., Ltd., Class A | 27,435 | ||||||
60,600 | Indorama Ventures pcl | 54,549 | ||||||
940 | Kumho Petrochemical Co., Ltd. | 58,745 | ||||||
1,865 | LG Chem, Ltd. | 770,573 | ||||||
379 | LG Chem, Ltd. | 79,856 | ||||||
716 | Lotte Chemical Corp. | 99,369 | ||||||
184,769 | Mesaieed Petrochemical Holding Co. | 102,555 | ||||||
218,000 | Nan Ya Plastics Corp. | 476,057 | ||||||
16,206 | National Industrialization Co.* | 45,139 | ||||||
39,450 | Orbia Advance Corp SAB de CV | 58,336 | ||||||
99,000 | Petronas Chemicals Group Berhad | 144,288 | ||||||
6,230 | PhosAgro, GDR | 76,839 | ||||||
5,243 | Pidilite Industries, Ltd. | 95,762 | ||||||
1,233,300 | PT Barito Pacific Tbk* | 101,400 | ||||||
90,600 | PTT Global Chemical Public Co., Ltd. | 135,892 | ||||||
12,900 | Rongsheng Petro Chemical Co., Ltd., Class A | 22,442 | ||||||
16,532 | Sahara International Petrochemical Co. | 63,585 | ||||||
23,405 | Sasol, Ltd.* | 179,054 | ||||||
8,038 | Saudi Arabian Fertilizer Co. | 159,713 | ||||||
36,868 | Saudi Basic Industries Corp. | 866,487 | ||||||
9,924 | Saudi Industrial Investment Group | 53,482 | ||||||
25,640 | Saudi Kayan Petrochemical Co.* | 56,096 | ||||||
2,000 | Shanghai Putailai New Energy Technology Co., Ltd., Class A | 29,307 | ||||||
156,000 | Sinopec Shanghai Petrochemical Co., Ltd., Class H | 37,376 | ||||||
4,584 | Sociedad Quimica y Minera de Chile SA | 119,333 | ||||||
760 | Tianqi Lithium Corp., Class A* | 2,469 | ||||||
22,216 | UPL, Ltd.* | 125,473 | ||||||
9,000 | Wanhua Chemical Group Co., Ltd. | 63,664 | ||||||
8,939 | Yanbu National Petrochemical Co. | 122,096 | ||||||
14,800 | Zhejiang Longsheng Group Co., Ltd., Class A* | 26,855 | ||||||
|
| |||||||
5,590,846 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
17,750 | A-Living Services Co., Ltd., Class H | 89,570 | ||||||
177,222 | China Everbright International, Ltd. | 93,617 | ||||||
57,000 | Country Garden Services Holdings Co., Ltd. | 265,065 | ||||||
44,000 | Greentown Service Group Co., Ltd. | 52,206 | ||||||
588 | S1 Corp. | 41,935 | ||||||
2,200 | Shanghai M&G Stationery, Inc., Class A | 16,990 | ||||||
|
| |||||||
559,383 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment (0.2%): | ||||||||
20,000 | Accton Technology Corp. | $ | 154,261 | |||||
35,000 | BYD Electronic International Co., Ltd. | 80,216 | ||||||
5,600 | Fiberhome Telecommunication Technologies Co., Ltd. | 23,039 | ||||||
1,175 | KMW Co., Ltd.* | 62,599 | ||||||
1,400 | Shenzhen Sunway Communication Co., Ltd., Class A | 10,508 | ||||||
1,800 | Yealink Network Technology Corp., Ltd., Class A | 17,384 | ||||||
8,300 | ZTE Corp.* | 46,801 | ||||||
33,000 | ZTE Corp., Class H | 101,085 | ||||||
|
| |||||||
495,893 | ||||||||
|
| |||||||
Construction & Engineering (0.5%): | ||||||||
195,000 | China Communications Construction Co., Ltd. | 109,789 | ||||||
42,098 | China Railway Construction Corp., Ltd., Class A | 49,689 | ||||||
68,500 | China Railway Construction Corp., Ltd., Class H | 53,876 | ||||||
118,000 | China Railway Group, Ltd. | 60,944 | ||||||
85,500 | China Railway Group, Ltd., Class A | 60,494 | ||||||
134,200 | China State Construction Engineering Corp., Ltd. | 90,181 | ||||||
90,000 | China State Construction International Holdings, Ltd. | 52,553 | ||||||
1,147 | Daelim Industrial Co., Ltd. | 79,214 | ||||||
9,015 | Daewoo Engineering & Construct* | 26,011 | ||||||
75,400 | Gamuda Berhad | 64,459 | ||||||
2,296 | GS Engineering & Construction Corp. | 47,453 | ||||||
3,197 | Hyundai Engineering & Construction Co., Ltd. | 88,801 | ||||||
114,300 | IJM Corporation Berhad | 48,631 | ||||||
19,466 | Larsen & Toubro, Ltd. | 243,579 | ||||||
71,700 | Metallurgical Corp. of China, Ltd. | 25,457 | ||||||
91,700 | Power Construction Corp. of China, Ltd. | 44,755 | ||||||
5,657 | Samsung Engineering Co., Ltd.* | 58,466 | ||||||
67,500 | Sinopec Engineering Group Co., Ltd. | 28,807 | ||||||
|
| |||||||
1,233,159 | ||||||||
|
| |||||||
Construction Materials (1.1%): | ||||||||
31,843 | Ambuja Cements, Ltd. | 82,175 | ||||||
12,400 | Anhui Conch Cement Co., Ltd., Class A | 92,834 | ||||||
47,000 | Anhui Conch Cement Co., Ltd., Class H | 316,132 | ||||||
93,000 | Asia Cement Corp. | 137,233 | ||||||
25,400 | BBMG Corp. | 11,032 | ||||||
3,700 | Beijing Oriental Yuhong Waterproof Technology Co., Ltd. | 21,269 | ||||||
615,665 | Cemex SAB de C.V. | 173,615 | ||||||
162,000 | China National Buildings Material Co., Ltd. | 172,688 | ||||||
102,000 | China Resources Cement Holdings, Ltd. | 125,899 | ||||||
11,216 | Grasim Industries, Ltd. | 92,324 | ||||||
8,000 | Huaxin Cement Co., Ltd.* | 26,839 | ||||||
995 | POSCO Chemical Co., Ltd. | 62,928 | ||||||
70,800 | PT Indocement Tunggal Prakarsa Tbk* | 58,840 | ||||||
112,100 | PT Semen Indonesia (Persero) Tbk | 75,977 | ||||||
3,423 | Saudi Cement Co. | 48,397 | ||||||
368 | Shree Cement, Ltd. | 113,249 | ||||||
188,925 | Taiwan Cement Corp. | 273,270 | ||||||
33,000 | The Siam Cement Public Co., Ltd. | 394,981 | ||||||
4,720 | Ultra Tech Cement, Ltd. | 245,048 | ||||||
|
| |||||||
2,524,730 | ||||||||
|
| |||||||
Consumer Finance (0.2%): | ||||||||
7,574 | Bajaj Finance, Ltd. | 287,424 | ||||||
29,000 | Krungthai Card pcl | 28,506 | ||||||
28,300 | Muangthai Capital pcl, Class R | 47,809 | ||||||
1,493 | Samsung Card Co., Ltd. | 33,937 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Consumer Finance, continued | ||||||||
3,573 | Shriram Transport Finance | $ | 32,961 | |||||
27,700 | Srisawad Corp pcl* | 46,830 | ||||||
|
| |||||||
477,467 | ||||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
26,483 | Klabin SA | 99,021 | ||||||
1,500 | Yunnan Energy New Material Co., Ltd. | 14,054 | ||||||
|
| |||||||
113,075 | ||||||||
|
| |||||||
Diversified Consumer Services (0.9%): | ||||||||
19,000 | China East Education Holdings, Ltd. | 34,409 | ||||||
25,000 | China Education Group Holdings, Ltd. | 40,350 | ||||||
48,000 | China Yuhua Education Corp., Ltd. | 39,337 | ||||||
70,479 | Cogna Educacao | 85,681 | ||||||
1,253 | GSX Techedu, Inc., ADR*^ | 75,167 | ||||||
9,500 | Koolearn Technology Holding, Ltd.*^ | 38,170 | ||||||
5,894 | New Oriental Education & Technology Group, Inc., ADR* | 767,576 | ||||||
5,500 | Offcn Education Technology Co., Ltd., Class A | 21,589 | ||||||
15,906 | TAL Education Group, ADR* | 1,087,653 | ||||||
|
| |||||||
2,189,932 | ||||||||
|
| |||||||
Diversified Financial Services (0.7%): | ||||||||
11,710 | Ayala Corp. | 182,872 | ||||||
51,264 | Chailease Holding Co., Ltd. | 216,524 | ||||||
84,000 | Far East Horizon, Ltd. | 71,374 | ||||||
197,132 | FirstRand, Ltd. | 432,330 | ||||||
251,000 | Fubon Financial Holdings Co., Ltd. | 372,831 | ||||||
12,163 | Grupo de Inversiones Suramericana SA | 60,382 | ||||||
5,923 | GT Capital Holdings, Inc. | 54,305 | ||||||
32,091 | Haci Omer Sabanci Holding AS | 43,310 | ||||||
431,800 | Metro Pacific Investments Corp. | 32,276 | ||||||
4,529 | PSG Group, Ltd. | 41,332 | ||||||
31,853 | REC, Ltd. | 45,653 | ||||||
21,246 | Remgro, Ltd. | 122,331 | ||||||
|
| |||||||
1,675,520 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.4%): | ||||||||
16,641 | Bharti Infratel, Ltd. | 48,878 | ||||||
98,000 | China Communications Services Corp., Ltd. | 61,021 | ||||||
582,000 | China Telecom Corp., Ltd., Class H | 163,151 | ||||||
1,786,000 | China Tower Corp., Ltd., Class H | 316,105 | ||||||
254,000 | China Unicom Hong Kong, Ltd. | 137,493 | ||||||
149,000 | Chunghwa Telecom Co., Ltd. | 590,776 | ||||||
74,013 | Emirates Telecommunications Group Co. PJSC | 333,095 | ||||||
9,630 | Hellenic Telecommunications Organization SA (OTE) | 131,160 | ||||||
8,786 | LG Uplus Corp. | 89,791 | ||||||
34,613 | Ooredoo Qsc | 62,093 | ||||||
22,338 | Orange Polska SA* | 35,151 | ||||||
2,091,700 | PT Telekomunikasi Indonesia Tbk | 449,259 | ||||||
24,368 | Saudi Telecom Co. | 643,506 | ||||||
5,248 | Telecom Argentina SA, ADR | 46,970 | ||||||
18,549 | Telefonica Brasil | 163,854 | ||||||
37,500 | Telekom Malaysia Berhad | 36,504 | ||||||
494,000 | True Corp. pcl | 54,452 | ||||||
|
| |||||||
3,363,259 | ||||||||
|
| |||||||
Electric Utilities (0.8%): | ||||||||
16,733 | Centrais Eletricas Brasileiras S.A | 95,403 | ||||||
8,926 | Centrais Eletricas Brasileiras S.A | 52,927 |
See accompanying notes to the financial statements.
5
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
6,478 | CEZ AS | $ | 138,436 | |||||
43,108 | Companhia Energetica de Minas Gerais | 87,370 | ||||||
7,090 | CPFL Energia SA* | 39,980 | ||||||
1,367,797 | ENEL Americas SA | 206,611 | ||||||
1,011,183 | ENEL Chile SA | 75,632 | ||||||
6,011 | Energisa SA | 54,171 | ||||||
32,737 | Equatorial Energia SA | 139,806 | ||||||
1,337,191 | Inter Rao Ues PJSC | 91,113 | ||||||
18,686 | Interconexion Electrica SA ESP | 93,561 | ||||||
10,883 | Korea Electric Power Corp., Ltd.* | 177,750 | ||||||
9,400 | Manila Electric Co. | 50,748 | ||||||
25,730 | PGE SA* | 44,695 | ||||||
76,002 | Power Grid Corp. of India, Ltd. | 176,931 | ||||||
34,447 | Saudi Electricity Co. | 143,503 | ||||||
93,400 | Tenega Nasional Berhad | 253,859 | ||||||
|
| |||||||
1,922,496 | ||||||||
|
| |||||||
Electrical Equipment (0.3%): | ||||||||
6,100 | Contemporary Amperex Technology Co., Ltd., Class A | 150,541 | ||||||
33,350 | Elswedy Cables Holding Co. | 13,768 | ||||||
3,801 | Eve Energy Co., Ltd., Class A | 25,744 | ||||||
9,805 | Havells India, Ltd. | 75,318 | ||||||
12,500 | Jiangsu Zhongtian Technology Co., Ltd., Class A | 20,254 | ||||||
17,559 | Luxshare Precision Industry Co., Ltd. | 127,635 | ||||||
12,400 | Nari Technology Co., Ltd. | 35,525 | ||||||
138,000 | Shanghai Electric Group Co., Ltd., Class H* | 39,324 | ||||||
16,541 | Xinjiang Goldwind Science & Technology Co., Ltd. | 23,330 | ||||||
27,400 | Xinjiang Goldwind Science & Technology Co., Ltd. | 23,598 | ||||||
6,600 | Zhejiang Chint Electrics Co., Ltd., Class A | 24,685 | ||||||
19,900 | Zhuzhou CRRC Times Electric Co., Ltd., Class H | 50,838 | ||||||
|
| |||||||
610,560 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.4%): | ||||||||
30,000 | AAC Technologies Holdings, Inc.^ | 183,679 | ||||||
346,000 | AU Optronics Corp. | 108,323 | ||||||
3,300 | AVIC Jonhon Optronic Technology Co., Ltd., Class A | 19,095 | ||||||
4,200 | Chaozhou Three-Circle Group Co., Ltd., Class A | 16,464 | ||||||
54,000 | China Railway Signal & Communication Corp., Ltd. | 23,301 | ||||||
83,000 | Delta Electronics, Inc. | 473,769 | ||||||
9,699 | Foxconn Industrial Internet Co., Ltd., Class A | 20,793 | ||||||
46,000 | Foxconn Technology Co., Ltd. | 87,915 | ||||||
12,300 | GoerTek, Inc., Class A | 51,117 | ||||||
2,100 | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A | 29,567 | ||||||
23,500 | Hangzhou Hikvision Digital | 101,365 | ||||||
516,000 | Hon Hai Precision Industry Co., Ltd. | 1,506,576 | ||||||
324,000 | Innolux Corp. | 86,518 | ||||||
25,500 | Kingboard Holdings, Ltd. | 66,212 | ||||||
55,500 | Kingboard Laminates Holdings, Ltd. | 55,693 | ||||||
4,000 | Largan Precision Co., Ltd. | 552,172 | ||||||
5,700 | Lens Technology Co., Ltd., Class A | 22,767 | ||||||
8,822 | LG Display Co., Ltd.* | 84,236 | ||||||
549 | LG Innotek Co., Ltd. | 80,637 | ||||||
19,600 | Lingyi iTech Guangdong Co., Class A* | 29,490 | ||||||
1,200 | NAURA Technology Group Co., Ltd., Class A | 29,028 | ||||||
4,200 | OFILM Group Co., Ltd., Class A* | 10,989 | ||||||
2,343 | Samsung Electro-Mechanics Co., Ltd., Series L | 254,249 | ||||||
2,269 | Samsung SDI Co., Ltd. | 693,958 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
3,800 | Shengyi Technology Co., Ltd., Class A | $ | 15,851 | |||||
1,820 | Shennan Circuits Co., Ltd., Class A | 43,154 | ||||||
30,200 | Sunny Optical Technology Group Co., Ltd. | 481,966 | ||||||
7,000 | Suzhou Dongshan Precision Manufacturing Co., Ltd. | 29,684 | ||||||
55,000 | Synnex Technology International Corp. | 77,576 | ||||||
14,000 | Tianma Microelectronics Co., Ltd., Class A | 30,428 | ||||||
2,800 | Tunghsu Optoelectronic Technology Co., Ltd. | 1,058 | ||||||
4,500 | Unisplendour Corp., Ltd., Class A* | 27,495 | ||||||
13,000 | Walsin Technology Corp. | 78,647 | ||||||
1,700 | Wingtech Technology Co., Ltd.* | 30,552 | ||||||
69,960 | WPG Holdings, Ltd. | 92,901 | ||||||
7,140 | Wuhan Guide Infrared Co., Ltd. | 29,576 | ||||||
1,500 | WUS Printed Circuit Kunshan Co., Ltd., Class A | 5,330 | ||||||
1,700 | Wuxi Lead Intelligent Equipment Co., Ltd., Class A* | 11,117 | ||||||
10,377 | Yageo Corp. | 133,599 | ||||||
9,200 | Zhejiang Dahua Technology Co., Ltd., Class A | 25,008 | ||||||
26,000 | Zhen Ding Technology Holding, Ltd. | 112,937 | ||||||
|
| |||||||
5,814,792 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
72,000 | China Oilfield Services, Ltd. | 64,765 | ||||||
153,400 | Dialog Group Berhad | 130,049 | ||||||
|
| |||||||
194,814 | ||||||||
|
| |||||||
Entertainment (1.3%): | ||||||||
500,000 | Alibaba Pictures Group, Ltd.* | 66,500 | ||||||
3,970 | Bilibili, Inc., ADR*^ | 183,890 | ||||||
2,814 | CD Projekt SA* | 280,829 | ||||||
400 | G-Bits Network Technology Xiamen Co., Ltd. | 31,021 | ||||||
2,528 | HUYA, Inc., ADR*^ | 47,198 | ||||||
8,880 | IQIYI, Inc., ADR*^ | 205,928 | ||||||
4,000 | Mango Excellent Media Co., Ltd., Class A* | 36,903 | ||||||
667 | Ncsoft Corp. | 497,592 | ||||||
3,327 | NetEase, Inc., ADR | 1,428,548 | ||||||
874 | Netmarble Corp.* | 73,475 | ||||||
281 | Pearl Abyss Corp.* | 51,158 | ||||||
4,700 | Perfect World Co., Ltd., Class A* | 38,330 | ||||||
14,596 | Tencent Music Entertainment Group, ADR* | 196,462 | ||||||
2,100 | Wanda Film Holding Co., Ltd.* | 4,518 | ||||||
4,800 | Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A | 31,785 | ||||||
12,800 | Zhejiang Century Huatong Group Co., Ltd., Class A* | 27,727 | ||||||
|
| |||||||
3,201,864 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.1%): | ||||||||
120,342 | Fibra UNO Amdinistracion SA | 95,576 | ||||||
111,747 | Growthpoint Properties, Ltd. | 85,960 | ||||||
|
| |||||||
181,536 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
1,612 | Abdullah Al Othaim Markets Co. | 48,065 | ||||||
13,933 | Atacadao Distribuicao Comercio e Industria, Ltd. | 50,610 | ||||||
6,566 | Avenue Supermarts, Ltd.* | 199,934 | ||||||
51,500 | Berli Jucker pcl | 65,865 | ||||||
376 | BGF Retail Co., Ltd. | 43,437 | ||||||
13,748 | Bid Corp., Ltd. | 224,640 | ||||||
19,206 | BIM Birlesik Magazalar AS | 190,796 | ||||||
53,777 | Cencosud SA | 75,336 | ||||||
6,328 | Cia Brasileira de Distribuicao | 82,609 |
See accompanying notes to the financial statements.
6
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
10,711 | Clicks Group, Ltd.^ | $ | 129,849 | |||||
243,200 | CP All pcl | 533,376 | ||||||
2,270 | Dino Polska SA* | 115,096 | ||||||
836 | E-Mart Co., Ltd. | 73,934 | ||||||
1,004 | GS Retail Co., Ltd. | 30,651 | ||||||
14,727 | Magnit PJSC, GDR | 190,994 | ||||||
11,293 | Pickn Pay Stores, Ltd. | 33,187 | ||||||
24,000 | President Chain Store Corp. | 241,125 | ||||||
33,800 | Puregold Price Club, Inc. | 31,608 | ||||||
8,477 | Raia Drogasil SA | 172,465 | ||||||
19,727 | Shoprite Holdings, Ltd. | 121,243 | ||||||
100,000 | Sun Art Retail Group, Ltd. | 170,752 | ||||||
7,932 | The Spar Group, Ltd. | 78,454 | ||||||
211,693 | Wal-Mart de Mexico SAB de C.V. | 508,065 | ||||||
5,166 | X5 Retail Group NV, GDR | 182,631 | ||||||
1,120 | Yifeng Pharmacy Chain Co., Ltd., Class A | 14,414 | ||||||
25,700 | Yonghui Superstores Co., Ltd. | 34,099 | ||||||
|
| |||||||
3,643,235 | ||||||||
|
| |||||||
Food Products (2.0%): | ||||||||
10,098 | Almarai Co. JSC | 140,186 | ||||||
7,000 | Beijing Dabeinong Technology Group Co., Ltd. | 9,022 | ||||||
21,374 | BRF SA* | 83,574 | ||||||
2,620 | Britannia Industries, Ltd. | 125,887 | ||||||
147,100 | Charoen Pokphand Foods Public Co., Ltd. | 151,349 | ||||||
36,000 | China Feihe, Ltd.^ | 72,174 | ||||||
280,000 | China Huishan Dairy Holdings Co., Ltd.* | – | ||||||
116,000 | China Mengniu Dairy Co., Ltd. | 442,388 | ||||||
323 | CJ CheilJedang Corp. | 88,343 | ||||||
75,500 | Dali Foods Group Co., Ltd. | 45,978 | ||||||
6,960 | Foshan Haitian Flavouring & Food Co., Ltd. | 122,010 | ||||||
15,800 | Genting Plantations Berhad | 35,988 | ||||||
8,223 | Gruma, SAB de C.V., Class B | 88,764 | ||||||
66,895 | Grupo Bimbo SAB de C.V., Series A, Class A | 111,991 | ||||||
3,800 | Guangdong Haid Group Co., Ltd., Class A | 25,433 | ||||||
8,700 | Henan Shuanghui Investment & Development Co., Ltd. | 56,574 | ||||||
17,800 | Inner Mongolia Yili Indsutrial Group Co., Ltd. | 78,044 | ||||||
90,500 | IOI Corp. Berhad | 92,019 | ||||||
46,158 | JBS SA | 179,549 | ||||||
3,100 | Jiangxi Zhengbang Technology Co., Ltd., Class A | 7,692 | ||||||
1,500 | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. | 12,461 | ||||||
2,600 | Juewei Food Co., Ltd., Class A* | 25,907 | ||||||
15,700 | Kuala Lumpur Kepong Berhad | 81,551 | ||||||
9,180 | Muyuan Foodstuff Co., Ltd. | 106,509 | ||||||
973 | Nestle India, Ltd. | 221,504 | ||||||
3,200 | Nestle Malaysia Bhd | 104,394 | ||||||
10,600 | New Hope Liuhe Co., Ltd., Class A | 44,541 | ||||||
951 | Orion Corp./ Republic of Korea | 106,750 | ||||||
84 | Ottogi Corp. | 39,083 | ||||||
20,980 | PPB Group Berhad | 87,203 | ||||||
277,800 | PT Charoen Pokphand Indonesia Tbk* | 109,078 | ||||||
116,600 | PT Indofood CBP Sukses Makmur Tbk* | 76,745 | ||||||
127,500 | PT Indofood Sukses Makmur Tbk* | 58,584 | ||||||
34,300 | QL Resources Berhad | 76,464 | ||||||
98,600 | Sime Darby Plantation Bhd | 114,019 | ||||||
17,000 | Standard Foods Corp. | 36,268 | ||||||
16,747 | Tata Consumer Products, Ltd. | 86,160 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
169,500 | Thai Union Frozen Products pcl | $ | 70,833 | |||||
11,762 | The Savola Group | 132,075 | ||||||
5,794 | Tiger Brands, Ltd. | 59,578 | ||||||
82,000 | Tingyi (Caymen Is) Holding Corp. | 127,084 | ||||||
6,800 | Tongwei Co., Ltd., Class A | 16,818 | ||||||
43,000 | Uni-President China Holdings, Ltd. | 43,085 | ||||||
195,000 | Uni-President Enterprises Corp. | 470,687 | ||||||
32,810 | Universal Robina Corp. | 84,988 | ||||||
202,000 | Want Want China Holdings, Ltd. | 153,046 | ||||||
21,960 | Wens Foodstuffs Group Co., Ltd. | 67,412 | ||||||
20,000 | Yihai International Holding, Ltd. | 205,272 | ||||||
|
| |||||||
4,775,064 | ||||||||
|
| |||||||
Gas Utilities (0.6%): | ||||||||
18,500 | Beijing Enterprises Holdings, Ltd. | 62,217 | ||||||
104,400 | China Gas Holdings, Ltd. | 321,507 | ||||||
38,000 | China Resources Gas Group, Ltd. | 184,926 | ||||||
33,300 | ENN Energy Holdings, Ltd. | 374,007 | ||||||
59,757 | GAIL India, Ltd. | 81,521 | ||||||
7,975 | Indraprastha Gas, Ltd. | 46,768 | ||||||
27,034 | Infraestructura Energetica Nova, SAB de C.V. | 78,035 | ||||||
1,191 | Korea Gas Corp. | 26,225 | ||||||
31,800 | Petronas Gas Berhad | 125,540 | ||||||
548,900 | PT Perusahaan Gas Negara Tbk | 43,806 | ||||||
|
| |||||||
1,344,552 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.4%): | ||||||||
16,000 | AK Medical Holdings, Ltd. | 50,945 | ||||||
1,100 | Autobio Diagnostics Co., Ltd., Class A | 25,273 | ||||||
64,000 | Hartalega Holdings Berhad | 195,576 | ||||||
2,280 | Jafron Biomedical Co., Ltd., Class A | 22,483 | ||||||
900 | Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. | 4,626 | ||||||
7,700 | Lepu Medical Technology Beijing Co., Ltd., Class A | 39,779 | ||||||
1,200 | Ovctek China, Inc., Class A | 11,770 | ||||||
104,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 231,085 | ||||||
2,500 | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 108,109 | ||||||
61,700 | Top Glove Corp. Berhad | 233,421 | ||||||
|
| |||||||
923,067 | ||||||||
|
| |||||||
Health Care Providers & Services (0.6%): | ||||||||
13,013 | Aier Eye Hospital Group Co., Ltd., Class A | 80,254 | ||||||
383,500 | Bangkok Dusit Medical Services Public Co., Ltd. | 279,389 | ||||||
13,700 | Bumrungrad Hospital pcl | 51,698 | ||||||
2,786 | Celltrion Healthcare Co., Ltd.* | 251,278 | ||||||
8,763 | Hapvida Participacoes e Investimentos SA | 100,198 | ||||||
3,300 | Huadong Medicine Co., Ltd., Class A | 11,809 | ||||||
85,100 | IHH Healthcare Berhad | 109,836 | ||||||
11,000 | Jointown Pharmaceutical Group Co., Ltd.* | 28,858 | ||||||
70,595 | Life Healthcare Group Holdings Pte, Ltd. | 68,509 | ||||||
15,300 | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A* | 31,189 | ||||||
19,853 | Notre Dame Intermedica Participacoes SA | 248,327 | ||||||
41,700 | Shanghai Pharmaceuticals Holding Co., Ltd. | 70,083 | ||||||
1,900 | Shanghai Pharmaceuticals Holding Co., Ltd. | 4,945 | ||||||
55,200 | Sinopharm Group Co., Series H | 141,468 | ||||||
700 | Topchoice Medical Corp., Class A* | 16,514 | ||||||
|
| |||||||
1,494,355 | ||||||||
|
|
See accompanying notes to the financial statements.
7
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Technology (0.3%): | ||||||||
152,000 | Alibaba Health Information Technology, Ltd.* | $ | 443,968 | |||||
15,000 | Ping An Healthcare and Technology Co., Ltd.* | 227,898 | ||||||
10,790 | Winning Health Technology Group Co., Ltd. | 35,023 | ||||||
|
| |||||||
706,889 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.7%): | ||||||||
231,900 | Asset World Corp. pcl | 29,031 | ||||||
4,900 | China International Travel Service Corp., Ltd., Class A* | 107,327 | ||||||
67,600 | Genting Berhard | 65,248 | ||||||
128,300 | Genting Malaysia Berhad | 76,362 | ||||||
32,000 | Haidilao International Holding, Ltd. | 136,071 | ||||||
5,457 | Huazhu Group, Ltd., ADR | 191,268 | ||||||
15,230 | Jollibee Foods Corp. | 42,979 | ||||||
2,830 | Jubilant Foodworks, Ltd. | 64,931 | ||||||
3,833 | Kangwon Land, Inc. | 69,149 | ||||||
101,900 | Minor International pcl* | 67,689 | ||||||
9,175 | OPAP SA | 87,387 | ||||||
1,987 | Saudi Airlines Catering Co. | 41,025 | ||||||
25,400 | Shenzhen Overseas Chinese Town Co., Ltd., Class A | 21,830 | ||||||
6,660 | Songcheng Performance Development Co., Ltd., Class A | 16,368 | ||||||
14,732 | Yum China Holdings, Inc. | 708,168 | ||||||
|
| |||||||
1,724,833 | ||||||||
|
| |||||||
Household Durables (0.3%): | ||||||||
7,699 | Gree Electric Appliances, Inc. of Zhuhai, Class A | 61,894 | ||||||
53,000 | Haier Electronics Group Co., Ltd. | 161,149 | ||||||
4,357 | LG Electronics, Inc. | 231,285 | ||||||
13,100 | NavInfo Co., Ltd.* | 30,743 | ||||||
7,000 | Nien Made Enterprise Co., Ltd. | 68,026 | ||||||
17,100 | Qingdao Haier Co., Ltd. | 43,006 | ||||||
70,000 | Tatung Co., Ltd.* | 49,742 | ||||||
28,400 | TCL Corp., Class A | 25,089 | ||||||
1,893 | Woongjin Coway Co., Ltd. | 114,458 | ||||||
1,600 | Zhejiang Supor Co., Ltd., Class A | 16,121 | ||||||
|
| |||||||
801,513 | ||||||||
|
| |||||||
Household Products (0.6%): | ||||||||
33,984 | Hindustan Unilever, Ltd. | 982,359 | ||||||
74,541 | Kimberl- Clark de Mexico SAB de C.V. | 116,390 | ||||||
320,100 | PT Unilever Indonesia Tbk | 178,079 | ||||||
15,000 | Vinda International Holdings, Ltd. | 53,554 | ||||||
|
| |||||||
1,330,382 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.5%): | ||||||||
57,800 | Aboitiz Power Corp. | 31,408 | ||||||
26,100 | B Grimm Power pcl | 45,279 | ||||||
403,000 | Cgn Power Co., Ltd., Class H | 83,361 | ||||||
124,000 | China Longyuan Power Group Corp. | 69,471 | ||||||
41,500 | China National Nuclear Power Co., Ltd. | 23,945 | ||||||
185,000 | China Power International Develpoment, Ltd. | 34,075 | ||||||
70,000 | China Resources Power Holdings Co. | 82,719 | ||||||
57,200 | China Yangtze Power Co., Ltd. | 153,212 | ||||||
415,329 | Colbun SA | 66,279 | ||||||
11,400 | Electricity Genera pcl | 91,275 | ||||||
7,616 | Engie Brasil Energia SA | 58,956 | ||||||
61,000 | GD Power Development Co., Ltd.* | 15,931 | ||||||
25,400 | Global Power Synergy pcl | 60,530 | ||||||
87,800 | Gulf Energy Development pcl, Class R | 107,442 | ||||||
13,900 | Huadian Power International Corp, Ltd., Class A | 6,705 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Independent Power and Renewable Electricity Producers, continued | ||||||||
168,000 | Huaneng Power International, Inc., Class H | $ | 63,452 | |||||
93,262 | NTPC, Ltd. | 119,075 | ||||||
33,400 | Ratch Group pcl | 67,323 | ||||||
20,900 | SDIC Power Holdings Co., Ltd., Class A | 23,173 | ||||||
21,900 | Sichuan Chuantou Energy Co., Ltd., Class A | 28,644 | ||||||
|
| |||||||
1,232,255 | ||||||||
|
| |||||||
Industrial Conglomerates (1.1%): | ||||||||
77,690 | Aboitiz Equity Ventures, Inc. | 71,322 | ||||||
144,928 | Alfa SAB de C.V., Class A | 81,675 | ||||||
11,216 | Bidvest Group, Ltd. | 91,803 | ||||||
244,000 | Citic, Ltd. | 229,572 | ||||||
713 | CJ Corp. | 51,623 | ||||||
115,000 | Far Eastern New Century Corp. | 108,557 | ||||||
104,500 | Fosun International, Ltd. | 132,707 | ||||||
24,392 | Grupo Carso SAB de C.V. | 47,576 | ||||||
2,181 | Hanwha Corp. | 40,666 | ||||||
28,800 | Hap Seng Consolidated Berhad | 59,455 | ||||||
72,764 | Industries Qatar Q.S.C. | 153,918 | ||||||
113,880 | JG Summit Holdings, Inc. | 148,912 | ||||||
35,708 | KOC Holdings AS | 93,882 | ||||||
3,946 | LG Corp. | 233,491 | ||||||
935 | Lotte Corp. | 24,781 | ||||||
3,624 | Samsung C&T Corp. | 353,149 | ||||||
19,000 | Shanghai Industrial Holdings, Ltd. | 29,183 | ||||||
2,872 | Siemens, Ltd. | 41,789 | ||||||
111,900 | Sime Darby Berhad | 56,599 | ||||||
1,452 | SK Holdings Co., Ltd. | 355,634 | ||||||
9,880 | SM Investments Corp.* | 184,348 | ||||||
|
| |||||||
2,590,642 | ||||||||
|
| |||||||
Insurance (3.1%): | ||||||||
1,480 | Bajaj Finserv, Ltd. | 115,764 | ||||||
29,421 | BB Seguridade Participacoes SA | 147,559 | ||||||
2,203 | Bupa Arabia For Cooperative Insurance Co. | 64,208 | ||||||
321,137 | Cathay Financial Holding Co., Ltd. | 455,005 | ||||||
311,000 | China Life Insurance Co., Ltd. | 624,613 | ||||||
99,088 | China Life Insurance Co., Ltd.* | 73,011 | ||||||
10,000 | China Life Insurance Co., Ltd.* | 38,286 | ||||||
18,000 | China Pacific Insurance Group Co., Ltd., Class A | 69,403 | ||||||
109,200 | China Pacific Insurance Group Co., Ltd., Class H | 292,050 | ||||||
210,000 | China Reinsurance Group Corp. | 21,514 | ||||||
63,600 | China Taiping Insurance Holdings Co., Ltd. | 102,054 | ||||||
2,036 | DB Insurance Co., Ltd. | 72,514 | ||||||
18,715 | Discovery, Ltd. | 112,735 | ||||||
28,077 | HDFC Life Insurance Co., Ltd.* | 204,493 | ||||||
2,537 | Hyundai Marine & Fire Insurance Co., Ltd. | 48,291 | ||||||
7,561 | ICICI Lombard General Insurance Co., Ltd. | 127,628 | ||||||
14,231 | ICICI Prudential Life Insurance Co., Ltd. | 80,857 | ||||||
33,296 | IRB Brasil Resseguros SA | 67,361 | ||||||
50,823 | Momentum Metropolitan Holdings | 51,580 | ||||||
35,100 | New China Life Insurance Co., Ltd. | 117,670 | ||||||
4,500 | New China Life Insurance Co., Ltd., Class A | 28,189 | ||||||
198,512 | Old Mutual, Ltd. | 137,730 | ||||||
28,100 | People’s Insurance Co. Group of China, Ltd. (The) | 25,497 | ||||||
290,000 | People’s Insurance Co. Group of China, Ltd. (The) | 85,106 | ||||||
292,000 | Picc Property & Casuality Co., Ltd., Class H | 240,231 | ||||||
28,500 | Ping An Insurance Group Co. of China, Ltd. | 287,931 |
See accompanying notes to the financial statements.
8
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
244,500 | Ping An Insurance Group Co. of China, Ltd. | $ | 2,441,899 | |||||
3,745 | Porto Seguro SA | 34,728 | ||||||
24,754 | Powszechny Zaklad Ubezpieczen SA | 181,008 | ||||||
39,144 | Rand Merchant Investment Holdings, Ltd. | 66,053 | ||||||
1,299 | Samsung Fire & Marine Insurance Co., Ltd. | 190,022 | ||||||
2,642 | Samsung Life Insurance Co., Ltd. | 98,148 | ||||||
76,587 | Sanlam, Ltd. | 260,154 | ||||||
16,370 | SBI Life Insurance Co., Ltd.* | 175,138 | ||||||
444,521 | Shin Kong Financial Holdings Co., Ltd. | 129,287 | ||||||
13,111 | Sul America SA | 108,680 | ||||||
2,914 | The Co. for Cooperative Insurance* | 55,270 | ||||||
11,700 | Zhongan Online P&c Insurance Co., Ltd.* | 57,994 | ||||||
|
| |||||||
7,489,661 | ||||||||
|
| |||||||
Interactive Media & Services (7.9%): | ||||||||
3,895 | 58.com, Inc., ADR* | 210,096 | ||||||
2,469 | Autohome, Inc., ADR | 186,410 | ||||||
11,347 | Baidu, Inc., ADR* | 1,360,391 | ||||||
2,752 | Info Edge India, Ltd. | 100,761 | ||||||
2,257 | JOYY, Inc., ADR* | 199,857 | ||||||
2,351 | Kakao Corp. | 527,893 | ||||||
6,092 | Momo, Inc., ADR | 106,488 | ||||||
5,153 | NAVER Corp. | 1,155,696 | ||||||
2,472 | Sina Corp.* | 88,770 | ||||||
235,200 | Tencent Holdings, Ltd. | 15,108,180 | ||||||
2,211 | Weibo Corp., ADR*^ | 74,290 | ||||||
|
| |||||||
19,118,832 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (10.0%): | ||||||||
77,042 | Alibaba Group Holding, Ltd., ADR* | 16,617,957 | ||||||
9,146 | B2W Cia Digital* | 180,071 | ||||||
2,123 | Baozun, Inc., ADR*^ | 81,629 | ||||||
574 | CJ ENM Co., Ltd. | 53,257 | ||||||
35,182 | JD.com, Inc., ADR* | 2,117,253 | ||||||
146,200 | Meituan Dianping* | 3,247,669 | ||||||
10,431 | Pinduoduo, Inc., ADR* | 895,397 | ||||||
31,200 | Tongcheng-Elong Holdings, Ltd.* | 56,261 | ||||||
19,798 | Trip.com Group, Ltd., ADR* | 513,164 | ||||||
18,629 | Vipshop Holdings, Ltd., ADR* | 370,903 | ||||||
|
| |||||||
24,133,561 | ||||||||
|
| |||||||
IT Services (1.5%): | ||||||||
6,000 | Beijing Sinnet Technology Co., Ltd. | 22,134 | ||||||
36,926 | Cielo SA | 31,376 | ||||||
9,100 | DHC Software Co., Ltd., Class A | 16,123 | ||||||
3,296 | GDS Holdings, Ltd., ADR*^ | 262,559 | ||||||
45,540 | HCL Technologies, Ltd. | 337,456 | ||||||
138,723 | Infosys, Ltd. | 1,353,886 | ||||||
30 | Kingsoft Cloud Holdings, Ltd., ADR* | 933 | ||||||
1,405 | Samsung SDS Co., Ltd. | 198,734 | ||||||
37,351 | Tata Consultancy Services, Ltd. | 1,033,965 | ||||||
18,623 | Tech Mahindra, Ltd. | 134,988 | ||||||
36,000 | Travelsky Technology, Ltd., Series H | 63,432 | ||||||
2,800 | Wangsu Science & Technology Co., Ltd., Class A | 3,364 | ||||||
47,129 | Wipro, Ltd. | 137,535 | ||||||
|
| |||||||
3,596,485 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
14,000 | Giant Manufacturing Co., Ltd. | 124,955 | ||||||
1,684 | HLB, Inc.* | 129,792 | ||||||
|
| |||||||
254,747 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services (0.7%): | ||||||||
3,299 | Divi’s Laboratories, Ltd. | $ | 99,894 | |||||
42,000 | Genscript Biotech Corp. | 87,190 | ||||||
3,400 | Hangzhou Tigermed Consulting Co., Ltd., Class A | 49,010 | ||||||
701 | Samsung Biologics Co., Ltd.* | 455,046 | ||||||
4,340 | WuXi AppTec Co., Ltd., Class A | 59,327 | ||||||
10,080 | WuXi AppTec Co., Ltd., Class H | 131,948 | ||||||
38,000 | Wuxi Biologics Cayman, Inc.* | 696,290 | ||||||
|
| |||||||
1,578,705 | ||||||||
|
| |||||||
Machinery (0.8%): | ||||||||
5,000 | AirTac International Group | 88,215 | ||||||
68,000 | China Conch Venture Holdings, Ltd. | 287,145 | ||||||
72,200 | China Shipbuilding Industry Co., Ltd., Class A | 40,846 | ||||||
82,899 | CRRC Corp., Ltd., Class A | 65,159 | ||||||
196,000 | CRRC Corp., Ltd., Class H | 82,774 | ||||||
1,406 | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | 32,058 | ||||||
2,359 | Doosan Bobcat, Inc. | 52,297 | ||||||
32,000 | Haitian International Holdings, Ltd. | 65,161 | ||||||
10,482 | Hiwin Technologies Corp. | 103,908 | ||||||
462 | Hyundai Heavy Industries Holdings Co., Ltd. | 94,446 | ||||||
2,100 | Jiangsu Hengli Hydraulic Co., Ltd., Class A | 23,826 | ||||||
1,575 | Korea Shipbuilding & Offshore* | 116,001 | ||||||
21,663 | Samsung Heavy Industries Co., Ltd., Class R* | 108,606 | ||||||
26,100 | Sany Heavy Industry Co., Ltd. | 69,281 | ||||||
8,000 | Shenzhen Inovance Technology Co., Ltd. | 42,989 | ||||||
26,000 | Sinotruk Hong Kong, Ltd. | 67,166 | ||||||
35,117 | WEG SA | 326,873 | ||||||
15,600 | Weichai Power Co., Ltd., Class A | 30,283 | ||||||
80,000 | Weichai Power Co., Ltd., Class H | 149,251 | ||||||
30,200 | XCMG Construction Machinery Co., Ltd.* | 25,253 | ||||||
14,560 | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 45,123 | ||||||
900 | Zhongji Innolight Co., Ltd., Class A* | 8,023 | ||||||
80,400 | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H* | 61,978 | ||||||
|
| |||||||
1,986,662 | ||||||||
|
| |||||||
Marine (0.1%): | ||||||||
64,000 | COSCO SHIPPING Energy Transportation Co., Ltd., Class H | 28,605 | ||||||
134,000 | COSCO SHIPPING Holdings Co., Ltd.* | 38,588 | ||||||
86,835 | Evergreen Marine Corp., Ltd.* | 31,586 | ||||||
53,400 | MISC Berhad | 95,638 | ||||||
10,485 | Pan Ocean Co., Ltd.* | 33,708 | ||||||
|
| |||||||
228,125 | ||||||||
|
| |||||||
Media (1.6%): | ||||||||
3,550 | Cheil Worldwide, Inc. | 49,006 | ||||||
14,200 | China Literature, Ltd.* | 95,765 | ||||||
9,928 | Cyfrowy Polsat SA | 66,007 | ||||||
97,344 | Grupo Televisa SAB* | 102,220 | ||||||
13,390 | Megacable Holdings SAB de C.V. | 39,198 | ||||||
17,940 | MultiChoice Group, Ltd.* | 109,892 | ||||||
9,300 | Nanji E-Commerce Co., Ltd., Class A | 27,827 | ||||||
18,291 | Naspers, Ltd. | 3,338,428 | ||||||
16,600 | Oriental Pearl Group Co., Ltd. | 22,737 | ||||||
32,652 | ZEE Entertainment Enterprises, Ltd. | 73,835 | ||||||
|
| |||||||
3,924,915 | ||||||||
|
|
See accompanying notes to the financial statements.
9
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining (3.1%): | ||||||||
109,837 | Alrosa PAO | $ | 99,502 | |||||
200,000 | Aluminum Corp. of China, Ltd.* | 37,348 | ||||||
2,254 | Anglo American Platinum, Ltd. | 162,821 | ||||||
16,734 | AngloGold Ashanti, Ltd. | 491,589 | ||||||
57,100 | Baoshan Iron & Steel Co., Ltd., Class A | 36,719 | ||||||
83,500 | China Hongqiao Group, Ltd. | 37,089 | ||||||
58,500 | China Molybdenum Co., Ltd., Class A | 30,374 | ||||||
129,000 | China Molybdenum Co., Ltd., Class H | 42,165 | ||||||
21,400 | China Northern Rare Earth Group High-Tech Co., Ltd., Class A* | 28,277 | ||||||
490,000 | China Steel Corp. | 343,305 | ||||||
10,470 | Cia de Minas Buenaventura SA, ADR | 95,696 | ||||||
33,377 | Companhia Siderurgica Nacional SA (CSN) | 65,561 | ||||||
41,694 | Eregli Demir ve Celik Fabrikalari T.A.S.* | 52,252 | ||||||
2,000 | Ganfeng Lithium Co., Ltd. | 15,165 | ||||||
34,542 | Gold Fields | 326,716 | ||||||
124,335 | Grupo Mexico SAB de C.V., Series B, Class B | 289,099 | ||||||
45,620 | Hindalco Industries, Ltd. | 89,319 | ||||||
3,115 | Hyundai Steel Co. | 53,763 | ||||||
33,945 | Impala Platinum Holdings, Ltd. | 226,849 | ||||||
6,689 | Industrias Penoles SAB de C.V. | 68,304 | ||||||
226,900 | Inner Mongolia Baotou Steel Union Co., Ltd. | 34,578 | ||||||
49,000 | Jiangxi Copper Co., Ltd. | 49,619 | ||||||
6,400 | Jiangxi Copper Co., Ltd., Class A | 12,226 | ||||||
35,011 | JSW Steel, Ltd. | 88,387 | ||||||
5,745 | KGHM Polska Miedz SA* | 131,953 | ||||||
364 | Korea Zinc Co. | 102,117 | ||||||
2,403 | Kumba Iron Ore, Ltd. | 64,207 | ||||||
64,500 | Maanshan Iron & Steel Co., Ltd., Class A | 23,539 | ||||||
115,534 | Magnitogorsk Iron & Steel Works PJSC | 60,041 | ||||||
2,627 | MMC Norilsk Nickel PJSC | 690,173 | ||||||
15,610 | Northam Platinum, Ltd.* | 104,501 | ||||||
52,554 | Novolipetsk Steel PJSC | 103,995 | ||||||
9,268 | Polymetal International plc | 181,774 | ||||||
1,414 | Polyus PJSC | 238,361 | ||||||
2,930 | POSCO | 423,722 | ||||||
63,900 | Press Metal Aluminium Holdings Bhd | 68,027 | ||||||
17,645 | Saudi Arabian Mining Co.* | 163,811 | ||||||
7,676 | Severstal | 93,212 | ||||||
5,800 | Shandong Gold Mining Co., Ltd. | 29,929 | ||||||
90,719 | Sibanye Stillwater, Ltd.* | 197,519 | ||||||
3,516 | Southern Copper Corp. | 139,831 | ||||||
16,508 | Tata Steel, Ltd. | 71,549 | ||||||
32,700 | Tongling Nonferrous Metals Group Co., Ltd., Class A | 8,899 | ||||||
151,418 | Vale SA | 1,557,289 | ||||||
73,377 | Vedanta, Ltd. | 103,150 | ||||||
3,600 | Yintai Gold Co., Ltd. | 7,938 | ||||||
48,000 | Zhaojin Mining Industry Co., Ltd., Class H | 57,044 | ||||||
4,700 | Zhejiang Huayou Cobalt Co., Ltd., Class A* | 25,845 | ||||||
4,500 | Zhongjin Gold Corp., Ltd. | 5,796 | ||||||
70,100 | Zijin Mining Group Co., Ltd. | 44,120 | ||||||
214,000 | Zijin Mining Group Co., Ltd. | 101,377 | ||||||
|
| |||||||
7,576,442 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
72,375 | Central Retail Corp. pcl* | 77,733 | ||||||
293 | Hyundai Department Store Co., Ltd. | 13,837 | ||||||
32,257 | Lojas Renner SA | 247,985 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multiline Retail, continued | ||||||||
497 | Lotte Shopping Co., Ltd. | $ | 33,203 | |||||
30,145 | Magazine Luiza SA | 397,243 | ||||||
29,155 | S.A.C.I. Falabella | 92,341 | ||||||
298 | Shinsegae Department Store Co. | 55,243 | ||||||
49,121 | Woolworths Holdings, Ltd. | 93,695 | ||||||
|
| |||||||
1,011,280 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
22,204 | Qatar Electricity & Water Co. | 96,449 | ||||||
131,264 | YTL Corporation Berhad | 25,619 | ||||||
|
| |||||||
122,068 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.9%): | ||||||||
24,436 | Bharat Pertoleum Corp., Ltd. | 121,635 | ||||||
11,100 | China Merchants Energy Shipping Co., Ltd., Class A | 9,177 | ||||||
76,900 | China Petroleum & Chemical Corp., Class A | 42,524 | ||||||
978,000 | China Petroleum & Chemical Corp., Class H | 406,859 | ||||||
143,000 | China Shenhua Energy Co., Ltd. | 223,335 | ||||||
10,100 | China Shenhua Energy Co., Ltd. | 20,438 | ||||||
734,000 | CNOOC, Ltd. | 824,375 | ||||||
56,505 | Coal India, Ltd. | 100,078 | ||||||
7,560 | Cosan sa industria e Comercio | 98,609 | ||||||
8,500 | COSCO SHIPPING Energy Transportation Co., Ltd., Class A | 7,787 | ||||||
183,077 | Ecopetrol SA | 101,174 | ||||||
18,128 | Empresas Copec SA | 121,678 | ||||||
65,200 | Energy Absolute Public Co., Ltd. | 82,872 | ||||||
11,936 | Exxaro Resources, Ltd. | 89,720 | ||||||
50,000 | Formosa Petrochemical Corp. | 149,705 | ||||||
488,615 | Gazprom PJSC | 1,326,487 | ||||||
3,337 | Grupa Lotos SA | 50,596 | ||||||
1,948 | GS Holdings | 58,690 | ||||||
26,003 | Hindustan Petroleum Corp., Ltd. | 74,714 | ||||||
70,847 | Indian Oil Corp., Ltd. | 80,158 | ||||||
56,800 | Inner Mongolia Yitai Coal Co., Ltd. | 36,918 | ||||||
572,300 | IRPC pcl | 48,619 | ||||||
172,000 | Kunlun Energy Co., Ltd. | 112,526 | ||||||
17,087 | LUKOIL PJSC | 1,267,151 | ||||||
16,206 | MOL Hungarian Oil And Gas plc* | 96,071 | ||||||
2,388 | Motor Oil (Hellas) Corinth Refineries SA | 33,192 | ||||||
3,751 | Novatek PJSC, GDR | 532,524 | ||||||
46,100 | Oil & Gas Development Co., Ltd. | 30,309 | ||||||
99,978 | Oil & Natural Gas Corp., Ltd. | 108,840 | ||||||
45,900 | PetroChina Co., Ltd., Class A | 27,198 | ||||||
862,000 | PetroChina Co., Ltd., Class H | 284,978 | ||||||
159,865 | Petroleo Brasileiro SA | 656,843 | ||||||
189,217 | Petroleo Brasileiro SA | 749,949 | ||||||
11,400 | Petronas Dagangan Berhad | 54,547 | ||||||
21,431 | Petronet LNG, Ltd. | 73,547 | ||||||
12,533 | Polski Koncern Naftowy Orlen SA | 198,349 | ||||||
63,750 | Polskie Gornictwo Naftowe i Gazownictwo SA | 73,230 | ||||||
639,600 | PT Adaro Energy Tbk | 44,840 | ||||||
82,200 | PT United Tractors Tbk | 95,802 | ||||||
54,900 | PTT Exploration & Production pcl | 163,342 | ||||||
476,600 | PTT pcl | 583,383 | ||||||
19,690 | Qatar Fuel QSC | 87,323 | ||||||
10,829 | Rabigh Refining & Petrochemical Co.* | 38,886 | ||||||
117,525 | Reliance Industries, Ltd. | 2,656,380 |
See accompanying notes to the financial statements.
10
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
21,322 | Rosneft Oil Co. PJSC, GDR | $ | 106,955 | |||||
25,357 | Rosneft Oil Co. PJSC | 128,513 | ||||||
47,950 | Saudi Arabian Oil Co. | 415,652 | ||||||
26,100 | Shaanxi Coal Industry Co., Ltd. | 26,616 | ||||||
2,000 | Shanxi Meijin Energy Co., Ltd., Class A* | 1,772 | ||||||
2,182 | SK Innovation Co., Ltd. | 241,009 | ||||||
1,806 | S-Oil Corp. | 96,388 | ||||||
296,404 | Surgutneftegas PJSC | 159,962 | ||||||
247,873 | Surgutneftegas Prefernce | 122,199 | ||||||
58,625 | Tatneft PJSC | 454,531 | ||||||
49,100 | Thai Oil Public Co., Ltd. | 70,472 | ||||||
4,521 | Tupras-Turkiye Petrol Rafine* | 59,102 | ||||||
28,345 | Ultrapar Participacoes SA | 95,818 | ||||||
70,000 | Yanzhou Coal Mining Co. | 52,342 | ||||||
8,881 | YPF Sociedad Anonima, ADR | 51,065 | ||||||
|
| |||||||
14,127,754 | ||||||||
|
| |||||||
Paper & Forest Products (0.2%): | ||||||||
43,569 | Empresas CMPC SA | 86,618 | ||||||
124,900 | Indah Kiat Pulp & Paper Corp Tbk PT | 52,578 | ||||||
43,000 | Lee & Man Paper Manufacturing, Ltd. | 23,113 | ||||||
67,000 | Nine Dragons Paper Holdings, Ltd. | 60,880 | ||||||
22,486 | Suzano SA* | 152,148 | ||||||
|
| |||||||
375,337 | ||||||||
|
| |||||||
Personal Products (0.7%): | ||||||||
1,363 | Amorepacific Corp. | 191,671 | ||||||
378 | Amorepacific Corp. | 22,511 | ||||||
863 | Amorepacific Group | 37,398 | ||||||
2,492 | Colgate-Palmolive India, Ltd. | 46,589 | ||||||
20,734 | Dabur India, Ltd. | 128,563 | ||||||
14,700 | Godrej Consumer Products, Ltd. | 135,014 | ||||||
27,000 | Hengan International Group Co., Ltd. | 211,211 | ||||||
60 | LG Household & Health Care, Ltd. | 36,362 | ||||||
394 | LG Household & Health Care, Ltd. | 440,815 | ||||||
16,791 | Marico, Ltd. | 78,694 | ||||||
31,181 | Natura & Co. Holding SA* | 228,817 | ||||||
1,433 | Natura & Co. Holdings SA* | 10,471 | ||||||
|
| |||||||
1,568,116 | ||||||||
|
| |||||||
Pharmaceuticals (1.5%): | ||||||||
16,178 | Aspen Pharmacare Holdings, Ltd.* | 133,829 | ||||||
1,000 | Asymchem Laboratories Tianjin Co., Ltd., Class A | 34,377 | ||||||
11,197 | Aurobindo Pharma, Ltd. | 114,596 | ||||||
900 | Betta Pharmaceuticals Co., Ltd. | 17,885 | ||||||
2,400 | CanSino Biologics, Inc., Class H* | 66,354 | ||||||
1,200 | Changchun High & New Technology Industry Group, Inc., Class A | 73,893 | ||||||
1,500 | Chengdu Kanghong Pharmaceutical Group Co., Ltd. | 10,496 | ||||||
56,000 | China Medical System Holdings, Ltd. | 66,033 | ||||||
226,000 | China Pharmaceutical Enterprise & Investment Corp. | 426,073 | ||||||
80,500 | China Resources Pharmaceutical | 46,620 | ||||||
100,000 | China Traditional Chinese Medicine Holdings Co., Ltd. | 48,202 | ||||||
14,747 | Cipla, Ltd. | 125,613 | ||||||
4,880 | Dr Reddy’s Laboratories, Ltd. | 256,368 | ||||||
2,900 | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A | 13,300 | ||||||
263 | Hanmi Pharm Co., Ltd. | 53,229 | ||||||
22,000 | Hansoh Pharmaceutical Group Co., Ltd.* | 104,215 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
2,773 | Hutchison China MediTech, Ltd., ADR* | $ | 76,479 | |||||
15,104 | Hypera SA | 92,504 | ||||||
13,656 | Jiangsu Hengrui Medicine Co., Ltd. | 178,282 | ||||||
9,370 | Lupin, Ltd. | 113,797 | ||||||
61,500 | Luye Pharma Group, Ltd. | 37,651 | ||||||
1,600 | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | 14,611 | ||||||
3,371 | Piramal Enterprises, Ltd. | 61,608 | ||||||
881,600 | PT Kalbe Farma Tbk | 90,627 | ||||||
5,856 | Richter Gedeon Nyrt | 121,502 | ||||||
17,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 56,861 | ||||||
9,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 43,098 | ||||||
4,800 | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A | 21,210 | ||||||
282,500 | Sino Biopharmaceutical, Ltd. | 532,854 | ||||||
82,000 | SSY Group, Ltd. | 56,022 | ||||||
35,739 | Sun Pharmaceutical Industries, Ltd. | 224,093 | ||||||
1,998 | Torrent Pharmaceuticals, Ltd. | 62,949 | ||||||
1,876 | Yuhan Corp. | 79,417 | ||||||
3,600 | Yunnan Baiyao Group Co., Ltd. | 47,762 | ||||||
2,000 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. | 48,165 | ||||||
35,100 | Zhejiang Conba Pharmaceutical Co., Ltd.* | 27,304 | ||||||
6,380 | Zhejiang Huahai Pharmaceutical Co., Ltd. | 30,628 | ||||||
3,600 | Zhejiang NHU Co., Ltd., Class A | 14,819 | ||||||
500 | Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. | 4,403 | ||||||
|
| |||||||
3,627,729 | ||||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
1,148 | 51job, Inc., ADR* | 82,415 | ||||||
|
| |||||||
Real Estate Management & Development (2.4%): | ||||||||
50,000 | Agile Group Holdings, Ltd. | 59,304 | ||||||
170,399 | Aldar Properties PJSC | 82,664 | ||||||
291,100 | Ayala Land, Inc. | 194,922 | ||||||
78,422 | Barwa Real Estate Co. | 65,725 | ||||||
38,539 | BR Malls Participacoes SA | 71,447 | ||||||
13,663 | Cencosud Shopping SA | 24,302 | ||||||
86,800 | Central Pattana pcl | 138,869 | ||||||
59,000 | China Aoyuan Group, Ltd. | 71,440 | ||||||
75,000 | China Evergrande Group | 196,023 | ||||||
9,500 | China Fortune Land Development Co., Ltd. | 30,839 | ||||||
218,000 | China Jinmao Holdings Group, Ltd. | 153,495 | ||||||
4,900 | China Merchants Property Operation & Service Co., Ltd., Class A* | 21,300 | ||||||
24,100 | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A | 55,815 | ||||||
157,500 | China Overseas Land & Investment, Ltd. | 475,640 | ||||||
55,000 | China Overseas Property Holdings, Ltd. | 58,133 | ||||||
136,000 | China Resources Land, Ltd. | 513,917 | ||||||
26,600 | China Vanke Co., Ltd., Class A | 97,880 | ||||||
60,800 | China Vanke Co., Ltd., Class H | 191,818 | ||||||
140,000 | CIFI Holdings Group Co., Ltd. | 109,260 | ||||||
322,000 | Country Garden Holdings Co., Ltd. | 396,287 | ||||||
25,313 | Dar Al Arkan Real Estate Development Co.* | 47,940 | ||||||
25,683 | DLF, Ltd. | 50,351 | ||||||
18,917 | Emaar Economic City* | 34,308 | ||||||
100,129 | Emaar Malls PJSC* | 37,721 | ||||||
141,286 | Emaar Properties PJSC* | 106,185 | ||||||
6,000 | Future Land Holdings Co., Ltd.* | 26,522 |
See accompanying notes to the financial statements.
11
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
10,300 | Gemdale Corp., Class A | $ | 19,963 | |||||
17,700 | Greenland Holdings Corp., Ltd. | 15,406 | ||||||
48,400 | Guangzhou R&F Properties Co., Ltd., Class H | 56,401 | ||||||
42,000 | Highwealth Construction Corp. | 61,866 | ||||||
12,500 | Jinke Properties Group Co., Ltd., Class A* | 14,432 | ||||||
116,000 | Kaisa Group Holdings, Ltd. | 43,770 | ||||||
51,000 | KWG Group Holdings, Ltd. | 85,525 | ||||||
357,000 | Land & Houses Public Co., Ltd. | 87,860 | ||||||
60,000 | Logan Property Holdings Co., Ltd. | 107,251 | ||||||
76,000 | Longfor Group Holdings, Ltd. | 362,002 | ||||||
363,000 | Megaworld Corp. | 22,367 | ||||||
15,106 | Multiplan Empreendimentos Imobiliarios SA | 56,955 | ||||||
18,566 | NEPI Rockcastle plc | 94,994 | ||||||
4,800 | Poly Property Development Co., Ltd., Class H | 48,373 | ||||||
30,600 | Poly Real Estate Group Co., Ltd., Class A | 63,655 | ||||||
61,100 | Robinsons Land Corp. | 21,560 | ||||||
19,040 | Ruentex Development Co., Ltd. | 32,916 | ||||||
84,000 | Seazen Group, Ltd. | 73,041 | ||||||
44,500 | Shanghai Lujiazue | 34,401 | ||||||
156,000 | Shenzhen Investment, Ltd. | 49,358 | ||||||
49,000 | Shimao Property Holdings, Ltd. | 207,657 | ||||||
175,500 | Shui On Land, Ltd. | 29,573 | ||||||
139,000 | Sino-Ocean Group Holding, Ltd. | 33,395 | ||||||
416,100 | SM Prime Holdings, Inc. | 263,261 | ||||||
60,000 | Soho China, Ltd.* | 21,081 | ||||||
103,000 | Sunac China Holdings, Ltd. | 432,061 | ||||||
43,000 | The Wharf Holdings, Ltd.^ | 87,516 | ||||||
56,700 | Xinhu Zhongbao Co., Ltd., Class A | 23,904 | ||||||
372,000 | Yuexiu Property Co., Ltd. | 66,295 | ||||||
89,000 | Yuzhou Properties Co., Ltd. | 38,516 | ||||||
62,000 | Zhenro Properties Group, Ltd. | 38,810 | ||||||
|
| |||||||
5,906,272 | ||||||||
|
| |||||||
Road & Rail (0.3%): | ||||||||
303,300 | BTS Group Holdings pcl | 111,092 | ||||||
424 | CJ Logistics Corp.* | 55,512 | ||||||
10,239 | Container Corp. of India, Ltd. | 57,167 | ||||||
45,699 | Daqin Railway Co., Ltd., Class A* | 45,392 | ||||||
24,970 | Localiza Rent a Car SA | 187,877 | ||||||
45,706 | Rumo SA* | 189,054 | ||||||
|
| |||||||
646,094 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (6.8%): | ||||||||
140,465 | ASE Technology Holding Co., Ltd. | 320,900 | ||||||
36,500 | GCL System Integration Technology Co., Ltd.* | 13,460 | ||||||
1,540 | Gigadevice Semiconductor Beijing, Inc., Class A | 51,412 | ||||||
9,000 | Globalwafers Co., Ltd. | 122,661 | ||||||
18,000 | Hua Hong Semiconductor, Ltd.* | 62,569 | ||||||
7,800 | Longi Green Energy Technology Co., Ltd. | 44,961 | ||||||
62,000 | MediaTek, Inc. | 1,213,472 | ||||||
47,000 | Nanya Technology Corp. | 96,827 | ||||||
24,000 | Novatek Microelectronics Corp. | 185,177 | ||||||
6,000 | Phison Electronics Corp. | 59,591 | ||||||
34,000 | Powertech Technology, Inc. | 123,039 | ||||||
20,000 | Realtek Semiconductor Corp. | 202,142 | ||||||
9,700 | Sanan Optoelectronics Co., Ltd., Class A | 34,556 | ||||||
138,300 | Semiconductor Manufacturing International Corp.* | 482,457 | ||||||
400 | SG Micro Corp., Class A | 17,142 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
1,400 | Shenzhen Goodix Technology Co., Ltd., Class A | $ | 44,164 | |||||
3,000 | Silergy Corp. | 194,755 | ||||||
22,229 | SK Hynix, Inc. | 1,590,249 | ||||||
1,009,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 10,680,717 | ||||||
10,700 | Tianjin Zhonghuan Semiconductor Co., Ltd. | 34,176 | ||||||
10,600 | Tianshui Huatian Technology Co., Ltd., Class A | 20,296 | ||||||
2,300 | Unigroup Guoxin Microelectronics Co., Ltd., Class A* | 23,679 | ||||||
468,000 | United Microelectronics Corp. | 251,853 | ||||||
36,000 | Vanguard International Semiconductor Corp. | 94,780 | ||||||
1,300 | Will Semiconductor, Ltd., Class A | 37,156 | ||||||
15,000 | Win Semiconductors Corp. | 151,629 | ||||||
146,000 | Winbond Electronics Corp. | 65,847 | ||||||
166,000 | Xinyi Solar Holdings, Ltd. | 157,958 | ||||||
|
| |||||||
16,377,625 | ||||||||
|
| |||||||
Software (0.4%): | ||||||||
8,800 | 360 Security Technology, Inc., Class A | 22,798 | ||||||
1,000 | Beijing Shiji Information Technology Co., Ltd., Class A | 5,523 | ||||||
900 | China National Software & Service Co., Ltd., Class A | 10,087 | ||||||
802 | Douzone Bizon Co., Ltd. | 68,643 | ||||||
1,355 | Globant SA* | 203,047 | ||||||
3,400 | Glodon Co., Ltd., Class A | 33,528 | ||||||
1,950 | Hundsun Technologies, Inc. | 29,720 | ||||||
8,500 | Iflytek Co., Ltd. | 45,022 | ||||||
97,000 | Kingdee International Software Group Co., Ltd. | 225,821 | ||||||
37,000 | Kingsoft Corp., Ltd.^ | 172,329 | ||||||
700 | Sangfor Technologies, Inc., Class A | 20,495 | ||||||
3,400 | Shanghai Baosight Software Co., Ltd. | 28,423 | ||||||
7,150 | Yonyou Network Technology Co., Ltd. | 44,372 | ||||||
|
| |||||||
909,808 | ||||||||
|
| |||||||
Specialty Retail (0.5%): | ||||||||
247,600 | Ace Hardware Indonesia Tbk PT* | 26,321 | ||||||
2,316 | FF Group* | 26 | ||||||
381,000 | GOME Retail Holdings, Ltd.* | 63,468 | ||||||
225,000 | Home Product Center Public Co., Ltd. | 113,626 | ||||||
13,000 | Hotai Motor Co., Ltd. | 308,545 | ||||||
1,292 | Hotel Shilla Co., Ltd. | 77,187 | ||||||
2,755 | Jarir Marketing Co. | 107,279 | ||||||
3,482 | Jumbo SA | 62,780 | ||||||
9,879 | Mr Price Group, Ltd. | 81,403 | ||||||
18,364 | Pepkor Holdings, Ltd. | 11,643 | ||||||
27,899 | Petrobras Distribuidora SA | 110,576 | ||||||
17,100 | Suning.com Co., Ltd., Class A* | 21,160 | ||||||
45,000 | Topsports International Holdings, Ltd. | 57,871 | ||||||
23,000 | Zhongsheng Group Holdings, Ltd. | 128,341 | ||||||
|
| |||||||
1,170,226 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.8%): | ||||||||
111,000 | Acer, Inc. | 67,262 | ||||||
14,199 | Advantech Co., Ltd. | 141,938 | ||||||
30,000 | Asustek Computer, Inc. | 219,424 | ||||||
80,300 | BOE Technology Group Co., Ltd., Class A* | 53,077 | ||||||
28,000 | Catcher Technology Co., Ltd. | 210,304 | ||||||
25,360 | Chicony Electronics Co., Ltd. | 73,167 | ||||||
12,500 | China Greatwall Technology Group Co., Ltd., Class A | 23,350 | ||||||
139,000 | Compal Electronics, Inc. | 90,589 | ||||||
3,100 | Dawning Information Industry Co., Ltd. | 16,847 | ||||||
60,599 | Focus Media Information Technology Co., Ltd., Class A | 47,696 |
See accompanying notes to the financial statements.
12
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
11,400 | GRG Banking Equipment Co., Ltd., Class A | $ | 20,879 | |||||
3,156 | Inspur Electronic Information Industry Co., Ltd., Class A | 17,500 | ||||||
103,000 | Inventec Corp. | 88,147 | ||||||
17,400 | Legend Holdings Corp., Class H^ | 20,332 | ||||||
294,000 | Lenovo Group, Ltd. | 162,880 | ||||||
86,000 | Lite-On Technology Corp. | 135,608 | ||||||
31,000 | Micro-Star International Co., Ltd. | 112,736 | ||||||
5,000 | Ninestar Corp. | 23,291 | ||||||
81,000 | Pegatron Corp. | 175,375 | ||||||
113,000 | Quanta Computer, Inc. | 271,465 | ||||||
195,988 | Samsung Electronics Co., Ltd. | 8,688,338 | ||||||
6,100 | Shenzhen Kaifa Technology Co., Ltd., Class A | 18,850 | ||||||
112,863 | Wistron Corp. | 136,590 | ||||||
3,000 | Wiwynn Corp. | 81,387 | ||||||
431,800 | Xiaomi Corp., Class B* | 716,400 | ||||||
|
| |||||||
11,613,432 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.7%): | ||||||||
46,000 | Anta Sports Products, Ltd. | 410,284 | ||||||
116,000 | Bosideng International Holdings, Ltd. | 35,965 | ||||||
8,220 | Eclat Textile Co., Ltd. | 94,964 | ||||||
12,500 | Feng Tay Enterprise Co., Ltd. | 70,344 | ||||||
2,419 | Fila Korea, Ltd. | 71,571 | ||||||
49,000 | Formosta Taffeta Co., Ltd. | 60,380 | ||||||
83,000 | Li Ning Co., Ltd. | 263,845 | ||||||
52 | LPP SA* | 79,141 | ||||||
236 | Page Industries, Ltd. | 62,465 | ||||||
83,000 | Pou Chen Corp. | 80,847 | ||||||
33,700 | Shenzhou International Group | 405,142 | ||||||
12,833 | Titan Co., Ltd. | 162,190 | ||||||
|
| |||||||
1,797,138 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.7%): | ||||||||
67,046 | Housing Development Finance Corp., Ltd. | 1,572,739 | ||||||
10,552 | LIC Housing Finance, Ltd. | 37,091 | ||||||
|
| |||||||
1,609,830 | ||||||||
|
| |||||||
Tobacco (0.3%): | ||||||||
43,949 | Eastern Co. SAE | 34,826 | ||||||
307,300 | Hanjaya Mandala Sampoerna Tbk PT | 35,787 | ||||||
144,387 | ITC, Ltd. | 373,436 | ||||||
4,899 | KT&G Corp. | 320,152 | ||||||
23,300 | PT Gudang Garam Tbk | 77,368 | ||||||
|
| |||||||
841,569 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.0%†): | ||||||||
7,500 | BOC Aviation, Ltd. | 48,171 | ||||||
2,050 | Posco International Corp. | 24,046 | ||||||
|
| |||||||
72,217 | ||||||||
|
| |||||||
Transportation Infrastructure (0.7%): | ||||||||
23,909 | Adani Ports & Special Economic Zone, Ltd. | 110,041 | ||||||
179,300 | Airports of Thailand Public Co., Ltd. | 351,689 | ||||||
291,400 | Bangkok Expressway & Metro | 89,742 | ||||||
74,000 | Beijing Capital International Airport Co., Ltd. | 46,329 | ||||||
44,194 | CCR SA | 117,857 | ||||||
47,228 | China Merchants Port Holdings Co., Ltd. | 55,734 | ||||||
80,000 | COSCO SHIPPING Ports, Ltd. | 43,110 | ||||||
8,587 | Grupo Aeroportuario de Sur* | 95,907 | ||||||
15,047 | Grupo Aeroporturaio del Pacifico SAB de C.V. | 108,221 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Transportation Infrastructure, continued | ||||||||
11,100 | Guangzhou Baiyun International Airport Co., Ltd., Class A | $ | 23,932 | |||||
46,190 | International Container Terminal Services, Inc. | 95,634 | ||||||
64,000 | Jiangsu Expressway Co., Ltd., Series H, Class H | 75,171 | ||||||
54,700 | Malaysia Airports Holdings Berhad | 70,048 | ||||||
9,118 | Promotora Y Operadora de Infraestructura SAB de CV* | 65,693 | ||||||
3,000 | Shanghai International Air | 30,428 | ||||||
35,399 | Shanghai International Port Group Co., Ltd.* | 20,974 | ||||||
44,000 | Shenzhen Expressway Co., Ltd., Class H | 44,543 | ||||||
35,000 | Shenzhen International Holdings, Ltd. | 55,880 | ||||||
87,000 | Taiwan High Speed Rail Corp. | 107,500 | ||||||
11,315 | TAV Havalimanlari Holding AS | 32,009 | ||||||
33,400 | Westports Holding Berhad | 29,860 | ||||||
76,000 | Zhejiang Expressway Co., Ltd. | 53,909 | ||||||
|
| |||||||
1,724,211 | ||||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
130,347 | Aguas Andinas SA, Class A | 44,174 | ||||||
186,000 | Beijing Enterprises Water Group, Ltd. | 72,939 | ||||||
13,691 | Cia Saneamento Basico Do Estado de Sao Paulo | 145,290 | ||||||
124,000 | Guangdong Investment, Ltd. | 212,854 | ||||||
|
| |||||||
475,257 | ||||||||
|
| |||||||
Wireless Telecommunication Services (2.4%): | ||||||||
49,900 | Advanced Info Service Public Co., Ltd. | 298,808 | ||||||
1,362,968 | America Movil SAB de C.V., Series L | 874,871 | ||||||
128,300 | Axiata Group Berhad | 107,038 | ||||||
101,472 | Bharti Airtel, Ltd.* | 751,848 | ||||||
251,000 | China Mobile, Ltd. | 1,696,069 | ||||||
98,000 | China United Network Communications, Ltd. | 67,100 | ||||||
126,100 | DIGI.com Berhad | 127,469 | ||||||
4,626 | Empresa Nacional de Telecomunicaciones SA | 29,867 | ||||||
15,756 | Etihad Etisalat Co.* | 111,820 | ||||||
58,000 | Far EasTone Telecommunications Co., Ltd. | 133,591 | ||||||
1,005 | Globe Telecom, Inc. | 41,549 | ||||||
90,400 | Intouch Holdings Public Co., Ltd. | 164,785 | ||||||
92,900 | Maxis Berhad | 117,058 | ||||||
17,634 | Mobile TeleSystems PJSC, ADR | 162,056 | ||||||
71,262 | MTN Group, Ltd. | 216,897 | ||||||
3,620 | PLDT, Inc. | 90,343 | ||||||
790 | SK Telecom Co., Ltd. | 138,556 | ||||||
63,000 | Taiwan Mobile Co., Ltd. | 235,846 | ||||||
39,260 | Tim Participacoes SA | 102,533 | ||||||
36,500 | Total Access Communication Public Co., Ltd. | 46,453 | ||||||
40,565 | Turkcell Iletisim Hizmetleri AS | 97,418 | ||||||
25,935 | Vodacom Group, Ltd.^ | 183,781 | ||||||
145,200 | XL Axiata Tbk PT | 28,473 | ||||||
|
| |||||||
5,824,229 | ||||||||
|
| |||||||
Total Common Stocks (Cost $192,440,890) | 234,388,198 | |||||||
|
| |||||||
Preferred Stocks (1.4%): | ||||||||
Automobiles (0.0%†): | ||||||||
1,265 | Hyundai Motor Co., Ltd., 5.40%, 6/29/20 | 60,418 | ||||||
|
| |||||||
Banks (0.7%): | ||||||||
178,654 | Banco Bradesco SA, 0.84%, 1/3/20 | 680,155 | ||||||
197,030 | Itau Unibanco Holding SA, Series S, 0.71%, 1/5/21 | 922,241 | ||||||
|
| |||||||
1,602,396 | ||||||||
|
|
See accompanying notes to the financial statements.
13
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Preferred Stocks, continued | ||||||||
Chemicals (0.0%†): | ||||||||
8,754 | Braskem SA, Class A, 3.61%, 10/7/20 | $ | 37,385 | |||||
|
| |||||||
Electric Utilities (0.0%†): | ||||||||
3,360 | Cia Paranaense de Energia, Class B, 0.62% | 37,585 | ||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
42,438 | Gerdau SA, 0.87%, 3/6/20 | 124,960 | ||||||
|
| |||||||
Multiline Retail (0.1%): | ||||||||
29,978 | Lojas Americanas SA, 0.05%, 1/11/21 | 177,424 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
33,664 | Samsung Electronics Co., Ltd., 2.26%, 3/30/20 | 1,314,708 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $3,947,756) | 3,354,876 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Airlines (0.0%†): | ||||||||
1,476 | Korean Air Lines Co., Ltd., Expires on 7/13/20* | 3,375 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
12,426 | Minor International pcl, Expires on 7/24/20* | 563 | ||||||
|
| |||||||
Total Rights (Cost $9,196) | 3,938 | |||||||
|
|
Shares | Fair Value | |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.9%): | ||||||||
2,160,618 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(a)(b) | $ | 2,160,618 | |||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 2,160,618 | ||||||
|
| |||||||
Total Investment Securities (Cost $198,558,460) — 99.5% | 239,907,630 | |||||||
Net other assets (liabilities) — 0.5% | 1,215,352 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 241,122,982 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository 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, 2020. The total value of securities on loan as of June 30, 2020 was $2,045,897. |
† | Represents less than 0.05%. |
(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, 2020. |
(b) | The rate represents the effective yield at June 30, 2020. |
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, 2020:
(Unaudited)
Country | Percentage | ||||
Argentina | — | %† | |||
Bermuda | 0.2 | % | |||
Brazil | 5.1 | % | |||
Cayman Islands | 1.1 | % | |||
Chile | 0.6 | % | |||
China | 34.5 | % | |||
Colombia | 0.2 | % | |||
Czech Republic | 0.1 | % | |||
Egypt | 0.1 | % | |||
Greece | 0.1 | % | |||
Hong Kong | 4.8 | % | |||
Hungary | 0.2 | % | |||
India | 8.0 | % | |||
Indonesia | 1.5 | % | |||
Luxembourg | 0.1 | % | |||
Malaysia | 1.7 | % | |||
Mexico | 1.7 | % | |||
Pakistan | — | %† |
Country | Percentage | ||||
Peru | — | %† | |||
Philippines | 0.8 | % | |||
Poland | 0.7 | % | |||
Qatar | 0.8 | % | |||
Republic of Korea (South) | 11.6 | % | |||
Romania | — | %† | |||
Russian Federation | 3.2 | % | |||
Saudi Arabia | 2.6 | % | |||
Singapore | — | %† | |||
South Africa | 3.7 | % | |||
Switzerland | 0.1 | % | |||
Taiwan, Province Of China | 12.1 | % | |||
Thailand | 2.2 | % | |||
Turkey | 0.4 | % | |||
United Arab Emirates | 0.5 | % | |||
United States | 1.3 | % | |||
|
| ||||
100.0 | % | ||||
|
|
† | Represents less than 0.05%. |
See accompanying notes to the financial statements.
14
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Futures Contracts
Cash of $413,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Mini MSCI Emerging Markets Index September Futures (U.S. Dollar) | 9/18/20 | 77 | $ | 3,794,945 | $ | (6,848 | ) | |||||||||
|
| |||||||||||||||
$ | (6,848 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
15
AZL MSCI Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 198,558,460 | |||
|
| ||||
Investment securities, at value(a) | $ | 239,907,630 | |||
Segregated cash for collateral for futures contracts | 413,000 | ||||
Interest and dividends receivable | 838,971 | ||||
Foreign currency, at value (cost $676,297) | 678,760 | ||||
Receivable for investments sold | 2,498,265 | ||||
Reclaims receivable | 40,315 | ||||
Prepaid expenses | 421 | ||||
|
| ||||
Total Assets | 244,377,362 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 504,737 | ||||
Payable for capital shares redeemed | 327,430 | ||||
Payable for collateral received on loaned securities | 2,160,618 | ||||
Payable for variation margin on futures contracts | 16,739 | ||||
Accrued foreign taxes | 59,199 | ||||
Manager fees payable | 89,100 | ||||
Administration fees payable | 2,898 | ||||
Distribution fees payable | 46,642 | ||||
Custodian fees payable | 16,148 | ||||
Administrative and compliance services fees payable | 108 | ||||
Transfer agent fees payable | 649 | ||||
Trustee fees payable | 844 | ||||
Other accrued liabilities | 29,268 | ||||
|
| ||||
Total Liabilities | 3,254,380 | ||||
|
| ||||
Net Assets | $ | 241,122,982 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 193,107,124 | |||
Total distributable earnings | 48,015,858 | ||||
|
| ||||
Net Assets | $ | 241,122,982 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 14,506,874 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 2,053,981 | ||||
Net Asset Value (offering and redemption price per share) | $ | 7.06 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 226,616,108 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 32,125,348 | ||||
Net Asset Value (offering and redemption price per share) | $ | 7.05 | |||
|
|
(a) | Includes securities on loan of $2,045,897. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,990,363 | |||
Income from securities lending | 16,680 | ||||
Foreign withholding tax | (300,700 | ) | |||
|
| ||||
Total Investment Income | 2,706,343 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,133,813 | ||||
Administration fees | 55,545 | ||||
Distribution fees — Class 2 | 314,677 | ||||
Custodian fees | 121,890 | ||||
Administrative and compliance services fees | 2,299 | ||||
Transfer agent fees | 5,348 | ||||
Trustee fees | 7,124 | ||||
Professional fees | 6,140 | ||||
Shareholder reports | 9,576 | ||||
Other expenses | 134,077 | ||||
|
| ||||
Total expenses before reductions | 1,790,489 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (533,783 | ) | |||
|
| ||||
Net expenses | 1,256,706 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,449,637 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | (5,455,638 | ) | |||
Net realized gains/(losses) on futures contracts | (62,631 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (33,371,705 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (21,426 | ) | |||
Change in net unrealized appreciation/depreciation on foreign taxes | 334,742 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (38,576,658 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (37,127,021 | ) | ||
|
|
See accompanying notes to the financial statements.
16
AZL MSCI Emerging Markets Equity Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,449,637 | $ | 4,942,565 | ||||||
Net realized gains/(losses) on investments | (5,518,269 | ) | 8,439,023 | |||||||
Change in unrealized appreciation/depreciation on investments | (33,058,389 | ) | 39,066,661 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (37,127,021 | ) | 52,448,249 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (737,246 | ) | |||||||
Class 2 | — | (10,511,678 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (11,248,924 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 39,232 | 152,178 | ||||||||
Proceeds from dividends reinvested | — | 737,246 | ||||||||
Value of shares redeemed | (1,644,312 | ) | (2,052,200 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,605,080 | ) | (1,162,776 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 14,786,797 | 41,510,756 | ||||||||
Proceeds from dividends reinvested | — | 10,511,678 | ||||||||
Value of shares redeemed | (61,175,014 | ) | (80,726,885 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (46,388,217 | ) | (28,704,451 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (47,993,297 | ) | (29,867,227 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (85,120,318 | ) | 11,332,098 | |||||||
Net Assets: | ||||||||||
Beginning of period | 326,243,300 | 314,911,202 | ||||||||
|
|
|
| |||||||
End of period | $ | 241,122,982 | $ | 326,243,300 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 5,617 | 21,160 | ||||||||
Dividends reinvested | — | 104,872 | ||||||||
Shares redeemed | (244,649 | ) | (274,606 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (239,032 | ) | (148,574 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 2,268,615 | 5,610,295 | ||||||||
Dividends reinvested | — | 1,493,136 | ||||||||
Shares redeemed | (9,415,038 | ) | (10,446,070 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (7,146,423 | ) | (3,342,639 | ) | ||||||
|
|
|
| |||||||
Change in shares | (7,385,455 | ) | (3,491,213 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
17
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 7.85 | $ | 6.99 | $ | 8.78 | $ | 6.60 | $ | 6.04 | $ | 7.35 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.05 | (a) | 0.15 | (a) | 0.16 | 0.12 | 0.06 | 0.07 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.84 | ) | 1.04 | (1.50 | ) | 2.30 | 0.56 | (1.00 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.79 | ) | 1.19 | (1.34 | ) | 2.42 | 0.62 | (0.93 | ) | |||||||||||||||||||||
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|
|
|
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| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.16 | ) | (0.04 | ) | (0.06 | ) | (0.10 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.18 | ) | (0.29 | ) | (0.20 | ) | — | (0.28 | ) | ||||||||||||||||||||
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|
|
|
|
|
|
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| |||||||||||||||||||
Total Dividends | — | (0.33 | ) | (0.45 | ) | (0.24 | ) | (0.06 | ) | (0.38 | ) | |||||||||||||||||||
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|
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|
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| |||||||||||||||||||
Net Asset Value, End of Period | $ | 7.06 | $ | 7.85 | $ | 6.99 | $ | 8.78 | $ | 6.60 | $ | 6.04 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | (10.06 | )%(c) | 17.55 | % | (15.31 | )% | 36.97 | % | 10.21 | % | (12.69 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 14,507 | $ | 17,995 | $ | 17,072 | $ | 22,883 | $ | 19,006 | $ | 20,505 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.37 | % | 1.97 | % | 1.89 | % | 1.56 | % | 1.05 | % | 0.86 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.11 | % | 1.10 | % | 1.03 | % | 1.11 | % | 1.41 | % | 1.49 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.71 | % | 0.70 | % | 0.63 | % | 0.71 | % | 1.14 | % | 1.33 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 8 | % | 25 | % | 20 | % | 19 | % | 115 | % | 45 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 7.85 | $ | 6.99 | $ | 8.77 | $ | 6.60 | $ | 6.04 | $ | 7.34 | ||||||||||||||||||
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| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.04 | (a) | 0.12 | (a) | 0.14 | 0.10 | 0.04 | 0.05 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.84 | ) | 1.05 | (1.49 | ) | 2.30 | 0.56 | (1.00 | ) | |||||||||||||||||||||
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| |||||||||||||||||||
Total from Investment Activities | (0.80 | ) | 1.17 | (1.35 | ) | 2.40 | 0.60 | (0.95 | ) | |||||||||||||||||||||
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| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.14 | ) | (0.03 | ) | (0.04 | ) | (0.07 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.18 | ) | (0.29 | ) | (0.20 | ) | — | (0.28 | ) | ||||||||||||||||||||
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| |||||||||||||||||||
Total Dividends | — | (0.31 | ) | (0.43 | ) | (0.23 | ) | (0.04 | ) | (0.35 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Net Asset Value, End of Period | $ | 7.05 | $ | 7.85 | $ | 6.99 | $ | 8.77 | $ | 6.60 | $ | 6.04 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | (10.19 | )%(c) | 17.18 | % | (15.46 | )% | 36.63 | % | 9.89 | % | (12.88 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 226,616 | $ | 308,248 | $ | 297,839 | $ | 351,886 | $ | 248,872 | $ | 172,238 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.07 | % | 1.65 | % | 1.61 | % | 1.35 | % | 0.80 | % | 0.60 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.36 | % | 1.35 | % | 1.28 | % | 1.36 | % | 1.64 | % | 1.74 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.96 | % | 0.95 | % | 0.88 | % | 0.96 | % | 1.36 | % | 1.58 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 8 | % | 25 | % | 20 | % | 19 | % | 115 | % | 45 | % |
(a) | Calculated using the average shares method. |
(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.
18
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
19
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $1,628 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,160,618 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 long contracts was $3.3 million for the period ended June 30, 2020. 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, 2020:
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 margin on futures contracts* | $ | 6,848 |
* | 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. |
20
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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 | $ | (62,631 | ) | $ | (21,426 | ) |
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, 2021.
For the period ended June 30, 2020, 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, 2020, 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 SEC. 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, 2020, $1,166 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 in total for both trusts.
21
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 46,661,671 | $ | 187,726,527 | $ | — | $ | 234,388,198 | ||||||||||||
Preferred Stocks+ | 1,979,750 | 1,375,126 | — | 3,354,876 | ||||||||||||||||
Rights+ | 3,375 | 563 | — | 3,938 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 2,160,618 | — | — | 2,160,618 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 50,805,414 | 189,102,216 | — | 239,907,630 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (6,848 | ) | — | — | (6,848 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 50,798,566 | $ | 189,102,216 | $ | — | $ | 239,900,782 | ||||||||||||
|
|
|
|
|
|
|
|
+ | 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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 21,203,416 | $ | 69,120,335 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
22
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $258,744,529. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 83,764,344 | ||
Unrealized (depreciation) | (14,910,641 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 68,853,703 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 4,738,622 | $ | 6,510,302 | $ | 11,248,924 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 7,095,741 | $ | 9,574,688 | $ | — | $ | 68,472,450 | $ | 85,142,879 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, mark-to-market of futures contracts and other miscellaneous differences. |
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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
24
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
25
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® MSCI Global Equity Index Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 19 |
Page 19 |
Statements of Changes in Net Assets Page 20 |
Page 21 |
Notes to the Financial Statements Page 22 |
Page 28 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 29 |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL MSCI Global Equity Index Fund | $ | 1,000.00 | $ | 939.40 | $ | 3.28 | 0.68 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL MSCI Global Equity Index Fund | $ | 1,000.00 | $ | 1,021.48 | $ | 3.42 | 0.68 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 21.2 | % | |||
Health Care | 14.1 | ||||
Financials | 12.6 | ||||
Consumer Discretionary | 10.8 | ||||
Industrials | 10.0 | ||||
Communication Services | 8.7 | ||||
Consumer Staples | 8.3 | ||||
Materials | 4.4 | ||||
Utilities | 3.3 | ||||
Energy | 3.2 | ||||
Real Estate | 2.9 | ||||
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| ||||
Total Common Stocks and Preferred Stocks | 99.5 | ||||
Rights | — | † | |||
Short-Term Securities Held as Collateral for Securities on Loan | 1.3 | ||||
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| ||||
Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
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| ||||
Net Assets | 100.0 | % | |||
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† | Represents less than 0.05%. |
1
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.4%): | ||||||||
Aerospace & Defense (1.4%): | ||||||||
4,350 | Airbus SE* | $ | 309,515 | |||||
23,736 | BAE Systems plc | 141,951 | ||||||
3,793 | Boeing Co. (The) | 695,257 | ||||||
1,996 | CAE, Inc. | 32,379 | ||||||
22 | Dassault Aviation SA* | 20,255 | ||||||
203 | Elbit Systems, Ltd. | 27,961 | ||||||
1,735 | General Dynamics Corp. | 259,313 | ||||||
333 | HEICO Corp. | 33,183 | ||||||
551 | HEICO Corp., Class A | 44,763 | ||||||
2,939 | Howmet Aerospace, Inc.* | 46,583 | ||||||
307 | Huntington Ingalls Industries, Inc. | 53,568 | ||||||
1,571 | L3harris Technologies, Inc. | 266,552 | ||||||
401 | Leonardo SpA | 2,653 | ||||||
1,815 | Lockheed Martin Corp. | 662,330 | ||||||
386 | MTU Aero Engines AG* | 66,706 | ||||||
1,148 | Northrop Grumman Corp. | 352,941 | ||||||
10,966 | Raytheon Technologies Corp. | 675,725 | ||||||
12,793 | Rolls-Royce Holdings plc | 45,149 | ||||||
2,283 | Safran SA* | 228,354 | ||||||
13,200 | Singapore Technologies Engineering, Ltd. | 31,331 | ||||||
244 | Teledyne Technologies, Inc.* | 75,872 | ||||||
1,734 | Textron, Inc. | 57,066 | ||||||
780 | Thales SA | 62,912 | ||||||
356 | TransDigm Group, Inc. | 157,370 | ||||||
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4,349,689 | ||||||||
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| |||||||
Air Freight & Logistics (0.5%): | ||||||||
6,608 | Bollore, Inc. | 20,723 | ||||||
1,012 | C.H. Robinson Worldwide, Inc. | 80,009 | ||||||
6,909 | Deutsche Post AG* | 252,017 | ||||||
1,288 | Expeditors International of Washington, Inc. | 97,940 | ||||||
1,735 | FedEx Corp. | 243,282 | ||||||
1,100 | SG Holdings Co., Ltd. | 35,895 | ||||||
5,073 | United Parcel Service, Inc., Class B | 564,015 | ||||||
691 | XPO Logistics, Inc.* | 53,380 | ||||||
2,400 | Yamato Holdings Co., Ltd. | 51,884 | ||||||
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| |||||||
1,399,145 | ||||||||
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| |||||||
Airlines (0.1%): | ||||||||
990 | Air Canada* | 12,362 | ||||||
1,000 | ANA Holdings, Inc.^ | 22,745 | ||||||
1,221 | Delta Air Lines, Inc. | 34,249 | ||||||
1,823 | Deutsche Lufthansa AG, Registered Shares*^ | 18,267 | ||||||
1,000 | Japan Airlines Co., Ltd. | 18,028 | ||||||
5,225 | Qantas Airways, Ltd. | 13,684 | ||||||
7,150 | Singapore Airlines, Ltd. | 19,289 | ||||||
1,013 | Southwest Airlines Co. | 34,624 | ||||||
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| |||||||
173,248 | ||||||||
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| |||||||
Auto Components (0.4%): | ||||||||
1,200 | Aisin Sieki Co., Ltd. | 34,975 | ||||||
1,809 | Aptiv plc | 140,957 | ||||||
624 | Autoliv, Inc. | 40,254 | ||||||
1,542 | BorgWarner, Inc. | 54,433 | ||||||
3,800 | Bridgestone Corp.^ | 122,283 | ||||||
1,267 | Compagnie Generale des Establissements Michelin SCA, Class B* | 131,245 | ||||||
845 | Continental AG* | 82,528 | ||||||
3,200 | Denso Corp. | 124,854 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
608 | Faurecia SA* | $ | 23,703 | |||||
800 | Koito Manufacturing Co., Ltd. | 32,208 | ||||||
442 | Lear Corp. | 48,187 | ||||||
2,242 | Magna Internationl, Inc. | 99,861 | ||||||
800 | NGK Spark Plug Co., Ltd. | 11,463 | ||||||
4,305 | Pirelli & C SpA* | 18,232 | ||||||
600 | Stanley Electric Co., Ltd. | 14,451 | ||||||
5,700 | Sumitomo Electric Industries, Ltd. | 65,571 | ||||||
700 | Sumitomo Rubber Industries, Ltd.^ | 6,896 | ||||||
300 | Toyoda Gosei Co., Ltd. | 6,242 | ||||||
1,100 | Toyota Industries Corp. | 58,249 | ||||||
1,787 | Valeo SA | 46,805 | ||||||
1,100 | Yokohama Rubber Co., Ltd. (The)^ | 15,460 | ||||||
|
| |||||||
1,178,857 | ||||||||
|
| |||||||
Automobiles (1.3%): | ||||||||
2,440 | Bayerische Motoren Werke AG (BMW) | 155,437 | ||||||
5,896 | Daimler AG, Registered Shares* | 238,966 | ||||||
911 | Ferrari NV | 155,217 | ||||||
7,910 | Fiat Chrysler Automobiles NV* | 79,340 | ||||||
28,727 | Ford Motor Co. | 174,660 | ||||||
8,744 | General Motors Co. | 221,223 | ||||||
11,600 | Honda Motor Co., Ltd.^ | 296,604 | ||||||
4,200 | Isuzu Motors, Ltd. | 37,933 | ||||||
4,500 | Mazda Motor Corp. | 26,985 | ||||||
3,000 | Mitsubishi Motors Corp. | 7,405 | ||||||
17,900 | Nissan Motor Co., Ltd. | 66,310 | ||||||
4,372 | PSA Peugeot Citroen SA* | 70,963 | ||||||
1,438 | Renault SA* | 36,396 | ||||||
4,600 | Subaru Corp. | 95,675 | ||||||
2,700 | Suzuki Motor Corp. | 91,624 | ||||||
1,063 | Tesla, Inc.* | 1,147,838 | ||||||
15,200 | Toyota Motor Corp. | 953,654 | ||||||
236 | Volkswagen AG* | 37,876 | ||||||
2,100 | Yamaha Motor Co., Ltd. | 32,907 | ||||||
|
| |||||||
3,927,013 | ||||||||
|
| |||||||
Banks (5.4%): | ||||||||
3,369 | ABN AMRO Group NV | 28,956 | ||||||
1,000 | Aozora Bank, Ltd. | 17,411 | ||||||
19,944 | Australia & New Zealand Banking Group, Ltd. | 258,023 | ||||||
49,188 | Banco Bilbao Vizcaya Argentaria SA | 168,940 | ||||||
123,851 | Banco Santander SA | 301,986 | ||||||
8,039 | Bank Hapoalim BM | 48,189 | ||||||
10,693 | Bank Leumi Le-Israel Corp. | 53,922 | ||||||
56,372 | Bank of America Corp. | 1,338,835 | ||||||
11,200 | Bank of East Asia, Ltd. (The) | 25,602 | ||||||
200 | Bank of Kyoto, Ltd. (The) | 7,089 | ||||||
4,486 | Bank of Montreal | 238,808 | ||||||
8,691 | Bank of Nova Scotia^ | 359,703 | ||||||
5,419 | �� | Bankinter SA | 25,797 | |||||
221 | Banque Cantonale Vaudois, Registered Shares | 21,470 | ||||||
126,796 | Barclays plc | 179,358 | ||||||
7,968 | BNP Paribas SA* | 315,849 | ||||||
24,500 | BOC Hong Kong Holdings, Ltd. | 77,791 | ||||||
27,832 | CaixaBank SA | 59,309 | ||||||
3,303 | Canadian Imperial Bank of Commerce | 220,800 | ||||||
2,800 | Chiba Bank, Ltd. (The) | 13,200 |
See accompanying notes to the financial statements.
2
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
15,008 | Citigroup, Inc. | $ | 766,909 | |||||
3,309 | Citizens Financial Group, Inc. | 83,519 | ||||||
1,127 | Comerica, Inc. | 42,939 | ||||||
7,814 | Commerzbank AG* | 34,786 | ||||||
12,818 | Commonwealth Bank of Australia | 617,128 | ||||||
8,400 | Concordia Financial Group, Ltd. | 26,894 | ||||||
8,416 | Credit Agricole SA* | 79,489 | ||||||
4,961 | Danske Bank A/S | 65,993 | ||||||
13,100 | DBS Group Holdings, Ltd. | 196,000 | ||||||
6,348 | DNB ASA* | 84,029 | ||||||
1,112 | East West Bancorp, Inc. | 40,299 | ||||||
1,649 | Erste Group Bank AG* | 38,746 | ||||||
5,357 | Fifth Third Bancorp | 103,283 | ||||||
2,040 | Finecobank Banca Fineco SpA* | 27,487 | ||||||
1,250 | First Republic Bank | 132,488 | ||||||
1,400 | Fukuoka Financial Group, Inc. | 22,098 | ||||||
5,800 | Hang Seng Bank, Ltd. | 97,931 | ||||||
145,117 | HSBC Holdings plc | 679,132 | ||||||
7,420 | Huntington Bancshares, Inc. | 67,040 | ||||||
28,881 | ING Groep NV | 200,615 | ||||||
110,601 | Intesa Sanpaolo SpA | 211,271 | ||||||
7,605 | Isreal Discount Bank | 23,289 | ||||||
3,400 | Japan Post Bank Co., Ltd. | 25,287 | ||||||
21,984 | JPMorgan Chase & Co. | 2,067,814 | ||||||
1,732 | KBC Group NV | 99,190 | ||||||
7,367 | KeyCorp | 89,730 | ||||||
522,022 | Lloyds Banking Group plc | 201,346 | ||||||
862 | M&T Bank Corp. | 89,622 | ||||||
3,600 | Mebuki Financial Group, Inc. | 8,346 | ||||||
4,869 | Mediobanca SpA | 34,884 | ||||||
88,000 | Mitsubishi UFJ Financial Group, Inc. | 344,232 | ||||||
1,110 | Mizrahi Tefahot Bank, Ltd. | 20,910 | ||||||
167,800 | Mizuho Financial Group, Inc. | 205,798 | ||||||
22,609 | National Australia Bank, Ltd. | 285,762 | ||||||
2,289 | National Bank of Canada^ | 103,742 | ||||||
23,686 | Nordea Bank AB* | 163,296 | ||||||
26,200 | Oversea-Chinese Banking Corp., Ltd. | 169,582 | ||||||
3,124 | People’s United Financial, Inc. | 36,145 | ||||||
3,127 | PNC Financial Services Group, Inc. (The) | 328,992 | ||||||
1,228 | Raiffeisen International Bank-Holding AG* | 21,841 | ||||||
7,243 | Regions Financial Corp. | 80,542 | ||||||
16,000 | Resona Holdings, Inc. | 54,604 | ||||||
10,236 | Royal Bank of Canada | 694,592 | ||||||
35,584 | Royal Bank of Scotland Group plc | 53,512 | ||||||
2,100 | Seven Bank, Ltd. | 5,745 | ||||||
300 | Shinsei Bank, Ltd. | 3,613 | ||||||
3,700 | Shizuoka Bank, Ltd. (The) | 23,785 | ||||||
416 | Signature Bank | 44,479 | ||||||
12,093 | Skandinaviska Enskilda Banken AB, Class A* | 104,624 | ||||||
5,746 | Societe Generale* | 95,588 | ||||||
19,268 | Standard Chartered plc | 104,884 | ||||||
9,100 | Sumitomo Mitsui Financial Group, Inc. | 255,957 | ||||||
2,500 | Sumitomo Mitsui Trust Holdings, Inc. | 70,173 | ||||||
387 | SVB Financial Group* | 83,410 | ||||||
11,380 | Svenska Handelsbanken AB, Class A* | 107,914 | ||||||
6,836 | Swedbank AB, Class A* | 87,520 | ||||||
13,145 | Toronto-Dominion Bank (The) | 586,751 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
9,591 | Truist Financial Corp. | $ | 360,142 | |||||
9,648 | U.S. Bancorp | 355,239 | ||||||
14,486 | Unicredit SpA | 132,979 | ||||||
8,204 | United Overseas Bank, Ltd. | 119,365 | ||||||
27,762 | Wells Fargo & Co. | 710,707 | ||||||
26,598 | Westpac Banking Corp. | 331,222 | ||||||
1,310 | Zions Bancorp | 44,540 | ||||||
|
| |||||||
16,210,809 | ||||||||
|
| |||||||
Beverages (1.7%): | ||||||||
5,401 | Anheuser-Busch InBev NV^ | 266,175 | ||||||
2,700 | Asahi Breweries, Ltd. | 94,603 | ||||||
2,289 | Brown-Forman Corp., Class B | 145,718 | ||||||
10,000 | Budweiser Brewing Co. APAC, Ltd. | 29,053 | ||||||
801 | Carlsberg A/S, Class B | 105,823 | ||||||
3,938 | Coca-Cola Amatil, Ltd. | 23,599 | ||||||
600 | Coca-Cola Bottlers Japan Holdings, Inc. | 10,876 | ||||||
29,386 | Coca-Cola Co. (The) | 1,312,966 | ||||||
1,380 | Coca-Cola European Partners plc | 52,189 | ||||||
1,242 | Coca-Cola HBC AG | 31,166 | ||||||
1,233 | Constellation Brands, Inc., Class C | 215,713 | ||||||
4,404 | Davide Campari-Milano NV | 37,061 | ||||||
16,649 | Diageo plc | 552,555 | ||||||
732 | Heineken Holding NV | 59,840 | ||||||
1,892 | Heineken NV | 174,224 | ||||||
400 | ITO EN, Ltd. | 22,553 | ||||||
2,577 | Keurig Dr Pepper, Inc. | 73,187 | ||||||
6,100 | Kirin Holdings Co., Ltd. | 128,660 | ||||||
1,411 | Molson Coors Brewing Co., Class B | 48,482 | ||||||
2,967 | Monster Beverage Corp.* | 205,672 | ||||||
9,941 | PepsiCo, Inc. | 1,314,797 | ||||||
1,487 | Pernod Ricard SA | 233,691 | ||||||
201 | Remy Cointreau SA | 27,347 | ||||||
1,100 | Suntory Beverage & Food, Ltd. | 42,900 | ||||||
5,399 | Treasury Wine Estates, Ltd. | 39,072 | ||||||
|
| |||||||
5,247,922 | ||||||||
|
| |||||||
Biotechnology (2.1%): | ||||||||
12,654 | AbbVie, Inc. | 1,242,371 | ||||||
1,600 | Alexion Pharmaceuticals, Inc.* | 179,584 | ||||||
821 | Alnylam Pharmaceuticals, Inc.* | 121,598 | ||||||
4,236 | Amgen, Inc. | 999,103 | ||||||
272 | BeiGene, Ltd., ADR* | 51,245 | ||||||
1,275 | Biogen, Inc.* | 341,126 | ||||||
1,263 | BioMarin Pharmaceutical, Inc.* | 155,778 | ||||||
3,308 | CSL, Ltd. | 655,629 | ||||||
1,091 | Exact Sciences Corp.* | 94,852 | ||||||
329 | Galapagos NV* | 64,580 | ||||||
486 | Genmab A/S* | 162,595 | ||||||
9,046 | Gilead Sciences, Inc. | 695,999 | ||||||
2,223 | Grifols SA^ | 67,428 | ||||||
1,364 | Incyte Corp.* | 141,815 | ||||||
994 | Ionis Pharmaceuticals, Inc.* | 58,606 | ||||||
1,993 | Moderna, Inc.* | 127,971 | ||||||
650 | Neurocrine Biosciences, Inc.* | 79,300 | ||||||
700 | Peptidream, Inc.* | 32,073 | ||||||
635 | Regeneron Pharmaceuticals, Inc.* | 396,018 | ||||||
554 | Sarepta Therapeutics, Inc.* | 88,828 |
See accompanying notes to the financial statements.
3
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
894 | Seattle Genetics, Inc.* | $ | 151,908 | |||||
1,859 | Vertex Pharmaceuticals, Inc.* | 539,686 | ||||||
|
| |||||||
6,448,093 | ||||||||
|
| |||||||
Building Products (0.6%): | ||||||||
1,044 | A.O. Smith Corp. | 49,193 | ||||||
1,400 | AGC, Inc.^ | 39,831 | ||||||
699 | Allegion plc | 71,451 | ||||||
7,162 | ASSA Abloy AB, Class B | 145,467 | ||||||
6,111 | Carrier Global Corp. | 135,786 | ||||||
3,551 | Compagnie de Saint-Gobain SA | 127,621 | ||||||
1,700 | Daikin Industries, Ltd. | 273,409 | ||||||
1,050 | Fortune Brands Home & Security, Inc. | 67,127 | ||||||
276 | Geberit AG, Registered Shares | 138,024 | ||||||
5,624 | Johnson Controls International plc | 192,004 | ||||||
964 | Kingspan Group plc | 62,033 | ||||||
259 | Lennox International, Inc. | 60,344 | ||||||
2,000 | Lixil Group Corp. | 27,954 | ||||||
1,851 | Masco Corp. | 92,939 | ||||||
2,284 | Nibe Industrier AB, Class B* | 50,424 | ||||||
811 | Owens Corning | 45,221 | ||||||
1,100 | TOTO, Ltd. | 42,163 | ||||||
1,747 | Trane Technologies plc | 155,448 | ||||||
|
| |||||||
1,776,439 | ||||||||
|
| |||||||
Capital Markets (2.9%): | ||||||||
7,282 | 3i Group plc | 74,987 | ||||||
861 | Ameriprise Financial, Inc. | 129,184 | ||||||
372 | Amundi SA | 29,095 | ||||||
1,269 | Apollo Global Management, Inc. | 63,348 | ||||||
1,497 | ASX, Ltd. | 88,433 | ||||||
5,757 | Bank of New York Mellon Corp. (The) | 222,508 | ||||||
1,095 | BlackRock, Inc., Class A+ | 595,778 | ||||||
4,914 | Blackstone Group, Inc. (The), Class A | 278,427 | ||||||
9,509 | Brookfield Asset Management, Inc., Class A | 312,997 | ||||||
825 | Cboe Global Markets, Inc. | 76,956 | ||||||
8,194 | Charles Schwab Corp. (The) | 276,466 | ||||||
1,918 | CI Financial Corp. | 24,402 | ||||||
2,589 | CME Group, Inc. | 420,816 | ||||||
17,787 | Credit Suisse Group AG | 183,580 | ||||||
11,900 | Daiwa Securities Group, Inc. | 49,651 | ||||||
13,670 | Deutsche Bank AG, Registered Shares* | 129,608 | ||||||
1,321 | Deutsche Boerse AG | 238,749 | ||||||
1,442 | E*TRADE Financial Corp. | 71,711 | ||||||
1,745 | EQT AB | 31,255 | ||||||
289 | FactSet Research Systems, Inc. | 94,928 | ||||||
2,272 | Franklin Resources, Inc. | 47,644 | ||||||
2,375 | Goldman Sachs Group, Inc. | 469,348 | ||||||
2,274 | Hargreaves Lansdown plc | 45,814 | ||||||
8,800 | Hong Kong Exchanges & Clearing, Ltd. | 375,054 | ||||||
246 | IGM Financial, Inc. | 5,979 | ||||||
3,995 | Intercontinental Exchange, Inc. | 365,942 | ||||||
2,923 | Invesco, Ltd. | 31,451 | ||||||
3,800 | Japan Exchange Group, Inc. | 87,794 | ||||||
1,701 | Julius Baer Group, Ltd. | 71,078 | ||||||
3,636 | KKR & Co., Inc., Class A | 112,280 | ||||||
2,196 | London Stock Exchange Group plc | 227,125 | ||||||
2,411 | Macquarie Group, Ltd. | 198,400 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
973 | Magellan Financial Group, Ltd. | $ | 39,593 | |||||
281 | MarketAxess Holdings, Inc. | 140,759 | ||||||
1,210 | Moody’s Corp. | 332,423 | ||||||
8,686 | Morgan Stanley | 419,534 | ||||||
625 | MSCI, Inc., Class A | 208,638 | ||||||
853 | Nasdaq, Inc. | 101,908 | ||||||
7,385 | Natixis* | 19,240 | ||||||
21,300 | Nomura Holdings, Inc. | 95,337 | ||||||
1,323 | Northern Trust Corp. | 104,967 | ||||||
139 | Partners Group Holding AG | 125,905 | ||||||
787 | Raymond James Financial, Inc. | 54,169 | ||||||
1,728 | S&P Global, Inc. | 569,340 | ||||||
1,800 | SBI Holdings, Inc. | 38,896 | ||||||
935 | Schroders plc | 34,116 | ||||||
981 | SEI Investments Co. | 53,935 | ||||||
3,200 | Singapore Exchange, Ltd. | 19,208 | ||||||
3,996 | St. James Place plc | 47,097 | ||||||
2,614 | State Street Corp. | 166,120 | ||||||
1,721 | T. Rowe Price Group, Inc. | 212,544 | ||||||
2,034 | TD Ameritrade Holding Corp. | 73,997 | ||||||
413 | TMX Group, Ltd. | 40,841 | ||||||
599 | Tradeweb Markets, Inc., Class A | 34,826 | ||||||
26,855 | UBS Group AG | 308,606 | ||||||
|
| |||||||
8,672,787 | ||||||||
|
| |||||||
Chemicals (2.3%): | ||||||||
3,408 | Air Liquide SA | 491,014 | ||||||
1,581 | Air Products & Chemicals, Inc. | 381,747 | ||||||
800 | Air Water, Inc. | 11,286 | ||||||
1,486 | Akzo Nobel NV | 132,933 | ||||||
805 | Albemarle Corp. | 62,154 | ||||||
508 | Arkema SA | 48,508 | ||||||
9,400 | Asahi Kasei Corp. | 76,382 | ||||||
1,522 | Axalta Coating Systems, Ltd.* | 34,321 | ||||||
6,569 | BASF SE | 367,044 | ||||||
917 | Celanese Corp., Series A | 79,174 | ||||||
1,625 | CF Industries Holdings, Inc. | 45,728 | ||||||
796 | Christian Hansen Holding A/S | 82,061 | ||||||
1,528 | Clariant AG* | 29,977 | ||||||
5,380 | Corteva, Inc. | 144,130 | ||||||
1,332 | Covestro AG* | 50,547 | ||||||
936 | Croda International plc | 60,890 | ||||||
1,000 | Daicel Corp. | 7,728 | ||||||
5,431 | Dow, Inc. | 221,368 | ||||||
5,053 | DuPont de Nemours, Inc. | 268,466 | ||||||
1,034 | Eastman Chemical Co. | 72,008 | ||||||
1,783 | Ecolab, Inc. | 354,727 | ||||||
66 | EMS-Chemie Holding AG | 51,079 | ||||||
1,423 | Evonik Industries AG | 36,046 | ||||||
973 | FMC Corp. | 96,930 | ||||||
336 | Fuchs Petrolub AG | 13,478 | ||||||
68 | Givaudan SA, Registered Shares | 252,998 | ||||||
5,617 | ICL Group, Ltd. | 16,734 | ||||||
625 | International Flavors & Fragrances, Inc. | 76,538 | ||||||
1,443 | Johnson Matthey plc | 37,449 | ||||||
900 | JSR Corp. | 17,371 | ||||||
1,300 | Kansai Paint Co., Ltd. | 27,404 | ||||||
1,235 | Koninklijke DSM NV | 170,692 |
See accompanying notes to the financial statements.
4
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
2,600 | Kuraray Co., Ltd. | $ | 27,137 | |||||
629 | Lanxess AG* | 33,061 | ||||||
3,851 | Linde plc | 816,836 | ||||||
1,988 | LyondellBasell Industries NV, Class A | 130,651 | ||||||
9,900 | Mitsubishi Chemical Holdings Corp. | 57,626 | ||||||
1,400 | Mitsubishi Gas Chemical Co., Inc. | 21,181 | ||||||
1,400 | Mitsui Chemicals, Inc. | 29,185 | ||||||
2,751 | Mosaic Co. (The) | 34,415 | ||||||
1,100 | Nippon Paint Holdings Co., Ltd.^ | 79,845 | ||||||
1,000 | Nissan Chemical Corp. | 51,230 | ||||||
1,200 | Nitto Denko Corp. | 67,912 | ||||||
1,417 | Novozymes A/S, Class B | 81,896 | ||||||
4,242 | Nutrien, Ltd. | 136,317 | ||||||
2,876 | Orica, Ltd. | 33,056 | ||||||
1,726 | PPG Industries, Inc. | 183,060 | ||||||
960 | RPM International, Inc. | 72,058 | ||||||
593 | Sherwin Williams Co. | 342,665 | ||||||
2,600 | Shin-Etsu Chemical Co., Ltd. | 303,977 | ||||||
1,100 | Showa Denko K.K. | 24,665 | ||||||
951 | Sika AG | 182,840 | ||||||
411 | Solvay SA | 32,861 | ||||||
11,600 | Sumitomo Chemical Co., Ltd. | 34,670 | ||||||
963 | Symrise AG | 111,718 | ||||||
1,100 | Taiyo Nippon Sanso Corp. | 18,378 | ||||||
1,500 | Teijin, Ltd. | 23,844 | ||||||
10,400 | Toray Industries, Inc. | 48,992 | ||||||
2,000 | Tosoh Corp. | 27,278 | ||||||
1,478 | Umicore SA | 69,488 | ||||||
1,353 | Yara International ASA | 47,028 | ||||||
|
| |||||||
6,942,782 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
11,809 | Brambles, Ltd. | 88,811 | ||||||
630 | Cintas Corp. | 167,807 | ||||||
1,545 | Copart, Inc.* | 128,652 | ||||||
1,800 | Dai Nippon Printing Co., Ltd. | 41,233 | ||||||
1,776 | Edenred | 77,581 | ||||||
400 | Park24 Co., Ltd. | 6,846 | ||||||
13,560 | Rentokil Initial plc | 85,497 | ||||||
1,610 | Republic Services, Inc., Class A | 132,101 | ||||||
803 | �� | Ritchie Bros Auctioneers, Inc. | 32,696 | |||||
1,110 | Rollins, Inc. | 47,053 | ||||||
1,500 | SECOM Co., Ltd. | 131,074 | ||||||
2,224 | Securitas AB, Class B* | 29,936 | ||||||
600 | Sohgo Security Services Co., Ltd. | 27,933 | ||||||
2,100 | Toppan Printing Co., Ltd. | 35,013 | ||||||
1,920 | Waste Connections, Inc. | 180,077 | ||||||
3,020 | Waste Management, Inc. | 319,848 | ||||||
|
| |||||||
1,532,158 | ||||||||
|
| |||||||
Communications Equipment (0.8%): | ||||||||
403 | Arista Networks, Inc.* | 84,642 | ||||||
30,429 | Cisco Systems, Inc. | 1,419,209 | ||||||
467 | F5 Networks, Inc.* | 65,137 | ||||||
2,592 | Juniper Networks, Inc. | 59,253 | ||||||
1,269 | Motorola Solutions, Inc. | 177,825 | ||||||
38,582 | Nokia OYJ | 168,950 | ||||||
697 | Palo Alto Networks, Inc.* | 160,080 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
20,973 | Telefonaktiebolaget LM Ericsson, Class B | $ | 193,738 | |||||
|
| |||||||
2,328,834 | ||||||||
|
| |||||||
Construction & Engineering (0.3%): | ||||||||
1,534 | ACS Actividades de Construccion y Servicios SA | 38,592 | ||||||
1,662 | Bouygues SA* | 56,689 | ||||||
572 | Cimic Group, Ltd. | 9,580 | ||||||
582 | Eiffage SA* | 53,136 | ||||||
3,382 | Ferrovial SA | 89,915 | ||||||
206 | Hochtief AG | 18,231 | ||||||
874 | Jacobs Engineering Group, Inc. | 74,115 | ||||||
1,800 | JGC Holdings Corp. | 18,949 | ||||||
3,500 | Kajima Corp. | 41,693 | ||||||
4,900 | Obayashi Corp. | 45,829 | ||||||
4,500 | Shimizu Corp. | 36,947 | ||||||
2,540 | Skanska AB, Class B* | 51,598 | ||||||
1,500 | Taisei Corp. | 54,555 | ||||||
3,681 | Vinci SA | 338,472 | ||||||
820 | WSP Global, Inc. | 50,297 | ||||||
|
| |||||||
978,598 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
5,773 | CRH plc | 197,437 | ||||||
1,143 | HeidelbergCement AG | 60,896 | ||||||
3,272 | James Hardie Industries SE | 62,435 | ||||||
3,672 | LafargeHolcim, Ltd., Registered Shares | 160,648 | ||||||
465 | Martin Marietta Materials, Inc. | 96,055 | ||||||
1,000 | Taiheiyo Cement Corp. | 23,128 | ||||||
980 | Vulcan Materials Co. | 113,533 | ||||||
|
| |||||||
714,132 | ||||||||
|
| |||||||
Consumer Finance (0.3%): | ||||||||
1,300 | ACOM Co., Ltd. | 4,956 | ||||||
2,899 | Ally Financial, Inc. | 57,487 | ||||||
4,872 | American Express Co. | 463,815 | ||||||
3,243 | Capital One Financial Corp. | 202,979 | ||||||
2,144 | Discover Financial Services | 107,393 | ||||||
1 | Isracard, Ltd. | 1 | ||||||
3,709 | Synchrony Financial | 82,191 | ||||||
|
| |||||||
918,822 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
11,852 | Amcor plc | 121,009 | ||||||
635 | Avery Dennison Corp. | 72,447 | ||||||
2,252 | Ball Corp. | 156,491 | ||||||
1,153 | CCL Industries, Inc. | 37,272 | ||||||
1,014 | Crown Holdings, Inc.* | 66,042 | ||||||
2,785 | International Paper Co. | 98,060 | ||||||
612 | Packaging Corp. of America | 61,078 | ||||||
1,174 | Sealed Air Corp. | 38,566 | ||||||
1,544 | Smurfit Kappa Group plc | 51,520 | ||||||
1,959 | WestRock Co. | 55,361 | ||||||
|
| |||||||
757,846 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
1,092 | Genuine Parts Co. | 94,961 | ||||||
300 | Jardine Cycle & Carriage, Ltd. | 4,351 | ||||||
2,302 | LKQ Corp.* | 60,312 | ||||||
|
| |||||||
159,624 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services (0.0%†): | ||||||||
300 | Benesse Holdings, Inc. | $ | 8,069 | |||||
|
| |||||||
Diversified Financial Services (0.9%): | ||||||||
25,594 | AMP, Ltd.* | 32,803 | ||||||
9,905 | Berkshire Hathaway, Inc., Class B* | 1,768,141 | ||||||
3,088 | Equitable Holdings, Inc. | 59,568 | ||||||
114 | Eurazeo Se* | 5,837 | ||||||
818 | EXOR NV | 46,636 | ||||||
612 | Groupe Bruxelles Lambert SA | 51,274 | ||||||
1,380 | Industrivarden AB, Class C* | 31,232 | ||||||
3,311 | Investor AB, Class B | 174,521 | ||||||
1,817 | Kinnevik AB, Class B | 47,739 | ||||||
387 | L E Lundbergforetagen AB* | 17,544 | ||||||
19,143 | M&G plc | 39,675 | ||||||
4,100 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 19,408 | ||||||
662 | Onex Corp. | 29,910 | ||||||
9,800 | ORIX Corp. | 120,854 | ||||||
288 | Pargesa Holding SA* | 21,633 | ||||||
113 | Sofina SA | 29,796 | ||||||
17,859 | Standard Life Aberdeen plc | 59,097 | ||||||
200 | Tokyo Century Corp. | 10,229 | ||||||
1,044 | Voya Financial, Inc. | 48,703 | ||||||
243 | Wendel* | 23,136 | ||||||
|
| |||||||
2,637,736 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.8%): | ||||||||
51,571 | AT&T, Inc. | 1,558,991 | ||||||
1,206 | BCE, Inc. | 50,305 | ||||||
62,066 | BT Group plc | 87,585 | ||||||
1,933 | Cellnex Telecom SAU | 117,638 | ||||||
7,272 | CenturyLink, Inc. | 72,938 | ||||||
23,896 | Deutsche Telekom AG, Registered Shares | 399,685 | ||||||
1,031 | Elisa OYJ | 62,664 | ||||||
29,000 | HKT Trust & HKT, Ltd. | 42,628 | ||||||
104 | Iliad SA* | 20,268 | ||||||
26,879 | Koninklijke KPN NV | 71,185 | ||||||
8,900 | Nippon Telegraph & Telephone Corp. | 207,223 | ||||||
14,765 | Orange SA | 176,371 | ||||||
32,000 | PCCW, Ltd. | 18,259 | ||||||
1,146 | Proximus SADP | 23,334 | ||||||
62,100 | Singapore Telecommunications, Ltd. | 109,844 | ||||||
13,956 | Spark New Zealand, Ltd. | 41,313 | ||||||
193 | Swisscom AG, Registered Shares | 100,969 | ||||||
48,285 | Telecom Italia SpA | 18,690 | ||||||
65,740 | Telecom Italia SpA | 25,793 | ||||||
3,616 | Telefonica Deutschland Holding AG | 10,665 | ||||||
34,230 | Telefonica SA | 163,794 | ||||||
5,403 | Telenor ASA | 78,748 | ||||||
16,020 | Telia Co AB | 59,791 | ||||||
31,200 | Telstra Corp., Ltd. | 67,520 | ||||||
3,020 | TELUS Corp. | 50,659 | ||||||
3,645 | TPG Telecom, Ltd.* | 22,381 | ||||||
1,823 | Tuas, Ltd.* | 849 | ||||||
500 | United Internet AG, Registered Shares | 21,097 | ||||||
29,762 | Verizon Communications, Inc. | 1,640,780 | ||||||
|
| |||||||
5,321,967 | ||||||||
|
| |||||||
Electric Utilities (2.0%): | ||||||||
1,790 | Alliant Energy Corp. | 85,634 | ||||||
3,506 | American Electric Power Co., Inc. | 279,218 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
7,008 | AusNet Services | $ | 8,081 | |||||
5,000 | Chubu Electric Power Co., Inc. | 62,900 | ||||||
2,400 | Chugoku Electric Power Co., Inc. (The) | 32,050 | ||||||
5,500 | CK Infrastructure Holdings, Ltd. | 28,338 | ||||||
10,500 | CLP Holdings, Ltd. | 102,827 | ||||||
5,287 | Duke Energy Corp. | 422,378 | ||||||
2,613 | Edison International | 141,912 | ||||||
16,972 | EDP — Energias de Portugal SA | 80,935 | ||||||
4,565 | Electricite de France | 42,035 | ||||||
226 | Elia Group SA/NV | 24,503 | ||||||
1,852 | Emera, Inc. | 72,885 | ||||||
2,089 | Endesa SA^ | 51,411 | ||||||
60,616 | Enel SpA | 522,173 | ||||||
1,441 | Entergy Corp. | 135,180 | ||||||
1,499 | Evergy, Inc. | 88,876 | ||||||
2,398 | Eversource Energy | 199,681 | ||||||
6,851 | Exelon Corp. | 248,623 | ||||||
3,972 | FirstEnergy Corp. | 154,034 | ||||||
3,118 | Fortis, Inc. | 118,595 | ||||||
3,320 | Fortum OYJ | 62,980 | ||||||
22,500 | HK Electric Investments, Ltd. | 23,374 | ||||||
2,263 | Hydro One, Ltd. | 42,563 | ||||||
42,546 | Iberdrola SA | 492,743 | ||||||
5,400 | Kansai Electric Power Co., Inc. (The) | 52,331 | ||||||
3,000 | Kyushu Electric Power Co., Inc. | 25,171 | ||||||
4,873 | Mercury NZ, Ltd. | 14,758 | ||||||
3,483 | NextEra Energy, Inc. | 836,512 | ||||||
1,470 | OGE Energy Corp. | 44,629 | ||||||
1,410 | Orsted A/S | 162,632 | ||||||
846 | Pinnacle West Capital Corp. | 62,003 | ||||||
10,500 | Power Assets Holdings, Ltd. | 57,020 | ||||||
5,303 | PPL Corp. | 137,030 | ||||||
1,850 | Red Electrica Corp SA^ | 34,481 | ||||||
7,305 | Scottish & Southern Energy plc | 123,317 | ||||||
7,555 | Southern Co. (The) | 391,727 | ||||||
11,051 | Terna SpA | 75,866 | ||||||
3,500 | Tohoku Electric Power Co., Inc. | 33,290 | ||||||
11,600 | Tokyo Electric Power Co. Holdings, Inc.* | 35,606 | ||||||
561 | Verbund AG, Class A | 25,089 | ||||||
3,673 | Xcel Energy, Inc. | 229,563 | ||||||
|
| |||||||
5,864,954 | ||||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
13,735 | ABB, Ltd. | 308,811 | ||||||
1,693 | AMETEK, Inc. | 151,303 | ||||||
2,914 | Eaton Corp. plc | 254,917 | ||||||
4,300 | Emerson Electric Co. | 266,729 | ||||||
1,000 | Fuji Electric Co., Ltd. | 27,335 | ||||||
1,923 | Legrand SA | 145,901 | ||||||
36,347 | Melrose Industries plc | 51,221 | ||||||
13,400 | Mitsubishi Electric Corp. | 174,028 | ||||||
3,100 | Nidec Corp. | 207,006 | ||||||
1,821 | Prysmian SpA | 42,121 | ||||||
799 | Rockwell Automation, Inc. | 170,187 | ||||||
3,971 | Schneider Electric SA | 440,219 | ||||||
1,223 | Sensata Technologies Holding plc* | 45,532 | ||||||
1,975 | Siemens Gamesa Renewable Energy* | 34,952 | ||||||
1,393 | Vestas Wind Systems A/S | 141,760 | ||||||
|
| |||||||
2,462,022 | ||||||||
|
|
See accompanying notes to the financial statements.
6
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components (1.0%): | ||||||||
2,183 | Amphenol Corp., Class A | $ | 209,154 | |||||
592 | Arrow Electronics, Inc.* | 40,664 | ||||||
1,082 | CDW Corp. | 125,707 | ||||||
1,272 | Cognex Corp. | 75,964 | ||||||
5,235 | Corning, Inc. | 135,587 | ||||||
1,007 | FLIR Systems, Inc. | 40,854 | ||||||
2,817 | Halma plc | 80,267 | ||||||
1,000 | Hamamatsu Photonics KK | 43,309 | ||||||
2,085 | Hexagon AB, Class B* | 121,568 | ||||||
205 | Hirose Electric Co., Ltd. | 22,475 | ||||||
6,700 | Hitachi, Ltd. | 211,545 | ||||||
442 | Ingenico Group | 70,379 | ||||||
287 | IPG Photonics Corp.* | 46,032 | ||||||
1,300 | Keyence Corp. | 542,854 | ||||||
1,398 | Keysight Technologies, Inc.* | 140,890 | ||||||
2,400 | Kyocera Corp. | 130,606 | ||||||
4,000 | Murata Manufacturing Co., Ltd. | 234,409 | ||||||
1,200 | Omron Corp. | 80,407 | ||||||
1,600 | Shimadzu Corp. | 42,568 | ||||||
1,000 | TDK Corp. | 99,148 | ||||||
2,457 | TE Connectivity, Ltd. | 200,368 | ||||||
1,871 | Trimble, Inc.* | 80,808 | ||||||
2,400 | Venture Corp., Ltd. | 27,929 | ||||||
1,800 | Yaskawa Electric Corp. | 62,247 | ||||||
1,800 | Yokogawa Electric Corp. | 28,075 | ||||||
403 | Zebra Technologies Corp., Class A* | 103,148 | ||||||
|
| |||||||
2,996,962 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
4,726 | Baker Hughes Co. | 72,733 | ||||||
6,497 | Halliburton Co. | 84,331 | ||||||
2,885 | National Oilwell Varco, Inc. | 35,341 | ||||||
10,119 | Schlumberger, Ltd. | 186,088 | ||||||
3,492 | Tenaris SA | 22,509 | ||||||
|
| |||||||
401,002 | ||||||||
|
| |||||||
Entertainment (1.5%): | ||||||||
5,519 | Activision Blizzard, Inc. | 418,892 | ||||||
2,045 | Electronic Arts, Inc.* | 270,042 | ||||||
700 | Konami Holdings Corp. | 23,321 | ||||||
1,491 | Liberty Media Corp-Liberty Formula One, Class C* | 47,280 | ||||||
1,117 | Live Nation Entertainment, Inc.* | 49,517 | ||||||
3,160 | Netflix, Inc.* | 1,437,926 | ||||||
3,700 | Nexon Co., Ltd. | 83,579 | ||||||
800 | Nintendo Co., Ltd. | 356,021 | ||||||
700 | Square Enix Holdings Co., Ltd. | 35,310 | ||||||
848 | Take-Two Interactive Software, Inc.* | 118,355 | ||||||
900 | Toho Co., Ltd. | 32,503 | ||||||
632 | UbiSoft Entertainment SA* | 52,047 | ||||||
5,714 | Vivendi Universal SA | 146,444 | ||||||
12,973 | Walt Disney Co. (The) | 1,446,620 | ||||||
|
| |||||||
4,517,857 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.3%): | ||||||||
828 | Alexandria Real Estate Equities, Inc. | 134,343 | ||||||
3,185 | American Tower Corp. | 823,449 | ||||||
20,004 | Ascendas Real Estate Investment Trust | 45,616 | ||||||
1,019 | AvalonBay Communities, Inc. | 157,578 | ||||||
1,074 | Boston Properties, Inc. | 97,068 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
6,602 | British Land Co. plc | $ | 31,563 | |||||
716 | Camden Property Trust | 65,314 | ||||||
594 | Canadian Apartment Properties REIT | 21,263 | ||||||
23,100 | CapitaLand Commercial Trust | 28,088 | ||||||
22,600 | CapitaLand Mall Trust | 31,874 | ||||||
316 | Covivio | 22,868 | ||||||
3,006 | Crown Castle International Corp. | 503,053 | ||||||
15 | Daiwahouse Residential Investment Corp. | 35,333 | ||||||
8,284 | Dexus | 52,775 | ||||||
1,852 | Digital Realty Trust, Inc. | 263,188 | ||||||
2,717 | Duke Realty Corp. | 96,155 | ||||||
614 | Equinix, Inc. | 431,212 | ||||||
1,298 | Equity Lifestyle Properties, Inc. | 81,099 | ||||||
2,720 | Equity Residential | 159,990 | ||||||
483 | Essex Property Trust, Inc. | 110,689 | ||||||
967 | Extra Space Storage, Inc. | 89,322 | ||||||
570 | Federal Realty Investment Trust | 48,570 | ||||||
330 | Gecina SA | 40,733 | ||||||
27 | GLP J-REIT | 39,212 | ||||||
11,288 | Goodman Group | 116,139 | ||||||
14,718 | GPT Group | 42,537 | ||||||
3,550 | Healthpeak Properties, Inc. | 97,838 | ||||||
5,272 | Host Hotels & Resorts, Inc. | 56,885 | ||||||
246 | Icade | 17,114 | ||||||
3,814 | Invitation Homes, Inc. | 104,999 | ||||||
2,122 | Iron Mountain, Inc.^ | 55,384 | ||||||
7 | Japan Prime Realty Investment Corp. | 20,634 | ||||||
10 | Japan Real Estate Investment Corp. | 51,299 | ||||||
21 | Japan Retail Fund Investment Corp. | 26,226 | ||||||
1,471 | Klepierre^ | 29,266 | ||||||
5,201 | Land Securities Group plc | 35,584 | ||||||
15,500 | Link REIT (The) | 126,480 | ||||||
15,400 | Mapletree Commercial Trust | 21,386 | ||||||
19,500 | Mapletree Logistics Trust | 27,214 | ||||||
3,679 | Medical Properties Trust, Inc. | 69,165 | ||||||
776 | Mid-America Apartment Communities, Inc. | 88,984 | ||||||
29,366 | Mirvac Group | 44,190 | ||||||
1,209 | National Retail Properties, Inc. | 42,895 | ||||||
9 | Nippon Building Fund, Inc. | 51,237 | ||||||
16 | Nippon Prologis REIT, Inc. | 48,634 | ||||||
31 | Nomura Real Estate Master Fund, Inc. | 37,238 | ||||||
1,633 | Omega Healthcare Investors, Inc. | 48,549 | ||||||
22 | Orix JREIT, Inc. | 28,876 | ||||||
5,332 | ProLogis, Inc. | 497,636 | ||||||
1,092 | Public Storage, Inc. | 209,544 | ||||||
2,356 | Realty Income Corp. | 140,182 | ||||||
1,274 | Regency Centers Corp. | 58,464 | ||||||
1,450 | RioCan REIT | 16,408 | ||||||
788 | SBA Communications Corp. | 234,761 | ||||||
40,088 | Scentre Group | 60,347 | ||||||
7,930 | SERGO plc | 87,830 | ||||||
2,219 | Simon Property Group, Inc. | 151,735 | ||||||
211 | SmartCentres Real Estate Investment Trust | 3,250 | ||||||
17,840 | Stockland | 40,966 | ||||||
623 | Sun Communities, Inc. | 84,529 | ||||||
5,400 | Suntec Real Estate Investment Trust | 5,480 | ||||||
2,194 | UDR, Inc. | 82,012 |
See accompanying notes to the financial statements.
7
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
930 | Unibail-Rodamco-Westfield^ | $ | 52,306 | |||||
24 | United Urban Investment Corp. | 25,809 | ||||||
2,632 | Ventas, Inc. | 96,384 | ||||||
6,445 | VEREIT, Inc. | 41,441 | ||||||
3,403 | VICI Properties, Inc. | 68,707 | ||||||
24,703 | Vicinity Centres | 24,490 | ||||||
933 | Vornado Realty Trust | 35,650 | ||||||
2,953 | Welltower, Inc. | 152,818 | ||||||
5,399 | Weyerhaeuser Co. | 121,262 | ||||||
1,157 | WP Carey, Inc. | 78,271 | ||||||
|
| |||||||
7,069,390 | ||||||||
|
| |||||||
Food & Staples Retailing (1.6%): | ||||||||
5,000 | AEON Co., Ltd. | 116,152 | ||||||
5,984 | Alimentation Couche-Tard, Inc. | 187,667 | ||||||
4,504 | Carrefour SA | 69,524 | ||||||
240 | Casino Guichard-Perrachon SA* | 8,889 | ||||||
8,604 | Coles Group, Ltd. | 102,176 | ||||||
276 | Colruyt SA | 15,176 | ||||||
3,147 | Costco Wholesale Corp. | 954,202 | ||||||
1,200 | Dairy Farm International Holdings, Ltd. | 5,588 | ||||||
1,286 | Empire Co., Ltd., Class A | 30,800 | ||||||
1,900 | FamilyMart Co., Ltd. | 32,610 | ||||||
686 | ICA Gruppen AB | 32,518 | ||||||
13,541 | J Sainsbury plc | 34,980 | ||||||
1,994 | Jeronimo Martins SGPS SA* | 34,884 | ||||||
500 | Kobe Bussan Co., Ltd. | 28,191 | ||||||
8,203 | Koninklijke Ahold Delhaize NV | 223,360 | ||||||
5,925 | Kroger Co. (The) | 200,561 | ||||||
200 | LAWSON, Inc. | 10,029 | ||||||
1,122 | Loblaw Cos., Ltd. | 54,645 | ||||||
2,128 | METRO AG | 20,103 | ||||||
1,955 | Metro, Inc. | 80,654 | ||||||
5,500 | Seven & I Holdings Co., Ltd. | 179,511 | ||||||
600 | Sundrug Co., Ltd. | 19,827 | ||||||
3,322 | Sysco Corp. | 181,581 | ||||||
72,964 | Tesco plc | 205,984 | ||||||
300 | Tsuruha Holdings, Inc. | 41,301 | ||||||
5,100 | Walgreens Boots Alliance, Inc. | 216,189 | ||||||
10,160 | Walmart, Inc. | 1,216,964 | ||||||
200 | Welcia Holdings Co., Ltd. | 16,127 | ||||||
7,846 | Wesfarmers, Ltd. | 243,623 | ||||||
632 | Weston (George), Ltd. | 46,304 | ||||||
18,535 | William Morrison Supermarkets plc | 43,718 | ||||||
8,796 | Woolworths Group, Ltd. | 226,765 | ||||||
|
| |||||||
4,880,603 | ||||||||
|
| |||||||
Food Products (1.9%): | ||||||||
5,472 | A2 Milk Co., Ltd.* | 71,635 | ||||||
3,300 | Ajinomoto Co., Inc. | 54,834 | ||||||
4,028 | Archer-Daniels-Midland Co. | 160,717 | ||||||
2,641 | Associated British Foods plc | 62,574 | ||||||
24 | Barry Callebaut AG, Registered Shares | 45,753 | ||||||
1,070 | Bunge, Ltd. | 44,009 | ||||||
400 | Calbee, Inc. | 11,062 | ||||||
1,241 | Campbell Soup Co. | 61,591 | ||||||
3,602 | Conagra Brands, Inc. | 126,682 | ||||||
4,386 | Danone SA* | 303,054 | ||||||
4,259 | General Mills, Inc. | 262,568 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
1,075 | Hershey Co. (The) | $ | 139,342 | |||||
2,168 | Hormel Foods Corp. | 104,649 | ||||||
528 | Ingredion, Inc. | 43,824 | ||||||
856 | JM Smucker Co. (The) | 90,573 | ||||||
1,907 | Kellogg Co. | 125,976 | ||||||
1,129 | Kerry Group plc, Class A | 140,444 | ||||||
1,100 | Kikkoman Corp. | 52,980 | ||||||
5,006 | Kraft Heinz Co. (The) | 159,641 | ||||||
1,080 | Lamb Weston Holdings, Inc. | 69,044 | ||||||
8 | Lindt & Spruengli AG | 65,823 | ||||||
919 | McCormick & Co. | 164,878 | ||||||
900 | Meiji Holdings Co., Ltd. | 71,579 | ||||||
10,144 | Mondelez International, Inc., Class A | 518,664 | ||||||
3,323 | Mowi ASA | 63,185 | ||||||
21,435 | Nestle SA, Registered Shares | 2,368,661 | ||||||
700 | NH Foods, Ltd. | 28,089 | ||||||
1,700 | Nisshin Seifun Group, Inc. | 25,367 | ||||||
500 | Nissin Foods Holdings Co., Ltd. | 44,262 | ||||||
5,748 | Orkla ASA, Class A | 50,405 | ||||||
1,784 | Saputo, Inc. | 42,543 | ||||||
700 | Toyo Suisan Kaisha, Ltd. | 39,085 | ||||||
2,200 | Tyson Foods, Inc., Class A | 131,362 | ||||||
72,000 | WH Group, Ltd. | 61,791 | ||||||
15,200 | Wilmar International, Ltd. | 44,778 | ||||||
900 | Yakult Honsha Co., Ltd. | 52,980 | ||||||
500 | Yamazaki Baking Co., Ltd. | 8,592 | ||||||
|
| |||||||
5,912,996 | ||||||||
|
| |||||||
Gas Utilities (0.2%): | ||||||||
2,016 | AltaGas, Ltd.^ | 23,243 | ||||||
8,716 | APA Group | 67,097 | ||||||
801 | Atmos Energy Corp. | 79,763 | ||||||
2,302 | Gas Natural SDG SA | 42,785 | ||||||
78,302 | Hong Kong & China Gas Co., Ltd. | 121,089 | ||||||
2,900 | Osaka Gas Co., Ltd. | 57,216 | ||||||
500 | Toho Gas Co., Ltd. | 24,996 | ||||||
2,900 | Tokyo Gas Co., Ltd. | 69,368 | ||||||
1,581 | UGI Corp. | 50,276 | ||||||
|
| |||||||
535,833 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.2%): | ||||||||
12,697 | Abbott Laboratories | 1,160,886 | ||||||
342 | ABIOMED, Inc.* | 82,614 | ||||||
3,602 | Alcon, Inc.* | 206,435 | ||||||
505 | Align Technology, Inc.* | 138,592 | ||||||
1,196 | Ambu A/S, Class B | 37,595 | ||||||
1,400 | Asahi Intecc Co., Ltd. | 39,787 | ||||||
3,604 | Baxter International, Inc. | 310,304 | ||||||
1,955 | Becton Dickinson & Co. | 467,773 | ||||||
333 | BioMerieux* | 45,717 | ||||||
9,996 | Boston Scientific Corp.* | 350,960 | ||||||
302 | Carl Zeiss Meditec AG* | 29,424 | ||||||
426 | Cochlear, Ltd. | 55,568 | ||||||
844 | Coloplast A/S, Class B | 130,859 | ||||||
368 | Cooper Cos., Inc. (The) | 104,380 | ||||||
4,491 | Danaher Corp. | 794,143 | ||||||
896 | Demant A/S* | 23,614 | ||||||
1,659 | Dentsply Sirona, Inc. | 73,096 | ||||||
635 | DexCom, Inc.* | 257,429 |
See accompanying notes to the financial statements.
8
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
184 | DiaSorin SpA | $ | 35,194 | |||||
4,327 | Edwards Lifesciences Corp.* | 299,039 | ||||||
2,003 | EssilorLuxottica SA* | 256,702 | ||||||
4,281 | Fisher & Paykel Healthcare Corp., Ltd. | 98,969 | ||||||
938 | GN Store Nord A/S | 49,950 | ||||||
1,973 | Hologic, Inc.* | 112,461 | ||||||
2,600 | HOYA Corp. | 249,023 | ||||||
622 | IDEXX Laboratories, Inc.* | 205,360 | ||||||
451 | Insulet Corp.* | 87,611 | ||||||
835 | Intuitive Surgical, Inc.* | 475,808 | ||||||
6,418 | Koninklijke Philips NV | 298,840 | ||||||
377 | Masimo Corp.* | 85,952 | ||||||
9,517 | Medtronic plc | 872,708 | ||||||
8,500 | Olympus Corp. | 163,735 | ||||||
1,048 | ResMed, Inc. | 201,216 | ||||||
265 | Sartorius AG | 87,053 | ||||||
1,111 | Siemens Healthineers AG | 53,203 | ||||||
6,388 | Smith & Nephew plc | 118,987 | ||||||
342 | Sonova Holding AG, Registered Shares* | 68,214 | ||||||
637 | Steris plc | 97,741 | ||||||
77 | Straumann Holding AG, Registered Shares | 66,058 | ||||||
2,432 | Stryker Corp. | 438,222 | ||||||
1,200 | Sysmex Corp. | 92,181 | ||||||
345 | Teleflex, Inc. | 125,573 | ||||||
4,600 | Terumo Corp. | 174,171 | ||||||
676 | Varian Medical Systems, Inc.* | 82,824 | ||||||
551 | West Pharmaceutical Services, Inc. | 125,171 | ||||||
1,499 | Zimmer Biomet Holdings, Inc. | 178,921 | ||||||
|
| |||||||
9,510,063 | ||||||||
|
| |||||||
Health Care Providers & Services (1.9%): | ||||||||
1,500 | Alfresa Holdings Corp. | 31,231 | ||||||
1,158 | AmerisourceBergen Corp. | 116,692 | ||||||
1,837 | Anthem, Inc. | 483,094 | ||||||
1,943 | Cardinal Health, Inc. | 101,405 | ||||||
4,115 | Centene Corp.* | 261,508 | ||||||
2,706 | Cigna Corp. | 507,781 | ||||||
9,233 | CVS Health Corp. | 599,868 | ||||||
590 | DaVita, Inc.* | 46,693 | ||||||
1,480 | Fresenius Medical Care AG & Co., KGaA* | 126,171 | ||||||
3,090 | Fresenius SE & Co. KGaA* | 152,512 | ||||||
2,010 | HCA Healthcare, Inc. | 195,091 | ||||||
1,103 | Henry Schein, Inc.* | 64,404 | ||||||
950 | Humana, Inc. | 368,363 | ||||||
680 | Laboratory Corp. of America Holdings* | 112,955 | ||||||
1,172 | McKesson Corp. | 179,808 | ||||||
1,400 | Medipal Holdings Corp. | 26,956 | ||||||
237 | Molina Healthcare, Inc.* | 42,181 | ||||||
379 | Orpea | 43,772 | ||||||
1,000 | Quest Diagnostics, Inc. | 113,960 | ||||||
1,215 | Ramsay Health Care, Ltd. | 55,987 | ||||||
3,006 | Ryman Healthcare, Ltd. | 25,491 | ||||||
3,471 | Sonic Healthcare, Ltd. | 73,255 | ||||||
400 | Suzuken Co., Ltd. | 14,911 | ||||||
6,831 | UnitedHealth Group, Inc. | 2,014,803 | ||||||
606 | Universal Health Services, Inc., Class B | 56,291 | ||||||
|
| |||||||
5,815,183 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Technology (0.2%): | ||||||||
2,272 | Cerner Corp. | $ | 155,746 | |||||
3,300 | M3, Inc. | 140,356 | ||||||
515 | Teladoc Health, Inc.* | 98,283 | ||||||
952 | Veeva Systems, Inc., Class A* | 223,167 | ||||||
|
| |||||||
617,552 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.4%): | ||||||||
1,331 | Accor SA* | 36,111 | ||||||
1,845 | Aramark | 41,642 | ||||||
4,307 | Aristocrat Leisure, Ltd. | 76,148 | ||||||
3,148 | Carnival Corp., Class A^ | 51,690 | ||||||
192 | Chipotle Mexican Grill, Inc.* | 202,053 | ||||||
11,695 | Compass Group plc | 160,863 | ||||||
1,597 | Crown Resorts, Ltd. | 10,669 | ||||||
911 | Darden Restaurants, Inc. | 69,026 | ||||||
293 | Domino’s Pizza, Inc. | 108,246 | ||||||
931 | Evolution Gaming Group AB | 55,466 | ||||||
1,132 | Flutter Entertainment plc | 148,577 | ||||||
16,000 | Galaxy Entertainment Group, Ltd. | 108,639 | ||||||
50,400 | Genting Singapore, Ltd. | 27,564 | ||||||
4,348 | GVC Holdings plc | 39,832 | ||||||
1,943 | Hilton Worldwide Holdings, Inc. | 142,713 | ||||||
1,299 | InterContinental Hotels Group plc | 57,567 | ||||||
630 | La Francaise des Jeux SAEM | 19,412 | ||||||
2,466 | Las Vegas Sands Corp. | 112,302 | ||||||
2,042 | Marriott International, Inc., Class A | 175,061 | ||||||
5,328 | McDonald’s Corp. | 982,856 | ||||||
600 | McDonald’s Holdings Co., Ltd. | 32,373 | ||||||
1,176 | Melco Resorts & Entertainment, Ltd., ADR | 18,252 | ||||||
3,693 | MGM Resorts International | 62,042 | ||||||
1,400 | Oriental Land Co., Ltd. | 184,884 | ||||||
2,009 | Restaurant Brands International, Inc. | 109,360 | ||||||
1,327 | Royal Caribbean Cruises, Ltd.^ | 66,748 | ||||||
18,400 | Sands China, Ltd. | 72,005 | ||||||
9,000 | SJM Holdings, Ltd. | 10,062 | ||||||
646 | Sodexo SA | 43,634 | ||||||
8,415 | Starbucks Corp. | 619,260 | ||||||
15,654 | Tabcorp Holdings, Ltd. | 36,647 | ||||||
304 | Vail Resorts, Inc. | 55,374 | ||||||
1,480 | Whitbread plc | 40,686 | ||||||
12,400 | Wynn Macau, Ltd. | 21,543 | ||||||
732 | Wynn Resorts, Ltd. | 54,527 | ||||||
2,222 | Yum! Brands, Inc. | 193,114 | ||||||
|
| |||||||
4,246,948 | ||||||||
|
| |||||||
Household Durables (0.7%): | ||||||||
7,598 | Barratt Developments plc | 46,599 | ||||||
898 | Berkeley Group Holdings plc (The) | 46,272 | ||||||
500 | Casio Computer Co., Ltd. | 8,678 | ||||||
2,472 | D.R. Horton, Inc. | 137,071 | ||||||
1,708 | Electrolux AB, Series B, Class B | 28,523 | ||||||
999 | Garmin, Ltd. | 97,403 | ||||||
2,231 | Husqvarna AB, Class B | 18,249 | ||||||
700 | Iida Group Holdings Co., Ltd. | 10,722 | ||||||
1,877 | Lennar Corp., Class A | 115,661 | ||||||
459 | Mohawk Industries, Inc.* | 46,708 | ||||||
3,000 | Newell Brands, Inc. | 47,640 | ||||||
2,500 | Nikon Corp. | 20,923 | ||||||
26 | NVR, Inc.* | 84,728 |
See accompanying notes to the financial statements.
9
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
15,700 | Panasonic Corp. | $ | 136,879 | |||||
2,384 | Persimmon plc | 67,407 | ||||||
1,929 | PulteGroup, Inc. | 65,644 | ||||||
300 | Rinnai Corp. | 24,981 | ||||||
643 | Roku, Inc.* | 74,929 | ||||||
92 | SEB SA | 15,189 | ||||||
2,800 | Sekisui Chemical Co., Ltd. | 40,055 | ||||||
4,100 | Sekisui House, Ltd. | 78,066 | ||||||
1,800 | Sharp Corp. | 19,148 | ||||||
9,200 | Sony Corp. | 630,116 | ||||||
24,626 | Taylor Wimpey plc | 43,438 | ||||||
9,000 | Techtronic Industries Co., Ltd. | 87,804 | ||||||
481 | Whirlpool Corp. | 62,304 | ||||||
|
| |||||||
2,055,137 | ||||||||
|
| |||||||
Household Products (1.4%): | ||||||||
1,829 | Church & Dwight Co., Inc. | 141,382 | ||||||
918 | Clorox Co. (The) | 201,382 | ||||||
5,863 | Colgate-Palmolive Co. | 429,523 | ||||||
4,048 | Essity AB, Class B* | 130,730 | ||||||
733 | Henkel AG & Co. KGaA | 60,911 | ||||||
2,449 | Kimberly-Clark Corp. | 346,166 | ||||||
1,700 | Lion Corp. | 40,763 | ||||||
900 | Pigeon Corp. | 34,801 | ||||||
17,701 | Procter & Gamble Co. (The) | 2,116,508 | ||||||
5,120 | Reckitt Benckiser Group plc | 471,108 | ||||||
2,700 | Unicharm Corp. | 110,636 | ||||||
|
| |||||||
4,083,910 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
4,853 | AES Corp. (The) | 70,320 | ||||||
1,200 | Electric Power Development Co., Ltd. | 22,754 | ||||||
9,703 | Meridian Energy, Ltd. | 30,092 | ||||||
1,907 | NRG Energy, Inc. | 62,092 | ||||||
1,518 | Uniper SE | 48,986 | ||||||
2,743 | Vistra Energy Corp. | 51,075 | ||||||
|
| |||||||
285,319 | ||||||||
|
| |||||||
Industrial Conglomerates (1.1%): | ||||||||
4,093 | 3M Co. | 638,467 | ||||||
19,500 | CK Hutchison Holdings, Ltd. | 125,008 | ||||||
602 | DCC plc | 50,128 | ||||||
62,823 | General Electric Co. | 429,081 | ||||||
5,117 | Honeywell International, Inc. | 739,867 | ||||||
1,700 | Jardine Matheson Holdings, Ltd. | 71,042 | ||||||
1,700 | Jardine Strategic Holdings, Ltd. | 36,695 | ||||||
700 | Keihan Holdings Co., Ltd. | 31,183 | ||||||
11,300 | Keppel Corp., Ltd.^ | 48,412 | ||||||
5,370 | NWS Holdings, Ltd. | 4,640 | ||||||
776 | Roper Technologies, Inc. | 301,290 | ||||||
1,600 | Seibu Holdings, Inc. | 17,376 | ||||||
5,566 | Siemens AG, Registered Shares | 653,771 | ||||||
2,929 | Smiths Group plc | 51,147 | ||||||
3,000 | Toshiba Corp. | 95,618 | ||||||
|
| |||||||
3,293,725 | ||||||||
|
| |||||||
Insurance (3.2%): | ||||||||
1,398 | Admiral Group plc | 39,779 | ||||||
13,732 | AEGON NV | 40,840 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
5,028 | Aflac, Inc. | $ | 181,159 | |||||
1,358 | Ageas NV | 48,026 | ||||||
85,600 | AIA Group, Ltd. | 796,707 | ||||||
107 | Alleghany Corp. | 52,338 | ||||||
3,025 | Allianz SE, Registered Shares+ | 616,969 | ||||||
2,261 | Allstate Corp. (The) | 219,294 | ||||||
572 | American Financial Group, Inc. | 36,299 | ||||||
6,414 | American International Group, Inc. | 199,989 | ||||||
1,664 | Aon plc, Class A | 320,486 | ||||||
2,955 | Arch Capital Group, Ltd.* | 84,661 | ||||||
1,382 | Arthur J. Gallagher & Co. | 134,731 | ||||||
8,147 | Assicurazioni Generali SpA | 123,112 | ||||||
457 | Assurant, Inc. | 47,204 | ||||||
1,146 | Athene Holding, Ltd., Class A* | 35,744 | ||||||
28,925 | Aviva plc | 97,870 | ||||||
13,267 | AXA SA* | 276,847 | ||||||
364 | Baloise Holding AG, Registered Shares | 54,527 | ||||||
1,718 | Brown & Brown, Inc. | 70,026 | ||||||
3,254 | Chubb, Ltd. | 412,021 | ||||||
1,144 | Cincinnati Financial Corp. | 73,250 | ||||||
1,241 | CNP Assurances SA* | 14,260 | ||||||
8,100 | Dai-ichi Life Holdings, Inc. | 96,483 | ||||||
10,156 | Direct Line Insurance Group plc | 34,052 | ||||||
195 | Erie Indemnity Co., Class A | 37,421 | ||||||
307 | Everest Re Group, Ltd. | 63,303 | ||||||
164 | Fairfax Financial Holdings, Ltd. | 50,675 | ||||||
2,010 | Fidelity National Financial, Inc. | 61,627 | ||||||
1,553 | Gjensidige Forsikring ASA* | 28,618 | ||||||
776 | Globe Life, Inc. | 57,602 | ||||||
2,031 | Great-West Lifeco, Inc. | 35,611 | ||||||
451 | Hannover Rueck SE | 77,567 | ||||||
2,646 | Hartford Financial Services Group, Inc. (The) | 102,003 | ||||||
826 | IA Financial Corp., Inc. | 27,663 | ||||||
17,468 | Insurance Australia Group, Ltd. | 69,806 | ||||||
1,062 | Intact Financial Corp. | 101,091 | ||||||
11,800 | Japan Post Holdings Co., Ltd. | 83,921 | ||||||
1,700 | Japan Post Insurance Co., Ltd. | 22,291 | ||||||
44,202 | Legal & General Group plc | 120,686 | ||||||
1,508 | Lincoln National Corp. | 55,479 | ||||||
1,660 | Loews Corp. | 56,921 | ||||||
14,349 | Manulife Financial Corp. | 195,246 | ||||||
9,659 | Mapfre SA | 17,166 | ||||||
92 | Markel Corp.* | 84,932 | ||||||
3,620 | Marsh & McLennan Cos., Inc. | 388,679 | ||||||
21,022 | Medibank Private, Ltd. | 43,480 | ||||||
5,398 | MetLife, Inc. | 197,135 | ||||||
3,000 | MS&AD Insurance Group Holdings, Inc. | 82,399 | ||||||
1,017 | Muenchener Rueckversicherungs-Gesellschaft AG | 263,915 | ||||||
1,972 | NN Group NV | 66,126 | ||||||
2,748 | Poste Italiane SpA | 23,859 | ||||||
4,239 | Power Corp. of Canada^ | 74,574 | ||||||
2,084 | Principal Financial Group, Inc. | 86,569 | ||||||
4,162 | Progressive Corp. (The) | 333,418 | ||||||
2,696 | Prudential Financial, Inc. | 164,186 | ||||||
18,228 | Prudential plc | 274,462 | ||||||
10,407 | QBE Insurance Group, Ltd. | 63,959 | ||||||
473 | Reinsurance Group of America, Inc. | 37,102 |
See accompanying notes to the financial statements.
10
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
329 | RenaissanceRe Holdings, Ltd. | $ | 56,269 | |||||
7,571 | RSA Insurance Group plc | 38,373 | ||||||
3,079 | Sampo Oyj, Class A | 105,774 | ||||||
1,146 | SCOR SA* | 31,361 | ||||||
2,500 | Sompo Holdings, Inc. | 85,986 | ||||||
1,200 | Sony Financial Holdings, Inc. | 28,886 | ||||||
4,241 | Sun Life Financial, Inc. | 155,874 | ||||||
9,576 | Suncorp Group, Ltd. | 61,291 | ||||||
210 | Swiss Life Holding AG, Registered Shares | 77,683 | ||||||
2,141 | Swiss Re AG | 164,863 | ||||||
4,200 | T&D Holdings, Inc. | 35,911 | ||||||
4,400 | Tokio Marine Holdings, Inc. | 191,716 | ||||||
1,781 | Travelers Cos., Inc. (The) | 203,123 | ||||||
983 | Tryg A/S | 28,444 | ||||||
939 | Willis Towers Watson plc | 184,936 | ||||||
1,116 | WR Berkley Corp. | 63,936 | ||||||
1,067 | Zurich Insurance Group AG | 375,862 | ||||||
|
| |||||||
9,446,454 | ||||||||
|
| |||||||
Interactive Media & Services (3.7%): | ||||||||
2,157 | Alphabet, Inc., Class A* | 3,058,734 | ||||||
2,204 | Alphabet, Inc., Class C* | 3,115,596 | ||||||
6,934 | Auto Trader Group plc | 45,172 | ||||||
17,253 | Facebook, Inc., Class A* | 3,917,640 | ||||||
538 | IAC/InterActiveCorp.* | 173,989 | ||||||
1,100 | Kakaku.com, Inc. | 27,859 | ||||||
500 | Line Corp.* | 25,145 | ||||||
401 | Match Group, Inc.*^ | 42,927 | ||||||
2,197 | Pinterest, Inc., Class A* | 48,707 | ||||||
411 | REA Group, Ltd.^ | 30,752 | ||||||
788 | Scout24 AG | 61,242 | ||||||
6,407 | Snap, Inc., Class A* | 150,500 | ||||||
5,790 | Twitter, Inc.* | 172,484 | ||||||
19,900 | Z Holdings Corp. | 97,129 | ||||||
950 | Zillow Group, Inc., Class C* | 54,730 | ||||||
|
| |||||||
11,022,606 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (3.4%): | ||||||||
3,038 | Amazon.com, Inc.* | 8,381,294 | ||||||
291 | Booking Holdings, Inc.* | 463,371 | ||||||
857 | Delivery Hero SE* | 87,310 | ||||||
5,686 | eBay, Inc. | 298,231 | ||||||
1,039 | Expedia Group, Inc. | 85,406 | ||||||
826 | Just Eat Takeaway*^ | 85,942 | ||||||
328 | MercadoLibre, Inc.* | 323,333 | ||||||
800 | Mercari, Inc.* | 24,726 | ||||||
3,446 | Ocado Group plc* | 86,494 | ||||||
3,455 | Prosus NV* | 320,633 | ||||||
6,500 | Rakuten, Inc. | 57,168 | ||||||
465 | Wayfair, Inc., Class A*^ | 91,889 | ||||||
1,045 | Zalando SE* | 73,488 | ||||||
400 | ZOZO, Inc. | 8,893 | ||||||
|
| |||||||
10,388,178 | ||||||||
|
| |||||||
IT Services (4.5%): | ||||||||
4,534 | Accenture plc, Class C | 973,541 | ||||||
132 | Adyen NV* | 192,293 | ||||||
1,564 | Afterpay, Ltd.* | 67,386 | ||||||
1,134 | Akamai Technologies, Inc.* | 121,440 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
3,127 | Amadeus IT Group SA | $ | 162,693 | |||||
735 | Atos SE* | 62,554 | ||||||
3,117 | Automatic Data Processing, Inc. | 464,090 | ||||||
1,131 | Black Knight, Inc.* | 82,065 | ||||||
1,083 | Booz Allen Hamilton Holding Corp. | 84,247 | ||||||
854 | Broadridge Financial Solutions, Inc. | 107,766 | ||||||
1,172 | Capgemini SA | 134,054 | ||||||
1,683 | CGI, Inc.* | 106,046 | ||||||
3,804 | Cognizant Technology Solutions Corp., Class A | 216,143 | ||||||
3,761 | Computershare, Ltd. | 34,549 | ||||||
412 | EPAM Systems, Inc.* | 103,828 | ||||||
4,360 | Fidelity National Information Services, Inc. | 584,632 | ||||||
4,167 | Fiserv, Inc.* | 406,783 | ||||||
625 | FleetCor Technologies, Inc.* | 157,206 | ||||||
1,400 | Fujitsu, Ltd. | 163,898 | ||||||
676 | Gartner, Inc.* | 82,019 | ||||||
2,157 | Global Payments, Inc. | 365,870 | ||||||
300 | GMO Payment Gateway, Inc. | 31,267 | ||||||
1,155 | GoDaddy, Inc., Class A* | 84,696 | ||||||
6,360 | International Business Machines Corp. | 768,097 | ||||||
800 | Itochu Techno-Solutions Corp. | 29,986 | ||||||
498 | Jack Henry & Associates, Inc. | 91,647 | ||||||
922 | Leidos Holdings, Inc. | 86,364 | ||||||
6,402 | MasterCard, Inc., Class A | 1,893,071 | ||||||
334 | MongoDB, Inc.* | 75,598 | ||||||
2,299 | Nexi SpA* | 39,711 | ||||||
1,920 | Nomura Research Institute, Ltd. | 52,397 | ||||||
4,700 | NTT Data Corp. | 52,303 | ||||||
500 | OBIC Co., Ltd. | 87,936 | ||||||
800 | Okta, Inc.* | 160,184 | ||||||
800 | Otsuka Corp. | 42,143 | ||||||
2,352 | Paychex, Inc. | 178,164 | ||||||
8,012 | PayPal Holdings, Inc.* | 1,395,931 | ||||||
753 | Shopify, Inc., Class A* | 715,483 | ||||||
2,515 | Square, Inc., Class A* | 263,924 | ||||||
1,600 | TIS, Inc. | 34,035 | ||||||
865 | Twilio, Inc., Class A* | 189,798 | ||||||
761 | VeriSign, Inc.* | 157,398 | ||||||
12,216 | Visa, Inc., Class A | 2,359,766 | ||||||
3,142 | Western Union Co. | 67,930 | ||||||
365 | Wix.com, Ltd.* | 93,520 | ||||||
1,014 | Worldline SA* | 87,599 | ||||||
|
| |||||||
13,712,051 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
1,500 | Bandai Namco Holdings, Inc. | 78,845 | ||||||
962 | Hasbro, Inc. | 72,102 | ||||||
800 | Sega Sammy Holdings, Inc. | 9,572 | ||||||
500 | Shimano, Inc. | 96,180 | ||||||
1,100 | Yamaha Corp. | 51,759 | ||||||
|
| |||||||
308,458 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.9%): | ||||||||
2,306 | Agilent Technologies, Inc. | 203,781 | ||||||
3,158 | Avantor, Inc.* | 53,686 | ||||||
170 | Bio-Rad Laboratories, Inc., Class A* | 76,753 | ||||||
89 | Eurofins Scientific SE | 55,790 | ||||||
1,055 | Illumina, Inc.* | 390,719 | ||||||
1,412 | IQVIA Holdings, Inc.* | 200,335 |
See accompanying notes to the financial statements.
11
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services, continued | ||||||||
525 | Lonza Group AG, Registered Shares | $ | 276,902 | |||||
165 | Mettler-Toledo International, Inc.* | 132,916 | ||||||
829 | PerkinElmer, Inc. | 81,317 | ||||||
1,680 | Qiagen NV* | 72,332 | ||||||
198 | Sartorius Stedim Biotech | 49,974 | ||||||
2,860 | Thermo Fisher Scientific, Inc. | 1,036,292 | ||||||
421 | Waters Corp.* | 75,948 | ||||||
|
| |||||||
2,706,745 | ||||||||
|
| |||||||
Machinery (1.8%): | ||||||||
2,355 | Alfa Laval AB* | 51,602 | ||||||
1,388 | Alstom SA | 64,464 | ||||||
2,700 | Amada Holdings Co., Ltd. | 22,072 | ||||||
314 | Andritz AG* | 11,419 | ||||||
2,721 | Atlas Copco AB | 100,513 | ||||||
4,916 | Atlas Copco AB, Class A | 207,948 | ||||||
3,990 | Caterpillar, Inc. | 504,736 | ||||||
7,639 | CNH Industrial NV | 53,360 | ||||||
1,055 | Cummins, Inc. | 182,789 | ||||||
600 | Daifuku Co., Ltd. | 52,428 | ||||||
2,131 | Deere & Co. | 334,887 | ||||||
1,090 | Dover Corp. | 105,250 | ||||||
2,845 | Epiroc AB | 34,759 | ||||||
4,832 | Epiroc AB, Class A | 60,142 | ||||||
1,400 | FANUC Corp. | 250,205 | ||||||
2,164 | Fortive Corp. | 146,416 | ||||||
1,149 | GEA Group AG | 36,259 | ||||||
800 | Hitachi Construction Machinery Co., Ltd. | 22,130 | ||||||
200 | Hoshizaki Corp. | 17,140 | ||||||
567 | IDEX Corp. | 89,609 | ||||||
2,306 | Illinois Tool Works, Inc. | 403,204 | ||||||
2,289 | Ingersoll-Rand, Inc.* | 64,367 | ||||||
800 | JTEKT Corp. | 6,217 | ||||||
1,200 | Kawasaki Heavy Industries, Ltd. | 17,268 | ||||||
523 | Kion Group AG* | 32,104 | ||||||
373 | Knorr-Bremse AG* | 37,737 | ||||||
6,100 | Komatsu, Ltd. | 124,730 | ||||||
2,533 | Kone OYJ, Class B | 174,045 | ||||||
7,800 | Kubota Corp.^ | 116,341 | ||||||
800 | Kurita Water Industries, Ltd. | 22,199 | ||||||
1,700 | Makita Corp. | 61,747 | ||||||
811 | Metso Oyj | 26,538 | ||||||
2,700 | MINEBEA MITSUMI, Inc. | 48,960 | ||||||
2,100 | Misumi Group, Inc. | 52,474 | ||||||
2,400 | Mitsubishi Heavy Industries, Ltd. | 56,625 | ||||||
600 | Miura Co., Ltd. | 24,952 | ||||||
900 | Nabtesco Corp.^ | 27,728 | ||||||
2,000 | NGK Insulators, Ltd. | 27,620 | ||||||
403 | Nordson Corp. | 76,453 | ||||||
2,800 | NSK, Ltd. | 20,767 | ||||||
2,790 | Otis Worldwide Corp. | 158,639 | ||||||
2,578 | PACCAR, Inc. | 192,963 | ||||||
916 | Parker Hannifin Corp. | 167,875 | ||||||
1,179 | Pentair plc | 44,790 | ||||||
8,414 | Sandvik AB* | 156,987 | ||||||
309 | Schindler Holding AG | 72,667 | ||||||
153 | Schindler Holding AG, Registered Shares | 36,012 | ||||||
2,827 | SKF AB, Class B | 52,469 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
400 | SMC Corp. | $ | 204,189 | |||||
307 | Snap-On, Inc. | 42,523 | ||||||
541 | Spirax-Sarco Engineering plc | 66,782 | ||||||
1,081 | Stanley Black & Decker, Inc. | 150,670 | ||||||
400 | Sumitomo Heavy Industries, Ltd. | 8,706 | ||||||
1,000 | THK Co., Ltd. | 24,736 | ||||||
10,660 | Volvo AB, Class B | 166,687 | ||||||
1,362 | Wabtec Corp. | 78,410 | ||||||
3,440 | Wartsila OYJ Abp, Class B | 28,393 | ||||||
1,344 | Xylem, Inc. | 87,306 | ||||||
10,200 | Yangzijiang Shipbuilding Holdings, Ltd. | 6,816 | ||||||
|
| |||||||
5,517,824 | ||||||||
|
| |||||||
Marine (0.0%†): | ||||||||
23 | A.P. Moeller — Maersk A/S, Class A | 24,948 | ||||||
41 | A.P. Moeller — Maersk A/S, Class B | 47,734 | ||||||
412 | Kuehne & Nagel International AG, Registered Shares* | 68,384 | ||||||
600 | Nippon Yusen KK | 8,443 | ||||||
|
| |||||||
149,509 | ||||||||
|
| |||||||
Media (1.1%): | ||||||||
4,894 | Altice Europe NV, Class A* | 18,841 | ||||||
2,454 | Altice USA, Inc., Class A* | 55,313 | ||||||
34 | Cable One, Inc. | 60,345 | ||||||
1,048 | Charter Communications, Inc., Class A* | 534,522 | ||||||
32,703 | Comcast Corp., Class A | 1,274,762 | ||||||
800 | Cyberagent, Inc. | 39,250 | ||||||
1,600 | Dentsu Group, Inc. | 37,958 | ||||||
2,675 | Discovery Communications, Inc., Class C* | 51,521 | ||||||
1,273 | Discovery, Inc., Class A*^ | 26,860 | ||||||
1,860 | DISH Network Corp., Class A* | 64,189 | ||||||
2,294 | Fox Corp., Class A | 61,525 | ||||||
1,218 | Fox Corp., Class B | 32,691 | ||||||
1,700 | Hakuhodo DY Holdings, Inc. | 20,206 | ||||||
10,104 | Informa plc | 58,779 | ||||||
2,836 | Interpublic Group of Cos., Inc. (The) | 48,666 | ||||||
27,380 | ITV plc | 25,296 | ||||||
729 | JCDecaux SA* | 13,539 | ||||||
184 | Liberty Broadband Corp., Class A* | 22,483 | ||||||
735 | Liberty Broadband Corp., Class C* | 91,111 | ||||||
2,955 | Liberty Global plc, Series C* | 63,562 | ||||||
964 | Liberty Global plc, Class A* | 21,073 | ||||||
955 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 32,900 | ||||||
654 | Liberty SiriusXM Group, Class A* | 22,576 | ||||||
2,841 | News Corp., Class A | 33,694 | ||||||
1,631 | Omnicom Group, Inc. | 89,053 | ||||||
5,988 | Pearson plc | 42,796 | ||||||
1,618 | Publicis Groupe SA | 52,300 | ||||||
1,296 | Quebecor, Inc., Class B | 27,851 | ||||||
420 | Schibsted ASA, Class B* | 9,955 | ||||||
2,741 | SES Global, Class A | 18,699 | ||||||
3,498 | Shaw Communications, Inc., Class B | 57,054 | ||||||
8,083 | Sirius XM Holdings, Inc. | 47,447 | ||||||
452 | Telenet Group Holding NV | 18,585 | ||||||
4,246 | ViacomCBS, Inc., Class B^ | 99,017 | ||||||
9,140 | WPP plc | 71,315 | ||||||
|
| |||||||
3,245,734 | ||||||||
|
|
See accompanying notes to the financial statements.
12
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining (1.5%): | ||||||||
1,784 | Agnico Eagle Mines, Ltd. | $ | 114,250 | |||||
8,997 | Anglo American plc | 207,931 | ||||||
2,725 | Antofagasta plc | 31,597 | ||||||
5,066 | ArcelorMittal* | 53,190 | ||||||
7,595 | B2Gold Corp. | 43,195 | ||||||
12,218 | Barrick Gold Corp. | 328,809 | ||||||
15,006 | BHP Group plc | 308,017 | ||||||
21,307 | BHP Group, Ltd. | 528,617 | ||||||
3,893 | BlueScope Steel, Ltd. | 31,565 | ||||||
2,044 | Boliden AB | 46,441 | ||||||
11,861 | Evolution Mining, Ltd. | 47,404 | ||||||
4,905 | EVRAZ plc | 17,485 | ||||||
3,016 | First Quantum Minerals, Ltd. | 24,041 | ||||||
10,418 | Fortescue Metals Group, Ltd. | 99,934 | ||||||
1,405 | Franco-Nevada Corp. | 196,300 | ||||||
10,760 | Freeport-McMoRan, Inc. | 124,493 | ||||||
69,405 | Glencore plc | 146,882 | ||||||
1,100 | Hitachi Metals, Ltd. | 13,098 | ||||||
3,900 | JFE Holdings, Inc. | 27,938 | ||||||
8,423 | Kinross Gold Corp.* | 60,811 | ||||||
1,950 | Kirkland Lake Gold, Ltd. | 80,304 | ||||||
4,863 | Lundin Mining Corp. | 26,081 | ||||||
200 | Maruichi Steel Tube, Ltd. | 4,968 | ||||||
500 | Mitsubishi Materials Corp. | 10,554 | ||||||
5,693 | Newcrest Mining, Ltd. | 126,890 | ||||||
5,880 | Newmont Corp. | 363,031 | ||||||
6,400 | Nippon Steel Corp. | 60,199 | ||||||
10,475 | Norsk Hydro ASA* | 28,987 | ||||||
5,421 | Northern Star Resources, Ltd. | 51,585 | ||||||
2,287 | Nucor Corp. | 94,705 | ||||||
1,538 | Pan American Silver Corp. | 46,716 | ||||||
8,111 | Rio Tinto plc | 456,331 | ||||||
2,538 | Rio Tinto, Ltd. | 172,047 | ||||||
37,662 | South32, Ltd. | 53,313 | ||||||
1,636 | Steel Dynamics, Inc. | 42,683 | ||||||
1,800 | Sumitomo Metal & Mining Co., Ltd. | 50,266 | ||||||
3,681 | Teck Cominco, Ltd., Class B | 38,562 | ||||||
3,097 | ThyssenKrupp AG* | 21,900 | ||||||
1,012 | Voestalpine AG | 21,741 | ||||||
3,312 | Wheaton Precious Metals Corp. | 145,690 | ||||||
6,971 | Yamana Gold, Inc. | 37,900 | ||||||
|
| |||||||
4,386,451 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
3,904 | AGNC Investment Corp. | 50,362 | ||||||
10,041 | Annaly Capital Management, Inc. | 65,869 | ||||||
|
| |||||||
116,231 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
466 | Canadian Tire Corp., Class A | 40,386 | ||||||
1,835 | Dollar General Corp. | 349,586 | ||||||
1,764 | Dollar Tree, Inc.* | 163,488 | ||||||
2,254 | Dollarama, Inc. | 74,990 | ||||||
1,700 | Isetan Mitsukoshi Holdings, Ltd. | 9,749 | ||||||
1,500 | Marui Group Co., Ltd. | 27,092 | ||||||
996 | Next plc | 60,302 | ||||||
2,600 | Pan Pacific International Holdings Corp. | 57,028 | ||||||
1,800 | Ryohin Keikaku Co., Ltd. | 25,478 | ||||||
3,653 | Target Corp. | 438,104 | ||||||
|
| |||||||
1,246,203 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Multi-Utilities (1.0%): | ||||||||
4,906 | AGL Energy, Ltd. | $ | 57,845 | |||||
3,348 | Algonquin Power & Utilities Corp.^ | 43,287 | ||||||
1,753 | Ameren Corp. | 123,341 | ||||||
325 | Atco, Ltd. | 9,642 | ||||||
993 | Canadian Utilities, Ltd., Class A | 24,726 | ||||||
3,724 | CenterPoint Energy, Inc. | 69,527 | ||||||
2,088 | CMS Energy Corp. | 121,981 | ||||||
2,460 | Consolidated Edison, Inc. | 176,948 | ||||||
5,956 | Dominion Energy, Inc. | 483,508 | ||||||
1,387 | DTE Energy Co. | 149,103 | ||||||
16,497 | E.ON SE | 185,457 | ||||||
13,344 | Engie Group* | 164,695 | ||||||
25,941 | National Grid plc | 317,601 | ||||||
2,706 | NiSource, Inc. | 61,534 | ||||||
3,708 | Public Service Enterprise Group, Inc. | 182,285 | ||||||
3,966 | RWE AG | 138,734 | ||||||
2,101 | Sempra Energy | 246,300 | ||||||
2,567 | Suez | 30,054 | ||||||
3,874 | Veolia Environnement SA | 87,006 | ||||||
2,175 | WEC Energy Group, Inc. | 190,639 | ||||||
|
| |||||||
2,864,213 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.1%): | ||||||||
1,849 | Ampol, Ltd. | 37,550 | ||||||
143,436 | BP plc | 545,028 | ||||||
3,109 | Cabot Oil & Gas Corp. | 53,413 | ||||||
3,160 | Cameco Corp. | 32,405 | ||||||
8,471 | Canadian Natural Resources, Ltd. | 146,966 | ||||||
7,554 | Cenovus Energy, Inc. | 35,338 | ||||||
1,732 | Cheniere Energy, Inc.* | 83,690 | ||||||
13,439 | Chevron Corp. | 1,199,162 | ||||||
1,504 | Concho Resources, Inc. | 77,456 | ||||||
7,843 | ConocoPhillips Co. | 329,563 | ||||||
1,162 | Diamondback Energy, Inc. | 48,595 | ||||||
595 | Enagas SA | 14,523 | ||||||
14,625 | Enbridge, Inc. | 444,763 | ||||||
19,850 | ENEOS Holdings, Inc. | 70,342 | ||||||
18,784 | ENI SpA | 178,851 | ||||||
4,276 | EOG Resources, Inc. | 216,622 | ||||||
6,509 | Equinor ASA | 92,606 | ||||||
30,413 | Exxon Mobil Corp. | 1,360,068 | ||||||
3,919 | Galp Energia SGPS SA | 45,267 | ||||||
2,044 | Hess Corp. | 105,900 | ||||||
1,179 | HollyFrontier Corp. | 34,427 | ||||||
1,482 | Idemitsu Kosan Co., Ltd. | 31,446 | ||||||
2,002 | Imperial Oil, Ltd. | 32,211 | ||||||
7,700 | INPEX Corp. | 47,677 | ||||||
3,047 | Inter Pipeline, Ltd.^ | 28,373 | ||||||
1,625 | Keyera Corp.^ | 24,745 | ||||||
14,218 | Kinder Morgan, Inc. | 215,687 | ||||||
334 | Koninklijke Vopak NV | 17,650 | ||||||
1,394 | Lundin Energy AB | 33,555 | ||||||
4,665 | Marathon Petroleum Corp. | 174,378 | ||||||
3,153 | Neste Oyj | 123,129 | ||||||
6,476 | Occidental Petroleum Corp. | 118,511 | ||||||
11,878 | Oil Search, Ltd. | 26,149 | ||||||
1,126 | OMV AG* | 37,591 | ||||||
2,784 | ONEOK, Inc. | 92,484 |
See accompanying notes to the financial statements.
13
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
13,304 | Origin Energy, Ltd. | $ | 53,877 | |||||
1,132 | Parkland Corp. | 28,112 | ||||||
3,955 | Pembina Pipeline Corp. | 98,890 | ||||||
3,093 | Phillips 66 | 222,387 | ||||||
1,175 | Pioneer Natural Resources Co. | 114,798 | ||||||
10,336 | Repsol SA | 90,199 | ||||||
29,261 | Royal Dutch Shell plc, Class A | 465,533 | ||||||
26,847 | Royal Dutch Shell plc, Class B | 406,185 | ||||||
13,592 | Santos, Ltd. | 49,962 | ||||||
15,864 | Snam SpA | 77,154 | ||||||
11,148 | Suncor Energy, Inc. | 187,990 | ||||||
6,961 | TC Energy Corp. | 297,436 | ||||||
17,887 | Total SA^ | 681,253 | ||||||
2,964 | Valero Energy Corp. | 174,342 | ||||||
518 | Washington H. Soul Pattinson & Co., Ltd. | 7,022 | ||||||
8,848 | Williams Cos., Inc. | 168,289 | ||||||
6,009 | Woodside Petroleum, Ltd. | 90,282 | ||||||
|
| |||||||
9,369,832 | ||||||||
|
| |||||||
Paper & Forest Products (0.1%): | ||||||||
3,676 | Mondi plc | 68,678 | ||||||
6,500 | Oji Holdings Corp. | 30,200 | ||||||
4,496 | Stora Enso OYJ, Registered Shares, Class R | 53,611 | ||||||
4,438 | Svenska Cellulosa AB SCA, Class B* | 52,719 | ||||||
3,727 | UPM-Kymmene OYJ | 107,545 | ||||||
|
| |||||||
312,753 | ||||||||
|
| |||||||
Personal Products (0.8%): | ||||||||
766 | Beiersdorf AG | 86,899 | ||||||
1,582 | Estee Lauder Co., Inc. (The), Class A | 298,492 | ||||||
3,400 | Kao Corp. | 269,206 | ||||||
200 | Kobayashi Pharmaceutical Co., Ltd. | 17,573 | ||||||
300 | Kose Corp. | 36,073 | ||||||
1,789 | L’Oreal SA* | 573,488 | ||||||
400 | Pola Orbis Holdings, Inc. | 6,959 | ||||||
2,900 | Shiseido Co., Ltd. | 183,886 | ||||||
10,641 | Unilever NV | 564,302 | ||||||
8,266 | Unilever plc | 445,609 | ||||||
|
| |||||||
2,482,487 | ||||||||
|
| |||||||
Pharmaceuticals (5.6%): | ||||||||
13,000 | Astellas Pharma, Inc. | 216,436 | ||||||
9,401 | AstraZeneca plc | 979,861 | ||||||
2,374 | Bausch Health Cos., Inc.* | 43,443 | ||||||
7,106 | Bayer AG, Registered Shares | 521,534 | ||||||
16,285 | Bristol-Myers Squibb Co. | 957,558 | ||||||
1,580 | Canopy Growth Corp.*^ | 25,596 | ||||||
1,144 | Catalent, Inc.* | 83,855 | ||||||
4,500 | Chugai Pharmaceutical Co., Ltd. | 240,590 | ||||||
647 | Cronos Group, Inc.* | 3,899 | ||||||
4,000 | Daiichi Sankyo Co., Ltd. | 326,712 | ||||||
1,800 | Eisai Co., Ltd. | 142,698 | ||||||
2,689 | Elanco Animal Health, Inc.* | 57,679 | ||||||
6,157 | Eli Lilly & Co. | 1,010,856 | ||||||
35,726 | GlaxoSmithKline plc | 723,759 | ||||||
256 | H. Lundbeck A/S | 9,622 | ||||||
1,065 | Hikma Pharmaceuticals plc | 29,268 | ||||||
300 | Hisamitsu Pharmaceutical Co., Inc. | 16,168 | ||||||
283 | Ipsen SA | 24,028 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
421 | Jazz Pharmaceuticals plc* | $ | 46,453 | |||||
18,921 | Johnson & Johnson Co. | 2,660,861 | ||||||
1,800 | Kyowa Kirin Co., Ltd.^ | 47,234 | ||||||
18,196 | Merck & Co., Inc. | 1,407,097 | ||||||
969 | Merck KGaA | 112,326 | ||||||
3,851 | Mylan NV* | 61,924 | ||||||
400 | Nippon Shinyaku Co., Ltd. | 32,530 | ||||||
15,501 | Novartis AG, Registered Shares | 1,347,248 | ||||||
12,686 | Novo Nordisk A/S, Class B | 821,012 | ||||||
2,900 | Ono Pharmaceutical Co., Ltd. | 84,365 | ||||||
791 | Orion OYJ, Class B | 38,239 | ||||||
2,900 | Otsuka Holdings Co., Ltd.^ | 126,411 | ||||||
974 | Perrigo Co. plc | 53,833 | ||||||
39,596 | Pfizer, Inc. | 1,294,789 | ||||||
820 | Recordati SpA | 40,910 | ||||||
5,074 | Roche Holding AG | 1,757,244 | ||||||
8,102 | Sanofi | 824,222 | ||||||
2,700 | Santen Pharmaceutical Co., Ltd. | 49,640 | ||||||
1,800 | Shionogi & Co., Ltd. | 112,695 | ||||||
1,300 | Sumitomo Dainippon Pharma Co., Ltd. | 17,974 | ||||||
300 | Taisho Pharmaceutical Holdings Co., Ltd. | 18,363 | ||||||
11,150 | Takeda Pharmacuetical Co., Ltd. | 398,006 | ||||||
8,108 | Teva Pharmaceutical Industries, Ltd., ADR* | 99,972 | ||||||
960 | UCB SA | 111,110 | ||||||
343 | Vifor Pharma AG | 51,554 | ||||||
3,438 | Zoetis, Inc. | 471,144 | ||||||
|
| |||||||
17,500,718 | ||||||||
|
| |||||||
Professional Services (0.9%): | ||||||||
1,182 | Adecco SA, Registered Shares | 55,396 | ||||||
2,096 | Bureau Veritas SA | 44,157 | ||||||
267 | CoStar Group, Inc.* | 189,749 | ||||||
907 | Equifax, Inc. | 155,895 | ||||||
6,326 | Experian plc | 220,609 | ||||||
2,805 | IHS Markit, Ltd. | 211,778 | ||||||
1,187 | Intertek Group plc | 79,892 | ||||||
2,656 | Nielsen Holdings plc | 39,468 | ||||||
1,100 | Nihon M&A Center, Inc. | 49,695 | ||||||
1,300 | Persol Holdings Co., Ltd. | 17,859 | ||||||
912 | Randstad NV | 40,573 | ||||||
9,300 | Recruit Holdings Co., Ltd. | 317,957 | ||||||
13,820 | RELX plc | 319,815 | ||||||
889 | Robert Half International, Inc. | 46,966 | ||||||
2,550 | Seek, Ltd. | 38,692 | ||||||
41 | SGS SA, Registered Shares | 100,071 | ||||||
415 | Teleperformance* | 105,204 | ||||||
1,257 | Thomson Reuters Corp. | 85,417 | ||||||
1,390 | TransUnion | 120,986 | ||||||
1,141 | Verisk Analytics, Inc. | 194,198 | ||||||
1,906 | Wolters Kluwer NV | 148,675 | ||||||
|
| |||||||
2,583,052 | ||||||||
|
| |||||||
Real Estate Management & Development (0.6%): | ||||||||
400 | AEON Mall Co., Ltd. | 5,307 | ||||||
8,052 | Aroundtown SA | 46,084 | ||||||
372 | Azrieli Group | 16,863 | ||||||
14,700 | CapitaLand, Ltd.* | 30,882 | ||||||
2,382 | CBRE Group, Inc., Class A* | 107,714 | ||||||
3,700 | City Developments, Ltd. | 22,424 |
See accompanying notes to the financial statements.
14
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
18,000 | CK Asset Holdings, Ltd. | $ | 107,039 | |||||
500 | Daito Trust Construction Co., Ltd. | 45,946 | ||||||
4,200 | Daiwa House Industry Co., Ltd. | 99,073 | ||||||
2,349 | Deutsche Wohnen SE | 105,369 | ||||||
16,000 | Hang Lung Properties, Ltd. | 37,931 | ||||||
11,324 | Henderson Land Development Co., Ltd. | 42,884 | ||||||
7,400 | Hongkong Land Holdings, Ltd. | 30,629 | ||||||
2,400 | Hulic Co., Ltd.^ | 22,735 | ||||||
384 | Jones Lang LaSalle, Inc. | 39,729 | ||||||
2,500 | Kerry Properties, Ltd. | 6,459 | ||||||
506 | LEG Immobilien AG* | 64,191 | ||||||
4,194 | Lend Lease Group | 35,983 | ||||||
8,500 | Mitsubishi Estate Co., Ltd. | 126,418 | ||||||
6,600 | Mitsui Fudosan Co., Ltd. | 116,963 | ||||||
11,827 | New World Development Co., Ltd. | 56,217 | ||||||
1,000 | Nomura Real Estate Holdings, Inc. | 18,566 | ||||||
24,117 | Sino Land Co., Ltd. | 30,367 | ||||||
1,900 | Sumitomo Realty & Development Co., Ltd. | 52,252 | ||||||
9,500 | Sun Hung Kai Properties, Ltd. | 121,074 | ||||||
4,000 | Swire Pacific, Ltd., Class A | 21,158 | ||||||
9,800 | Swire Properties, Ltd. | 24,888 | ||||||
556 | Swiss Prime Site AG | 51,373 | ||||||
4,600 | Tokyu Fudosan Holdings Corp. | 21,528 | ||||||
4,569 | UOL Group, Ltd. | 22,336 | ||||||
3,575 | Vonovia SE* | 218,974 | ||||||
12,000 | Wharf Real Estate Investment Co., Ltd.^ | 57,270 | ||||||
|
| |||||||
1,806,626 | ||||||||
|
| |||||||
Road & Rail (1.3%): | ||||||||
68 | AMERCO, Inc. | 20,549 | ||||||
15,355 | Aurizon Holdings, Ltd. | 52,264 | ||||||
5,158 | Canadian National Railway Co. | 456,407 | ||||||
926 | Canadian Pacific Railway, Ltd., Class 1 | 235,573 | ||||||
1,000 | Central Japan Railway Co. | 154,819 | ||||||
5,511 | CSX Corp. | 384,337 | ||||||
1,523 | DSV PANALPINA A/S | 185,819 | ||||||
2,200 | East Japan Railway Co. | 152,481 | ||||||
1,700 | Hankyu Hanshin Holdings, Inc. | 57,469 | ||||||
643 | J.B. Hunt Transport Services, Inc. | 77,379 | ||||||
686 | Kansas City Southern | 102,413 | ||||||
1,700 | Keikyu Corp. | 26,026 | ||||||
800 | Keio Corp. | 45,698 | ||||||
1,000 | Keisei Electric Railway Co., Ltd. | 31,311 | ||||||
1,300 | Kintetsu Group Holdings Co., Ltd. | 58,397 | ||||||
980 | Knight-Swift Transportation Holdings, Inc. | 40,876 | ||||||
1,200 | Kyushu Railway Co. | 31,137 | ||||||
11,500 | MTR Corp., Ltd. | 59,484 | ||||||
1,400 | Nagoya Railroad Co., Ltd.^ | 39,525 | ||||||
600 | Nippon Express Co., Ltd. | 31,060 | ||||||
1,858 | Norfolk Southern Corp. | 326,209 | ||||||
2,200 | Odakyu Electric Railway Co., Ltd. | 54,082 | ||||||
663 | Old Dominion Freight Line, Inc. | 112,438 | ||||||
1,500 | Tobu Railway Co., Ltd. | 49,582 | ||||||
3,800 | Tokyu Corp. | 53,463 | ||||||
6,959 | Uber Technologies, Inc.* | 216,286 | ||||||
4,905 | Union Pacific Corp. | 829,288 | ||||||
1,200 | West Japan Railway Co. | 67,297 | ||||||
|
| |||||||
3,951,669 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (3.8%): | ||||||||
8,289 | Advanced Micro Devices, Inc.* | $ | 436,084 | |||||
1,500 | Advantest Corp. | 85,213 | ||||||
2,613 | Analog Devices, Inc. | 320,458 | ||||||
6,618 | Applied Materials, Inc. | 400,058 | ||||||
2,200 | ASM Pacific Technology, Ltd. | 23,253 | ||||||
3,052 | ASML Holding NV | 1,118,703 | ||||||
2,853 | Broadcom, Inc. | 900,435 | ||||||
200 | Disco Corp. | 48,432 | ||||||
9,241 | Infineon Technologies AG | 215,975 | ||||||
30,589 | Intel Corp. | 1,830,140 | ||||||
1,083 | KLA Corp. | 210,622 | ||||||
1,029 | Lam Research Corp. | 332,840 | ||||||
600 | Lasertec Corp. | 56,585 | ||||||
4,722 | Marvell Technology Group, Ltd. | 165,553 | ||||||
2,009 | Maxim Integrated Products, Inc. | 121,765 | ||||||
1,772 | Microchip Technology, Inc. | 186,609 | ||||||
7,940 | Micron Technology, Inc.* | 409,069 | ||||||
4,398 | NVIDIA Corp. | 1,670,844 | ||||||
1,935 | NXP Semiconductors NV | 220,667 | ||||||
2,979 | ON Semiconductor Corp.* | 59,044 | ||||||
871 | Qorvo, Inc.* | 96,272 | ||||||
8,161 | Qualcomm, Inc. | 744,365 | ||||||
5,800 | Renesas Electronics Corp.* | 29,682 | ||||||
700 | ROHM Co., Ltd. | 46,396 | ||||||
1,160 | Skyworks Solutions, Inc. | 148,318 | ||||||
4,874 | STMicroelectronics NV | 132,212 | ||||||
1,900 | SUMCO Corp.^ | 29,091 | ||||||
1,262 | Teradyne, Inc. | 106,652 | ||||||
6,652 | Texas Instruments, Inc. | 844,604 | ||||||
1,000 | Tokyo Electron, Ltd. | 245,446 | ||||||
1,612 | Xilinx, Inc. | 158,605 | ||||||
|
| |||||||
11,393,992 | ||||||||
|
| |||||||
Software (6.9%): | ||||||||
3,453 | Adobe, Inc.* | 1,503,124 | ||||||
609 | ANSYS, Inc.* | 177,664 | ||||||
1,566 | Autodesk, Inc.* | 374,572 | ||||||
543 | Avalara, Inc.* | 72,268 | ||||||
462 | AVEVA Group plc | 23,385 | ||||||
2,273 | BlackBerry, Ltd.* | 11,085 | ||||||
2,038 | Cadence Design Systems, Inc.* | 195,566 | ||||||
922 | CDK Global, Inc. | 38,189 | ||||||
827 | Check Point Software Technologies, Ltd.* | 88,844 | ||||||
851 | Citrix Systems, Inc. | 125,871 | ||||||
145 | Constellation Software, Inc. | 163,747 | ||||||
488 | Coupa Software, Inc.* | 135,196 | ||||||
758 | Crowdstrike Holdings, Inc., Class A* | 76,020 | ||||||
289 | CyberArk Software, Ltd.* | 28,689 | ||||||
891 | Dassault Systemes SA | 153,545 | ||||||
772 | Datadog, Inc., Class A* | 67,125 | ||||||
1,249 | DocuSign, Inc.* | 215,090 | ||||||
1,830 | Dropbox, Inc., Class A* | 39,839 | ||||||
926 | Dynatrace, Inc.* | 37,596 | ||||||
214 | Fair Isaac Corp.* | 89,461 | ||||||
1,085 | Fortinet, Inc.* | 148,938 | ||||||
626 | Guidewire Software, Inc.* | 69,392 | ||||||
1,837 | Intuit, Inc. | 544,101 | ||||||
51,878 | Microsoft Corp. | 10,557,691 |
See accompanying notes to the financial statements.
15
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
423 | Nemetschek SE | $ | 29,020 | |||||
456 | NICE Systems, Ltd.* | 86,207 | ||||||
3,948 | NortonLifeLock, Inc. | 78,289 | ||||||
2,075 | Open Text Corp. | 88,127 | ||||||
300 | Oracle Corp. | 35,404 | ||||||
15,984 | Oracle Corp. | 883,436 | ||||||
369 | Paycom Software, Inc.* | 114,290 | ||||||
824 | PTC, Inc.* | 64,099 | ||||||
491 | RingCentral, Inc., Class A* | 139,940 | ||||||
8,232 | Sage Group plc | 68,445 | ||||||
6,038 | Salesforce.com, Inc.* | 1,131,099 | ||||||
7,466 | SAP SE | 1,039,148 | ||||||
1,367 | ServiceNow, Inc.* | 553,717 | ||||||
2,254 | Slack Technologies, Inc., Class A*^ | 70,077 | ||||||
1,133 | Splunk, Inc.* | 225,127 | ||||||
1,704 | SS&C Technologies Holdings, Inc. | 96,242 | ||||||
1,087 | Synopsys, Inc.* | 211,965 | ||||||
952 | TeamViewer AG* | 51,935 | ||||||
496 | Temenos AG | 76,923 | ||||||
299 | The Trade Desk, Inc., Class A* | 121,544 | ||||||
1,000 | Trend Micro, Inc. | 55,855 | ||||||
291 | Tyler Technologies, Inc.* | 100,942 | ||||||
611 | VMware, Inc., Class A* | 94,619 | ||||||
564 | WiseTech Global, Ltd. | 7,541 | ||||||
1,209 | Workday, Inc., Class A* | 226,518 | ||||||
794 | Zoom Video Communications, Inc., Class A*^ | 201,311 | ||||||
|
| |||||||
20,788,818 | ||||||||
|
| |||||||
Specialty Retail (1.7%): | ||||||||
100 | ABC-Mart, Inc. | 5,851 | ||||||
538 | Advance Auto Parts, Inc. | 76,638 | ||||||
174 | AutoZone, Inc.* | 196,293 | ||||||
1,602 | Best Buy Co, Inc. | 139,807 | ||||||
495 | Burlington Stores, Inc.* | 97,480 | ||||||
1,237 | CarMax, Inc.* | 110,773 | ||||||
400 | Fast Retailing Co., Ltd. | 229,055 | ||||||
5,968 | Hennes & Mauritz AB, Class B | 86,324 | ||||||
100 | Hikari Tsushin, Inc. | 22,777 | ||||||
7,805 | Home Depot, Inc. (The) | 1,955,231 | ||||||
8,130 | Industria de Diseno Textil SA | 214,933 | ||||||
3,319 | JD Sports Fashion plc | 25,551 | ||||||
16,302 | Kingfisher plc | 44,532 | ||||||
5,483 | Lowe’s Cos., Inc. | 740,863 | ||||||
500 | Nitori Co., Ltd. | 97,941 | ||||||
499 | O’Reilly Automotive, Inc.* | 210,413 | ||||||
2,541 | Ross Stores, Inc. | 216,595 | ||||||
100 | Shimamura Co., Ltd. | 6,770 | ||||||
809 | Tiffany & Co. | 98,649 | ||||||
8,739 | TJX Cos., Inc. (The) | 441,844 | ||||||
779 | Tractor Supply Co. | 102,664 | ||||||
416 | Ulta Beauty, Inc.* | 84,623 | ||||||
1,700 | USS Co., Ltd. | 27,163 | ||||||
5,400 | Yamada Denki Co., Ltd. | 26,791 | ||||||
|
| |||||||
5,259,561 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.2%): | ||||||||
31,414 | Apple, Inc. | 11,459,826 | ||||||
1,800 | Brother Industries, Ltd. | 32,440 | ||||||
7,200 | Canon, Inc.^ | 143,263 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
1,173 | Dell Technologies, Inc., Class C* | $ | 64,445 | |||||
2,700 | FUJIFILM Holdings Corp. | 115,545 | ||||||
9,644 | Hewlett Packard Enterprise Co. | 93,836 | ||||||
10,023 | HP, Inc. | 174,701 | ||||||
1,205 | Logitech International SA, Class R | 78,592 | ||||||
1,900 | NEC Corp. | 91,131 | ||||||
1,453 | NetApp, Inc. | 64,470 | ||||||
5,000 | Ricoh Co., Ltd. | 35,685 | ||||||
1,811 | Seagate Technology plc | 87,671 | ||||||
2,200 | Seiko Epson Corp. | 25,177 | ||||||
2,210 | Western Digital Corp. | 97,572 | ||||||
|
| |||||||
12,564,354 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.2%): | ||||||||
1,344 | Adidas AG* | 351,587 | ||||||
3,081 | Burberry Group plc | 60,959 | ||||||
3,656 | Cie Financiere Richemont SA | 232,872 | ||||||
1,539 | Gildan Activewear, Inc. | 23,844 | ||||||
235 | Hermes International SA | 196,120 | ||||||
536 | Kering | 291,115 | ||||||
907 | Lululemon Athletica, Inc.* | 282,993 | ||||||
1,997 | LVMH Moet Hennessy Louis Vuitton SA | 874,611 | ||||||
1,454 | Moncler SpA | 55,513 | ||||||
8,975 | Nike, Inc., Class B | 879,999 | ||||||
779 | Pandora A/S | 42,294 | ||||||
629 | Puma SE* | 48,502 | ||||||
400 | Ralph Lauren Corp. | 29,008 | ||||||
196 | Swatch Group AG (The), Class B | 39,063 | ||||||
199 | Swatch Group AG (The), Registered Shares | 7,773 | ||||||
2,476 | VF Corp. | 150,887 | ||||||
|
| |||||||
3,567,140 | ||||||||
|
| |||||||
Tobacco (0.8%): | ||||||||
13,161 | Altria Group, Inc. | 516,569 | ||||||
16,717 | British American Tobacco plc | 642,185 | ||||||
6,692 | Imperial Brands plc, Class A | 127,416 | ||||||
8,900 | Japan Tobacco, Inc. | 165,152 | ||||||
11,068 | Philip Morris International, Inc. | 775,424 | ||||||
1,251 | Swedish Match AB, Class B | 87,868 | ||||||
|
| |||||||
2,314,614 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.5%): | ||||||||
941 | AerCap Holdings NV* | 28,983 | ||||||
2,947 | Ashtead Group plc | 99,051 | ||||||
1,146 | Brenntag AG | 60,157 | ||||||
2,436 | Bunzl plc | 65,300 | ||||||
3,915 | Fastenal Co. | 167,719 | ||||||
1,670 | Ferguson plc | 136,592 | ||||||
1,243 | HD Supply Holdings, Inc.* | 43,070 | ||||||
9,200 | Itochu Corp. | 198,151 | ||||||
11,800 | Marubeni Corp. | 53,383 | ||||||
10,000 | Mitsubishi Corp. | 210,559 | ||||||
12,100 | Mitsui & Co., Ltd. | 178,947 | ||||||
1,000 | MonotaRo Co., Ltd. | 40,059 | ||||||
8,100 | Sumitomo Corp. | 92,771 | ||||||
1,600 | Toyota Tsushu Corp. | 40,526 | ||||||
576 | United Rentals, Inc.* | 85,847 | ||||||
345 | W.W. Grainger, Inc. | 108,385 | ||||||
|
| |||||||
1,609,500 | ||||||||
|
|
See accompanying notes to the financial statements.
16
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Transportation Infrastructure (0.2%): | ||||||||
534 | Aena SME SA* | $ | 71,084 | |||||
215 | Aeroports de Paris | 22,041 | ||||||
3,673 | Atlantia SpA* | 58,904 | ||||||
7,444 | Auckland International Airport, Ltd. | 31,484 | ||||||
155 | Fraport AG^ | 6,753 | ||||||
3,224 | Getlink SE | 46,460 | ||||||
400 | Japan Airport Terminal Co., Ltd. | 17,039 | ||||||
500 | Kamigumi Co., Ltd. | 9,807 | ||||||
8,491 | Sydney Airport | 33,282 | ||||||
19,947 | Transurban Group | 194,727 | ||||||
|
| |||||||
491,581 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
1,322 | American Water Works Co., Inc. | 170,088 | ||||||
1,615 | Essential Utilities, Inc. | 68,218 | ||||||
1,771 | Severn Trent plc | 54,328 | ||||||
5,043 | United Utilities Group plc | 56,797 | ||||||
|
| |||||||
349,431 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.7%): | ||||||||
12,100 | KDDI Corp. | 362,843 | ||||||
8,600 | NTT DoCoMo, Inc. | 229,449 | ||||||
2,374 | Rogers Communications, Inc., Class B | 95,404 | ||||||
14,000 | Softbank Corp. | 178,221 | ||||||
11,300 | SoftBank Group Corp. | 569,462 | ||||||
3,563 | Tele2 AB | 47,207 | ||||||
3,832 | T-Mobile USA, Inc.* | 399,103 | ||||||
185,322 | Vodafone Group plc | 295,458 | ||||||
|
| |||||||
2,177,147 | ||||||||
|
| |||||||
Total Common Stocks (Cost $280,608,764) | 299,867,958 | |||||||
|
| |||||||
Preferred Stocks (0.1%): | ||||||||
Automobiles (0.1%): | ||||||||
468 | Bayerische Motoren Werke AG (BMW), 5.85%, 5/15/20 | 22,647 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Preferred Stocks, continued | ||||||||
Automobiles, continued | ||||||||
966 | Porsche Automobil Holding SE, 4.33%, 5/20/20* | $ | 55,357 | |||||
1,365 | Volkswagen AG, 3.61%, 5/8/20* | 206,409 | ||||||
|
| |||||||
284,413 | ||||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
1,254 | Henkel AG & Co. KGaA, 2.24%, 4/21/20 | 116,569 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $462,820) | 400,982 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Construction & Engineering (0.0%†): | ||||||||
2,103 | ACS Actividades de Construccion y Servicios SA, Expires on 7/8/20* | 3,280 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
34,230 | Telefonica SA, Expires on 7/2/20*^ | 6,734 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
10,336 | Repsol SA, Expires on 7/7/20* | 5,031 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.0%†): | ||||||||
3,027 | T-Mobile USA, Inc., Expires on 7/28/20* | 509 | ||||||
|
| |||||||
Total Rights (Cost $16,427) | 15,554 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (1.3%): | ||||||||
3,993,887 | BlackRock Liquidity FedFund, Institutional Class, 1.81%(a)(b) | 3,993,887 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 3,993,887 | ||||||
|
| |||||||
Total Investment Securities (Cost $285,081,898) — 100.8% | 304,278,381 | |||||||
Net other assets (liabilities) — (0.8)% | (2,459,703 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 301,818,678 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $3,819,269. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(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, 2020. |
(b) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
17
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2020 (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, 2020:
(Unaudited)
Country | Percentage | |||
Argentina | 0.1 | % | ||
Australia | 2.2 | % | ||
Austria | 0.1 | % | ||
Belgium | 0.3 | % | ||
Bermuda | 0.2 | % | ||
Canada | 3.2 | % | ||
China | — | %† | ||
Denmark | 0.7 | % | ||
Finland | 0.4 | % | ||
France | 3.2 | % | ||
Germany | 2.8 | % | ||
Hong Kong | 1.0 | % | ||
Ireland | 0.9 | % | ||
Isle of Man | — | %† | ||
Israel | 0.2 | % |
Country | Percentage | |||
Italy | 0.7 | % | ||
Japan | 7.9 | % | ||
Liberia | — | %† | ||
Luxembourg | — | %† | ||
Netherlands | 1.5 | % | ||
New Zealand | 0.1 | % | ||
Norway | 0.2 | % | ||
Panama | — | %† | ||
Portugal | 0.1 | % | ||
Singapore | 0.3 | % | ||
Spain | 0.7 | % | ||
Sweden | 0.9 | % | ||
Switzerland | 3.4 | % | ||
United Kingdom | 4.8 | % | ||
United States | 64.1 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
Futures Contracts
Cash of $175,129 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/18/20 | 7 | $ | 253,452 | $ | 3,160 | ||||||||||
FTSE 100 Index September Futures (British Pounds) | 9/18/20 | 2 | 152,322 | (1,509 | ) | |||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/18/20 | 8 | 1,236,080 | 15,482 | ||||||||||||
SGX Nikkei 225 Index September Futures (Japanese Yen) | 9/10/20 | 2 | 206,187 | 2,683 | ||||||||||||
|
| |||||||||||||||
$ | 19,816 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
18
AZL MSCI Global Equity Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 283,957,358 | |||
Investments in affiliates, at cost | 1,124,540 | ||||
|
| ||||
Investment securities, at value(a) | $ | 303,065,634 | |||
Investments in affiliates, at value | 1,212,747 | ||||
Segregated cash for collateral for futures contracts | 175,129 | ||||
Interest and dividends receivable | 293,205 | ||||
Foreign currency, at value (cost $566,633) | 568,582 | ||||
Receivable for investments sold | 1,272,901 | ||||
Receivable for variation margin on futures contracts | 17,687 | ||||
Reclaims receivable | 235,373 | ||||
Prepaid expenses | 114 | ||||
|
| ||||
Total Assets | 306,841,372 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 119,574 | ||||
Payable for investments purchased | 277,546 | ||||
Payable for capital shares redeemed | 416,709 | ||||
Payable for collateral received on loaned securities | 3,993,887 | ||||
Manager fees payable | 77,591 | ||||
Administration fees payable | 7,901 | ||||
Distribution fees payable | 62,573 | ||||
Custodian fees payable | 15,333 | ||||
Administrative and compliance services fees payable | 714 | ||||
Transfer agent fees payable | 1,445 | ||||
Trustee fees payable | 4,474 | ||||
Other accrued liabilities | 44,947 | ||||
|
| ||||
Total Liabilities | 5,022,694 | ||||
|
| ||||
Net Assets | $ | 301,818,678 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 279,130,203 | |||
Total distributable earnings | 22,688,475 | ||||
|
| ||||
Net Assets | $ | 301,818,678 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 25,597,361 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.79 | |||
|
|
(a) | Includes securities on loan of $3,819,269. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 3,669,772 | |||
Dividends from affiliates | 39,394 | ||||
Income from securities lending | 13,901 | ||||
Foreign withholding tax | (199,022 | ) | |||
|
| ||||
Total Investment Income | 3,524,045 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,049,029 | ||||
Administration fees | 57,249 | ||||
Distribution fees | 374,653 | ||||
Custodian fees | 31,645 | ||||
Administrative and compliance services fees | 2,611 | ||||
Transfer agent fees | 2,599 | ||||
Trustee fees | 8,132 | ||||
Professional fees | 7,372 | ||||
Shareholder reports | 4,463 | ||||
Other expenses | 70,275 | ||||
|
| ||||
Total expenses before reductions | 1,608,028 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (584,456 | ) | |||
|
| ||||
Net expenses | 1,023,572 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,500,473 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 6,181,171 | ||||
Net realized gains/(losses) on affiliated transactions | 36,749 | ||||
Net realized gains/(losses) on futures contracts | 802,004 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (26,774,735 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (117,217 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 13,733 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (19,858,295 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (17,357,822 | ) | ||
|
|
See accompanying notes to the financial statements.
19
AZL MSCI Global Equity Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,500,473 | $ | 2,547,496 | ||||||
Net realized gains/(losses) on investments | 7,019,924 | 2,248,636 | ||||||||
Change in unrealized appreciation/depreciation on investments | (26,878,219 | ) | 33,469,897 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (17,357,822 | ) | 38,266,029 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (2,286,543 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (2,286,543 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 37,898,097 | 183,461,714 | ||||||||
Proceeds from dividends reinvested | — | 2,286,544 | ||||||||
Value of shares redeemed | (49,859,646 | ) | (18,449,808 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (11,961,549 | ) | 167,298,450 | |||||||
|
|
|
| |||||||
Change in net assets | (29,319,371 | ) | 203,277,936 | |||||||
Net Assets: | ||||||||||
Beginning of period | 331,138,049 | 127,860,113 | ||||||||
|
|
|
| |||||||
End of period | $ | 301,818,678 | $ | 331,138,049 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 3,775,443 | 15,006,552 | ||||||||
Dividends reinvested | — | 200,048 | ||||||||
Shares redeemed | (4,572,591 | ) | (1,563,140 | ) | ||||||
|
|
|
| |||||||
Change in shares | (797,148 | ) | 13,643,460 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
20
AZL MSCI Global Equity Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.55 | $ | 10.03 | $ | 11.22 | $ | 9.36 | $ | 9.71 | $ | 11.51 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | (a) | 0.19 | (a) | 0.21 | 0.20 | 0.20 | 0.23 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.85 | ) | 2.52 | (1.19 | ) | 1.86 | (0.30 | ) | (1.66 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.76 | ) | 2.71 | (0.98 | ) | 2.06 | (0.10 | ) | (1.43 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.19 | ) | (0.21 | ) | (0.20 | ) | (0.25 | ) | (0.31 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | — | (0.06 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.19 | ) | (0.21 | ) | (0.20 | ) | (0.25 | ) | (0.37 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 11.79 | $ | 12.55 | $ | 10.03 | $ | 11.22 | $ | 9.36 | $ | 9.71 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (6.06 | )%(c) | 27.25 | % | (8.94 | )% | 22.18 | % | (0.93 | )% | (12.57 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 301,819 | $ | 331,138 | $ | 127,860 | $ | 153,857 | $ | 147,265 | $ | 117,211 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.67 | % | 1.68 | % | 1.67 | % | 1.62 | % | 2.75 | % | 1.80 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.07 | % | 1.12 | % | 1.14 | % | 1.16 | % | 1.20 | % | 1.24 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.68 | % | 0.73 | % | 0.75 | % | 0.77 | % | 1.10 | % | 1.24 | % | ||||||||||||||||||
Portfolio Turnover Rate | 11 | %(c) | 9 | % | 4 | % | 4 | % | 135 | %(f) | 50 | % |
(a) | Calculated using the average shares method. |
(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) | 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.
21
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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.
22
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $1,393 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,993,887 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 margindisclosed 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 $4.0 million for the period ended June 30, 2020. 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, 2020:
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* | $ | 21,325 | Payable for variation margin on futures contracts* | $ | 1,509 |
* | 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, 2020:
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 | $ | 802,004 | $ | 13,733 |
23
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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, 2021.
For the period ended June 30, 2020, 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, 2020, 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, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2020 | Shares as of 6/30/2020 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
Allianz SE, Registered Shares | $ | 767,690 | $ | 60,270 | $ | (81,606 | ) | $ | 18,112 | $ | (147,497 | ) | $ | 616,969 | 3,025 | $ | 32,319 | $ | — | ||||||||||||||||||||||||||
BlackRock Inc., Class A | 430,814 | 173,916 | (57,869 | ) | 18,637 | 30,280 | 595,778 | 1,095 | 7,075 | — | |||||||||||||||||||||||||||||||||||
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$ | 1,198,504 | $ | 234,186 | $ | (139,475 | ) | $ | 36,749 | $ | (117,217 | ) | $ | 1,212,747 | 4,120 | $ | 39,394 | $ | — | |||||||||||||||||||||||||||
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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 SEC. 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, 2020, $1,247 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 in total for both trusts.
24
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 206,614,203 | $ | 93,253,755 | $ | — | $ | 299,867,958 | ||||||||||||
Preferred Stocks+ | — | 400,982 | — | 400,982 | ||||||||||||||||
Rights+ | 15,554 | — | — | 15,554 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 3,993,887 | — | — | 3,993,887 | ||||||||||||||||
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Total Investment Securities | 210,623,644 | 93,654,737 | — | 304,278,381 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 19,816 | — | — | 19,816 | ||||||||||||||||
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Total Investments | $ | 210,643,460 | $ | 93,654,737 | $ | — | $ | 304,298,197 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 34,099,408 | $ | 42,923,734 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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 orimproper 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.
25
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $286,091,150. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 50,143,927 | ||
Unrealized (depreciation) | (4,580,112 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 45,563,815 | ||
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As of the end of its tax year ended December 31, 2019, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2019, the Fund utilized $2,293,539 in CLCFs to offset capital gains.
CLCF’s not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL MSCI Global Equity Index Fund | $ | 8,203,889 | $ | — | $ | 8,203,889 |
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MSCI Global Equity Index Fund | $ | 2,286,544 | $ | — | $ | 2,286,544 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 2,672,796 | $ | — | $ | (8,203,889 | ) | $ | 45,577,390 | $ | 40,046,297 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, mark-to-market of futures contracts and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
26
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
9. 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.
27
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-PORT. 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.
28
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
29
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Russell 1000 Growth Index Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | $ | 1,000.00 | $ | 1,094.20 | $ | 2.19 | 0.42 | % | ||||||||||||
AZL Russell 1000 Growth Index Fund, Class 2 | $ | 1,000.00 | $ | 1,092.50 | $ | 3.49 | 0.67 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.77 | $ | 2.11 | 0.42 | % | ||||||||||||
AZL Russell 1000 Growth Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.53 | $ | 3.37 | 0.67 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 43.5 | % | |||
Consumer Discretionary | 15.3 | ||||
Health Care | 14.8 | ||||
Communication Services | 10.9 | ||||
Consumer Staples | 4.8 | ||||
Industrials | 4.6 | ||||
Financials | 2.1 | ||||
Real Estate | 2.0 | ||||
Materials | 0.8 | ||||
Private Placements | 0.6 | ||||
Energy | 0.1 | ||||
Utilities | — | † | |||
|
| ||||
Total Common Stocks and Private Placements | 99.5 | ||||
Unaffiliated Investment Companies | 0.6 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.3 | ||||
|
| ||||
Total Investment Securities | 100.4 | ||||
Net other assets (liabilities) | (0.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.9%): | ||||||||
Aerospace & Defense (1.1%): | ||||||||
3,977 | Axon Enterprise, Inc.* | $ | 390,263 | |||||
3,870 | BWX Technologies, Inc. | 219,197 | ||||||
2,434 | HEICO Corp. | 242,548 | ||||||
4,265 | HEICO Corp., Class A | 346,489 | ||||||
241 | Huntington Ingalls Industries, Inc. | 42,052 | ||||||
15,881 | Lockheed Martin Corp. | 5,795,295 | ||||||
2,855 | Mercury Systems, Inc.* | 224,574 | ||||||
9,238 | Northrop Grumman Corp. | 2,840,131 | ||||||
745 | TransDigm Group, Inc. | 329,327 | ||||||
3,313 | Virgin Galactic Holdings, Inc.* | 54,134 | ||||||
|
| |||||||
10,484,010 | ||||||||
|
| |||||||
Air Freight & Logistics (0.4%): | ||||||||
1,337 | C.H. Robinson Worldwide, Inc. | 105,703 | ||||||
6,692 | Expeditors International of Washington, Inc. | 508,860 | ||||||
29,956 | United Parcel Service, Inc., Class B | 3,330,508 | ||||||
292 | XPO Logistics, Inc.* | 22,557 | ||||||
|
| |||||||
3,967,628 | ||||||||
|
| |||||||
Automobiles (1.1%): | ||||||||
9,491 | Tesla, Inc.* | 10,248,477 | ||||||
|
| |||||||
Beverages (1.9%): | ||||||||
557 | Boston Beer Co., Inc. (The), Class A*^ | 298,914 | ||||||
2,204 | Brown-Forman Corp., Class A | 126,884 | ||||||
9,861 | Brown-Forman Corp., Class B | 627,751 | ||||||
146,065 | Coca-Cola Co. (The) | 6,526,184 | ||||||
23,732 | Monster Beverage Corp.* | 1,645,102 | ||||||
65,577 | PepsiCo, Inc. | 8,673,215 | ||||||
|
| |||||||
17,898,050 | ||||||||
|
| |||||||
Biotechnology (4.2%): | ||||||||
106,285 | AbbVie, Inc. | 10,435,062 | ||||||
7,025 | ACADIA Pharmaceuticals, Inc.* | 340,502 | ||||||
2,772 | Acceleron Pharma, Inc.* | 264,088 | ||||||
480 | Agios Pharmaceuticals, Inc.* | 25,670 | ||||||
2,105 | Alexion Pharmaceuticals, Inc.* | 236,265 | ||||||
7,343 | Alnylam Pharmaceuticals, Inc.* | 1,087,572 | ||||||
37,780 | Amgen, Inc. | 8,910,791 | ||||||
3,165 | Biogen, Inc.* | 846,796 | ||||||
10,497 | BioMarin Pharmaceutical, Inc.* | 1,294,700 | ||||||
1,860 | Bluebird Bio, Inc.* | 113,534 | ||||||
8,277 | Exact Sciences Corp.* | 719,602 | ||||||
7,051 | Exelixis, Inc.* | 167,391 | ||||||
3,760 | Global Blood Therapeutics, Inc.* | 237,369 | ||||||
13,230 | Immunomedics, Inc.* | 468,871 | ||||||
11,701 | Incyte Corp.* | 1,216,553 | ||||||
4,129 | Ionis Pharmaceuticals, Inc.* | 243,446 | ||||||
8,689 | Iovance Biotherapeutics, Inc.* | 238,513 | ||||||
17,261 | Moderna, Inc.* | 1,108,329 | ||||||
5,909 | Neurocrine Biosciences, Inc.* | 720,898 | ||||||
6,205 | Regeneron Pharmaceuticals, Inc.* | 3,869,748 | ||||||
3,355 | Repligen Corp.* | 414,712 | ||||||
243 | Sage Therapeutics, Inc.* | 10,104 | ||||||
4,781 | Sarepta Therapeutics, Inc.* | 766,586 | ||||||
7,819 | Seattle Genetics, Inc.* | 1,328,604 | ||||||
16,704 | Vertex Pharmaceuticals, Inc.* | 4,849,338 | ||||||
|
| |||||||
39,915,044 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products (0.2%): | ||||||||
4,048 | Allegion plc | $ | 413,787 | |||||
1,132 | Armstrong World Industries, Inc. | 88,251 | ||||||
20,036 | Carrier Global Corp. | 445,200 | ||||||
3,715 | Trex Co., Inc.* | 483,210 | ||||||
|
| |||||||
1,430,448 | ||||||||
|
| |||||||
Capital Markets (1.3%): | ||||||||
5,435 | Apollo Global Management, Inc. | 271,315 | ||||||
6,300 | Ares Management Corp., Class A | 250,110 | ||||||
1,546 | Cboe Global Markets, Inc. | 144,211 | ||||||
2,386 | FactSet Research Systems, Inc. | 783,729 | ||||||
12,356 | Intercontinental Exchange, Inc. | 1,131,810 | ||||||
398 | LPL Financial Holdings, Inc. | 31,203 | ||||||
2,369 | MarketAxess Holdings, Inc. | 1,186,679 | ||||||
10,449 | Moody’s Corp. | 2,870,654 | ||||||
1,031 | Morningstar, Inc. | 145,340 | ||||||
5,320 | MSCI, Inc., Class A | 1,775,922 | ||||||
9,143 | S&P Global, Inc. | 3,012,437 | ||||||
3,830 | T. Rowe Price Group, Inc. | 473,005 | ||||||
4,482 | Tradeweb Markets, Inc., Class A | 260,583 | ||||||
3,572 | Virtu Financial, Inc., Class A | 84,299 | ||||||
|
| |||||||
12,421,297 | ||||||||
|
| |||||||
Chemicals (0.6%): | ||||||||
1,801 | Air Products & Chemicals, Inc. | 434,869 | ||||||
3,189 | Ecolab, Inc. | 634,452 | ||||||
1,639 | FMC Corp. | 163,277 | ||||||
341 | NewMarket Corp. | 136,564 | ||||||
6,866 | RPM International, Inc. | 515,362 | ||||||
2,432 | Scotts Miracle-Gro Co. (The) | 327,031 | ||||||
5,301 | Sherwin Williams Co. | 3,063,182 | ||||||
1,292 | W.R. Grace & Co. | 65,647 | ||||||
|
| |||||||
5,340,384 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.4%): | ||||||||
5,026 | Cintas Corp. | 1,338,725 | ||||||
13,054 | Copart, Inc.* | 1,087,007 | ||||||
2,053 | IAA, Inc.* | 79,184 | ||||||
517 | MSA Safety, Inc. | 59,165 | ||||||
8,153 | Rollins, Inc. | 345,606 | ||||||
3,504 | Waste Management, Inc. | 371,109 | ||||||
|
| |||||||
3,280,796 | ||||||||
|
| |||||||
Communications Equipment (0.3%): | ||||||||
3,095 | Arista Networks, Inc.* | 650,043 | ||||||
512 | Lumentum Holdings, Inc.* | 41,692 | ||||||
1,115 | Motorola Solutions, Inc. | 156,245 | ||||||
6,282 | Palo Alto Networks, Inc.* | 1,442,787 | ||||||
521 | Ubiquiti, Inc.^ | 90,946 | ||||||
|
| |||||||
2,381,713 | ||||||||
|
| |||||||
Construction & Engineering (0.0%†): | ||||||||
1,458 | Quanta Services, Inc. | 57,197 | ||||||
|
| |||||||
Consumer Finance (0.0%†): | ||||||||
43 | Credit Acceptance Corp.*^ | 18,017 | ||||||
5,532 | SLM Corp. | 38,890 | ||||||
|
| |||||||
56,907 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
15,465 | Amcor plc | 157,898 | ||||||
2,203 | Avery Dennison Corp. | 251,340 |
See accompanying notes to the financial statements.
2
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
19,192 | Ball Corp. | $ | 1,333,652 | |||||
2,893 | Berry Global Group, Inc.* | 128,218 | ||||||
858 | Crown Holdings, Inc.* | 55,882 | ||||||
3,878 | Graphic Packaging Holding Co. | 54,253 | ||||||
|
| |||||||
1,981,243 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
2,481 | Pool Corp. | 674,509 | ||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
2,567 | Bright Horizons Family Solutions, Inc.* | 300,852 | ||||||
7,777 | Chegg, Inc.* | 523,081 | ||||||
920 | Frontdoor, Inc.* | 40,784 | ||||||
8,712 | H&R Block, Inc. | 124,407 | ||||||
|
| |||||||
989,124 | ||||||||
|
| |||||||
Electrical Equipment (0.2%): | ||||||||
6,787 | Enphase Energy, Inc.* | 322,858 | ||||||
3,580 | Generac Holdings, Inc.* | 436,509 | ||||||
3,621 | Rockwell Automation, Inc. | 771,273 | ||||||
12,801 | Vertiv Holdings Co.* | 173,582 | ||||||
|
| |||||||
1,704,222 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.4%): | ||||||||
11,004 | Amphenol Corp., Class A | 1,054,293 | ||||||
9,116 | CDW Corp. | 1,059,097 | ||||||
10,543 | Cognex Corp. | 629,628 | ||||||
1,280 | Coherent, Inc.* | 167,654 | ||||||
532 | Dolby Laboratories, Inc., Class A | 35,043 | ||||||
163 | IPG Photonics Corp.* | 26,144 | ||||||
2,038 | Jabil, Inc. | 65,379 | ||||||
4,039 | Keysight Technologies, Inc.* | 407,050 | ||||||
2,985 | Zebra Technologies Corp., Class A* | 764,011 | ||||||
|
| |||||||
4,208,299 | ||||||||
|
| |||||||
Entertainment (1.9%): | ||||||||
19,403 | Activision Blizzard, Inc. | 1,472,687 | ||||||
2,551 | Electronic Arts, Inc.* | 336,860 | ||||||
9,112 | Live Nation Entertainment, Inc.* | 403,935 | ||||||
27,295 | Netflix, Inc.* | 12,420,316 | ||||||
8,414 | Spotify Technology SA* | 2,172,411 | ||||||
6,682 | Take-Two Interactive Software, Inc.* | 932,607 | ||||||
2,489 | World Wrestling Entertainment, Inc., Class A | 108,147 | ||||||
46,901 | Zynga, Inc.* | 447,436 | ||||||
|
| |||||||
18,294,399 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.0%): | ||||||||
28,310 | American Tower Corp. | 7,319,267 | ||||||
1,273 | Americold Realty Trust | 46,210 | ||||||
3,579 | Brookfield Property REIT, Inc., Class A^ | 35,647 | ||||||
1,628 | Coresite Realty Corp. | 197,086 | ||||||
24,947 | Crown Castle International Corp. | 4,174,880 | ||||||
5,640 | Equinix, Inc. | 3,960,972 | ||||||
4,580 | Equity Lifestyle Properties, Inc. | 286,158 | ||||||
5,868 | Extra Space Storage, Inc. | 542,027 | ||||||
10,766 | Iron Mountain, Inc.^ | 280,993 | ||||||
6,339 | Public Storage, Inc. | 1,216,391 | ||||||
959 | SBA Communications Corp. | 285,705 | ||||||
15,405 | Simon Property Group, Inc. | 1,053,394 | ||||||
|
| |||||||
19,398,730 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing (1.0%): | ||||||||
25,014 | Costco Wholesale Corp. | $ | 7,584,496 | |||||
2,385 | Grocery Outlet Holding Corp.* | 97,308 | ||||||
6,382 | Sprouts Farmers Market, Inc.* | 163,315 | ||||||
22,193 | Sysco Corp. | 1,213,069 | ||||||
|
| |||||||
9,058,188 | ||||||||
|
| |||||||
Food Products (0.3%): | ||||||||
2,641 | Beyond Meat, Inc.* | 353,841 | ||||||
5,132 | Campbell Soup Co. | 254,701 | ||||||
7,300 | Hershey Co. (The) | 946,226 | ||||||
5,459 | Kellogg Co. | 360,622 | ||||||
2,243 | Lamb Weston Holdings, Inc. | 143,395 | ||||||
4,588 | McCormick & Co. | 823,133 | ||||||
1,200 | Pilgrim’s Pride Corp.* | 20,268 | ||||||
|
| |||||||
2,902,186 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.9%): | ||||||||
42,611 | Abbott Laboratories | 3,895,924 | ||||||
2,837 | ABIOMED, Inc.* | 685,306 | ||||||
5,017 | Align Technology, Inc.* | 1,376,865 | ||||||
13,690 | Baxter International, Inc. | 1,178,709 | ||||||
371 | Cooper Cos., Inc. (The) | 105,230 | ||||||
5,913 | DexCom, Inc.* | 2,397,130 | ||||||
39,675 | Edwards Lifesciences Corp.* | 2,741,939 | ||||||
2,985 | Haemonetics Corp.* | 267,337 | ||||||
501 | Hill-Rom Holdings, Inc. | 55,000 | ||||||
11,482 | Hologic, Inc.* | 654,474 | ||||||
334 | ICU Medical, Inc.* | 61,560 | ||||||
5,407 | IDEXX Laboratories, Inc.* | 1,785,175 | ||||||
4,049 | Insulet Corp.* | 786,559 | ||||||
7,428 | Intuitive Surgical, Inc.* | 4,232,697 | ||||||
3,080 | Masimo Corp.* | 702,209 | ||||||
6,385 | Novocure, Ltd.* | 378,631 | ||||||
2,049 | Penumbra, Inc.* | 366,402 | ||||||
2,387 | Quidel Corp.* | 534,067 | ||||||
9,212 | ResMed, Inc. | 1,768,704 | ||||||
310 | Steris plc | 47,566 | ||||||
7,267 | Stryker Corp. | 1,309,441 | ||||||
3,347 | Tandem Diabetes Care, Inc.* | 331,085 | ||||||
1,877 | Teleflex, Inc. | 683,190 | ||||||
734 | Varian Medical Systems, Inc.* | 89,930 | ||||||
4,716 | West Pharmaceutical Services, Inc. | 1,071,334 | ||||||
|
| |||||||
27,506,464 | ||||||||
|
| |||||||
Health Care Providers & Services (2.6%): | ||||||||
2,030 | Amedisys, Inc.* | 403,036 | ||||||
4,494 | AmerisourceBergen Corp. | 452,860 | ||||||
4,189 | Anthem, Inc. | 1,101,623 | ||||||
18,796 | Cardinal Health, Inc. | 980,963 | ||||||
10,898 | Centene Corp.* | 692,568 | ||||||
993 | Chemed Corp. | 447,913 | ||||||
6,339 | Cigna Corp. | 1,189,513 | ||||||
886 | DaVita, Inc.* | 70,118 | ||||||
2,886 | Encompass Health Corp. | 178,730 | ||||||
4,771 | Guardant Health, Inc.* | 387,071 | ||||||
9,075 | HCA Healthcare, Inc. | 880,820 | ||||||
3,210 | Humana, Inc. | 1,244,678 | ||||||
345 | Laboratory Corp. of America Holdings* | 57,308 | ||||||
7,737 | McKesson Corp. | 1,187,011 |
See accompanying notes to the financial statements.
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
2,533 | Molina Healthcare, Inc.* | $ | 450,823 | |||||
50,479 | UnitedHealth Group, Inc. | 14,888,781 | ||||||
|
| |||||||
24,613,816 | ||||||||
|
| |||||||
Health Care Technology (0.5%): | ||||||||
19,555 | Cerner Corp. | 1,340,495 | ||||||
11,400 | Change Healthcare, Inc.* | 127,680 | ||||||
3,461 | Livongo Health, Inc.*^ | 260,233 | ||||||
4,289 | Teladoc Health, Inc.* | 818,513 | ||||||
8,585 | Veeva Systems, Inc., Class A* | 2,012,495 | ||||||
|
| |||||||
4,559,416 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.9%): | ||||||||
1,790 | Chipotle Mexican Grill, Inc.* | 1,883,724 | ||||||
2,503 | Domino’s Pizza, Inc. | 924,708 | ||||||
4,157 | Dunkin’ Brands Group, Inc. | 271,161 | ||||||
9,326 | Las Vegas Sands Corp. | 424,706 | ||||||
6,872 | McDonald’s Corp. | 1,267,678 | ||||||
2,924 | Planet Fitness, Inc., Class A* | 177,107 | ||||||
43,407 | Starbucks Corp. | 3,194,321 | ||||||
205 | Vail Resorts, Inc. | 37,341 | ||||||
10,870 | Wendy’s Co. (The) | 236,749 | ||||||
1,553 | Wynn Resorts, Ltd. | 115,683 | ||||||
1,598 | Yum China Holdings, Inc. | 76,816 | ||||||
1,453 | Yum! Brands, Inc. | 126,280 | ||||||
|
| |||||||
8,736,274 | ||||||||
|
| |||||||
Household Durables (0.1%): | ||||||||
22 | NVR, Inc.* | 71,693 | ||||||
6,535 | Roku, Inc.* | 761,523 | ||||||
2,443 | Tempur Sealy International, Inc.* | 175,774 | ||||||
|
| |||||||
1,008,990 | ||||||||
|
| |||||||
Household Products (1.2%): | ||||||||
15,799 | Church & Dwight Co., Inc. | 1,221,263 | ||||||
5,792 | Clorox Co. (The) | 1,270,591 | ||||||
3,163 | Energizer Holdings, Inc. | 150,211 | ||||||
69,916 | Procter & Gamble Co. (The) | 8,359,856 | ||||||
904 | Reynolds Consumer Products, Inc. | 31,405 | ||||||
|
| |||||||
11,033,326 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.0%†): | ||||||||
5,422 | NRG Energy, Inc. | 176,540 | ||||||
|
| |||||||
Industrial Conglomerates (0.4%): | ||||||||
23,835 | 3M Co. | 3,718,021 | ||||||
933 | Roper Technologies, Inc. | 362,247 | ||||||
|
| |||||||
4,080,268 | ||||||||
|
| |||||||
Insurance (0.8%): | ||||||||
79 | Alleghany Corp. | 38,642 | ||||||
14,752 | Aon plc, Class A | 2,841,235 | ||||||
385 | Axis Capital Holdings, Ltd. | 15,616 | ||||||
970 | Brown & Brown, Inc. | 39,537 | ||||||
912 | Erie Indemnity Co., Class A | 175,013 | ||||||
1,534 | Lincoln National Corp. | 56,436 | ||||||
25,262 | Marsh & McLennan Cos., Inc. | 2,712,381 | ||||||
1,603 | Primerica, Inc. | 186,910 | ||||||
10,672 | Progressive Corp. (The) | 854,934 | ||||||
1,005 | RenaissanceRe Holdings, Ltd. | 171,885 | ||||||
|
| |||||||
7,092,589 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services (8.4%): | ||||||||
14,971 | Alphabet, Inc., Class A* | $ | 21,229,627 | |||||
14,778 | Alphabet, Inc., Class C* | 20,890,329 | ||||||
154,307 | Facebook, Inc., Class A* | 35,038,489 | ||||||
4,819 | IAC/InterActiveCorp.* | 1,558,465 | ||||||
3,538 | Match Group, Inc.*^ | 378,743 | ||||||
21,427 | Pinterest, Inc., Class A* | 475,037 | ||||||
958 | Zillow Group, Inc., Class C* | 55,190 | ||||||
|
| |||||||
79,625,880 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (8.7%): | ||||||||
27,244 | Amazon.com, Inc.* | 75,161,292 | ||||||
2,630 | Booking Holdings, Inc.* | 4,187,854 | ||||||
39,234 | eBay, Inc. | 2,057,823 | ||||||
7,583 | Etsy, Inc.* | 805,542 | ||||||
973 | Expedia Group, Inc. | 79,981 | ||||||
567 | Grubhub, Inc.* | 39,860 | ||||||
3,846 | Wayfair, Inc., Class A*^ | 760,008 | ||||||
|
| |||||||
83,092,360 | ||||||||
|
| |||||||
IT Services (8.6%): | ||||||||
41,028 | Accenture plc, Class C | 8,809,532 | ||||||
8,443 | Akamai Technologies, Inc.* | 904,161 | ||||||
23,786 | Automatic Data Processing, Inc. | 3,541,498 | ||||||
9,279 | Black Knight, Inc.* | 673,284 | ||||||
8,841 | Booz Allen Hamilton Holding Corp. | 687,741 | ||||||
7,352 | Broadridge Financial Solutions, Inc. | 927,749 | ||||||
257 | CACI International, Inc., Class A* | 55,738 | ||||||
2,623 | Cognizant Technology Solutions Corp., Class A | 149,039 | ||||||
291 | CoreLogic, Inc. | 19,561 | ||||||
3,415 | EPAM Systems, Inc.* | 860,614 | ||||||
4,680 | Fastly, Inc., Class A*^ | 398,408 | ||||||
10,594 | Fiserv, Inc.* | 1,034,186 | ||||||
5,299 | FleetCor Technologies, Inc.* | 1,332,857 | ||||||
5,559 | Gartner, Inc.* | 674,473 | ||||||
4,688 | Genpact, Ltd. | 171,206 | ||||||
10,636 | GoDaddy, Inc., Class A* | 779,938 | ||||||
3,907 | Jack Henry & Associates, Inc. | 719,005 | ||||||
838 | Leidos Holdings, Inc. | 78,495 | ||||||
56,699 | MasterCard, Inc., Class A | 16,765,895 | ||||||
2,678 | MongoDB, Inc.* | 606,139 | ||||||
7,390 | Okta, Inc.* | 1,479,700 | ||||||
16,294 | Paychex, Inc. | 1,234,271 | ||||||
75,593 | PayPal Holdings, Inc.* | 13,170,568 | ||||||
479 | Science Applications International Corp. | 37,209 | ||||||
23,237 | Square, Inc., Class A* | 2,438,491 | ||||||
9,970 | StoneCo, Ltd., Class A* | 386,437 | ||||||
5,671 | Switch, Inc., Class A | 101,057 | ||||||
5,689 | Teradata Corp.* | 118,331 | ||||||
6,939 | Twilio, Inc., Class A* | 1,522,555 | ||||||
3,977 | VeriSign, Inc.* | 822,563 | ||||||
108,515 | Visa, Inc., Class A | 20,961,844 | ||||||
5,424 | Western Union Co. | 117,267 | ||||||
239 | WEX, Inc.* | 39,437 | ||||||
|
| |||||||
81,619,249 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
13,710 | Mattel, Inc.* | 132,576 | ||||||
1,526 | Peloton Interactive, Inc., Class A* | 88,157 | ||||||
384 | Polaris, Inc. | 35,539 | ||||||
|
| |||||||
256,272 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services (1.4%): | ||||||||
3,495 | 10X Genomics, Inc., Class A* | $ | 312,138 | |||||
4,569 | Adaptive Biotechnologies Corp.* | 221,048 | ||||||
1,730 | Agilent Technologies, Inc. | 152,880 | ||||||
26,459 | Avantor, Inc.* | 449,803 | ||||||
2,193 | Bio-Techne Corp. | 579,106 | ||||||
2,819 | Bruker Corp. | 114,677 | ||||||
2,783 | Charles River Laboratories International, Inc.* | 485,216 | ||||||
9,441 | Illumina, Inc.* | 3,496,475 | ||||||
4,619 | IQVIA Holdings, Inc.* | 655,344 | ||||||
1,425 | Mettler-Toledo International, Inc.* | 1,147,909 | ||||||
1,357 | PerkinElmer, Inc. | 133,108 | ||||||
3,348 | PPD, Inc.* | 89,726 | ||||||
3,453 | PRA Health Sciences, Inc.* | 335,942 | ||||||
14,922 | Thermo Fisher Scientific, Inc. | 5,406,838 | ||||||
291 | Waters Corp.* | 52,496 | ||||||
|
| |||||||
13,632,706 | ||||||||
|
| |||||||
Machinery (0.3%): | ||||||||
4,682 | Allison Transmission Holdings, Inc. | 172,204 | ||||||
840 | Donaldson Co., Inc. | 39,077 | ||||||
5,304 | Graco, Inc. | 254,539 | ||||||
8,972 | Illinois Tool Works, Inc. | 1,568,754 | ||||||
1,561 | Lincoln Electric Holdings, Inc. | 131,499 | ||||||
3,002 | Nordson Corp. | 569,509 | ||||||
6,151 | Toro Co. (The) | 408,057 | ||||||
|
| |||||||
3,143,639 | ||||||||
|
| |||||||
Media (0.6%): | ||||||||
20,787 | Altice USA, Inc., Class A* | 468,539 | ||||||
326 | Cable One, Inc. | 578,601 | ||||||
8,667 | Charter Communications, Inc., Class A* | 4,420,516 | ||||||
1,288 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 44,372 | ||||||
1,900 | Nexstar Media Group, Inc., Class A | 159,011 | ||||||
45,599 | Sirius XM Holdings, Inc. | 267,666 | ||||||
|
| |||||||
5,938,705 | ||||||||
|
| |||||||
Metals & Mining (0.0%†): | ||||||||
3,015 | Royal Gold, Inc. | 374,825 | ||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
16,146 | Dollar General Corp. | 3,075,975 | ||||||
7,083 | Dollar Tree, Inc.* | 656,452 | ||||||
2,921 | Ollie’s Bargain Outlet Holdings, Inc.* | 285,236 | ||||||
|
| |||||||
4,017,663 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
14,866 | Cheniere Energy, Inc.* | 718,326 | ||||||
1,324 | Equitrans Midstream Corp. | 11,002 | ||||||
|
| |||||||
729,328 | ||||||||
|
| |||||||
Personal Products (0.3%): | ||||||||
12,742 | Estee Lauder Co., Inc. (The), Class A | 2,404,161 | ||||||
888 | Herbalife Nutrition, Ltd.* | 39,942 | ||||||
|
| |||||||
2,444,103 | ||||||||
|
| |||||||
Pharmaceuticals (3.2%): | ||||||||
52,899 | Bristol-Myers Squibb Co. | 3,110,461 | ||||||
54,218 | Eli Lilly & Co. | 8,901,511 | ||||||
10,927 | Horizon Therapeutics plc* | 607,323 | ||||||
22,725 | Johnson & Johnson Co. | 3,195,817 | ||||||
142,124 | Merck & Co., Inc. | 10,990,449 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
1,363 | Reata Pharmaceuticals, Inc., Class A* | $ | 212,655 | |||||
27,684 | Zoetis, Inc. | 3,793,815 | ||||||
|
| |||||||
30,812,031 | ||||||||
|
| |||||||
Professional Services (0.7%): | ||||||||
2,472 | CoStar Group, Inc.* | 1,756,776 | ||||||
5,727 | Equifax, Inc. | 984,357 | ||||||
13,763 | IHS Markit, Ltd. | 1,039,106 | ||||||
11,091 | TransUnion | 965,361 | ||||||
10,192 | Verisk Analytics, Inc. | 1,734,678 | ||||||
|
| |||||||
6,480,278 | ||||||||
|
| |||||||
Road & Rail (0.8%): | ||||||||
1,566 | J.B. Hunt Transport Services, Inc. | 188,452 | ||||||
2,064 | Landstar System, Inc. | 231,808 | ||||||
5,403 | Old Dominion Freight Line, Inc. | 916,295 | ||||||
67,482 | Uber Technologies, Inc.* | 2,097,341 | ||||||
22,286 | Union Pacific Corp. | 3,767,894 | ||||||
|
| |||||||
7,201,790 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (5.4%): | ||||||||
69,593 | Advanced Micro Devices, Inc.* | 3,661,288 | ||||||
2,891 | Analog Devices, Inc. | 354,552 | ||||||
58,794 | Applied Materials, Inc. | 3,554,097 | ||||||
23,819 | Broadcom, Inc. | 7,517,515 | ||||||
7,729 | Entegris, Inc. | 456,397 | ||||||
3,071 | Inphi Corp.* | 360,843 | ||||||
9,978 | KLA Corp. | 1,940,521 | ||||||
9,302 | Lam Research Corp. | 3,008,825 | ||||||
5,809 | Maxim Integrated Products, Inc. | 352,083 | ||||||
11,317 | Microchip Technology, Inc. | 1,191,793 | ||||||
2,640 | MKS Instruments, Inc. | 298,954 | ||||||
2,796 | Monolithic Power Systems, Inc. | 662,652 | ||||||
37,935 | NVIDIA Corp. | 14,411,887 | ||||||
72,442 | Qualcomm, Inc. | 6,607,435 | ||||||
3,139 | SolarEdge Technologies, Inc.* | 435,630 | ||||||
10,628 | Teradyne, Inc. | 898,172 | ||||||
29,424 | Texas Instruments, Inc. | 3,735,965 | ||||||
2,747 | Universal Display Corp. | 411,006 | ||||||
15,699 | Xilinx, Inc. | 1,544,625 | ||||||
|
| |||||||
51,404,240 | ||||||||
|
| |||||||
Software (18.5%): | ||||||||
1,331 | 2u, Inc.* | 50,525 | ||||||
30,964 | Adobe, Inc.* | 13,478,939 | ||||||
3,383 | Alteryx, Inc., Class A* | 555,759 | ||||||
8,372 | Anaplan, Inc.* | 379,335 | ||||||
5,506 | ANSYS, Inc.* | 1,606,265 | ||||||
3,937 | Aspen Technology, Inc.* | 407,913 | ||||||
8,031 | Atlassian Corp. plc, Class A* | 1,447,748 | ||||||
9,382 | Autodesk, Inc.* | 2,244,081 | ||||||
4,941 | Avalara, Inc.* | 657,598 | ||||||
1,033 | Bill.com Holdings, Inc.* | 93,187 | ||||||
17,719 | Cadence Design Systems, Inc.* | 1,700,315 | ||||||
994 | CDK Global, Inc. | 41,171 | ||||||
4,780 | Ceridian HCM Holding, Inc.* | 378,911 | ||||||
2,154 | Citrix Systems, Inc. | 318,598 | ||||||
7,004 | Cloudflare, Inc., Class A* | 251,794 | ||||||
4,267 | Coupa Software, Inc.* | 1,182,130 | ||||||
5,380 | Crowdstrike Holdings, Inc., Class A* | 539,560 |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
9,795 | Datadog, Inc., Class A* | $ | 851,675 | |||||
11,331 | DocuSign, Inc.* | 1,951,312 | ||||||
15,766 | Dropbox, Inc., Class A* | 343,226 | ||||||
9,755 | Dynatrace, Inc.* | 396,053 | ||||||
3,511 | Elastic NV* | 323,749 | ||||||
2,203 | Everbridge, Inc.* | 304,807 | ||||||
1,798 | Fair Isaac Corp.* | 751,636 | ||||||
3,182 | FireEye, Inc.* | 38,741 | ||||||
3,965 | Five9, Inc.* | 438,807 | ||||||
8,543 | Fortinet, Inc.* | 1,172,698 | ||||||
2,323 | Globant SA* | 348,102 | ||||||
1,014 | Guidewire Software, Inc.* | 112,402 | ||||||
2,659 | HubSpot, Inc.* | 596,547 | ||||||
16,171 | Intuit, Inc. | 4,789,688 | ||||||
3,707 | Manhattan Associates, Inc.* | 349,199 | ||||||
5,260 | Medallia, Inc.*^ | 132,762 | ||||||
481,215 | Microsoft Corp. | 97,932,065 | ||||||
2,858 | New Relic, Inc.* | 196,916 | ||||||
35,837 | NortonLifeLock, Inc. | 710,648 | ||||||
11,447 | Nutanix, Inc., Class A* | 271,351 | ||||||
111,796 | Oracle Corp. | 6,178,965 | ||||||
4,400 | Pagerduty, Inc.*^ | 125,928 | ||||||
3,166 | Paycom Software, Inc.* | 980,605 | ||||||
2,223 | Paylocity Holding Corp.* | 324,313 | ||||||
2,280 | Pegasystems, Inc. | 230,668 | ||||||
6,009 | Pluralsight, Inc., Class A* | 108,462 | ||||||
3,624 | Proofpoint, Inc.* | 402,699 | ||||||
6,703 | PTC, Inc.* | 521,426 | ||||||
4,730 | RealPage, Inc.* | 307,497 | ||||||
4,910 | RingCentral, Inc., Class A* | 1,399,399 | ||||||
51,677 | Salesforce.com, Inc.* | 9,680,652 | ||||||
12,195 | ServiceNow, Inc.* | 4,939,707 | ||||||
24,091 | Slack Technologies, Inc., Class A* | 748,989 | ||||||
7,095 | Smartsheet, Inc.* | 361,277 | ||||||
10,218 | Splunk, Inc.* | 2,030,317 | ||||||
3,017 | SS&C Technologies Holdings, Inc. | 170,400 | ||||||
8,928 | Synopsys, Inc.* | 1,740,960 | ||||||
2,602 | The Trade Desk, Inc., Class A* | 1,057,713 | ||||||
2,517 | Tyler Technologies, Inc.* | 873,097 | ||||||
5,077 | VMware, Inc., Class A*^ | 786,224 | ||||||
11,029 | Workday, Inc., Class A* | 2,066,393 | ||||||
7,261 | Zendesk, Inc.* | 642,816 | ||||||
10,748 | Zoom Video Communications, Inc., Class A* | 2,725,048 | ||||||
4,517 | Zscaler, Inc.* | 494,612 | ||||||
|
| |||||||
176,244,380 | ||||||||
|
| |||||||
Specialty Retail (2.8%): | ||||||||
887 | AutoZone, Inc.* | 1,000,642 | ||||||
2,662 | Best Buy Co, Inc. | 232,313 | ||||||
3,645 | Burlington Stores, Inc.* | 717,810 | ||||||
784 | CarMax, Inc.* | 70,207 | ||||||
3,511 | Carvana Co.*^ | 422,022 | ||||||
3,498 | Five Below, Inc.* | 373,971 | ||||||
5,217 | Floor & Decor Holdings, Inc., Class A* | 300,760 | ||||||
34,573 | Home Depot, Inc. (The) | 8,660,883 | ||||||
48,649 | Lowe’s Cos., Inc. | 6,573,453 | ||||||
4,705 | O’Reilly Automotive, Inc.* | 1,983,957 | ||||||
18,168 | Ross Stores, Inc. | 1,548,640 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
62,461 | TJX Cos., Inc. (The) | $ | 3,158,028 | |||||
7,426 | Tractor Supply Co. | 978,673 | ||||||
3,209 | Ulta Beauty, Inc.* | 652,775 | ||||||
930 | Williams-Sonoma, Inc. | 76,269 | ||||||
|
| |||||||
26,750,403 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (10.1%): | ||||||||
262,825 | Apple, Inc. | 95,878,560 | ||||||
600 | Dell Technologies, Inc., Class C* | 32,964 | ||||||
7,709 | NetApp, Inc. | 342,048 | ||||||
8,876 | Pure Storage, Inc., Class A* | 153,821 | ||||||
|
| |||||||
96,407,393 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.1%): | ||||||||
7,302 | Lululemon Athletica, Inc.* | 2,278,297 | ||||||
77,744 | Nike, Inc., Class B | 7,622,799 | ||||||
1,217 | VF Corp. | 74,164 | ||||||
|
| |||||||
9,975,260 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%†): | ||||||||
429 | LendingTree, Inc.*^ | 124,208 | ||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
51,743 | Altria Group, Inc. | 2,030,913 | ||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
29,234 | Fastenal Co. | 1,252,385 | ||||||
2,096 | W.W. Grainger, Inc. | 658,479 | ||||||
|
| |||||||
1,910,864 | ||||||||
|
| |||||||
Total Common Stocks (Cost $519,782,774) | 939,717,024 | |||||||
|
| |||||||
Private Placements (0.6%): | ||||||||
Software (0.6%): | ||||||||
841,419 | Palantir Technologies, Inc., Series I, 0.00%*(a)(b) | 5,780,549 | ||||||
|
| |||||||
Total Private Placements (Cost $5,157,898) | 5,780,549 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.3%): | ||||||||
3,046,233 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d) | 3,046,233 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 3,046,233 | ||||||
|
| |||||||
Unaffiliated Investment Companies (0.6%): | ||||||||
Money Markets (0.6%): | ||||||||
5,668,289 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(d) | 5,668,289 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $5,668,289) | 5,668,289 | |||||||
|
| |||||||
Total Investment Securities (Cost $533,655,194) — 100.4% | 954,212,095 | |||||||
Net other assets (liabilities) — (0.4)% | (3,409,201 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 950,802,894 | ||||||
|
|
See accompanying notes to the financial statements.
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2020.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $2,967,568. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. The total of all such securities represent 0.61% 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, 2020, these securities represent 0.61% 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, 2020. |
(d) | The rate represents the effective yield at June 30, 2020. |
Futures Contracts
Cash of $488,200 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Nasdaq 100 E-Mini September Futures (U.S. Dollar) | 9/18/20 | 17 | $ | 3,450,065 | $ | 174,866 | ||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/18/20 | 19 | 2,935,690 | 63,534 | ||||||||||||
|
| |||||||||||||||
$ | 238,400 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
7
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 533,655,194 | |||
|
| ||||
Investment securities, at value(a) | $ | 954,212,095 | |||
Cash | 8,420 | ||||
Segregated cash for collateral for futures contracts | 488,200 | ||||
Interest and dividends receivable | 352,126 | ||||
Receivable for investments sold | 86,761 | ||||
Receivable for variation margin on futures contracts | 110,174 | ||||
Reclaims receivable | 1,619 | ||||
Prepaid expenses | 3,584 | ||||
|
| ||||
Total Assets | 955,262,979 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 846,201 | ||||
Payable for collateral received on loaned securities | 3,046,233 | ||||
Manager fees payable | 271,285 | ||||
Distribution fees payable | 181,781 | ||||
Custodian fees payable | 7,848 | ||||
Administrative and compliance services fees payable | 2,529 | ||||
Transfer agent fees payable | 2,370 | ||||
Trustee fees payable | 14,410 | ||||
Other accrued liabilities | 87,428 | ||||
|
| ||||
Total Liabilities | 4,460,085 | ||||
|
| ||||
Net Assets | $ | 950,802,894 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 416,245,731 | |||
Total distributable earnings | 534,557,163 | ||||
|
| ||||
Net Assets | $ | 950,802,894 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 59,398,769 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,736,961 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.54 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 891,404,125 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 50,682,133 | ||||
Net Asset Value (offering and redemption price per share) | $ | 17.59 | |||
|
|
(a) | Includes securities on loan of $2,967,568. |
For the Six Months Ended June 30, 2020 (Unaudited)
Investment Income: | |||||
Dividends | $ | 5,024,863 | |||
Interest | 2,009 | ||||
Income from securities lending | 13,898 | ||||
Foreign withholding tax | (8 | ) | |||
|
| ||||
Total Investment Income | 5,040,762 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,906,936 | ||||
Administration fees | 120,419 | ||||
Distribution fees — Class 2 | 1,014,830 | ||||
Custodian fees | 16,803 | ||||
Administrative and compliance services fees | 8,420 | ||||
Transfer agent fees | 5,625 | ||||
Trustee fees | 26,946 | ||||
Professional fees | 24,179 | ||||
Shareholder reports | 21,757 | ||||
Other expenses | 93,403 | ||||
|
| ||||
Total expenses before reductions | 3,239,318 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (390,051 | ) | |||
|
| ||||
Net expenses | 2,849,267 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,191,495 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | 56,623,782 | ||||
Net realized gains/(losses) on futures contracts | 1,909,339 | ||||
Change in net unrealized appreciation/depreciation on securities | 18,977,972 | ||||
Change in net unrealized appreciation/depreciation on futures contracts | 140,703 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 77,651,796 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 79,843,291 | |||
|
|
See accompanying notes to the financial statements.
8
AZL Russell 1000 Growth Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,191,495 | $ | 5,684,838 | ||||||
Net realized gains/(losses) on investments | 58,533,121 | 50,942,682 | ||||||||
Change in unrealized appreciation/depreciation on investments | 19,118,675 | 214,638,374 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 79,843,291 | 271,265,894 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (8,764,900 | ) | |||||||
Class 2 | — | (99,221,220 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (107,986,120 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 146,548 | 149,155 | ||||||||
Proceeds from dividends reinvested | — | 8,764,900 | ||||||||
Value of shares redeemed | (3,250,480 | ) | (7,700,670 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (3,103,932 | ) | 1,213,385 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 93,760,315 | 42,366,134 | ||||||||
Proceeds from dividends reinvested | — | 99,221,220 | ||||||||
Value of shares redeemed | (148,172,747 | ) | (201,891,268 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (54,412,432 | ) | (60,303,914 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (57,516,364 | ) | (59,090,529 | ) | ||||||
|
|
|
| |||||||
Change in net assets | 22,326,927 | 104,189,245 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 928,475,967 | 824,286,722 | ||||||||
|
|
|
| |||||||
End of period | $ | 950,802,894 | $ | 928,475,967 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 13,910 | 12,270 | ||||||||
Dividends reinvested | — | 848,490 | ||||||||
Shares redeemed | (287,905 | ) | (658,639 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (273,995 | ) | 202,121 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 6,131,155 | 2,600,227 | ||||||||
Dividends reinvested | — | 6,838,127 | ||||||||
Shares redeemed | (9,566,671 | ) | (12,630,974 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (3,435,516 | ) | (3,192,620 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,709,511 | ) | (2,990,499 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
9
AZL Russell 1000 Growth Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016^ | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.46 | $ | 10.12 | $ | 11.74 | $ | 10.28 | $ | 10.00 | ||||||||||||||||||||
|
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|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.04 | (a) | 0.10 | (a) | 0.13 | 0.14 | 0.03 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.04 | 3.28 | (0.20 | ) | 2.73 | 0.25 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | 1.08 | 3.38 | (0.07 | ) | 2.87 | 0.28 | ||||||||||||||||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.18 | ) | (0.20 | ) | (0.05 | ) | — | ||||||||||||||||||||||
Net Realized Gains | — | (1.86 | ) | (1.35 | ) | (1.36 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (2.04 | ) | (1.55 | ) | (1.41 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 12.54 | $ | 11.46 | $ | 10.12 | $ | 11.74 | $ | 10.28 | ||||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(b) | 9.42 | %(c) | 35.53 | % | (1.86 | )% | 29.19 | % | 2.80 | %(c) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 59,399 | $ | 57,430 | $ | 48,665 | $ | 55,307 | $ | 49,297 | ||||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.73 | % | 0.86 | % | 0.96 | % | 1.04 | % | 1.26 | % | ||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.51 | % | 0.51 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||
Expenses Net of Reductions(d) | 0.42 | % | 0.43 | % | 0.43 | % | 0.45 | % | 0.45 | % | ||||||||||||||||||||
Portfolio Turnover Rate(f) | 24 | % | 15 | % | 17 | % | 12 | % | 158 | %(g) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.10 | $ | 13.53 | $ | 15.21 | $ | 12.99 | $ | 15.32 | $ | 17.11 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.04 | (a) | 0.10 | (a) | 0.15 | 0.13 | 0.04 | 0.19 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.45 | 4.46 | (0.33 | ) | 3.49 | 0.84 | 0.54 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.49 | 4.56 | (0.18 | ) | 3.62 | 0.88 | 0.73 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.15 | ) | (0.04 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.86 | ) | (1.35 | ) | (1.36 | ) | (3.05 | ) | (2.33 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.99 | ) | (1.50 | ) | (1.40 | ) | (3.21 | ) | (2.52 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 17.59 | $ | 16.10 | $ | 13.53 | $ | 15.21 | $ | 12.99 | $ | 15.32 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 9.25 | %(c) | 35.28 | % | (2.14 | )% | 28.89 | % | 6.43 | % | 4.86 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 891,404 | $ | 871,046 | $ | 775,621 | $ | 1,046,158 | $ | 1,065,322 | $ | 101,530 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.49 | % | 0.61 | % | 0.71 | % | 0.79 | % | 0.99 | % | 0.86 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.76 | % | 0.76 | % | 0.75 | % | 0.75 | % | 0.77 | % | 0.78 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.67 | % | 0.68 | % | 0.68 | % | 0.70 | % | 0.72 | % | 0.78 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 24 | % | 15 | % | 17 | % | 12 | % | 158 | %(g) | 14 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(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. |
(g) | 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.
10
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Private Placements
The Fund may invest in private placement securities which are securities issued by corporations without registration under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on a “private placement” exemption. These unregistered securities may be restricted and generally are sold to institutional investors, such as the Fund, who agree that they are purchasing the securities for investment and not with a view to public distribution. Unregistered securities are normally resold to other institutional investors through or with the assistance of the issuer or investment dealers who make a market in such securities.
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.
Distributions to Shareholders
Distributions 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 distributions 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
11
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions 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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $1,383 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,046,233 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $12.0 million for the period ended June 30, 2020. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
12
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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* | $ | 238,400 | Payable for variation margin on futures 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, 2020:
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 | $ | 1,909,339 | $ | 140,703 |
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, 2021.
For the period ended June 30, 2020, 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 0.35% 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, 2020, 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 SEC. 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.”
13
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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, 2020, $3,581 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 939,717,024 | $ | — | $ | — | $ | 939,717,024 | ||||||||||||
Private Placements+ | — | — | 5,780,549 | 5,780,549 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 3,046,233 | — | — | 3,046,233 | ||||||||||||||||
Unaffiliated Investment Companies | 5,668,289 | — | — | 5,668,289 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 948,431,546 | — | 5,780,549 | 954,212,095 | ||||||||||||||||
|
|
|
|
|
|
| �� | |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 238,400 | — | — | 238,400 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 948,669,946 | $ | — | $ | 5,780,549 | $ | 954,450,495 | ||||||||||||
|
|
|
|
|
|
|
|
+ | 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. |
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 202,690,379 | $ | 245,704,136 |
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, 2020 are identified below;
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Palantir Technologies, Inc., Series I | 2/7/14 | $ | 5,157,899 | 841,419 | $ | 5,780,549 | 0.61 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $533,750,873. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 407,760,611 | ||
Unrealized (depreciation) | (9,026,976 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 398,733,635 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 10,376,759 | $ | 97,609,361 | $ | 107,986,120 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
At December 31, 2019, 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 | $ | 7,879,922 | $ | 48,100,316 | $ | — | $ | 398,733,634 | $ | 454,713,872 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 65% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
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.
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-PORT. 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.
17
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Russell 1000 Value Index Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 12 |
Page 12 |
Statements of Changes in Net Assets Page 13 |
Page 14 |
Notes to the Financial Statements Page 15 |
Page 20 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 21 |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Russell 1000 Value Index Fund, Class 1 | $ | 1,000.00 | $ | 834.90 | $ | 1.96 | 0.43 | % | ||||||||||||
AZL Russell 1000 Value Index Fund, Class 2 | $ | 1,000.00 | $ | 833.20 | $ | 3.10 | 0.68 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Russell 1000 Value Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.73 | $ | 2.16 | 0.43 | % | ||||||||||||
AZL Russell 1000 Value Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.48 | $ | 3.42 | 0.68 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 18.1 | % | |||
Health Care | 13.8 | ||||
Industrials | 12.0 | ||||
Information Technology | 10.0 | ||||
Communication Services | 9.1 | ||||
Consumer Staples | 7.9 | ||||
Consumer Discretionary | 6.8 | ||||
Utilities | 5.8 | ||||
Energy | 5.2 | ||||
Real Estate | 4.6 | ||||
Materials | 4.4 | ||||
|
| ||||
Total Common Stocks | 97.7 | ||||
Rights | — | † | |||
Unaffiliated Investment Companies | 2.0 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.3 | ||||
|
| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | † | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (97.7%): | ||||||||
Aerospace & Defense (2.3%): | ||||||||
29,859 | Boeing Co. (The) | $ | 5,473,155 | |||||
1,906 | BWX Technologies, Inc. | 107,956 | ||||||
2,316 | Curtiss-Wright Corp. | 206,772 | ||||||
14,173 | General Dynamics Corp. | 2,118,297 | ||||||
489 | HEICO Corp. | 48,729 | ||||||
851 | HEICO Corp., Class A | 69,135 | ||||||
4,651 | Hexcel Corp. | 210,318 | ||||||
22,029 | Howmet Aerospace, Inc.* | 349,160 | ||||||
1,999 | Huntington Ingalls Industries, Inc. | 348,806 | ||||||
12,035 | L3harris Technologies, Inc. | 2,041,978 | ||||||
567 | Mercury Systems, Inc.* | 44,600 | ||||||
707 | Northrop Grumman Corp. | 217,360 | ||||||
79,708 | Raytheon Technologies Corp. | 4,911,607 | ||||||
5,849 | Spirit AeroSystems Holdings, Inc., Class A | 140,025 | ||||||
2,023 | Teledyne Technologies, Inc.* | 629,052 | ||||||
12,708 | Textron, Inc. | 418,220 | ||||||
2,269 | TransDigm Group, Inc. | 1,003,011 | ||||||
|
| |||||||
18,338,181 | ||||||||
|
| |||||||
Air Freight & Logistics (0.6%): | ||||||||
6,236 | C.H. Robinson Worldwide, Inc. | 493,018 | ||||||
3,585 | Expeditors International of Washington, Inc. | 272,603 | ||||||
13,504 | FedEx Corp. | 1,893,531 | ||||||
13,407 | United Parcel Service, Inc., Class B | 1,490,590 | ||||||
4,815 | XPO Logistics, Inc.* | 371,959 | ||||||
|
| |||||||
4,521,701 | ||||||||
|
| |||||||
Airlines (0.4%): | ||||||||
6,693 | Alaska Air Group, Inc. | 242,688 | ||||||
25,572 | American Airlines Group, Inc.^ | 334,226 | ||||||
1,749 | Copa Holdings SA, Class A | 88,429 | ||||||
35,595 | Delta Air Lines, Inc. | 998,440 | ||||||
15,037 | JetBlue Airways Corp.* | 163,903 | ||||||
32,906 | Southwest Airlines Co. | 1,124,727 | ||||||
16,196 | United Airlines Holdings, Inc.* | 560,544 | ||||||
|
| |||||||
3,512,957 | ||||||||
|
| |||||||
Auto Components (0.3%): | ||||||||
14,955 | Aptiv plc | 1,165,294 | ||||||
11,550 | BorgWarner, Inc. | 407,714 | ||||||
13,689 | Gentex Corp. | 352,766 | ||||||
3,344 | Lear Corp. | 364,563 | ||||||
|
| |||||||
2,290,337 | ||||||||
|
| |||||||
Automobiles (0.5%): | ||||||||
217,773 | Ford Motor Co. | 1,324,060 | ||||||
69,824 | General Motors Co. | 1,766,547 | ||||||
8,535 | Harley-Davidson, Inc. | 202,877 | ||||||
3,077 | Thor Industries, Inc. | 327,793 | ||||||
|
| |||||||
3,621,277 | ||||||||
|
| |||||||
Banks (6.8%): | ||||||||
8,456 | Associated Banc-Corp. | 115,678 | ||||||
432,535 | Bank of America Corp. | 10,272,705 | ||||||
2,200 | Bank of Hawaii Corp. | 135,102 | ||||||
6,813 | Bank OZK | 159,901 | ||||||
1,750 | BOK Financial Corp. | 98,770 | ||||||
116,432 | Citigroup, Inc. | 5,949,674 | ||||||
23,787 | Citizens Financial Group, Inc. | 600,384 | ||||||
7,764 | Comerica, Inc. | 295,808 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
5,612 | Commerce Bancshares, Inc. | $ | 333,746 | |||||
3,124 | Cullen/Frost Bankers, Inc. | 233,394 | ||||||
7,867 | East West Bancorp, Inc. | 285,100 | ||||||
17,991 | F.N.B. Corp. | 134,933 | ||||||
39,702 | Fifth Third Bancorp | 765,455 | ||||||
366 | First Citizens BancShares, Inc., Class A | 148,237 | ||||||
7,231 | First Hawaiian, Inc. | 124,662 | ||||||
17,195 | First Horizon National Corp. | 171,262 | ||||||
9,507 | First Republic Bank | 1,007,647 | ||||||
56,373 | Huntington Bancshares, Inc. | 509,330 | ||||||
169,382 | JPMorgan Chase & Co. | 15,932,070 | ||||||
54,226 | KeyCorp | 660,473 | ||||||
7,147 | M&T Bank Corp. | 743,074 | ||||||
6,511 | PacWest Bancorp | 128,332 | ||||||
23,600 | People’s United Financial, Inc. | 273,052 | ||||||
4,122 | Pinnacle Financial Partners, Inc. | 173,083 | ||||||
23,705 | PNC Financial Services Group, Inc. (The) | 2,494,003 | ||||||
4,843 | Popular, Inc. | 180,014 | ||||||
4,981 | Prosperity Bancshares, Inc. | 295,772 | ||||||
53,631 | Regions Financial Corp. | 596,377 | ||||||
2,903 | Signature Bank | 310,389 | ||||||
10,785 | Sterling Bancorp | 126,400 | ||||||
2,869 | SVB Financial Group* | 618,356 | ||||||
8,069 | Synovus Financial Corp. | 165,657 | ||||||
8,418 | TCF Financial Corp. | 247,658 | ||||||
75,290 | Truist Financial Corp. | 2,827,139 | ||||||
75,975 | U.S. Bancorp | 2,797,400 | ||||||
12,274 | Umpqua Holdings Corp. | 130,595 | ||||||
4,995 | Webster Financial Corp. | 142,907 | ||||||
209,963 | Wells Fargo & Co. | 5,375,052 | ||||||
5,485 | Western Alliance Bancorp | 207,717 | ||||||
3,185 | Wintrust Financial Corp. | 138,930 | ||||||
9,010 | Zions Bancorp | 306,340 | ||||||
|
| |||||||
56,212,578 | ||||||||
|
| |||||||
Beverages (1.2%): | ||||||||
312 | Brown-Forman Corp., Class A | 17,962 | ||||||
1,492 | Brown-Forman Corp., Class B | 94,981 | ||||||
89,280 | Coca-Cola Co. (The) | 3,989,030 | ||||||
8,911 | Constellation Brands, Inc., Class C | 1,558,979 | ||||||
19,064 | Keurig Dr Pepper, Inc. | 541,418 | ||||||
9,740 | Molson Coors Brewing Co., Class B | 334,666 | ||||||
20,646 | PepsiCo, Inc. | 2,730,640 | ||||||
|
| |||||||
9,267,676 | ||||||||
|
| |||||||
Biotechnology (1.3%): | ||||||||
5,911 | AbbVie, Inc. | 580,342 | ||||||
3,098 | Agios Pharmaceuticals, Inc.* | 165,681 | ||||||
10,048 | Alexion Pharmaceuticals, Inc.* | 1,127,788 | ||||||
8,806 | Alkermes plc* | 170,880 | ||||||
6,336 | Biogen, Inc.* | 1,695,196 | ||||||
938 | BioMarin Pharmaceutical, Inc.* | 115,693 | ||||||
1,991 | Bluebird Bio, Inc.* | 121,531 | ||||||
1,087 | Exact Sciences Corp.* | 94,504 | ||||||
10,800 | Exelixis, Inc.* | 256,392 | ||||||
70,213 | Gilead Sciences, Inc. | 5,402,187 | ||||||
3,703 | Ionis Pharmaceuticals, Inc.* | 218,329 | ||||||
2,644 | Sage Therapeutics, Inc.* | 109,938 | ||||||
2,421 | United Therapeutics Corp.* | 292,941 | ||||||
|
| |||||||
10,351,402 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Building Products (0.7%): | ||||||||
7,405 | A.O. Smith Corp. | $ | 348,924 | |||||
1,800 | Allegion plc | 183,996 | ||||||
1,675 | Armstrong World Industries, Inc. | 130,583 | ||||||
31,080 | Carrier Global Corp. | 690,598 | ||||||
7,686 | Fortune Brands Home & Security, Inc. | 491,366 | ||||||
41,590 | Johnson Controls International plc | 1,419,882 | ||||||
1,930 | Lennox International, Inc. | 449,671 | ||||||
14,669 | Masco Corp. | 736,530 | ||||||
5,966 | Owens Corning | 332,664 | ||||||
13,338 | Trane Technologies plc | 1,186,815 | ||||||
|
| |||||||
5,971,029 | ||||||||
|
| |||||||
Capital Markets (4.1%): | ||||||||
2,616 | Affiliated Managers Group, Inc. | 195,049 | ||||||
6,866 | Ameriprise Financial, Inc. | 1,030,175 | ||||||
4,798 | Apollo Global Management, Inc. | 239,516 | ||||||
44,613 | Bank of New York Mellon Corp. (The) | 1,724,293 | ||||||
8,230 | BlackRock, Inc., Class A+ | 4,477,861 | ||||||
5,887 | Carlyle Group, Inc. (The) | 164,247 | ||||||
4,778 | Cboe Global Markets, Inc. | 445,692 | ||||||
64,570 | Charles Schwab Corp. (The) | 2,178,592 | ||||||
19,842 | CME Group, Inc. | 3,225,119 | ||||||
12,348 | E*TRADE Financial Corp. | 614,066 | ||||||
6,179 | Eaton Vance Corp. | 238,509 | ||||||
2,203 | Evercore, Inc., Class A | 129,801 | ||||||
15,119 | Franklin Resources, Inc. | 317,045 | ||||||
18,520 | Goldman Sachs Group, Inc. | 3,659,922 | ||||||
4,024 | Interactive Brokers Group, Inc., Class A | 168,082 | ||||||
19,558 | Intercontinental Exchange, Inc. | 1,791,513 | ||||||
21,041 | Invesco, Ltd. | 226,401 | ||||||
29,744 | KKR & Co., Inc., Class A | 918,495 | ||||||
5,627 | Lazard, Ltd., Class A | 161,101 | ||||||
4,639 | Legg Mason, Inc. | 230,790 | ||||||
4,035 | LPL Financial Holdings, Inc. | 316,344 | ||||||
61,643 | Morgan Stanley | 2,977,357 | ||||||
177 | Morningstar, Inc. | 24,952 | ||||||
6,388 | Nasdaq, Inc. | 763,174 | ||||||
10,723 | Northern Trust Corp. | 850,763 | ||||||
6,851 | Raymond James Financial, Inc. | 471,554 | ||||||
5,520 | S&P Global, Inc. | 1,818,730 | ||||||
6,436 | SEI Investments Co. | 353,851 | ||||||
19,655 | State Street Corp. | 1,249,075 | ||||||
9,424 | T. Rowe Price Group, Inc. | 1,163,864 | ||||||
14,491 | TD Ameritrade Holding Corp. | 527,183 | ||||||
686 | Tradeweb Markets, Inc., Class A | 39,884 | ||||||
443 | Virtu Financial, Inc., Class A | 10,455 | ||||||
|
| |||||||
32,703,455 | ||||||||
|
| |||||||
Chemicals (2.9%): | ||||||||
10,777 | Air Products & Chemicals, Inc. | 2,602,215 | ||||||
5,890 | Albemarle Corp. | 454,767 | ||||||
3,087 | Ashland Global Holdings, Inc. | 213,312 | ||||||
11,753 | Axalta Coating Systems, Ltd.* | 265,030 | ||||||
3,107 | Cabot Corp. | 115,114 | ||||||
6,576 | Celanese Corp., Series A | 567,772 | ||||||
11,916 | CF Industries Holdings, Inc. | 335,316 | ||||||
9,113 | Chemours Co. (The) | 139,885 | ||||||
41,885 | Corteva, Inc. | 1,122,099 |
Shares | Fair Value | |||||||
Common Stocks, continued | �� | |||||||
Chemicals, continued | ||||||||
41,462 | Dow, Inc. | $ | 1,689,991 | |||||
41,080 | DuPont de Nemours, Inc. | 2,182,580 | ||||||
7,569 | Eastman Chemical Co. | 527,105 | ||||||
11,151 | Ecolab, Inc. | 2,218,491 | ||||||
12,108 | Element Solutions, Inc.* | 131,372 | ||||||
5,804 | FMC Corp. | 578,194 | ||||||
11,175 | Huntsman Corp. | 200,815 | ||||||
5,971 | International Flavors & Fragrances, Inc. | 731,209 | ||||||
29,371 | Linde plc | 6,229,882 | ||||||
14,318 | Lyondellbasell Industries NV | 940,979 | ||||||
19,274 | Mosaic Co. (The) | 241,118 | ||||||
29 | NewMarket Corp. | 11,614 | ||||||
7,955 | Olin Corp. | 91,403 | ||||||
13,173 | PPG Industries, Inc. | 1,397,128 | ||||||
1,388 | RPM International, Inc. | 104,183 | ||||||
10,340 | Valvoline, Inc. | 199,872 | ||||||
2,013 | W.R. Grace & Co. | 102,281 | ||||||
1,892 | Westlake Chemical Corp. | 101,506 | ||||||
|
| |||||||
23,495,233 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
6,245 | ADT, Inc.^ | 49,835 | ||||||
562 | Cintas Corp. | 149,694 | ||||||
2,871 | Clean Harbors, Inc.* | 172,203 | ||||||
5,710 | IAA, Inc.* | 220,235 | ||||||
1,580 | MSA Safety, Inc. | 180,815 | ||||||
11,719 | Republic Services, Inc., Class A | 961,544 | ||||||
1,034 | Rollins, Inc. | 43,831 | ||||||
5,098 | Stericycle, Inc.* | 285,386 | ||||||
20,554 | Waste Management, Inc. | 2,176,874 | ||||||
|
| |||||||
4,240,417 | ||||||||
|
| |||||||
Communications Equipment (1.8%): | ||||||||
583 | Arista Networks, Inc.* | 122,447 | ||||||
8,529 | Ciena Corp.* | 461,931 | ||||||
237,459 | Cisco Systems, Inc. | 11,075,087 | ||||||
10,113 | CommScope Holding Co., Inc.* | 84,241 | ||||||
2,683 | EchoStar Corp., Class A* | 75,017 | ||||||
3,401 | F5 Networks, Inc.* | 474,371 | ||||||
18,346 | Juniper Networks, Inc. | 419,390 | ||||||
3,728 | Lumentum Holdings, Inc.* | 303,571 | ||||||
8,527 | Motorola Solutions, Inc. | 1,194,889 | ||||||
3,216 | ViaSat, Inc.* | 123,398 | ||||||
|
| |||||||
14,334,342 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
8,528 | AECOM* | 320,482 | ||||||
6,989 | Jacobs Engineering Group, Inc. | 592,668 | ||||||
6,089 | Quanta Services, Inc. | 238,871 | ||||||
1,169 | Valmont Industries, Inc. | 132,822 | ||||||
|
| |||||||
1,284,843 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
2,303 | Eagle Materials, Inc., Class A | 161,717 | ||||||
3,469 | Martin Marietta Materials, Inc. | 716,591 | ||||||
7,378 | Vulcan Materials Co. | 854,741 | ||||||
|
| |||||||
1,733,049 | ||||||||
|
| |||||||
Consumer Finance (0.9%): | ||||||||
20,851 | Ally Financial, Inc. | 413,475 | ||||||
36,560 | American Express Co. | 3,480,512 |
See accompanying notes to the financial statements.
3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Consumer Finance, continued | ||||||||
25,290 | Capital One Financial Corp. | $ | 1,582,901 | |||||
527 | Credit Acceptance Corp.*^ | 220,818 | ||||||
17,108 | Discover Financial Services | 856,940 | ||||||
3,626 | Onemain Holdings, Inc. | 88,982 | ||||||
4,212 | Santander Consumer USA Holdings, Inc.^ | 77,543 | ||||||
16,060 | SLM Corp. | 112,902 | ||||||
32,542 | Synchrony Financial | 721,131 | ||||||
|
| |||||||
7,555,204 | ||||||||
|
| |||||||
Containers & Packaging (0.6%): | ||||||||
76,132 | Amcor plc | 777,308 | ||||||
3,584 | AptarGroup, Inc. | 401,336 | ||||||
1,027 | Ardagh Group SA | 13,259 | ||||||
2,731 | Avery Dennison Corp. | 311,580 | ||||||
1,140 | Ball Corp. | 79,219 | ||||||
4,891 | Berry Global Group, Inc.* | 216,769 | ||||||
6,490 | Crown Holdings, Inc.* | 422,694 | ||||||
12,129 | Graphic Packaging Holding Co. | 169,685 | ||||||
21,951 | International Paper Co. | 772,894 | ||||||
5,228 | Packaging Corp. of America | 521,754 | ||||||
8,673 | Sealed Air Corp. | 284,908 | ||||||
4,388 | Silgan Holdings, Inc. | 142,127 | ||||||
5,589 | Sonoco Products Co. | 292,249 | ||||||
14,318 | WestRock Co. | 404,627 | ||||||
|
| |||||||
4,810,409 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
7,843 | Genuine Parts Co. | 682,028 | ||||||
16,902 | LKQ Corp.* | 442,832 | ||||||
|
| |||||||
1,124,860 | ||||||||
|
| |||||||
Diversified Consumer Services (0.2%): | ||||||||
985 | Bright Horizons Family Solutions, Inc.* | 115,442 | ||||||
3,974 | Frontdoor, Inc.* | 176,167 | ||||||
230 | Graham Holdings Co., Class B | 78,814 | ||||||
2,603 | Grand Canyon Education, Inc.* | 235,650 | ||||||
3,198 | H&R Block, Inc. | 45,667 | ||||||
9,705 | Service Corp. International | 377,428 | ||||||
7,381 | ServiceMaster Global Holdings, Inc.* | 263,428 | ||||||
|
| |||||||
1,292,596 | ||||||||
|
| |||||||
Diversified Financial Services (2.5%): | ||||||||
109,024 | Berkshire Hathaway, Inc., Class B* | 19,461,874 | ||||||
22,692 | Equitable Holdings, Inc. | 437,729 | ||||||
12,651 | Jefferies Financial Group, Inc. | 196,723 | ||||||
7,012 | Voya Financial, Inc. | 327,110 | ||||||
|
| |||||||
20,423,436 | ||||||||
|
| |||||||
Diversified Telecommunication Services (3.2%): | ||||||||
398,762 | AT&T, Inc. | 12,054,575 | ||||||
61,066 | CenturyLink, Inc. | 612,492 | ||||||
231,709 | Verizon Communications, Inc. | 12,774,117 | ||||||
|
| |||||||
25,441,184 | ||||||||
|
| |||||||
Electric Utilities (3.5%): | ||||||||
13,942 | Alliant Energy Corp. | 666,985 | ||||||
27,748 | American Electric Power Co., Inc. | 2,209,851 | ||||||
3,163 | Avangrid, Inc. | 132,783 | ||||||
41,068 | Duke Energy Corp. | 3,280,923 | ||||||
19,970 | Edison International | 1,084,571 | ||||||
11,215 | Entergy Corp. | 1,052,079 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities, continued | ||||||||
12,635 | Evergy, Inc. | $ | 749,129 | |||||
18,824 | Eversource Energy | 1,567,474 | ||||||
54,395 | Exelon Corp. | 1,973,995 | ||||||
30,260 | FirstEnergy Corp. | 1,173,483 | ||||||
5,969 | Hawaiian Electric Industries, Inc. | 215,242 | ||||||
2,810 | IDACORP, Inc. | 245,510 | ||||||
27,366 | NextEra Energy, Inc. | 6,572,492 | ||||||
11,151 | OGE Energy Corp. | 338,544 | ||||||
35,310 | PG&E Corp.* | 313,200 | ||||||
6,280 | Pinnacle West Capital Corp. | 460,261 | ||||||
43,024 | PPL Corp. | 1,111,740 | ||||||
59,039 | Southern Co. (The) | 3,061,172 | ||||||
29,350 | Xcel Energy, Inc. | 1,834,375 | ||||||
|
| |||||||
28,043,809 | ||||||||
|
| |||||||
Electrical Equipment (0.9%): | ||||||||
2,194 | Acuity Brands, Inc. | 210,054 | ||||||
12,798 | AMETEK, Inc. | 1,143,757 | ||||||
22,352 | Eaton Corp. plc | 1,955,353 | ||||||
33,260 | Emerson Electric Co. | 2,063,118 | ||||||
287 | Generac Holdings, Inc.* | 34,994 | ||||||
3,059 | GrafTech International, Ltd. | 24,411 | ||||||
3,015 | Hubbell, Inc. | 377,960 | ||||||
8,670 | nVent Electric plc | 162,389 | ||||||
2,259 | Regal-Beloit Corp. | 197,256 | ||||||
3,327 | Rockwell Automation, Inc. | 708,651 | ||||||
8,611 | Sensata Technologies Holding plc* | 320,588 | ||||||
|
| |||||||
7,198,531 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.7%): | ||||||||
6,561 | Amphenol Corp., Class A | 628,609 | ||||||
4,351 | Arrow Electronics, Inc.* | 298,870 | ||||||
5,470 | Avnet, Inc. | 152,531 | ||||||
221 | Coherent, Inc.* | 28,947 | ||||||
41,864 | Corning, Inc. | 1,084,277 | ||||||
3,101 | Dolby Laboratories, Inc., Class A | 204,263 | ||||||
7,278 | FLIR Systems, Inc. | 295,268 | ||||||
1,850 | IPG Photonics Corp.* | 296,722 | ||||||
6,644 | Jabil, Inc. | 213,140 | ||||||
6,934 | Keysight Technologies, Inc.* | 698,809 | ||||||
1,314 | Littlelfuse, Inc. | 224,208 | ||||||
7,190 | National Instruments Corp. | 278,325 | ||||||
2,317 | SYNNEX Corp. | 277,507 | ||||||
13,883 | Trimble, Inc.* | 599,607 | ||||||
252 | Zebra Technologies Corp., Class A* | 64,499 | ||||||
|
| |||||||
5,345,582 | ||||||||
|
| |||||||
Energy Equipment & Services (0.4%): | ||||||||
36,640 | Baker Hughes Co. | 563,890 | ||||||
48,892 | Halliburton Co. | 634,618 | ||||||
5,830 | Helmerich & Payne, Inc. | 113,743 | ||||||
21,651 | National Oilwell Varco, Inc. | 265,225 | ||||||
77,574 | Schlumberger, Ltd. | 1,426,586 | ||||||
|
| |||||||
3,004,062 | ||||||||
|
| |||||||
Entertainment (2.0%): | ||||||||
25,818 | Activision Blizzard, Inc. | 1,959,586 | ||||||
13,727 | Electronic Arts, Inc.* | 1,812,650 | ||||||
1,395 | Liberty Media Corp-Liberty Formula One, Class A* | 40,706 |
See accompanying notes to the financial statements.
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
11,060 | Liberty Media Corp-Liberty Formula One, Class C* | $ | 350,713 | |||||
3,570 | Lions Gate Entertainment Corp., Class A* | 26,454 | ||||||
6,558 | Lions Gate Entertainment Corp., Class B* | 44,791 | ||||||
986 | Madison Square Garden Entertainment Corp.* | 73,950 | ||||||
1,046 | Madison Square Garden Sports Corp., Class A* | 153,647 | ||||||
471 | Take-Two Interactive Software, Inc.* | 65,737 | ||||||
101,065 | Walt Disney Co. (The) | 11,269,759 | ||||||
8,763 | Zynga, Inc.* | 83,599 | ||||||
|
| |||||||
15,881,592 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (4.5%): | ||||||||
6,991 | Alexandria Real Estate Equities, Inc. | 1,134,290 | ||||||
7,638 | American Campus Communities, Inc. | 267,024 | ||||||
14,485 | American Homes 4 Rent, Class A | 389,647 | ||||||
10,068 | Americold Realty Trust | 365,468 | ||||||
8,261 | Apartment Investment & Management Co. | 310,944 | ||||||
11,696 | Apple Hospitality REIT, Inc. | 112,983 | ||||||
7,857 | AvalonBay Communities, Inc. | 1,215,006 | ||||||
8,683 | Boston Properties, Inc. | 784,770 | ||||||
9,402 | Brandywine Realty Trust | 102,388 | ||||||
16,530 | Brixmor Property Group, Inc. | 211,915 | ||||||
5,264 | Camden Property Trust | 480,182 | ||||||
731 | Coresite Realty Corp. | 88,495 | ||||||
6,264 | Corporate Office Properties Trust | 158,730 | ||||||
8,259 | Cousins Properties, Inc. | 246,366 | ||||||
1,556 | Crown Castle International Corp. | 260,397 | ||||||
10,780 | CubeSmart | 290,952 | ||||||
6,416 | Cyrusone, Inc. | 466,764 | ||||||
14,929 | Digital Realty Trust, Inc. | 2,121,559 | ||||||
9,283 | Douglas Emmett, Inc. | 284,617 | ||||||
20,563 | Duke Realty Corp. | 727,725 | ||||||
8,160 | Empire State Realty Trust, Inc., Class A | 57,120 | ||||||
4,349 | EPR Properties | 144,082 | ||||||
6,512 | Equity Commonwealth | 209,686 | ||||||
5,725 | Equity Lifestyle Properties, Inc. | 357,698 | ||||||
20,521 | Equity Residential | 1,207,045 | ||||||
3,640 | Essex Property Trust, Inc. | 834,179 | ||||||
2,083 | Extra Space Storage, Inc. | 192,407 | ||||||
4,199 | Federal Realty Investment Trust | 357,797 | ||||||
7,043 | First Industrial Realty Trust, Inc. | 270,733 | ||||||
11,272 | Gaming and Leisure Properties, Inc. | 390,011 | ||||||
12,129 | Healthcare Trust of America, Inc., Class A | 321,661 | ||||||
30,103 | Healthpeak Properties, Inc. | 829,639 | ||||||
5,739 | Highwoods Properties, Inc. | 214,237 | ||||||
39,015 | Host Hotels & Resorts, Inc. | 420,972 | ||||||
8,380 | Hudson Pacific Properties, Inc. | 210,841 | ||||||
30,382 | Invitation Homes, Inc. | 836,416 | ||||||
6,608 | Iron Mountain, Inc.^ | 172,469 | ||||||
6,796 | JBG SMITH Properties | 200,958 | ||||||
6,411 | Kilroy Realty Corp. | 376,326 | ||||||
23,048 | Kimco Realty Corp. | 295,936 | ||||||
4,796 | Lamar Advertising Co., Class A | 320,181 | ||||||
2,602 | Life Storage, Inc. | 247,060 | ||||||
29,022 | Medical Properties Trust, Inc. | 545,614 | ||||||
6,357 | Mid-America Apartment Communities, Inc. | 728,957 | ||||||
9,557 | National Retail Properties, Inc. | 339,082 | ||||||
12,555 | Omega Healthcare Investors, Inc. | 373,260 | ||||||
7,522 | Outfront Media, Inc. | 106,587 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
10,557 | Paramount Group, Inc. | $ | 81,394 | |||||
13,359 | Parks Hotels & Resorts, Inc. | 132,121 | ||||||
41,150 | ProLogis, Inc. | 3,840,529 | ||||||
2,922 | Public Storage, Inc. | 560,703 | ||||||
7,613 | Rayonier, Inc. | 188,726 | ||||||
19,203 | Realty Income Corp. | 1,142,579 | ||||||
9,403 | Regency Centers Corp. | 431,504 | ||||||
6,476 | Rexford Industrial Realty, Inc. | 268,301 | ||||||
5,341 | SBA Communications Corp. | 1,591,190 | ||||||
3,618 | Simon Property Group, Inc. | 247,399 | ||||||
4,314 | SL Green Realty Corp. | 212,637 | ||||||
5,739 | Spirit Realty Capital, Inc. | 200,062 | ||||||
12,542 | STORE Capital Corp. | 298,625 | ||||||
5,395 | Sun Communities, Inc. | 731,994 | ||||||
3,348 | Taubman Centers, Inc. | 126,420 | ||||||
16,348 | UDR, Inc. | 611,088 | ||||||
20,836 | Ventas, Inc. | 763,014 | ||||||
60,257 | VEREIT, Inc. | 387,453 | ||||||
26,202 | VICI Properties, Inc. | 529,018 | ||||||
9,791 | Vornado Realty Trust | 374,114 | ||||||
6,767 | Weingarten Realty Investors | 128,099 | ||||||
23,347 | Welltower, Inc. | 1,208,207 | ||||||
41,705 | Weyerhaeuser Co. | 936,694 | ||||||
9,549 | WP Carey, Inc. | 645,990 | ||||||
|
| |||||||
36,219,037 | ||||||||
|
| |||||||
Food & Staples Retailing (1.8%): | ||||||||
2,054 | Casey’s General Stores, Inc. | 307,114 | ||||||
2,887 | Costco Wholesale Corp. | 875,367 | ||||||
1,808 | Grocery Outlet Holding Corp.* | 73,766 | ||||||
43,228 | Kroger Co. (The) | 1,463,268 | ||||||
880 | Sprouts Farmers Market, Inc.* | 22,519 | ||||||
7,799 | Sysco Corp. | 426,293 | ||||||
12,260 | US Foods Holding Corp.* | 241,767 | ||||||
40,949 | Walgreens Boots Alliance, Inc. | 1,735,828 | ||||||
77,925 | Walmart, Inc. | 9,333,858 | ||||||
|
| |||||||
14,479,780 | ||||||||
|
| |||||||
Food Products (1.9%): | ||||||||
30,934 | Archer-Daniels-Midland Co. | 1,234,267 | ||||||
581 | Beyond Meat, Inc.* | 77,842 | ||||||
7,704 | Bunge, Ltd. | 316,866 | ||||||
5,510 | Campbell Soup Co. | 273,461 | ||||||
27,214 | Conagra Brands, Inc. | 957,116 | ||||||
10,875 | Flowers Foods, Inc. | 243,165 | ||||||
33,909 | General Mills, Inc. | 2,090,490 | ||||||
4,540 | Hain Celestial Group, Inc. (The)* | 143,055 | ||||||
1,878 | Hershey Co. (The) | 243,426 | ||||||
15,580 | Hormel Foods Corp. | 752,047 | ||||||
3,745 | Ingredion, Inc. | 310,835 | ||||||
6,164 | JM Smucker Co. (The) | 652,213 | ||||||
9,262 | Kellogg Co. | 611,848 | ||||||
36,158 | Kraft Heinz Co. (The) | 1,153,079 | ||||||
6,279 | Lamb Weston Holdings, Inc. | 401,416 | ||||||
3,053 | McCormick & Co. | 547,739 | ||||||
78,952 | Mondelez International, Inc., Class A | 4,036,816 | ||||||
1,888 | Pilgrim’s Pride Corp.* | 31,888 | ||||||
3,556 | Post Holdings, Inc.* | 311,577 |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
14 | Seaboard Corp. | $ | 41,073 | |||||
3,721 | TreeHouse Foods, Inc.* | 162,980 | ||||||
16,052 | Tyson Foods, Inc., Class A | 958,465 | ||||||
|
| |||||||
15,551,664 | ||||||||
|
| |||||||
Gas Utilities (0.2%): | ||||||||
6,764 | Atmos Energy Corp. | 673,559 | ||||||
4,615 | National Fuel Gas Co. | 193,507 | ||||||
11,606 | UGI Corp. | 369,071 | ||||||
|
| |||||||
1,236,137 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (4.0%): | ||||||||
59,541 | Abbott Laboratories | 5,443,834 | ||||||
16,535 | Baxter International, Inc. | 1,423,664 | ||||||
15,086 | Becton Dickinson & Co. | 3,609,627 | ||||||
78,125 | Boston Scientific Corp.* | 2,742,969 | ||||||
2,390 | Cooper Cos., Inc. (The) | 677,900 | ||||||
35,007 | Danaher Corp. | 6,190,288 | ||||||
12,201 | Dentsply Sirona, Inc. | 537,576 | ||||||
8,904 | Envista Holdings Corp.* | 187,785 | ||||||
4,136 | Globus Medical, Inc., Class A* | 197,329 | ||||||
3,285 | Hill-Rom Holdings, Inc. | 360,627 | ||||||
4,323 | Hologic, Inc.* | 246,411 | ||||||
793 | ICU Medical, Inc.* | 146,158 | ||||||
3,982 | Integra LifeSciences Holdings Corp.* | 187,114 | ||||||
75,009 | Medtronic plc | 6,878,324 | ||||||
4,443 | Steris plc | 681,734 | ||||||
13,053 | Stryker Corp. | 2,352,020 | ||||||
422 | Tandem Diabetes Care, Inc.* | 41,744 | ||||||
962 | Teleflex, Inc. | 350,149 | ||||||
4,426 | Varian Medical Systems, Inc.* | 542,274 | ||||||
11,567 | Zimmer Biomet Holdings, Inc. | 1,380,637 | ||||||
|
| |||||||
34,178,164 | ||||||||
|
| |||||||
Health Care Providers & Services (2.6%): | ||||||||
4,903 | Acadia Healthcare Co., Inc.* | 123,163 | ||||||
4,230 | AmerisourceBergen Corp. | 426,257 | ||||||
10,484 | Anthem, Inc. | 2,757,082 | ||||||
22,626 | Centene Corp.* | 1,437,882 | ||||||
14,772 | Cigna Corp. | 2,771,966 | ||||||
73,095 | CVS Health Corp. | 4,748,983 | ||||||
3,854 | DaVita, Inc.* | 305,006 | ||||||
3,336 | Encompass Health Corp. | 206,598 | ||||||
7,135 | HCA Healthcare, Inc. | 692,523 | ||||||
7,957 | Henry Schein, Inc.* | 464,609 | ||||||
4,573 | Humana, Inc. | 1,773,181 | ||||||
5,116 | Laboratory Corp. of America Holdings* | 849,819 | ||||||
2,301 | McKesson Corp. | 353,019 | ||||||
795 | Molina Healthcare, Inc.* | 141,494 | ||||||
4,026 | Premier, Inc., Class A* | 138,011 | ||||||
7,462 | Quest Diagnostics, Inc. | 850,370 | ||||||
8,869 | UnitedHealth Group, Inc. | 2,615,912 | ||||||
4,110 | Universal Health Services, Inc., Class B | 381,778 | ||||||
|
| |||||||
21,037,653 | ||||||||
|
| |||||||
Health Care Technology (0.0%†): | ||||||||
3,584 | Change Healthcare, Inc.* | 40,141 | ||||||
396 | Teladoc Health, Inc.* | 75,572 | ||||||
|
| |||||||
115,713 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure (2.3%): | ||||||||
12,738 | Aramark | $ | 287,497 | |||||
31,773 | Caesars Entertainment Corp.* | 385,406 | ||||||
26,267 | Carnival Corp., Class A^ | 431,305 | ||||||
1,941 | Choice Hotels International, Inc. | 153,145 | ||||||
7,259 | Darden Restaurants, Inc. | 550,014 | ||||||
677 | Dunkin’ Brands Group, Inc. | 44,161 | ||||||
9,874 | Extended Stay America, Inc. | 110,490 | ||||||
15,241 | Hilton Worldwide Holdings, Inc. | 1,119,451 | ||||||
1,950 | Hyatt Hotels Corp., Class A | 98,066 | ||||||
10,623 | Las Vegas Sands Corp. | 483,771 | ||||||
15,006 | Marriott International, Inc., Class A | 1,286,464 | ||||||
35,676 | McDonald’s Corp. | 6,581,151 | ||||||
26,271 | MGM Resorts International | 441,353 | ||||||
14,284 | Norwegian Cruise Line Holdings, Ltd.*^ | 234,686 | ||||||
1,932 | Planet Fitness, Inc., Class A* | 117,021 | ||||||
9,549 | Royal Caribbean Cruises, Ltd.^ | 480,315 | ||||||
4,260 | Six Flags Entertainment Corp. | 81,835 | ||||||
27,645 | Starbucks Corp. | 2,034,396 | ||||||
2,051 | Vail Resorts, Inc. | 373,590 | ||||||
4,687 | Wyndham Destinations, Inc. | 132,080 | ||||||
5,117 | Wyndham Hotels & Resorts, Inc. | 218,087 | ||||||
4,114 | Wynn Resorts, Ltd. | 306,452 | ||||||
18,734 | Yum China Holdings, Inc. | 900,543 | ||||||
15,569 | Yum! Brands, Inc. | 1,353,102 | ||||||
|
| |||||||
18,204,381 | ||||||||
|
| |||||||
Household Durables (0.7%): | ||||||||
18,454 | D.R. Horton, Inc. | 1,023,275 | ||||||
8,348 | Garmin, Ltd. | 813,930 | ||||||
7,367 | Leggett & Platt, Inc. | 258,950 | ||||||
15,107 | Lennar Corp., Class A | 930,893 | ||||||
523 | Lennar Corp., Class B | 24,105 | ||||||
3,241 | Mohawk Industries, Inc.* | 329,804 | ||||||
21,432 | Newell Brands, Inc. | 340,340 | ||||||
168 | NVR, Inc.* | 547,470 | ||||||
14,927 | PulteGroup, Inc. | 507,966 | ||||||
810 | Tempur Sealy International, Inc.* | 58,280 | ||||||
6,460 | Toll Brothers, Inc. | 210,531 | ||||||
3,404 | Whirlpool Corp. | 440,920 | ||||||
|
| |||||||
5,486,464 | ||||||||
|
| |||||||
Household Products (2.0%): | ||||||||
2,050 | Clorox Co. (The) | 449,709 | ||||||
47,112 | Colgate-Palmolive Co. | 3,451,425 | ||||||
846 | Energizer Holdings, Inc. | 40,177 | ||||||
18,981 | Kimberly-Clark Corp. | 2,682,964 | ||||||
75,360 | Procter & Gamble Co. (The) | 9,010,796 | ||||||
1,633 | Reynolds Consumer Products, Inc. | 56,730 | ||||||
2,366 | Spectrum Brands Holdings, Inc. | 108,599 | ||||||
|
| |||||||
15,800,400 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.2%): | ||||||||
36,901 | AES Corp. (The) | 534,696 | ||||||
8,863 | NRG Energy, Inc. | 288,579 | ||||||
27,229 | Vistra Energy Corp. | 507,004 | ||||||
|
| |||||||
1,330,279 | ||||||||
|
| |||||||
Industrial Conglomerates (1.6%): | ||||||||
10,684 | 3M Co. | 1,666,597 | ||||||
3,015 | Carlisle Cos., Inc. | 360,805 |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
485,885 | General Electric Co. | $ | 3,318,595 | |||||
39,263 | Honeywell International, Inc. | 5,677,037 | ||||||
5,014 | Roper Technologies, Inc. | 1,946,736 | ||||||
|
| |||||||
12,969,770 | ||||||||
|
| |||||||
Insurance (3.4%): | ||||||||
39,663 | Aflac, Inc. | 1,429,058 | ||||||
704 | Alleghany Corp. | 344,355 | ||||||
17,514 | Allstate Corp. (The) | 1,698,683 | ||||||
4,114 | American Financial Group, Inc. | 261,074 | ||||||
48,159 | American International Group, Inc. | 1,501,598 | ||||||
412 | American National Insurance Co. | 29,693 | ||||||
22,057 | Arch Capital Group, Ltd.* | 631,933 | ||||||
10,509 | Arthur J. Gallagher & Co. | 1,024,522 | ||||||
3,326 | Assurant, Inc. | 343,543 | ||||||
4,683 | Assured Guaranty, Ltd. | 114,312 | ||||||
6,446 | Athene Holding, Ltd., Class A* | 201,051 | ||||||
4,217 | Axis Capital Holdings, Ltd. | 171,042 | ||||||
5,486 | Brighthouse Financial, Inc.* | 152,621 | ||||||
12,456 | Brown & Brown, Inc. | 507,707 | ||||||
25,127 | Chubb, Ltd. | 3,181,581 | ||||||
8,356 | Cincinnati Financial Corp. | 535,035 | ||||||
1,566 | CNA Financial Corp. | 50,347 | ||||||
600 | Erie Indemnity Co., Class A | 115,140 | ||||||
2,232 | Everest Re Group, Ltd. | 460,238 | ||||||
15,340 | Fidelity National Financial, Inc. | 470,324 | ||||||
6,053 | First American Financial Corp. | 290,665 | ||||||
5,854 | Globe Life, Inc. | 434,542 | ||||||
2,113 | Hanover Insurance Group, Inc. (The) | 214,110 | ||||||
19,957 | Hartford Financial Services Group, Inc. (The) | 769,342 | ||||||
3,863 | Kemper Corp. | 280,145 | ||||||
9,416 | Lincoln National Corp. | 346,415 | ||||||
13,369 | Loews Corp. | 458,423 | ||||||
754 | Markel Corp.* | 696,070 | ||||||
6,308 | Marsh & McLennan Cos., Inc. | 677,290 | ||||||
1,523 | Mercury General Corp. | 62,062 | ||||||
42,979 | MetLife, Inc. | 1,569,593 | ||||||
15,793 | Old Republic International Corp. | 257,584 | ||||||
766 | Primerica, Inc. | 89,316 | ||||||
15,160 | Principal Financial Group, Inc. | 629,746 | ||||||
23,263 | Progressive Corp. (The) | 1,863,598 | ||||||
22,098 | Prudential Financial, Inc. | 1,345,768 | ||||||
3,780 | Reinsurance Group of America, Inc. | 296,503 | ||||||
1,808 | RenaissanceRe Holdings, Ltd. | 309,222 | ||||||
14,125 | Travelers Cos., Inc. (The) | 1,610,956 | ||||||
11,345 | Unum Group | 188,214 | ||||||
168 | White Mountains Insurance Group, Ltd. | 149,179 | ||||||
7,184 | Willis Towers Watson plc | 1,414,888 | ||||||
7,771 | WR Berkley Corp. | 445,201 | ||||||
|
| |||||||
27,622,689 | ||||||||
|
| |||||||
Interactive Media & Services (1.6%): | ||||||||
3,760 | Alphabet, Inc., Class A* | 5,331,869 | ||||||
3,712 | Alphabet, Inc., Class C* | 5,247,320 | ||||||
3,813 | Pinterest, Inc., Class A* | 84,534 | ||||||
5,609 | TripAdvisor, Inc. | 106,627 | ||||||
42,947 | Twitter, Inc.* | 1,279,391 | ||||||
2,858 | Zillow Group, Inc., Class A* | 164,278 | ||||||
6,731 | Zillow Group, Inc., Class C* | 387,773 | ||||||
|
| |||||||
12,601,792 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail (0.2%): | ||||||||
3,207 | eBay, Inc. | $ | 168,207 | |||||
6,701 | Expedia Group, Inc. | 550,822 | ||||||
4,639 | Grubhub, Inc.* | 326,122 | ||||||
21,245 | Qurate Retail, Inc., Class A* | 201,828 | ||||||
323 | Wayfair, Inc., Class A* | 63,828 | ||||||
|
| |||||||
1,310,807 | ||||||||
|
| |||||||
IT Services (2.6%): | ||||||||
1,571 | Akamai Technologies, Inc.* | 168,238 | ||||||
2,611 | Alliance Data Systems Corp. | 117,808 | ||||||
7,402 | Amdocs, Ltd. | 450,634 | ||||||
3,364 | Automatic Data Processing, Inc. | 500,866 | ||||||
1,162 | CACI International, Inc., Class A* | 252,015 | ||||||
28,043 | Cognizant Technology Solutions Corp., Class A | 1,593,403 | ||||||
4,193 | CoreLogic, Inc. | 281,853 | ||||||
14,150 | DXC Technology Co. | 233,475 | ||||||
2,805 | Euronet Worldwide, Inc.* | 268,775 | ||||||
34,522 | Fidelity National Information Services, Inc. | 4,629,055 | ||||||
21,995 | Fiserv, Inc.* | 2,147,152 | ||||||
6,397 | Genpact, Ltd. | 233,618 | ||||||
16,639 | Global Payments, Inc. | 2,822,307 | ||||||
49,679 | International Business Machines Corp. | 5,999,733 | ||||||
923 | Jack Henry & Associates, Inc. | 169,860 | ||||||
6,781 | Leidos Holdings, Inc. | 635,176 | ||||||
3,763 | Paychex, Inc. | 285,047 | ||||||
18,261 | Sabre Corp. | 147,184 | ||||||
2,820 | Science Applications International Corp. | 219,058 | ||||||
1,702 | Teradata Corp.* | 35,402 | ||||||
1,205 | Twilio, Inc., Class A* | 264,401 | ||||||
2,323 | VeriSign, Inc.* | 480,466 | ||||||
18,445 | Western Union Co. | 398,781 | ||||||
2,208 | WEX, Inc.* | 364,342 | ||||||
|
| |||||||
22,698,649 | ||||||||
|
| |||||||
Leisure Products (0.2%): | ||||||||
4,401 | Brunswick Corp. | 281,708 | ||||||
7,099 | Hasbro, Inc. | 532,071 | ||||||
7,420 | Mattel, Inc.* | 71,751 | ||||||
4,131 | Peloton Interactive, Inc., Class A* | 238,648 | ||||||
2,908 | Polaris, Inc. | 269,135 | ||||||
|
| |||||||
1,393,313 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.0%): | ||||||||
15,788 | Agilent Technologies, Inc. | 1,395,186 | ||||||
1,178 | Bio-Rad Laboratories, Inc., Class A* | 531,855 | ||||||
120 | Bio-Techne Corp. | 31,688 | ||||||
3,313 | Bruker Corp. | 134,773 | ||||||
311 | Charles River Laboratories International, Inc.* | 54,223 | ||||||
6,593 | IQVIA Holdings, Inc.* | 935,415 | ||||||
79 | Mettler-Toledo International, Inc.* | 63,638 | ||||||
5,007 | PerkinElmer, Inc. | 491,137 | ||||||
334 | PPD, Inc.* | 8,951 | ||||||
525 | PRA Health Sciences, Inc.* | 51,077 | ||||||
12,551 | Qiagen NV* | 537,308 | ||||||
3,117 | Syneos Health, Inc.* | 181,565 | ||||||
9,121 | Thermo Fisher Scientific, Inc. | 3,304,904 | ||||||
3,163 | Waters Corp.* | 570,605 | ||||||
|
| |||||||
8,292,325 | ||||||||
|
|
See accompanying notes to the financial statements.
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery (2.8%): | ||||||||
3,447 | AGCO Corp. | $ | 191,171 | |||||
2,213 | Allison Transmission Holdings, Inc. | 81,394 | ||||||
30,274 | Caterpillar, Inc. | 3,829,660 | ||||||
5,528 | Colfax Corp.* | 154,231 | ||||||
2,715 | Crane Co. | 161,434 | ||||||
8,231 | Cummins, Inc. | 1,426,103 | ||||||
15,763 | Deere & Co. | 2,477,154 | ||||||
6,354 | Donaldson Co., Inc. | 295,588 | ||||||
8,021 | Dover Corp. | 774,508 | ||||||
7,259 | Flowserve Corp. | 207,027 | ||||||
16,608 | Fortive Corp. | 1,123,697 | ||||||
2,489 | Gates Industrial Corp. plc* | 25,587 | ||||||
4,608 | Graco, Inc. | 221,138 | ||||||
4,204 | IDEX Corp. | 664,400 | ||||||
9,801 | Illinois Tool Works, Inc. | 1,713,705 | ||||||
19,341 | Ingersoll-Rand, Inc.* | 543,869 | ||||||
4,823 | ITT, Inc. | 283,303 | ||||||
1,828 | Lincoln Electric Holdings, Inc. | 153,991 | ||||||
3,074 | Middleby Corp. (The)* | 242,662 | ||||||
587 | Nordson Corp. | 111,360 | ||||||
3,779 | Oshkosh Corp. | 270,652 | ||||||
22,788 | Otis Worldwide Corp. | 1,295,726 | ||||||
18,940 | PACCAR, Inc. | 1,417,659 | ||||||
7,149 | Parker Hannifin Corp. | 1,310,197 | ||||||
9,211 | Pentair plc | 349,926 | ||||||
3,002 | Snap-On, Inc. | 415,807 | ||||||
8,609 | Stanley Black & Decker, Inc. | 1,199,922 | ||||||
3,534 | Timken Co. | 160,762 | ||||||
579 | Toro Co. (The) | 38,411 | ||||||
5,065 | Trinity Industries, Inc. | 107,834 | ||||||
10,101 | Wabtec Corp. | 581,515 | ||||||
3,105 | Woodward, Inc. | 240,793 | ||||||
9,984 | Xylem, Inc. | 648,561 | ||||||
|
| |||||||
22,719,747 | ||||||||
|
| |||||||
Marine (0.0%†): | ||||||||
3,324 | Kirby Corp.* | 178,033 | ||||||
|
| |||||||
Media (2.1%): | ||||||||
811 | Charter Communications, Inc., Class A* | 413,642 | ||||||
253,399 | Comcast Corp., Class A | 9,877,494 | ||||||
18,172 | Discovery Communications, Inc., Class C* | 349,993 | ||||||
8,708 | Discovery, Inc., Class A*^ | 183,739 | ||||||
13,713 | DISH Network Corp., Class A* | 473,236 | ||||||
18,930 | Fox Corp., Class A | 507,703 | ||||||
8,929 | Fox Corp., Class B | 239,654 | ||||||
5,506 | GCI Liberty, Inc., Class A* | 391,587 | ||||||
21,683 | Interpublic Group of Cos., Inc. (The) | 372,080 | ||||||
2,407 | John Wiley & Sons, Inc., Class A | 93,873 | ||||||
1,380 | Liberty Broadband Corp., Class A* | 168,622 | ||||||
5,859 | Liberty Broadband Corp., Class C* | 726,282 | ||||||
8,558 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 294,823 | ||||||
4,093 | Liberty SiriusXM Group, Class A* | 141,290 | ||||||
9,653 | New York Times Co. (The), Class A | 405,716 | ||||||
21,652 | News Corp., Class A | 256,793 | ||||||
6,593 | News Corp., Class B | 78,786 | ||||||
703 | Nexstar Media Group, Inc., Class A | 58,834 | ||||||
11,869 | Omnicom Group, Inc. | 648,047 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
26,190 | Sirius XM Holdings, Inc. | $ | 153,735 | |||||
519 | ViacomCBS, Inc., Class A | 13,286 | ||||||
30,289 | ViacomCBS, Inc., Class B | 706,339 | ||||||
|
| |||||||
16,555,554 | ||||||||
|
| |||||||
Metals & Mining (0.7%): | ||||||||
80,956 | Freeport-McMoRan, Inc. | 936,661 | ||||||
44,872 | Newmont Corp. | 2,770,398 | ||||||
16,821 | Nucor Corp. | 696,558 | ||||||
3,539 | Reliance Steel & Aluminum Co. | 335,957 | ||||||
1,039 | Royal Gold, Inc. | 129,168 | ||||||
4,604 | Southern Copper Corp. | 183,101 | ||||||
11,310 | Steel Dynamics, Inc. | 295,078 | ||||||
|
| |||||||
5,346,921 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.2%): | ||||||||
31,689 | AGNC Investment Corp. | 408,788 | ||||||
79,890 | Annaly Capital Management, Inc. | 524,079 | ||||||
23,119 | New Residential Investment Corp. | 171,774 | ||||||
15,249 | Starwood Property Trust, Inc. | 228,125 | ||||||
|
| |||||||
1,332,766 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
6,840 | Dollar Tree, Inc.* | 633,931 | ||||||
8,643 | Kohl’s Corp. | 179,515 | ||||||
6,090 | Nordstrom, Inc.^ | 94,334 | ||||||
325 | Ollie’s Bargain Outlet Holdings, Inc.* | 31,736 | ||||||
27,942 | Target Corp. | 3,351,085 | ||||||
|
| |||||||
4,290,601 | ||||||||
|
| |||||||
Multi-Utilities (1.8%): | ||||||||
13,747 | Ameren Corp. | 967,239 | ||||||
28,114 | CenterPoint Energy, Inc. | 524,888 | ||||||
15,948 | CMS Energy Corp. | 931,682 | ||||||
18,707 | Consolidated Edison, Inc. | 1,345,595 | ||||||
46,877 | Dominion Energy, Inc. | 3,805,474 | ||||||
10,725 | DTE Energy Co. | 1,152,938 | ||||||
11,124 | MDU Resources Group, Inc. | 246,730 | ||||||
21,363 | NiSource, Inc. | 485,795 | ||||||
28,212 | Public Service Enterprise Group, Inc. | 1,386,902 | ||||||
16,373 | Sempra Energy | 1,919,407 | ||||||
17,637 | WEC Energy Group, Inc. | 1,545,883 | ||||||
|
| |||||||
14,312,533 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.6%): | ||||||||
15,671 | Antero Midstream Corp. | 79,922 | ||||||
21,070 | Apache Corp. | 284,445 | ||||||
21,879 | Cabot Oil & Gas Corp. | 375,881 | ||||||
104,541 | Chevron Corp. | 9,328,193 | ||||||
5,604 | Cimarex Energy Co. | 154,054 | ||||||
10,891 | Concho Resources, Inc. | 560,887 | ||||||
60,041 | ConocoPhillips Co. | 2,522,923 | ||||||
4,172 | Continental Resources, Inc.^ | 73,135 | ||||||
21,306 | Devon Energy Corp. | 241,610 | ||||||
8,792 | Diamondback Energy, Inc. | 367,681 | ||||||
32,539 | EOG Resources, Inc. | 1,648,426 | ||||||
14,226 | EQT Corp. | 169,289 | ||||||
20,674 | Equitrans Midstream Corp. | 171,801 | ||||||
236,670 | Exxon Mobil Corp. | 10,583,882 | ||||||
15,329 | Hess Corp. | 794,195 |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
8,332 | HollyFrontier Corp. | $ | 243,294 | |||||
108,672 | Kinder Morgan, Inc. | 1,648,554 | ||||||
43,971 | Marathon Oil Corp. | 269,103 | ||||||
36,137 | Marathon Petroleum Corp. | 1,350,801 | ||||||
8,113 | Murphy Oil Corp. | 111,959 | ||||||
26,570 | Noble Energy, Inc. | 238,067 | ||||||
45,345 | Occidental Petroleum Corp. | 829,814 | ||||||
24,487 | ONEOK, Inc. | 813,458 | ||||||
16,794 | Parsley Energy, Inc., Class A | 179,360 | ||||||
24,375 | Phillips 66 | 1,752,563 | ||||||
9,165 | Pioneer Natural Resources Co. | 895,421 | ||||||
12,854 | Targa Resources Corp. | 257,980 | ||||||
22,764 | Valero Energy Corp. | 1,338,978 | ||||||
67,894 | Williams Cos., Inc. | 1,291,344 | ||||||
22,436 | WPX Energy, Inc.* | 143,142 | ||||||
|
| |||||||
38,720,162 | ||||||||
|
| |||||||
Personal Products (0.1%): | ||||||||
16,080 | Coty, Inc., Class A | 71,878 | ||||||
1,312 | Estee Lauder Co., Inc. (The), Class A | 247,548 | ||||||
4,900 | Herbalife Nutrition, Ltd.* | 220,402 | ||||||
2,863 | Nu Skin Enterprises, Inc., Class A | 109,452 | ||||||
|
| |||||||
649,280 | ||||||||
|
| |||||||
Pharmaceuticals (4.6%): | ||||||||
80,645 | Bristol-Myers Squibb Co. | 4,741,926 | ||||||
8,569 | Catalent, Inc.* | 628,108 | ||||||
22,311 | Elanco Animal Health, Inc.* | 478,571 | ||||||
750 | Horizon Therapeutics plc* | 41,685 | ||||||
3,018 | Jazz Pharmaceuticals plc* | 333,006 | ||||||
127,699 | Johnson & Johnson Co. | 17,958,309 | ||||||
17,800 | Merck & Co., Inc. | 1,376,474 | ||||||
28,779 | Mylan NV* | 462,766 | ||||||
9,466 | Nektar Therapeutics* | 219,233 | ||||||
7,623 | Perrigo Co. plc | 421,323 | ||||||
310,970 | Pfizer, Inc. | 10,168,719 | ||||||
2,525 | Zoetis, Inc. | 346,026 | ||||||
|
| |||||||
37,176,146 | ||||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
1,742 | Equifax, Inc. | 299,415 | ||||||
2,038 | FTI Consulting, Inc.* | 233,453 | ||||||
10,085 | IHS Markit, Ltd. | 761,418 | ||||||
3,231 | ManpowerGroup, Inc. | 222,131 | ||||||
19,884 | Nielsen Holdings plc | 295,476 | ||||||
6,230 | Robert Half International, Inc. | 329,131 | ||||||
944 | TransUnion | 82,166 | ||||||
|
| |||||||
2,223,190 | ||||||||
|
| |||||||
Real Estate Management & Development (0.2%): | ||||||||
18,623 | CBRE Group, Inc., Class A* | 842,132 | ||||||
2,176 | Howard Hughes Corp. (The)* | 113,043 | ||||||
2,874 | Jones Lang LaSalle, Inc. | 297,344 | ||||||
|
| |||||||
1,252,519 | ||||||||
|
| |||||||
Road & Rail (1.4%): | ||||||||
498 | AMERCO, Inc. | 150,491 | ||||||
42,634 | CSX Corp. | 2,973,295 | ||||||
3,417 | J.B. Hunt Transport Services, Inc. | 411,202 | ||||||
5,293 | Kansas City Southern | 790,192 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
6,975 | Knight-Swift Transportation Holdings, Inc. | $ | 290,927 | |||||
400 | Landstar System, Inc. | 44,924 | ||||||
13,304 | Lyft, Inc., Class A* | 439,165 | ||||||
14,307 | Norfolk Southern Corp. | 2,511,880 | ||||||
751 | Old Dominion Freight Line, Inc. | 127,362 | ||||||
2,924 | Ryder System, Inc. | 109,679 | ||||||
3,290 | Schneider National, Inc., Class B | 81,164 | ||||||
17,610 | Uber Technologies, Inc.* | 547,319 | ||||||
18,602 | Union Pacific Corp. | 3,145,040 | ||||||
|
| |||||||
11,622,640 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.6%): | ||||||||
4,564 | Advanced Micro Devices, Inc.* | 240,112 | ||||||
18,072 | Analog Devices, Inc. | 2,216,350 | ||||||
1,135 | Broadcom, Inc. | 358,217 | ||||||
3,259 | Cirrus Logic, Inc.* | 201,341 | ||||||
6,039 | Cree, Inc.* | 357,448 | ||||||
436 | Entegris, Inc. | 25,746 | ||||||
4,639 | First Solar, Inc.* | 229,631 | ||||||
237,033 | Intel Corp. | 14,181,685 | ||||||
36,806 | Marvell Technology Group, Ltd. | 1,290,418 | ||||||
9,902 | Maxim Integrated Products, Inc. | 600,160 | ||||||
3,277 | Microchip Technology, Inc. | 345,101 | ||||||
62,172 | Micron Technology, Inc.* | 3,203,101 | ||||||
752 | MKS Instruments, Inc. | 85,156 | ||||||
22,645 | ON Semiconductor Corp.* | 448,824 | ||||||
6,449 | Qorvo, Inc.* | 712,808 | ||||||
9,311 | Skyworks Solutions, Inc. | 1,190,504 | ||||||
25,768 | Texas Instruments, Inc. | 3,271,764 | ||||||
|
| |||||||
28,958,366 | ||||||||
|
| |||||||
Software (0.7%): | ||||||||
2,445 | 2u, Inc.* | 92,812 | ||||||
304 | Aspen Technology, Inc.* | 31,497 | ||||||
4,094 | Autodesk, Inc.* | 979,243 | ||||||
5,933 | CDK Global, Inc. | 245,745 | ||||||
1,759 | Ceridian HCM Holding, Inc.* | 139,436 | ||||||
5,008 | Citrix Systems, Inc. | 740,733 | ||||||
1,764 | Crowdstrike Holdings, Inc., Class A* | 176,912 | ||||||
9,466 | FireEye, Inc.* | 115,249 | ||||||
3,755 | Guidewire Software, Inc.* | 416,242 | ||||||
2,482 | LogMeIn, Inc. | 210,399 | ||||||
452 | Manhattan Associates, Inc.* | 42,578 | ||||||
15,689 | Nuance Communications, Inc.* | 397,010 | ||||||
13,244 | Oracle Corp. | 731,996 | ||||||
733 | RealPage, Inc.* | 47,652 | ||||||
3,535 | Salesforce.com, Inc.* | 662,212 | ||||||
1,643 | SolarWinds Corp.*^ | 29,032 | ||||||
9,920 | SS&C Technologies Holdings, Inc. | 560,282 | ||||||
602 | Synopsys, Inc.* | 117,390 | ||||||
|
| |||||||
5,736,420 | ||||||||
|
| |||||||
Specialty Retail (1.7%): | ||||||||
3,717 | Advance Auto Parts, Inc. | 529,487 | ||||||
3,282 | AutoNation, Inc.* | 123,338 | ||||||
533 | AutoZone, Inc.* | 601,288 | ||||||
10,436 | Best Buy Co, Inc. | 910,750 | ||||||
384 | Burlington Stores, Inc.* | 75,621 | ||||||
8,398 | CarMax, Inc.* | 752,041 |
See accompanying notes to the financial statements.
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
3,440 | Dick’s Sporting Goods, Inc. | $ | 141,934 | |||||
5,773 | Foot Locker, Inc. | 168,341 | ||||||
10,185 | Gap, Inc. (The) | 128,535 | ||||||
30,035 | Home Depot, Inc. (The) | 7,524,067 | ||||||
12,794 | L Brands, Inc. | 191,526 | ||||||
1,776 | Penske Automotive Group, Inc. | 68,749 | ||||||
3,726 | Ross Stores, Inc. | 317,604 | ||||||
6,760 | Tiffany & Co. | 824,314 | ||||||
12,728 | TJX Cos., Inc. (The) | 643,528 | ||||||
210 | Ulta Beauty, Inc.* | 42,718 | ||||||
3,588 | Williams-Sonoma, Inc. | 294,252 | ||||||
|
| |||||||
13,338,093 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
8,022 | Dell Technologies, Inc., Class C* | 440,729 | ||||||
72,012 | Hewlett Packard Enterprise Co. | 700,677 | ||||||
79,920 | HP, Inc. | 1,393,005 | ||||||
7,093 | NCR Corp.* | 122,851 | ||||||
5,659 | NetApp, Inc. | 251,090 | ||||||
5,755 | Pure Storage, Inc., Class A* | 99,734 | ||||||
16,746 | Western Digital Corp. | 739,336 | ||||||
10,093 | Xerox Holdings Corp. | 154,322 | ||||||
|
| |||||||
3,901,744 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.3%): | ||||||||
7,919 | Capri Holdings, Ltd.* | 123,774 | ||||||
2,390 | Carter’s, Inc. | 192,873 | ||||||
1,607 | Columbia Sportswear Co. | 129,492 | ||||||
19,348 | Hanesbrands, Inc. | 218,439 | ||||||
3,919 | PVH Corp. | 188,308 | ||||||
2,665 | Ralph Lauren Corp. | 193,266 | ||||||
7,463 | Skechers U.S.A., Inc., Class A* | 234,189 | ||||||
15,431 | Tapestry, Inc. | 204,924 | ||||||
10,506 | Under Armour, Inc., Class A* | 102,328 | ||||||
10,576 | Under Armour, Inc., Class C* | 93,492 | ||||||
17,177 | VF Corp. | 1,046,766 | ||||||
|
| |||||||
2,727,851 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
18,844 | MGIC Investment Corp. | 154,332 | ||||||
25,097 | New York Community Bancorp, Inc. | 255,990 | ||||||
2,725 | TFS Financial Corp. | 38,995 | ||||||
|
| |||||||
449,317 | ||||||||
|
| |||||||
Tobacco (1.0%): | ||||||||
58,647 | Altria Group, Inc. | 2,301,895 | ||||||
87,011 | Philip Morris International, Inc. | 6,095,990 | ||||||
|
| |||||||
8,397,885 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (0.3%): | ||||||||
5,942 | Air Lease Corp. | $ | 174,041 | |||||
6,042 | Fastenal Co. | 258,839 | ||||||
8,980 | HD Supply Holdings, Inc.* | 311,157 | ||||||
2,493 | MSC Industrial Direct Co., Inc., Class A | 181,515 | ||||||
4,019 | United Rentals, Inc.* | 598,992 | ||||||
9,306 | Univar Solutions, Inc.* | 156,899 | ||||||
661 | W.W. Grainger, Inc. | 207,660 | ||||||
1,818 | Watsco, Inc. | 323,059 | ||||||
|
| |||||||
2,212,162 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%†): | ||||||||
4,097 | Macquarie Infrastructure Corp. | 125,737 | ||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
10,118 | American Water Works Co., Inc. | 1,301,782 | ||||||
12,482 | Essential Utilities, Inc. | 527,240 | ||||||
|
| |||||||
1,829,022 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
5,613 | Telephone & Data Systems, Inc. | 111,586 | ||||||
28,890 | T-Mobile USA, Inc.* | 3,008,894 | ||||||
614 | United States Cellular Corp.* | 18,955 | ||||||
|
| |||||||
3,139,435 | ||||||||
|
| |||||||
Total Common Stocks (Cost $745,907,716) | 789,724,883 | |||||||
|
| |||||||
Right (0.0%†): | ||||||||
Wireless Telecommunication Services (0.0%†): | ||||||||
13,849 | T-Mobile USA, Inc., Expires on 7/28/20* | 2,327 | ||||||
|
| |||||||
Total Right (Cost $–) | 2,327 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.3%): | ||||||||
2,349,927 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(a)(b) | 2,349,927 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 2,349,927 | ||||||
|
| |||||||
Unaffiliated Investment Companies (2.0%): | ||||||||
Money Markets (2.0%): | ||||||||
16,434,826 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(b) | 16,434,826 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $16,434,826) | 16,434,826 | |||||||
|
| |||||||
Total Investment Securities (Cost $764,692,469) — 100.0% | 808,511,963 | |||||||
Net other assets (liabilities) — 0.0% | (87,812 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 808,424,151 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $2,274,221. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(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, 2020. |
(b) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Futures Contracts
Cash of $1,479,200 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/18/20 | 122 | $ | 18,850,220 | $ | 326,328 | ||||||||||
|
| |||||||||||||||
$ | 326,328 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
11
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 761,673,740 | |||
Investments in affiliates, at cost | 3,018,729 | ||||
|
| ||||
Investments in non-affiliates, at value(a) | $ | 804,034,102 | |||
Investments in affiliates, at value | 4,477,861 | ||||
Cash | 7,550 | ||||
Segregated cash for collateral for futures contracts | 1,479,200 | ||||
Interest and dividends receivable | 1,037,729 | ||||
Receivable for capital shares issued | 3,843 | ||||
Receivable for investments sold | 61,000 | ||||
Receivable for variation margin on futures contracts | 264,451 | ||||
Reclaims receivable | 15,393 | ||||
Prepaid expenses | 1,625 | ||||
|
| ||||
Total Assets | 811,382,754 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 114,484 | ||||
Payable for collateral received on loaned securities | 2,349,927 | ||||
Manager fees payable | 239,210 | ||||
Administration fees payable | 3,464 | ||||
Distribution fees payable | 143,959 | ||||
Custodian fees payable | 8,921 | ||||
Administrative and compliance services fees payable | 1,949 | ||||
Transfer agent fees payable | 2,435 | ||||
Trustee fees payable | 12,106 | ||||
Other accrued liabilities | 82,148 | ||||
|
| ||||
Total Liabilities | 2,958,603 | ||||
|
| ||||
Net Assets | $ | 808,424,151 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 707,794,892 | |||
Total distributable earnings | 100,629,259 | ||||
|
| ||||
Net Assets | $ | 808,424,151 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 127,973,593 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 15,725,274 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.14 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 680,450,558 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 62,170,876 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.94 | |||
|
|
(a) | Includes securities on loan of $2,274,221. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 11,772,756 | |||
Dividends from affiliates | 63,892 | ||||
Interest | 2,354 | ||||
Income from securities lending | 19,895 | ||||
Foreign withholding tax | (1,522 | ) | |||
|
| ||||
Total Investment Income | 11,857,375 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,793,904 | ||||
Administration fees | 118,575 | ||||
Distribution fees — Class 2 | 848,134 | ||||
Custodian fees | 18,840 | ||||
Administrative and compliance services fees | 7,782 | ||||
Transfer agent fees | 5,698 | ||||
Trustee fees | 24,687 | ||||
Professional fees | 21,671 | ||||
Shareholder reports | 20,593 | ||||
Other expenses | 91,101 | ||||
|
| ||||
Total expenses before reductions | 2,950,985 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (366,931 | ) | |||
|
| ||||
Net expenses | 2,584,054 | ||||
|
| ||||
Net Investment Income/(Loss) | 9,273,321 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | (11,326,868 | ) | |||
Net realized gains/(losses) on affiliated transactions | 361,136 | ||||
Net realized gains/(losses) on futures contracts | 2,475,694 | ||||
Change in net unrealized appreciation/depreciation on securities | (150,469,820 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (1,808 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 85,974 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (158,875,692 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (149,602,371 | ) | ||
|
|
See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 9,273,321 | $ | 18,741,676 | ||||||
Net realized gains/(losses) on investments | (8,490,038 | ) | 43,369,593 | |||||||
Change in unrealized appreciation/depreciation on investments | (150,385,654 | ) | 151,884,557 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (149,602,371 | ) | 213,995,826 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (14,937,853 | ) | |||||||
Class 2 | — | (52,687,956 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (67,625,809 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 234,945 | 41,842 | ||||||||
Proceeds from dividends reinvested | — | 14,937,853 | ||||||||
Value of shares redeemed | (10,473,859 | ) | (20,385,177 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (10,238,914 | ) | (5,405,482 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 120,957,060 | 8,176,828 | ||||||||
Proceeds from dividends reinvested | — | 52,687,956 | ||||||||
Value of shares redeemed | (105,431,209 | ) | (118,250,607 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | 15,525,851 | (57,385,823 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 5,286,937 | (62,791,305 | ) | |||||||
|
|
|
| |||||||
Change in net assets | (144,315,434 | ) | 83,578,712 | |||||||
Net Assets: | ||||||||||
Beginning of period | 952,739,585 | 869,160,873 | ||||||||
|
|
|
| |||||||
End of period | $ | 808,424,151 | $ | 952,739,585 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 30,161 | 4,308 | ||||||||
Dividends reinvested | — | 1,678,410 | ||||||||
Shares redeemed | (1,260,147 | ) | (2,129,392 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,229,986 | ) | (446,674 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 12,007,794 | 662,245 | ||||||||
Dividends reinvested | — | 4,394,325 | ||||||||
Shares redeemed | (9,805,163 | ) | (9,270,354 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | 2,202,631 | (4,213,784 | ) | |||||||
|
|
|
| |||||||
Change in shares | 972,645 | (4,660,458 | ) | |||||||
|
|
|
|
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016^ | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.75 | $ | 8.55 | $ | 10.65 | $ | 10.79 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | (a) | 0.21 | (a) | 0.24 | 0.27 | 0.08 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.71 | ) | 1.94 | (1.02 | ) | 1.08 | 0.71 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | (1.61 | ) | 2.15 | (0.78 | ) | 1.35 | 0.79 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.30 | ) | (0.30 | ) | (0.10 | ) | — | ||||||||||||||||||||||
Net Realized Gains | — | (0.65 | ) | (1.02 | ) | (1.39 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (0.95 | ) | (1.32 | ) | (1.49 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 8.14 | $ | 9.75 | $ | 8.55 | $ | 10.65 | $ | 10.79 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(b) | (16.51 | )%(c) | 26.13 | % | (8.50 | )% | 13.38 | % | 7.90 | %(c) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 127,974 | $ | 165,337 | $ | 148,796 | $ | 185,903 | $ | 187,248 | ||||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.47 | % | 2.21 | % | 2.10 | % | 2.07 | % | 2.11 | % | ||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.52 | % | 0.51 | % | 0.50 | % | 0.50 | % | 0.51 | % | ||||||||||||||||||||
Expenses Net of Reductions(d) | 0.43 | % | 0.43 | % | 0.43 | % | 0.45 | % | 0.46 | % | ||||||||||||||||||||
Portfolio Turnover Rate(f) | 26 | % | 15 | % | 22 | % | 12 | % | 131 | %(g) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.13 | $ | 11.22 | $ | 13.56 | $ | 13.39 | $ | 12.91 | $ | 14.82 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.13 | (a) | 0.25 | (a) | 0.28 | 0.24 | 0.11 | 0.22 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.32 | ) | 2.57 | (1.34 | ) | 1.42 | 1.85 | (0.92 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.19 | ) | 2.82 | (1.06 | ) | 1.66 | 1.96 | (0.70 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.26 | ) | (0.26 | ) | (0.10 | ) | (0.25 | ) | (0.23 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.65 | ) | (1.02 | ) | (1.39 | ) | (1.23 | ) | (0.98 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.91 | ) | (1.28 | ) | (1.49 | ) | (1.48 | ) | (1.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.94 | $ | 13.13 | $ | 11.22 | $ | 13.56 | $ | 13.39 | $ | 12.91 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (16.68 | )%(c) | 25.86 | % | (8.72 | )% | 13.02 | % | 16.15 | % | (4.42 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 680,451 | $ | 787,403 | $ | 720,365 | $ | 893,400 | $ | 991,296 | $ | 193,094 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.24 | % | 1.96 | % | 1.85 | % | 1.81 | % | 2.05 | % | 1.54 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.77 | % | 0.76 | % | 0.75 | % | 0.75 | % | 0.77 | % | 0.77 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.68 | % | 0.68 | % | 0.68 | % | 0.70 | % | 0.72 | % | 0.77 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 26 | % | 15 | % | 22 | % | 12 | % | 131 | %(g) | 16 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(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. |
(g) | 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%. |
See accompanying notes to the financial statements.
14
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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
15
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $1,994 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,349,927 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $18.3 million for the period ended June 30, 2020. 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, 2020:
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* | $ | 326,328 | Payable for variation margin on futures 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. |
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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 | $ | 2,475,694 | $ | 85,974 |
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, 2021.
For the period ended June 30, 2020, 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 0.35% 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, 2020, 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, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2020 | Shares as of 6/30/2020 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
BlackRock Inc., Class A | $ | 3,870,287 | $ | 1,438,097 | $ | (1,189,851 | ) | $ | 361,136 | $ | (1,808 | ) | $ | 4,477,861 | 8,230 | $ | 63,892 | $ | — | ||||||||||||||||||||||||||
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$ | 3,870,287 | $ | 1,438,097 | $ | (1,189,851 | ) | $ | 361,136 | $ | (1,808 | ) | $ | 4,477,861 | 8,230 | $ | 63,892 | $ | — | |||||||||||||||||||||||||||
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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 SEC. 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.
17
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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, 2020, $3,445 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 789,724,883 | $ | — | $ | — | $ | 789,724,883 | ||||||||||||
Rights+ | 2,327 | — | — | 2,327 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 2,349,927 | — | — | 2,349,927 | ||||||||||||||||
Unaffiliated Investment Companies | 16,434,826 | — | — | 16,434,826 | ||||||||||||||||
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Total Investment Securities | 808,511,963 | — | — | 808,511,963 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 326,328 | — | — | 326,328 | ||||||||||||||||
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Total Investments | $ | 808,838,291 | $ | — | $ | — | $ | 808,838,291 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 222,983,219 | $ | 208,827,709 |
18
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $767,951,311. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 232,083,400 | ||
Unrealized (depreciation) | (44,761,971 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 187,321,429 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Value Index Fund | $ | 24,694,840 | $ | 42,930,969 | $ | 67,625,809 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 20,996,388 | $ | 41,912,650 | $ | — | $ | 187,322,600 | $ | 250,231,638 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market on futures contracts and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 85% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
20
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
21
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® S&P 500 Index Fund
Semi-Annual Report
June 30, 2020
(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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 965.20 | $ | 1.17 | 0.24 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 964.40 | $ | 2.39 | 0.49 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.67 | $ | 1.21 | 0.24 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.43 | $ | 2.46 | 0.49 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 27.4 | % | |||
Health Care | 14.5 | ||||
Consumer Discretionary | 10.8 | ||||
Communication Services | 10.7 | ||||
Financials | 10.0 | ||||
Industrials | 7.9 | ||||
Consumer Staples | 6.9 | ||||
Utilities | 3.0 | ||||
Real Estate | 2.8 | ||||
Energy | 2.8 | ||||
Materials | 2.5 | ||||
|
| ||||
Total Common Stocks | 99.3 | ||||
Rights | — | † | |||
Unaffiliated Investment Companies | 0.7 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.1 | ||||
|
| ||||
Total Investment Securities | 100.1 | ||||
Net other assets (liabilities) | (0.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (99.3%): | ||||||||
Aerospace & Defense (1.8%): | ||||||||
50,611 | Boeing Co. (The) | $ | 9,276,997 | |||||
22,137 | General Dynamics Corp. | 3,308,596 | ||||||
37,339 | Howmet Aerospace, Inc.* | 591,823 | ||||||
3,858 | Huntington Ingalls Industries, Inc. | 673,182 | ||||||
20,359 | L3harris Technologies, Inc. | 3,454,312 | ||||||
23,355 | Lockheed Martin Corp. | 8,522,708 | ||||||
14,561 | Northrop Grumman Corp. | 4,476,634 | ||||||
138,302 | Raytheon Technologies Corp. | 8,522,169 | ||||||
3,416 | Teledyne Technologies, Inc.* | 1,062,205 | ||||||
21,951 | Textron, Inc. | 722,407 | ||||||
4,677 | TransDigm Group, Inc. | 2,067,468 | ||||||
|
| |||||||
42,678,501 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
13,010 | C.H. Robinson Worldwide, Inc. | 1,028,571 | ||||||
15,697 | Expeditors International of Washington, Inc. | 1,193,600 | ||||||
22,603 | FedEx Corp. | 3,169,393 | ||||||
66,478 | United Parcel Service, Inc., Class B | 7,391,023 | ||||||
|
| |||||||
12,782,587 | ||||||||
|
| |||||||
Airlines (0.2%): | ||||||||
10,623 | Alaska Air Group, Inc. | 385,190 | ||||||
36,929 | American Airlines Group, Inc.^ | 482,662 | ||||||
53,498 | Delta Air Lines, Inc. | 1,500,619 | ||||||
50,442 | Southwest Airlines Co. | 1,724,107 | ||||||
23,672 | United Airlines Holdings, Inc.* | 819,288 | ||||||
|
| |||||||
4,911,866 | ||||||||
|
| |||||||
Auto Components (0.1%): | ||||||||
24,254 | Aptiv plc | 1,889,872 | ||||||
19,038 | BorgWarner, Inc. | 672,041 | ||||||
|
| |||||||
2,561,913 | ||||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
367,066 | Ford Motor Co. | 2,231,761 | ||||||
118,776 | General Motors Co. | 3,005,033 | ||||||
|
| |||||||
5,236,794 | ||||||||
|
| |||||||
Banks (3.6%): | ||||||||
736,724 | Bank of America Corp. | 17,497,195 | ||||||
196,083 | Citigroup, Inc. | 10,019,841 | ||||||
40,853 | Citizens Financial Group, Inc. | 1,031,130 | ||||||
13,498 | Comerica, Inc. | 514,274 | ||||||
66,533 | Fifth Third Bancorp | 1,282,756 | ||||||
16,301 | First Republic Bank | 1,727,743 | ||||||
99,663 | Huntington Bancshares, Inc. | 900,455 | ||||||
287,464 | JPMorgan Chase & Co. | 27,038,865 | ||||||
91,599 | KeyCorp | 1,115,676 | ||||||
12,346 | M&T Bank Corp. | 1,283,614 | ||||||
40,385 | People’s United Financial, Inc. | 467,254 | ||||||
39,996 | PNC Financial Services Group, Inc. (The) | 4,207,979 | ||||||
88,938 | Regions Financial Corp. | 988,991 | ||||||
4,929 | SVB Financial Group* | 1,062,347 | ||||||
126,240 | Truist Financial Corp. | 4,740,312 | ||||||
129,270 | U.S. Bancorp | 4,759,721 | ||||||
351,727 | Wells Fargo & Co. | 9,004,211 | ||||||
15,380 | Zions Bancorp | 522,920 | ||||||
|
| |||||||
88,165,284 | ||||||||
|
| |||||||
Beverages (1.7%): | ||||||||
17,409 | Brown-Forman Corp., Class B | 1,108,257 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
364,451 | Coca-Cola Co. (The) | $ | 16,283,671 | |||||
15,754 | Constellation Brands, Inc., Class C | 2,756,162 | ||||||
18,034 | Molson Coors Brewing Co., Class B | 619,648 | ||||||
34,998 | Monster Beverage Corp.* | 2,426,061 | ||||||
130,971 | PepsiCo, Inc. | 17,322,225 | ||||||
|
| |||||||
40,516,024 | ||||||||
|
| |||||||
Biotechnology (2.5%): | ||||||||
166,447 | AbbVie, Inc. | 16,341,766 | ||||||
20,815 | Alexion Pharmaceuticals, Inc.* | 2,336,276 | ||||||
55,536 | Amgen, Inc. | 13,098,721 | ||||||
15,412 | Biogen, Inc.* | 4,123,481 | ||||||
118,137 | Gilead Sciences, Inc. | 9,089,461 | ||||||
17,255 | Incyte Corp.* | 1,794,002 | ||||||
9,486 | Regeneron Pharmaceuticals, Inc.* | 5,915,944 | ||||||
24,527 | Vertex Pharmaceuticals, Inc.* | 7,120,433 | ||||||
|
| |||||||
59,820,084 | ||||||||
|
| |||||||
Building Products (0.4%): | ||||||||
13,219 | A.O. Smith Corp. | 622,879 | ||||||
8,575 | Allegion plc | 876,537 | ||||||
75,917 | Carrier Global Corp. | 1,686,876 | ||||||
13,210 | Fortune Brands Home & Security, Inc. | 844,515 | ||||||
70,124 | Johnson Controls International plc | 2,394,033 | ||||||
24,928 | Masco Corp. | 1,251,635 | ||||||
23,681 | Trane Technologies plc | 2,107,135 | ||||||
|
| |||||||
9,783,610 | ||||||||
|
| |||||||
Capital Markets (2.7%): | ||||||||
11,544 | Ameriprise Financial, Inc. | 1,732,062 | ||||||
76,130 | Bank of New York Mellon Corp. (The) | 2,942,425 | ||||||
14,555 | BlackRock, Inc., Class A+ | 7,919,229 | ||||||
10,635 | Cboe Global Markets, Inc. | 992,033 | ||||||
107,560 | Charles Schwab Corp. (The) | 3,629,074 | ||||||
33,702 | CME Group, Inc. | 5,477,923 | ||||||
20,880 | E*TRADE Financial Corp. | 1,038,362 | ||||||
27,149 | Franklin Resources, Inc. | 569,315 | ||||||
29,199 | Goldman Sachs Group, Inc. | 5,770,306 | ||||||
51,727 | Intercontinental Exchange, Inc. | 4,738,193 | ||||||
32,271 | Invesco, Ltd. | 347,236 | ||||||
3,535 | MarketAxess Holdings, Inc. | 1,770,752 | ||||||
15,253 | Moody’s Corp. | 4,190,457 | ||||||
112,760 | Morgan Stanley | 5,446,308 | ||||||
7,934 | MSCI, Inc., Class A | 2,648,528 | ||||||
10,583 | Nasdaq, Inc. | 1,264,351 | ||||||
19,393 | Northern Trust Corp. | 1,538,641 | ||||||
11,699 | Raymond James Financial, Inc. | 805,242 | ||||||
22,775 | S&P Global, Inc. | 7,503,907 | ||||||
33,249 | State Street Corp. | 2,112,974 | ||||||
21,453 | T. Rowe Price Group, Inc. | 2,649,446 | ||||||
|
| |||||||
65,086,764 | ||||||||
|
| |||||||
Chemicals (1.8%): | ||||||||
20,699 | Air Products & Chemicals, Inc. | 4,997,981 | ||||||
10,049 | Albemarle Corp. | 775,883 | ||||||
11,137 | Celanese Corp., Series A | 961,569 | ||||||
20,326 | CF Industries Holdings, Inc. | 571,974 | ||||||
70,229 | Corteva, Inc. | 1,881,435 | ||||||
69,579 | Dow, Inc. | 2,836,040 |
See accompanying notes to the financial statements.
2
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
69,665 | DuPont de Nemours, Inc. | $ | 3,701,301 | |||||
12,952 | Eastman Chemical Co. | 901,977 | ||||||
23,233 | Ecolab, Inc. | 4,622,205 | ||||||
12,013 | FMC Corp. | 1,196,735 | ||||||
10,199 | International Flavors & Fragrances, Inc. | 1,248,970 | ||||||
49,717 | Linde plc | 10,545,473 | ||||||
24,442 | Lyondellbasell Industries NV | 1,606,328 | ||||||
31,045 | Mosaic Co. (The) | 388,373 | ||||||
22,227 | PPG Industries, Inc. | 2,357,396 | ||||||
7,615 | Sherwin Williams Co. | 4,400,328 | ||||||
|
| |||||||
42,993,968 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.4%): | ||||||||
8,042 | Cintas Corp. | 2,142,067 | ||||||
19,109 | Copart, Inc.* | 1,591,206 | ||||||
19,558 | Republic Services, Inc., Class A | 1,604,734 | ||||||
13,594 | Rollins, Inc. | 576,250 | ||||||
36,758 | Waste Management, Inc. | 3,893,040 | ||||||
|
| |||||||
9,807,297 | ||||||||
|
| |||||||
Communications Equipment (1.0%): | ||||||||
5,189 | Arista Networks, Inc.* | 1,089,846 | ||||||
400,242 | Cisco Systems, Inc. | 18,667,286 | ||||||
5,799 | F5 Networks, Inc.* | 808,845 | ||||||
31,713 | Juniper Networks, Inc. | 724,959 | ||||||
16,069 | Motorola Solutions, Inc. | 2,251,749 | ||||||
|
| |||||||
23,542,685 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
12,260 | Jacobs Engineering Group, Inc. | 1,039,648 | ||||||
12,732 | Quanta Services, Inc. | 499,476 | ||||||
|
| |||||||
1,539,124 | ||||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
5,773 | Martin Marietta Materials, Inc. | 1,192,529 | ||||||
12,295 | Vulcan Materials Co. | 1,424,375 | ||||||
|
| |||||||
2,616,904 | ||||||||
|
| |||||||
Consumer Finance (0.5%): | ||||||||
62,349 | American Express Co. | 5,935,625 | ||||||
42,978 | Capital One Financial Corp. | 2,689,993 | ||||||
28,374 | Discover Financial Services | 1,421,254 | ||||||
49,902 | Synchrony Financial | 1,105,828 | ||||||
|
| |||||||
11,152,700 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
147,207 | Amcor plc | 1,502,984 | ||||||
7,649 | Avery Dennison Corp. | 872,674 | ||||||
30,625 | Ball Corp. | 2,128,132 | ||||||
36,688 | International Paper Co. | 1,291,784 | ||||||
9,004 | Packaging Corp. of America | 898,599 | ||||||
14,866 | Sealed Air Corp. | 488,348 | ||||||
24,862 | WestRock Co. | 702,600 | ||||||
|
| |||||||
7,885,121 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
13,795 | Genuine Parts Co. | 1,199,613 | ||||||
29,281 | LKQ Corp.* | 767,162 | ||||||
|
| |||||||
1,966,775 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%��): | ||||||||
19,715 | H&R Block, Inc. | 281,530 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Diversified Financial Services (1.3%): | ||||||||
183,502 | Berkshire Hathaway, Inc., Class B* | $ | 32,756,942 | |||||
|
| |||||||
Diversified Telecommunication Services (1.8%): | ||||||||
672,399 | AT&T, Inc. | 20,326,622 | ||||||
93,816 | CenturyLink, Inc. | 940,974 | ||||||
390,227 | Verizon Communications, Inc. | 21,513,215 | ||||||
|
| |||||||
42,780,811 | ||||||||
|
| |||||||
Electric Utilities (1.9%): | ||||||||
23,123 | Alliant Energy Corp. | 1,106,204 | ||||||
46,459 | American Electric Power Co., Inc. | 3,699,995 | ||||||
69,368 | Duke Energy Corp. | 5,541,810 | ||||||
35,685 | Edison International | 1,938,052 | ||||||
19,121 | Entergy Corp. | 1,793,741 | ||||||
21,308 | Evergy, Inc. | 1,263,351 | ||||||
31,736 | Eversource Energy | 2,642,657 | ||||||
91,620 | Exelon Corp. | 3,324,890 | ||||||
50,867 | FirstEnergy Corp. | 1,972,622 | ||||||
46,222 | NextEra Energy, Inc. | 11,101,139 | ||||||
10,625 | Pinnacle West Capital Corp. | 778,706 | ||||||
72,948 | PPL Corp. | 1,884,976 | ||||||
99,814 | Southern Co. (The) | 5,175,356 | ||||||
49,312 | Xcel Energy, Inc. | 3,082,000 | ||||||
|
| |||||||
45,305,499 | ||||||||
|
| |||||||
Electrical Equipment (0.5%): | ||||||||
21,360 | AMETEK, Inc. | 1,908,943 | ||||||
37,844 | Eaton Corp. plc | 3,310,593 | ||||||
56,411 | Emerson Electric Co. | 3,499,175 | ||||||
10,865 | Rockwell Automation, Inc. | 2,314,245 | ||||||
|
| |||||||
11,032,956 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.5%): | ||||||||
28,244 | Amphenol Corp., Class A | 2,706,059 | ||||||
13,623 | CDW Corp. | 1,582,720 | ||||||
70,880 | Corning, Inc. | 1,835,792 | ||||||
12,121 | FLIR Systems, Inc. | 491,749 | ||||||
3,496 | IPG Photonics Corp.* | 560,723 | ||||||
17,726 | Keysight Technologies, Inc.* | 1,786,426 | ||||||
30,808 | TE Connectivity, Ltd. | 2,512,392 | ||||||
5,004 | Zebra Technologies Corp., Class A* | 1,280,774 | ||||||
|
| |||||||
12,756,635 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
60,867 | Baker Hughes Co. | 936,743 | ||||||
84,549 | Halliburton Co. | 1,097,446 | ||||||
34,269 | National Oilwell Varco, Inc. | 419,795 | ||||||
130,404 | Schlumberger, Ltd. | 2,398,130 | ||||||
40,738 | TechnipFMC plc | 278,648 | ||||||
|
| |||||||
5,130,762 | ||||||||
|
| |||||||
Entertainment (2.0%): | ||||||||
72,290 | Activision Blizzard, Inc. | 5,486,811 | ||||||
27,474 | Electronic Arts, Inc.* | 3,627,942 | ||||||
13,522 | Live Nation Entertainment, Inc.* | 599,430 | ||||||
41,514 | Netflix, Inc.* | 18,890,531 | ||||||
10,905 | Take-Two Interactive Software, Inc.* | 1,522,011 | ||||||
170,393 | Walt Disney Co. (The) | 19,000,523 | ||||||
|
| |||||||
49,127,248 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts (2.8%): | ||||||||
11,865 | Alexandria Real Estate Equities, Inc. | $ | 1,925,096 | |||||
41,898 | American Tower Corp. | 10,832,310 | ||||||
13,551 | Apartment Investment & Management Co. | 510,060 | ||||||
13,049 | AvalonBay Communities, Inc. | 2,017,897 | ||||||
13,377 | Boston Properties, Inc. | 1,209,013 | ||||||
39,484 | Crown Castle International Corp. | 6,607,648 | ||||||
25,306 | Digital Realty Trust, Inc. | 3,596,236 | ||||||
35,296 | Duke Realty Corp. | 1,249,125 | ||||||
8,351 | Equinix, Inc. | 5,864,907 | ||||||
32,572 | Equity Residential | 1,915,885 | ||||||
6,230 | Essex Property Trust, Inc. | 1,427,729 | ||||||
11,970 | Extra Space Storage, Inc. | 1,105,669 | ||||||
6,633 | Federal Realty Investment Trust | 565,198 | ||||||
50,072 | Healthpeak Properties, Inc. | 1,379,984 | ||||||
69,319 | Host Hotels & Resorts, Inc. | 747,952 | ||||||
27,502 | Iron Mountain, Inc.^ | 717,802 | ||||||
41,300 | Kimco Realty Corp. | 530,292 | ||||||
11,023 | Mid-America Apartment Communities, Inc. | 1,264,007 | ||||||
69,477 | ProLogis, Inc. | 6,484,289 | ||||||
14,152 | Public Storage, Inc. | 2,715,627 | ||||||
32,358 | Realty Income Corp. | 1,925,301 | ||||||
16,240 | Regency Centers Corp. | 745,254 | ||||||
10,599 | SBA Communications Corp. | 3,157,654 | ||||||
28,827 | Simon Property Group, Inc. | 1,971,190 | ||||||
7,513 | SL Green Realty Corp. | 370,316 | ||||||
27,437 | UDR, Inc. | 1,025,595 | ||||||
34,736 | Ventas, Inc. | 1,272,032 | ||||||
15,093 | Vornado Realty Trust | 576,704 | ||||||
39,329 | Welltower, Inc. | 2,035,276 | ||||||
70,279 | Weyerhaeuser Co. | 1,578,466 | ||||||
|
| |||||||
67,324,514 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
41,536 | Costco Wholesale Corp. | 12,594,131 | ||||||
75,263 | Kroger Co. (The) | 2,547,653 | ||||||
48,003 | Sysco Corp. | 2,623,844 | ||||||
69,104 | Walgreens Boots Alliance, Inc. | 2,929,319 | ||||||
133,372 | Walmart, Inc. | 15,975,297 | ||||||
|
| |||||||
36,670,244 | ||||||||
|
| |||||||
Food Products (1.1%): | ||||||||
52,393 | Archer-Daniels-Midland Co. | 2,090,481 | ||||||
16,161 | Campbell Soup Co. | 802,070 | ||||||
46,574 | Conagra Brands, Inc. | 1,638,008 | ||||||
56,818 | General Mills, Inc. | 3,502,830 | ||||||
13,811 | Hershey Co. (The) | 1,790,182 | ||||||
26,661 | Hormel Foods Corp. | 1,286,926 | ||||||
10,933 | JM Smucker Co. (The) | 1,156,821 | ||||||
23,152 | Kellogg Co. | 1,529,421 | ||||||
58,197 | Kraft Heinz Co. (The) | 1,855,902 | ||||||
13,997 | Lamb Weston Holdings, Inc. | 894,828 | ||||||
11,726 | McCormick & Co. | 2,103,762 | ||||||
135,380 | Mondelez International, Inc., Class A | 6,921,979 | ||||||
27,604 | Tyson Foods, Inc., Class A | 1,648,235 | ||||||
|
| |||||||
27,221,445 | ||||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
11,598 | Atmos Energy Corp. | 1,154,929 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies (3.8%): | ||||||||
167,030 | Abbott Laboratories | $ | 15,271,553 | |||||
4,226 | ABIOMED, Inc.* | 1,020,833 | ||||||
6,692 | Align Technology, Inc.* | 1,836,552 | ||||||
48,027 | Baxter International, Inc. | 4,135,125 | ||||||
27,733 | Becton Dickinson & Co. | 6,635,675 | ||||||
135,049 | Boston Scientific Corp.* | 4,741,570 | ||||||
4,698 | Cooper Cos., Inc. (The) | 1,332,541 | ||||||
59,198 | Danaher Corp. | 10,467,982 | ||||||
21,363 | Dentsply Sirona, Inc. | 941,254 | ||||||
8,730 | DexCom, Inc.* | 3,539,142 | ||||||
58,894 | Edwards Lifesciences Corp.* | 4,070,164 | ||||||
25,058 | Hologic, Inc.* | 1,428,306 | ||||||
8,060 | IDEXX Laboratories, Inc.* | 2,661,090 | ||||||
11,015 | Intuitive Surgical, Inc.* | 6,276,677 | ||||||
126,104 | Medtronic plc | 11,563,737 | ||||||
13,485 | ResMed, Inc. | 2,589,120 | ||||||
7,841 | Steris plc | 1,203,123 | ||||||
30,301 | Stryker Corp. | 5,459,937 | ||||||
4,315 | Teleflex, Inc. | 1,570,574 | ||||||
8,715 | Varian Medical Systems, Inc.* | 1,067,762 | ||||||
6,846 | West Pharmaceutical Services, Inc. | 1,555,206 | ||||||
19,365 | Zimmer Biomet Holdings, Inc. | 2,311,406 | ||||||
|
| |||||||
91,679,329 | ||||||||
|
| |||||||
Health Care Providers & Services (2.8%): | ||||||||
13,919 | AmerisourceBergen Corp. | 1,402,618 | ||||||
23,859 | Anthem, Inc. | 6,274,440 | ||||||
27,247 | Cardinal Health, Inc. | 1,422,021 | ||||||
54,929 | Centene Corp.* | 3,490,738 | ||||||
34,796 | Cigna Corp. | 6,529,469 | ||||||
123,357 | CVS Health Corp. | 8,014,504 | ||||||
7,828 | DaVita, Inc.* | 619,508 | ||||||
24,734 | HCA Healthcare, Inc. | 2,400,682 | ||||||
13,714 | Henry Schein, Inc.* | 800,760 | ||||||
12,464 | Humana, Inc. | 4,832,916 | ||||||
9,056 | Laboratory Corp. of America Holdings* | 1,504,292 | ||||||
15,185 | McKesson Corp. | 2,329,683 | ||||||
12,546 | Quest Diagnostics, Inc. | 1,429,742 | ||||||
89,451 | UnitedHealth Group, Inc. | 26,383,573 | ||||||
7,760 | Universal Health Services, Inc., Class B | 720,826 | ||||||
|
| |||||||
68,155,772 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
28,613 | Cerner Corp. | 1,961,421 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.5%): | ||||||||
44,016 | Carnival Corp., Class A^ | 722,743 | ||||||
2,413 | Chipotle Mexican Grill, Inc.* | 2,539,345 | ||||||
12,491 | Darden Restaurants, Inc. | 946,443 | ||||||
3,740 | Domino’s Pizza, Inc. | 1,381,706 | ||||||
26,057 | Hilton Worldwide Holdings, Inc. | 1,913,887 | ||||||
31,730 | Las Vegas Sands Corp. | 1,444,984 | ||||||
25,742 | Marriott International, Inc., Class A | 2,206,862 | ||||||
70,132 | McDonald’s Corp. | 12,937,249 | ||||||
45,300 | MGM Resorts International | 761,040 | ||||||
23,951 | Norwegian Cruise Line Holdings, Ltd.*^ | 393,515 | ||||||
16,620 | Royal Caribbean Cruises, Ltd.^ | 835,986 | ||||||
110,257 | Starbucks Corp. | 8,113,812 | ||||||
8,971 | Wynn Resorts, Ltd. | 668,250 |
See accompanying notes to the financial statements.
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
28,115 | Yum! Brands, Inc. | $ | 2,443,475 | |||||
|
| |||||||
37,309,297 | ||||||||
|
| |||||||
Household Durables (0.4%): | ||||||||
31,512 | D.R. Horton, Inc. | 1,747,340 | ||||||
13,641 | Garmin, Ltd. | 1,329,998 | ||||||
11,212 | Leggett & Platt, Inc. | 394,102 | ||||||
26,149 | Lennar Corp., Class A | 1,611,301 | ||||||
5,509 | Mohawk Industries, Inc.* | 560,596 | ||||||
36,863 | Newell Brands, Inc. | 585,384 | ||||||
330 | NVR, Inc.* | 1,075,388 | ||||||
24,408 | PulteGroup, Inc. | 830,604 | ||||||
6,095 | Whirlpool Corp. | 789,485 | ||||||
|
| |||||||
8,924,198 | ||||||||
|
| |||||||
Household Products (1.8%): | ||||||||
22,947 | Church & Dwight Co., Inc. | 1,773,803 | ||||||
11,744 | Clorox Co. (The) | 2,576,281 | ||||||
80,429 | Colgate-Palmolive Co. | 5,892,229 | ||||||
32,124 | Kimberly-Clark Corp. | 4,540,727 | ||||||
233,911 | Procter & Gamble Co. (The) | 27,968,738 | ||||||
|
| |||||||
42,751,778 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
63,280 | AES Corp. (The) | 916,927 | ||||||
22,575 | NRG Energy, Inc. | 735,042 | ||||||
|
| |||||||
1,651,969 | ||||||||
|
| |||||||
Industrial Conglomerates (1.1%): | ||||||||
54,053 | 3M Co. | 8,431,727 | ||||||
821,706 | General Electric Co. | 5,612,252 | ||||||
66,300 | Honeywell International, Inc. | 9,586,318 | ||||||
9,774 | Roper Technologies, Inc. | 3,794,853 | ||||||
|
| |||||||
27,425,150 | ||||||||
|
| |||||||
Insurance (1.9%): | ||||||||
67,270 | Aflac, Inc. | 2,423,738 | ||||||
29,647 | Allstate Corp. (The) | 2,875,463 | ||||||
81,857 | American International Group, Inc. | 2,552,301 | ||||||
21,721 | Aon plc, Class A | 4,183,465 | ||||||
18,019 | Arthur J. Gallagher & Co. | 1,756,672 | ||||||
5,753 | Assurant, Inc. | 594,227 | ||||||
42,676 | Chubb, Ltd. | 5,403,635 | ||||||
14,574 | Cincinnati Financial Corp. | 933,173 | ||||||
3,755 | Everest Re Group, Ltd. | 774,281 | ||||||
9,287 | Globe Life, Inc. | 689,374 | ||||||
34,252 | Hartford Financial Services Group, Inc. (The) | 1,320,415 | ||||||
17,754 | Lincoln National Corp. | 653,170 | ||||||
22,801 | Loews Corp. | 781,846 | ||||||
48,134 | Marsh & McLennan Cos., Inc. | 5,168,148 | ||||||
73,468 | MetLife, Inc. | 2,683,051 | ||||||
24,720 | Principal Financial Group, Inc. | 1,026,869 | ||||||
55,020 | Progressive Corp. (The) | 4,407,652 | ||||||
36,840 | Prudential Financial, Inc. | 2,243,556 | ||||||
23,759 | Travelers Cos., Inc. (The) | 2,709,714 | ||||||
18,921 | Unum Group | 313,899 | ||||||
12,068 | Willis Towers Watson plc | 2,376,793 | ||||||
14,008 | WR Berkley Corp. | 802,518 | ||||||
|
| |||||||
46,673,960 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services (5.5%): | ||||||||
28,268 | Alphabet, Inc., Class A* | $ | 40,085,437 | |||||
27,644 | Alphabet, Inc., Class C* | 39,077,835 | ||||||
226,881 | Facebook, Inc., Class A* | 51,517,869 | ||||||
73,063 | Twitter, Inc.* | 2,176,547 | ||||||
|
| |||||||
132,857,688 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (4.8%): | ||||||||
39,537 | Amazon.com, Inc.* | 109,075,467 | ||||||
3,866 | Booking Holdings, Inc.* | 6,155,987 | ||||||
62,215 | eBay, Inc. | 3,263,177 | ||||||
12,702 | Expedia Group, Inc. | 1,044,104 | ||||||
|
| |||||||
119,538,735 | ||||||||
|
| |||||||
IT Services (5.6%): | ||||||||
60,028 | Accenture plc, Class C | 12,889,212 | ||||||
15,013 | Akamai Technologies, Inc.* | 1,607,742 | ||||||
40,706 | Automatic Data Processing, Inc. | 6,060,716 | ||||||
10,740 | Broadridge Financial Solutions, Inc. | 1,355,281 | ||||||
51,542 | Cognizant Technology Solutions Corp., Class A | 2,928,616 | ||||||
24,926 | DXC Technology Co. | 411,279 | ||||||
58,279 | Fidelity National Information Services, Inc. | 7,814,631 | ||||||
53,071 | Fiserv, Inc.* | 5,180,791 | ||||||
7,888 | FleetCor Technologies, Inc.* | 1,984,069 | ||||||
8,352 | Gartner, Inc.* | 1,013,348 | ||||||
28,294 | Global Payments, Inc. | 4,799,228 | ||||||
83,803 | International Business Machines Corp. | 10,120,888 | ||||||
7,102 | Jack Henry & Associates, Inc. | 1,306,981 | ||||||
12,782 | Leidos Holdings, Inc. | 1,197,290 | ||||||
83,485 | MasterCard, Inc., Class A | 24,686,515 | ||||||
29,980 | Paychex, Inc. | 2,270,985 | ||||||
110,812 | PayPal Holdings, Inc.* | 19,306,775 | ||||||
9,622 | VeriSign, Inc.* | 1,990,118 | ||||||
159,187 | Visa, Inc., Class A | 30,750,153 | ||||||
40,117 | Western Union Co. | 867,330 | ||||||
|
| |||||||
138,541,948 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
12,195 | Hasbro, Inc. | 914,015 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.2%): | ||||||||
28,921 | Agilent Technologies, Inc. | 2,555,749 | ||||||
2,012 | Bio-Rad Laboratories, Inc., Class A* | 908,398 | ||||||
13,823 | Illumina, Inc.* | 5,119,348 | ||||||
16,968 | IQVIA Holdings, Inc.* | 2,407,420 | ||||||
2,282 | Mettler-Toledo International, Inc.* | 1,838,265 | ||||||
10,693 | PerkinElmer, Inc. | 1,048,876 | ||||||
37,346 | Thermo Fisher Scientific, Inc. | 13,531,950 | ||||||
5,820 | Waters Corp.* | 1,049,928 | ||||||
|
| |||||||
28,459,934 | ||||||||
|
| |||||||
Machinery (1.5%): | ||||||||
51,072 | Caterpillar, Inc. | 6,460,607 | ||||||
13,904 | Cummins, Inc. | 2,409,007 | ||||||
29,599 | Deere & Co. | 4,651,483 | ||||||
13,573 | Dover Corp. | 1,310,609 | ||||||
12,745 | Flowserve Corp. | 363,487 | ||||||
27,636 | Fortive Corp. | 1,869,852 | ||||||
7,015 | IDEX Corp. | 1,108,651 | ||||||
27,085 | Illinois Tool Works, Inc. | 4,735,812 | ||||||
33,286 | Ingersoll-Rand, Inc.* | 936,002 |
See accompanying notes to the financial statements.
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
38,467 | Otis Worldwide Corp. | $ | 2,187,234 | |||||
32,499 | PACCAR, Inc. | 2,432,550 | ||||||
12,084 | Parker Hannifin Corp. | 2,214,635 | ||||||
16,327 | Pentair plc | 620,263 | ||||||
5,235 | Snap-On, Inc. | 725,100 | ||||||
14,306 | Stanley Black & Decker, Inc. | 1,993,970 | ||||||
17,056 | Wabtec Corp. | 981,914 | ||||||
16,901 | Xylem, Inc. | 1,097,889 | ||||||
|
| |||||||
36,099,065 | ||||||||
|
| |||||||
Media (1.3%): | ||||||||
14,217 | Charter Communications, Inc., Class A* | 7,251,239 | ||||||
429,103 | Comcast Corp., Class A | 16,726,435 | ||||||
32,293 | Discovery Communications, Inc., Class C* | 621,963 | ||||||
15,411 | Discovery, Inc., Class A*^ | 325,172 | ||||||
24,055 | DISH Network Corp., Class A* | 830,138 | ||||||
32,619 | Fox Corp., Class A | 874,842 | ||||||
14,333 | Fox Corp., Class B | 384,698 | ||||||
36,309 | Interpublic Group of Cos., Inc. (The) | 623,062 | ||||||
35,842 | News Corp., Class A | 425,086 | ||||||
10,641 | News Corp., Class B | 127,160 | ||||||
20,504 | Omnicom Group, Inc. | 1,119,518 | ||||||
51,966 | ViacomCBS, Inc., Class B | 1,211,847 | ||||||
|
| |||||||
30,521,160 | ||||||||
|
| |||||||
Metals & Mining (0.3%): | ||||||||
135,082 | Freeport-McMoRan, Inc. | 1,562,899 | ||||||
75,772 | Newmont Corp. | 4,678,163 | ||||||
28,947 | Nucor Corp. | 1,198,695 | ||||||
|
| |||||||
7,439,757 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
23,922 | Dollar General Corp. | 4,557,380 | ||||||
22,193 | Dollar Tree, Inc.* | 2,056,847 | ||||||
14,828 | Kohl’s Corp. | 307,978 | ||||||
47,134 | Target Corp. | 5,652,781 | ||||||
|
| |||||||
12,574,986 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
23,221 | Ameren Corp. | 1,633,830 | ||||||
51,120 | CenterPoint Energy, Inc. | 954,410 | ||||||
27,220 | CMS Energy Corp. | 1,590,192 | ||||||
31,846 | Consolidated Edison, Inc. | 2,290,683 | ||||||
79,246 | Dominion Energy, Inc. | 6,433,189 | ||||||
18,085 | DTE Energy Co. | 1,944,138 | ||||||
36,126 | NiSource, Inc. | 821,505 | ||||||
47,413 | Public Service Enterprise Group, Inc. | 2,330,823 | ||||||
27,668 | Sempra Energy | 3,243,520 | ||||||
29,647 | WEC Energy Group, Inc. | 2,598,560 | ||||||
|
| |||||||
23,840,850 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.6%): | ||||||||
36,020 | Apache Corp. | 486,270 | ||||||
38,489 | Cabot Oil & Gas Corp. | 661,241 | ||||||
176,242 | Chevron Corp. | 15,726,075 | ||||||
18,446 | Concho Resources, Inc. | 949,969 | ||||||
101,093 | ConocoPhillips Co. | 4,247,928 | ||||||
37,942 | Devon Energy Corp. | 430,262 | ||||||
15,415 | Diamondback Energy, Inc. | 644,655 | ||||||
54,483 | EOG Resources, Inc. | 2,760,109 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
398,957 | Exxon Mobil Corp. | $ | 17,841,358 | |||||
24,706 | Hess Corp. | 1,280,018 | ||||||
14,420 | HollyFrontier Corp. | 421,064 | ||||||
182,743 | Kinder Morgan, Inc. | 2,772,211 | ||||||
77,362 | Marathon Oil Corp. | 473,455 | ||||||
61,047 | Marathon Petroleum Corp. | 2,281,937 | ||||||
45,092 | Noble Energy, Inc. | 404,024 | ||||||
85,897 | Occidental Petroleum Corp. | 1,571,915 | ||||||
38,447 | ONEOK, Inc. | 1,277,209 | ||||||
40,916 | Phillips 66 | 2,941,860 | ||||||
15,271 | Pioneer Natural Resources Co. | 1,491,977 | ||||||
38,343 | Valero Energy Corp. | 2,255,335 | ||||||
114,515 | Williams Cos., Inc. | 2,178,075 | ||||||
|
| |||||||
63,096,947 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
30,605 | Coty, Inc., Class A | 136,804 | ||||||
21,240 | Estee Lauder Co., Inc. (The), Class A | 4,007,564 | ||||||
|
| |||||||
4,144,368 | ||||||||
|
| |||||||
Pharmaceuticals (4.3%): | ||||||||
213,792 | Bristol-Myers Squibb Co. | 12,570,970 | ||||||
79,438 | Eli Lilly & Co. | 13,042,131 | ||||||
248,594 | Johnson & Johnson Co. | 34,959,774 | ||||||
238,268 | Merck & Co., Inc. | 18,425,264 | ||||||
47,561 | Mylan NV* | 764,781 | ||||||
12,748 | Perrigo Co. plc | 704,582 | ||||||
524,069 | Pfizer, Inc. | 17,137,056 | ||||||
44,785 | Zoetis, Inc. | 6,137,336 | ||||||
|
| |||||||
103,741,894 | ||||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
11,331 | Equifax, Inc. | 1,947,572 | ||||||
37,529 | IHS Markit, Ltd. | 2,833,440 | ||||||
32,227 | Nielsen Holdings plc | 478,893 | ||||||
10,794 | Robert Half International, Inc. | 570,247 | ||||||
15,349 | Verisk Analytics, Inc. | 2,612,400 | ||||||
|
| |||||||
8,442,552 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
31,838 | CBRE Group, Inc., Class A* | 1,439,714 | ||||||
|
| |||||||
Road & Rail (1.0%): | ||||||||
72,361 | CSX Corp. | 5,046,456 | ||||||
8,175 | J.B. Hunt Transport Services, Inc. | 983,780 | ||||||
8,929 | Kansas City Southern | 1,333,010 | ||||||
24,209 | Norfolk Southern Corp. | 4,250,374 | ||||||
8,811 | Old Dominion Freight Line, Inc. | 1,494,257 | ||||||
64,106 | Union Pacific Corp. | 10,838,402 | ||||||
|
| |||||||
23,946,279 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.7%): | ||||||||
110,052 | Advanced Micro Devices, Inc.* | 5,789,836 | ||||||
34,655 | Analog Devices, Inc. | 4,250,089 | ||||||
86,931 | Applied Materials, Inc. | 5,254,979 | ||||||
37,737 | Broadcom, Inc. | 11,910,175 | ||||||
399,669 | Intel Corp. | 23,912,196 | ||||||
14,501 | KLA Corp. | 2,820,154 | ||||||
13,652 | Lam Research Corp. | 4,415,876 | ||||||
25,650 | Maxim Integrated Products, Inc. | 1,554,647 | ||||||
23,150 | Microchip Technology, Inc. | 2,437,927 |
See accompanying notes to the financial statements.
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
104,230 | Micron Technology, Inc.* | $ | 5,369,930 | |||||
58,080 | NVIDIA Corp. | 22,065,173 | ||||||
11,087 | Qorvo, Inc.* | 1,225,446 | ||||||
106,162 | Qualcomm, Inc. | 9,683,036 | ||||||
15,554 | Skyworks Solutions, Inc. | 1,988,734 | ||||||
86,689 | Texas Instruments, Inc. | 11,006,902 | ||||||
22,980 | Xilinx, Inc. | 2,261,002 | ||||||
|
| |||||||
115,946,102 | ||||||||
|
| |||||||
Software (9.2%): | ||||||||
45,546 | Adobe, Inc.* | 19,826,628 | ||||||
8,037 | ANSYS, Inc.* | 2,344,634 | ||||||
20,710 | Autodesk, Inc.* | 4,953,625 | ||||||
26,411 | Cadence Design Systems, Inc.* | 2,534,400 | ||||||
11,090 | Citrix Systems, Inc. | 1,640,322 | ||||||
12,676 | Fortinet, Inc.* | 1,740,035 | ||||||
24,485 | Intuit, Inc. | 7,252,212 | ||||||
715,628 | Microsoft Corp. | 145,637,453 | ||||||
49,990 | NortonLifeLock, Inc. | 991,302 | ||||||
196,416 | Oracle Corp. | 10,855,912 | ||||||
4,553 | Paycom Software, Inc.* | 1,410,201 | ||||||
85,045 | Salesforce.com, Inc.* | 15,931,480 | ||||||
17,999 | ServiceNow, Inc.* | 7,290,675 | ||||||
14,161 | Synopsys, Inc.* | 2,761,395 | ||||||
3,735 | Tyler Technologies, Inc.* | 1,295,597 | ||||||
|
| |||||||
226,465,871 | ||||||||
|
| |||||||
Specialty Retail (2.4%): | ||||||||
6,640 | Advance Auto Parts, Inc. | 945,868 | ||||||
2,183 | AutoZone, Inc.* | 2,462,686 | ||||||
21,406 | Best Buy Co, Inc. | 1,868,102 | ||||||
15,205 | CarMax, Inc.* | 1,361,608 | ||||||
22,015 | Gap, Inc. (The) | 277,829 | ||||||
101,514 | Home Depot, Inc. (The) | 25,430,272 | ||||||
21,624 | L Brands, Inc. | 323,711 | ||||||
71,229 | Lowe’s Cos., Inc. | 9,624,462 | ||||||
6,954 | O’Reilly Automotive, Inc.* | 2,932,293 | ||||||
33,371 | Ross Stores, Inc. | 2,844,544 | ||||||
10,430 | Tiffany & Co. | 1,271,834 | ||||||
112,873 | TJX Cos., Inc. (The) | 5,706,859 | ||||||
10,783 | Tractor Supply Co. | 1,421,092 | ||||||
5,195 | Ulta Beauty, Inc.* | 1,056,767 | ||||||
|
| |||||||
57,527,927 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (5.9%): | ||||||||
384,452 | Apple, Inc. | 140,248,089 | ||||||
121,049 | Hewlett Packard Enterprise Co. | 1,177,807 | ||||||
134,847 | HP, Inc. | 2,350,383 | ||||||
20,879 | NetApp, Inc. | 926,401 | ||||||
20,904 | Seagate Technology plc | 1,011,963 | ||||||
28,093 | Western Digital Corp. | 1,240,306 | ||||||
18,105 | Xerox Holdings Corp. | 276,825 | ||||||
|
| |||||||
147,231,774 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods (0.6%): | ||||||||
35,067 | Hanesbrands, Inc. | $ | 395,906 | |||||
117,305 | Nike, Inc., Class B | 11,501,755 | ||||||
6,346 | PVH Corp. | 304,925 | ||||||
4,443 | Ralph Lauren Corp. | 322,206 | ||||||
24,120 | Tapestry, Inc. | 320,314 | ||||||
18,915 | Under Armour, Inc., Class A* | 184,232 | ||||||
19,502 | Under Armour, Inc., Class C* | 172,398 | ||||||
29,855 | VF Corp. | 1,819,364 | ||||||
|
| |||||||
15,021,100 | ||||||||
|
| |||||||
Tobacco (0.7%): | ||||||||
175,599 | Altria Group, Inc. | 6,892,261 | ||||||
147,085 | Philip Morris International, Inc. | 10,304,775 | ||||||
|
| |||||||
17,197,036 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
53,793 | Fastenal Co. | 2,304,491 | ||||||
6,766 | United Rentals, Inc.* | 1,008,405 | ||||||
4,023 | W.W. Grainger, Inc. | 1,263,866 | ||||||
|
| |||||||
4,576,762 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
16,941 | American Water Works Co., Inc. | 2,179,629 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
51,907 | T-Mobile USA, Inc.* | 5,406,114 | ||||||
|
| |||||||
Total Common Stocks (Cost $1,174,129,804) | 2,418,276,597 | |||||||
|
| |||||||
Right (0.0%†): | ||||||||
Wireless Telecommunication Services (0.0%†): | ||||||||
36,327 | T-Mobile USA, Inc., Expires on 7/28/20* | 6,103 | ||||||
|
| |||||||
Total Right (Cost $—) | 6,103 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.1%): | ||||||||
3,502,895 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(a)(b) | 3,502,895 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 3,502,895 | ||||||
|
| |||||||
Unaffiliated Investment Companies (0.7%): | ||||||||
Money Markets (0.7%): | ||||||||
16,012,048 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(b) | 16,012,048 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $16,012,048) | 16,012,048 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,193,644,747) — 100.1% | 2,437,797,643 | |||||||
Net other assets (liabilities) — (0.1)% | (1,353,017 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,436,444,626 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $3,395,995. |
+ | Affiliated Securities |
See accompanying notes to the financial statements.
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
† | Represents less than 0.05%. |
(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, 2020. |
(b) | The rate represents the effective yield at June 30, 2020. |
Amounts shown as “—” are either $0 or rounds to less than $1.
Futures Contracts
Cash of $1,467,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/18/20 | 121 | $ | 18,695,710 | $ | 401,387 | ||||||||||||||
|
| |||||||||||||||||||
$ | 401,387 | |||||||||||||||||||
|
|
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,189,726,146 | |||
Investments in affiliates, at cost | 3,918,601 | ||||
|
| ||||
Investments in non-affiliates, at value(a) | $ | 2,429,878,414 | |||
Investments in affiliates, at value | 7,919,229 | ||||
Cash | 34,339 | ||||
Segregated cash for collateral for futures contracts | 1,467,000 | ||||
Interest and dividends receivable | 1,891,907 | ||||
Receivable for investments sold | 121,000 | ||||
Receivable for variation margin on futures contracts | 257,125 | ||||
Reclaims receivable | 29,231 | ||||
Prepaid expenses | 5,137 | ||||
|
| ||||
Total Assets | 2,441,603,382 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 543,668 | ||||
Payable for collateral received on loaned securities | 3,502,895 | ||||
Manager fees payable | 342,167 | ||||
Distribution fees payable | 490,180 | ||||
Custodian fees payable | 20,512 | ||||
Administrative and compliance services fees payable | 5,615 | ||||
Transfer agent fees payable | 2,675 | ||||
Trustee fees payable | 35,413 | ||||
Other accrued liabilities | 215,631 | ||||
|
| ||||
Total Liabilities | 5,158,756 | ||||
|
| ||||
Net Assets | $ | 2,436,444,626 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 980,142,329 | |||
Total distributable earnings | 1,456,302,297 | ||||
|
| ||||
Net Assets | $ | 2,436,444,626 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 62,826,212 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 3,538,566 | ||||
Net Asset Value (offering and redemption price per share) | $ | 17.75 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 2,373,618,414 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 134,955,587 | ||||
Net Asset Value (offering and redemption price per share) | $ | 17.59 | |||
|
|
(a) | Includes securities on loan of $3,395,995. |
For the Six Months Ended June 30, 2020 (Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 24,796,796 | |||
Dividends from affiliates | 95,476 | ||||
Interest | 3,122 | ||||
Income from securities lending | 27,652 | ||||
Foreign tax reclaims received | 1,649 | ||||
|
| ||||
Total Investment Income | 24,924,695 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,087,554 | ||||
Administration fees | 331,093 | ||||
Distribution fees — Class 2 | 2,991,265 | ||||
Custodian fees | 43,963 | ||||
Administrative and compliance services fees | 23,059 | ||||
Transfer agent fees | 6,604 | ||||
Trustee fees | 72,779 | ||||
Professional fees | 64,207 | ||||
Shareholder reports | 45,109 | ||||
Other expenses | 272,703 | ||||
|
| ||||
Total expenses | 5,938,336 | ||||
|
| ||||
Net Investment Income/(Loss) | 18,986,359 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | 77,974,045 | ||||
Net realized gains/(losses) on affiliated transactions | 203,470 | ||||
Net realized gains/(losses) on futures contracts | 1,790,714 | ||||
Change in net unrealized appreciation/depreciation on securities | (202,286,645 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | 387,729 | ||||
Change in net unrealized appreciation/depreciation on futures contracts | 239,522 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (121,691,165 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (102,704,806 | ) | ||
|
|
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, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 18,986,359 | $ | 42,104,525 | ||||||
Net realized gains/(losses) on investments | 79,968,229 | 94,141,209 | ||||||||
Change in unrealized appreciation/depreciation on investments | (201,659,394 | ) | 581,207,194 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (102,704,806 | ) | 717,452,928 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (3,214,142 | ) | |||||||
Class 2 | — | (118,738,444 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (121,952,586 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 131,139 | 612,585 | ||||||||
Proceeds from dividends reinvested | — | 3,214,143 | ||||||||
Value of shares redeemed | (5,307,048 | ) | (10,818,839 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (5,175,909 | ) | (6,992,111 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 167,408,309 | 43,218,601 | ||||||||
Proceeds from dividends reinvested | — | 118,738,443 | ||||||||
Value of shares redeemed | (413,112,446 | ) | (393,581,816 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (245,704,137 | ) | (231,624,772 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (250,880,046 | ) | (238,616,883 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (353,584,852 | ) | 356,883,459 | |||||||
Net Assets: | ||||||||||
Beginning of period | 2,790,029,478 | 2,433,146,019 | ||||||||
|
|
|
| |||||||
End of period | $ | 2,436,444,626 | $ | 2,790,029,478 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 8,136 | 35,976 | ||||||||
Dividends reinvested | — | 192,926 | ||||||||
Shares redeemed | (316,832 | ) | (633,051 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (308,696 | ) | (404,149 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 11,692,381 | 2,632,549 | ||||||||
Dividends reinvested | — | 7,183,209 | ||||||||
Shares redeemed | (25,849,709 | ) | (22,984,390 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (14,157,328 | ) | (13,168,632 | ) | ||||||
|
|
|
| |||||||
Change in shares | (14,466,024 | ) | (13,572,781 | ) | ||||||
|
|
|
|
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, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.39 | $ | 14.72 | $ | 16.25 | $ | 14.15 | $ | 14.31 | $ | 14.50 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | (a) | 0.31 | (a) | 0.29 | (a) | 0.28 | 0.28 | 0.27 | |||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.79 | ) | 4.20 | (0.96 | ) | 2.71 | 1.30 | (0.12 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.64 | ) | 4.51 | (0.67 | ) | 2.99 | 1.58 | 0.15 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.31 | ) | (0.31 | ) | (0.17 | ) | (0.31 | ) | (0.34 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.53 | ) | (0.55 | ) | (0.72 | ) | (1.43 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.84 | ) | (0.86 | ) | (0.89 | ) | (1.74 | ) | (0.34 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 17.75 | $ | 18.39 | $ | 14.72 | $ | 16.25 | $ | 14.15 | $ | 14.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (3.48 | )%(c) | 31.27 | % | (4.63 | )% | 21.60 | % | 11.79 | % | 1.16 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 62,826 | $ | 70,738 | $ | 62,599 | $ | 76,049 | $ | 72,604 | $ | 20,022 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.79 | % | 1.81 | % | 1.74 | % | 1.83 | % | 1.98 | % | 1.86 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | % | 0.24 | % | 0.24 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | % | 0.24 | % | 0.24 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 5 | % | 3 | % | 4 | % | 2 | % | 23 | % | 8 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.24 | $ | 14.61 | $ | 16.13 | $ | 14.06 | $ | 14.23 | $ | 14.40 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.13 | (a) | 0.26 | (a) | 0.25 | (a) | 0.24 | 0.24 | 0.23 | |||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.78 | ) | 4.17 | (0.95 | ) | 2.70 | 1.29 | (0.11 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.65 | ) | 4.43 | (0.70 | ) | 2.94 | 1.53 | 0.12 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.27 | ) | (0.27 | ) | (0.15 | ) | (0.27 | ) | (0.29 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.53 | ) | (0.55 | ) | (0.72 | ) | (1.43 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.80 | ) | (0.82 | ) | (0.87 | ) | (1.70 | ) | (0.29 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 17.59 | $ | 18.24 | $ | 14.61 | $ | 16.13 | $ | 14.06 | $ | 14.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (3.56 | )%(c) | 30.89 | % | (4.84 | )% | 21.36 | % | 11.45 | % | 0.95 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 2,373,618 | $ | 2,719,291 | $ | 2,370,547 | $ | 2,788,345 | $ | 2,562,218 | $ | 1,223,566 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.54 | % | 1.56 | % | 1.49 | % | 1.58 | % | 1.75 | % | 1.58 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 5 | % | 3 | % | 4 | % | 2 | % | 23 | % | 8 | % |
(a) | Calculated using the average shares method. |
(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, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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
12
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $2,782 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,502,895 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $20.5 million for the period ended June 30, 2020. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
13
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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* | $ | 401,387 | Payable for variation margin on futures 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, 2020:
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 | $ | 1,790,714 | $239,522 |
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, 2021.
For the period ended June 30, 2020, 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, 2020, 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, 2020, there were no voluntary waivers.
At June 30, 2020, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2020 | Shares as of 6/30/2020 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
BlackRock Inc., Class A | $ | 6,142,491 | $ | 2,011,424 | $ (825,885) | $ | 203,470 | $ | 387,729 | $ | 7,919,229 | 14,555 | $ | 95,476 | $ | — | |||||||||||||||||||||||||||||
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$ | 6,142,491 | $ | 2,011,424 | $ (825,885) | $ | 203,470 | $ | 387,729 | $ | 7,919,229 | 14,555 | $ | 95,476 | $ | — | ||||||||||||||||||||||||||||||
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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 SEC. 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.”
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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, 2020, $10,443 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 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.
15
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 2,418,276,597 | $ | — | $ | — | $ | 2,418,276,597 | ||||||||||||
Rights+ | 6,103 | — | �� | — | 6,103 | |||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 3,502,895 | — | — | 3,502,895 | ||||||||||||||||
Unaffiliated Investment Companies | 16,012,048 | — | — | 16,012,048 | ||||||||||||||||
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Total Investment Securities | 2,437,797,643 | — | — | 2,437,797,643 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 401,387 | — | — | 401,387 | ||||||||||||||||
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Total Investments | $ | 2,438,199,030 | $ | — | $ | — | $ | 2,438,199,030 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 134,821,135 | $ | 360,829,221 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $1,369,450,540. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 1,464,064,600 | ||
Unrealized (depreciation) | (40,031,753 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 1,424,032,847 | ||
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16
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL S&P 500 Index Fund | $ | 40,928,869 | $ | 81,023,717 | $ | 121,952,586 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 44,219,928 | $ | 90,754,322 | $ | — | $ | 1,424,032,853 | $ | 1,559,007,103 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, futures contracts, mark-to-market of futures contracts, underlying investments and other miscellaneous differences. |
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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 65% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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, except as noted below.
On June 12, 2020, the Board approved a reorganization whereby, subject to shareholder approval, the Fund will acquire the assets and liabilities of the AZL Morgan Stanley Global Real Estate Fund. A meeting of shareholders to approve the proposal was set for August 19, 2020, and if approved, the reorganization is expected to be completed on or about August 21, 2020.
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-PORT. 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.
18
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® Small Cap Stock Index Fund
Semi-Annual Report
June 30, 2020
(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 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Small Cap Stock Index Fund, Class 1 | $ | 1,000.00 | $ | 819.70 | $ | 1.54 | 0.34 | % | ||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | $ | 1,000.00 | $ | 819.40 | $ | 2.67 | 0.59 | % |
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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL Small Cap Stock Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.17 | $ | 1.71 | 0.34 | % | ||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.93 | $ | 2.97 | 0.59 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 17.8 | % | |||
Financials | 14.9 | ||||
Consumer Discretionary | 14.6 | ||||
Information Technology | 14.0 | ||||
Health Care | 12.9 | ||||
Real Estate | 8.2 | ||||
Materials | 4.9 | ||||
Consumer Staples | 3.6 | ||||
Energy | 2.9 | ||||
Communication Services | 2.6 | ||||
Utilities | 2.2 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 98.6 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 4.6 | ||||
Unaffiliated Investment Companies | 0.4 | ||||
|
| ||||
Total Investment Securities | 103.6 | ||||
Net other assets (liabilities) | (3.6 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.5%): | ||||||||
Aerospace & Defense (1.4%): | ||||||||
33,490 | AAR Corp. | $ | 692,238 | |||||
72,539 | Aerojet Rocketdyne Holdings, Inc.* | 2,875,445 | ||||||
21,665 | AeroVironment, Inc.* | 1,725,184 | ||||||
31,386 | Cubic Corp. | 1,507,470 | ||||||
30,110 | Moog, Inc., Class A | 1,595,228 | ||||||
5,130 | National Presto Industries, Inc. | 448,311 | ||||||
18,289 | Park Aerospace Corp., Class C | 203,739 | ||||||
50,551 | Triumph Group, Inc. | 455,465 | ||||||
|
| |||||||
9,503,080 | ||||||||
|
| |||||||
Air Freight & Logistics (0.7%): | ||||||||
26,326 | Atlas Air Worldwide Holdings, Inc.* | 1,132,808 | ||||||
27,055 | Echo Global Logistics, Inc.* | 584,929 | ||||||
27,824 | Forward Air Corp. | 1,386,192 | ||||||
33,441 | Hub Group, Inc., Class A* | 1,600,486 | ||||||
|
| |||||||
4,704,415 | ||||||||
|
| |||||||
Airlines (0.6%): | ||||||||
13,208 | Allegiant Travel Co. | 1,442,446 | ||||||
46,518 | Hawaiian Holdings, Inc. | 653,113 | ||||||
50,410 | SkyWest, Inc. | 1,644,374 | ||||||
|
| |||||||
3,739,933 | ||||||||
|
| |||||||
Auto Components (2.1%): | ||||||||
114,470 | American Axle & Manufacturing Holdings, Inc.* | 869,972 | ||||||
50,379 | Cooper Tire & Rubber Co. | 1,390,964 | ||||||
17,541 | Cooper-Standard Holding, Inc.* | 232,418 | ||||||
28,906 | Dorman Products, Inc.* | 1,938,725 | ||||||
41,176 | Fox Factory Holding Corp.* | 3,401,550 | ||||||
76,674 | Garrett Motion, Inc.* | 424,774 | ||||||
32,939 | Gentherm, Inc.* | 1,281,327 | ||||||
25,262 | LCI Industries | 2,904,625 | ||||||
18,946 | Motorcar Parts of America, Inc.* | 334,776 | ||||||
20,369 | Standard Motor Products, Inc. | 839,203 | ||||||
|
| |||||||
13,618,334 | ||||||||
|
| |||||||
Automobiles (0.3%): | ||||||||
33,923 | Winnebago Industries, Inc. | 2,259,950 | ||||||
|
| |||||||
Banks (7.4%): | ||||||||
19,120 | Allegiance Bancshares, Inc. | 485,457 | ||||||
65,037 | Ameris Bancorp | 1,534,223 | ||||||
44,994 | Banc of California, Inc. | 487,285 | ||||||
35,923 | Banner Corp. | 1,365,074 | ||||||
43,225 | Berkshire Hills Bancorp, Inc. | 476,340 | ||||||
83,061 | Boston Private Financial Holdings, Inc. | 571,460 | ||||||
81,085 | Brookline Bancorp, Inc. | 817,337 | ||||||
128,136 | Cadence Bancorp | 1,135,285 | ||||||
28,583 | Central Pacific Financial Corp. | 458,185 | ||||||
16,084 | City Holding Co. | 1,048,194 | ||||||
72,835 | Columbia Banking System, Inc. | 2,064,508 | ||||||
52,312 | Community Bank System, Inc. | 2,982,830 | ||||||
29,944 | Customers Bancorp, Inc.* | 359,927 | ||||||
129,014 | CVB Financial Corp. | 2,417,722 | ||||||
32,610 | Eagle Bancorp, Inc. | 1,067,978 | ||||||
220,634 | First Bancorp | 1,233,345 | ||||||
99,275 | First Commonwealth Financial Corp. | 821,997 | ||||||
99,467 | First Financial Bancorp | 1,381,597 | ||||||
115,754 | First Midwest Bancorp, Inc. | 1,545,316 | ||||||
13,425 | Franklin Financial Network, Inc. | 345,694 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
56,699 | Great Western Bancorp, Inc. | $ | 780,178 | |||||
30,569 | Hanmi Financial Corp. | 296,825 | ||||||
36,636 | Heritage Financial Corp. | 732,720 | ||||||
126,251 | Hope BanCorp, Inc. | 1,164,034 | ||||||
33,416 | Independent Bank Corp. | 2,241,879 | ||||||
36,634 | Independent Bank Group, Inc. | 1,484,410 | ||||||
31,515 | National Bank Holdings Corp. | 850,905 | ||||||
44,288 | NBT Bancorp, Inc. | 1,362,299 | ||||||
51,730 | OFG Bancorp | 691,630 | ||||||
167,403 | Old National Bancorp | 2,303,465 | ||||||
80,789 | Pacific Premier Bancorp, Inc. | 1,751,506 | ||||||
13,348 | Preferred Bank Los Angeles | 571,962 | ||||||
37,903 | S & T Bancorp, Inc. | 888,825 | ||||||
53,369 | Seacoast Banking Corp of Florida* | 1,088,728 | ||||||
46,490 | ServisFirst Bancshares, Inc. | 1,662,482 | ||||||
110,518 | Simmons First National Corp., Class A | 1,890,963 | ||||||
31,438 | Southside Bancshares, Inc. | 871,461 | ||||||
12,348 | Tompkins Financial Corp. | 799,780 | ||||||
22,615 | Triumph BanCorp, Inc.* | 548,866 | ||||||
79,935 | United Community Banks, Inc. | 1,608,292 | ||||||
46,752 | Veritex Holdings, Inc. | 827,510 | ||||||
26,967 | Westamerica Bancorp | 1,548,445 | ||||||
|
| |||||||
48,566,919 | ||||||||
|
| |||||||
Beverages (0.4%): | ||||||||
4,700 | Coca-Cola Consolidated, Inc. | 1,077,192 | ||||||
13,174 | MGP Ingredients, Inc. | 483,552 | ||||||
11,787 | National Beverage Corp.*^ | 719,243 | ||||||
|
| |||||||
2,279,987 | ||||||||
|
| |||||||
Biotechnology (2.5%): | ||||||||
33,148 | AMAG Pharmaceuticals, Inc.*^ | 253,582 | ||||||
61,165 | Coherus Biosciences, Inc.* | 1,092,407 | ||||||
60,203 | Cytokinetics, Inc.* | 1,418,985 | ||||||
10,236 | Eagle Pharmaceuticals, Inc.* | 491,123 | ||||||
44,772 | Emergent Biosolutions, Inc.* | 3,540,570 | ||||||
16,379 | Enanta Pharmaceuticals, Inc.* | 822,390 | ||||||
118,352 | Momenta Pharmaceuticals, Inc.* | 3,937,571 | ||||||
75,403 | Myriad Genetics, Inc.* | 855,070 | ||||||
31,572 | REGENXBIO, Inc.* | 1,162,797 | ||||||
111,769 | Spectrum Pharmaceuticals, Inc.* | 377,779 | ||||||
54,750 | Vanda Pharmaceuticals, Inc.* | 626,340 | ||||||
49,403 | Xencor, Inc.* | 1,600,163 | ||||||
|
| |||||||
16,178,777 | ||||||||
|
| |||||||
Building Products (2.6%): | ||||||||
40,595 | AAON, Inc. | 2,203,903 | ||||||
15,806 | American Woodmark Corp.* | 1,195,724 | ||||||
26,763 | Apogee Enterprises, Inc. | 616,620 | ||||||
32,493 | Gibraltar Industries, Inc.* | 1,559,989 | ||||||
43,237 | Griffon Corp. | 800,749 | ||||||
17,728 | Insteel Industries, Inc. | 338,073 | ||||||
22,112 | Patrick Industries, Inc. | 1,354,360 | ||||||
58,957 | PGT Innovations, Inc.* | 924,446 | ||||||
33,459 | Quanex Building Products Corp. | 464,411 | ||||||
123,212 | Resideo Technologies, Inc.* | 1,444,045 | ||||||
39,624 | Simpson Manufacturing Co., Inc. | 3,342,680 | ||||||
61,300 | UFP Industries, Inc. | 3,034,962 | ||||||
|
| |||||||
17,279,962 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets (0.8%): | ||||||||
49,190 | Blucora, Inc.* | $ | 561,750 | |||||
35,877 | Brightsphere Investment Group, Inc. | 447,027 | ||||||
22,124 | Calamos Asset Management Escrow Shares*(a)(b) | — | ||||||
31,281 | Donnelley Financial Solutions, Inc.* | 262,760 | ||||||
15,369 | Greenhill & Co., Inc. | 153,536 | ||||||
16,620 | INTL FCStone, Inc.* | 914,100 | ||||||
14,631 | Piper Jaffray Cos., Inc. | 865,570 | ||||||
7,237 | Virtus Investment Partners, Inc. | 841,591 | ||||||
65,727 | Waddell & Reed Financial, Inc., Class A | 1,019,426 | ||||||
117,947 | WisdomTree Investments, Inc. | 409,276 | ||||||
|
| |||||||
5,475,036 | ||||||||
|
| |||||||
Chemicals (2.8%): | ||||||||
28,841 | AdvanSix, Inc.* | 338,593 | ||||||
26,254 | American Vanguard Corp. | 361,255 | ||||||
32,376 | Balchem Corp. | 3,071,187 | ||||||
83,349 | Ferro Corp.* | 995,187 | ||||||
25,192 | Futurefuel Corp. | 301,044 | ||||||
54,234 | GCP Applied Technologies, Inc.* | 1,007,668 | ||||||
51,379 | H.B. Fuller Co. | 2,291,503 | ||||||
9,430 | Hawkins, Inc. | 401,529 | ||||||
24,488 | Innospec, Inc. | 1,891,698 | ||||||
21,295 | Koppers Holdings, Inc.* | 401,198 | ||||||
32,570 | Kraton Corp.* | 562,810 | ||||||
148,054 | Livent Corp.*^ | 912,013 | ||||||
12,981 | Quaker Chemical Corp. | 2,409,923 | ||||||
47,528 | Rayonier Advanced Materials, Inc.* | 133,554 | ||||||
20,037 | Stepan Co. | 1,945,593 | ||||||
25,082 | Tredegar Corp. | 386,263 | ||||||
37,939 | Trinseo SA | 840,728 | ||||||
|
| |||||||
18,251,746 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.6%): | ||||||||
66,975 | ABM Industries, Inc. | 2,431,192 | ||||||
48,420 | Brady Corp., Class A | 2,267,024 | ||||||
58,657 | Interface, Inc. | 477,468 | ||||||
31,544 | Matthews International Corp., Class A | 602,490 | ||||||
174,957 | Pitney Bowes, Inc. | 454,888 | ||||||
77,790 | RR Donnelley & Sons Co. | 92,570 | ||||||
32,002 | Team, Inc.* | 178,251 | ||||||
15,234 | UniFirst Corp. | 2,726,125 | ||||||
25,620 | US Ecology, Inc. | 868,006 | ||||||
20,354 | Viad Corp. | 387,133 | ||||||
|
| |||||||
10,485,147 | ||||||||
|
| |||||||
Communications Equipment (1.1%): | ||||||||
47,247 | ADTRAN, Inc. | 516,410 | ||||||
19,564 | Applied Optoelectronics, Inc.*^ | 212,661 | ||||||
34,664 | CalAmp Corp.* | 277,659 | ||||||
25,034 | Comtech Telecommunications Corp. | 422,824 | ||||||
29,232 | Digi International, Inc.* | 340,553 | ||||||
122,661 | Extreme Networks, Inc.* | 532,349 | ||||||
98,330 | Harmonic, Inc.* | 467,068 | ||||||
29,172 | NETGEAR, Inc.* | 755,263 | ||||||
33,883 | Plantronics, Inc.^ | 497,402 | ||||||
227,856 | Viavi Solutions, Inc.* | 2,902,884 | ||||||
|
| |||||||
6,925,073 | ||||||||
|
| |||||||
Construction & Engineering (0.8%): | ||||||||
30,635 | Aegion Corp.* | 486,177 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
48,497 | Arcosa, Inc. | $ | 2,046,574 | |||||
36,486 | Comfort Systems USA, Inc. | 1,486,805 | ||||||
47,410 | Granite Construction, Inc. | 907,427 | ||||||
16,506 | MYR Group, Inc.* | 526,706 | ||||||
|
| |||||||
5,453,689 | ||||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
15,657 | U.S. Concrete, Inc.* | 388,294 | ||||||
|
| |||||||
Consumer Finance (1.0%): | ||||||||
27,849 | Encore Capital Group, Inc.*^ | 951,879 | ||||||
30,956 | Enova International, Inc.* | 460,316 | ||||||
51,995 | EZCORP, Inc., Class A* | 327,569 | ||||||
48,981 | Green Dot Corp., Class A* | 2,403,987 | ||||||
45,911 | PRA Group, Inc.* | 1,774,919 | ||||||
5,440 | World Acceptance Corp.* | 356,429 | ||||||
|
| |||||||
6,275,099 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
35,460 | Myers Industries, Inc. | 515,943 | ||||||
|
| |||||||
Distributors (0.2%): | ||||||||
45,262 | Core Markt Holdngs Co., Inc. | 1,129,513 | ||||||
|
| |||||||
Diversified Consumer Services (0.3%): | ||||||||
14,627 | American Public Education, Inc.* | 432,959 | ||||||
69,073 | Perdoceo Education Corp.* | 1,100,333 | ||||||
25,428 | Regis Corp.* | 208,001 | ||||||
|
| |||||||
1,741,293 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.5%): | ||||||||
10,958 | ATN International, Inc. | 663,726 | ||||||
50,937 | Cincinnati Bell, Inc.* | 756,414 | ||||||
41,990 | Cogent Communications Holdings, Inc. | 3,248,346 | ||||||
72,631 | Consolidated Communications Holdings, Inc.* | 491,712 | ||||||
97,745 | Iridium Communications, Inc.* | 2,486,633 | ||||||
230,646 | Vonage Holdings Corp.* | 2,320,299 | ||||||
|
| |||||||
9,967,130 | ||||||||
|
| |||||||
Electric Utilities (0.4%): | ||||||||
40,703 | El Paso Electric Co. | 2,727,101 | ||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
25,887 | AZZ, Inc. | 888,442 | ||||||
20,740 | Encore Wire Corp. | 1,012,527 | ||||||
8,977 | Powell Industries, Inc. | 245,880 | ||||||
79,608 | Sunrun, Inc.* | 1,569,870 | ||||||
18,691 | Vicor Corp.* | 1,344,817 | ||||||
|
| |||||||
5,061,536 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.9%): | ||||||||
75,072 | Arlo Technologies, Inc.* | 193,686 | ||||||
29,022 | Badger Meter, Inc. | 1,826,064 | ||||||
10,457 | Bel Fuse, Inc., Class B | 112,204 | ||||||
36,924 | Benchmark Electronics, Inc. | 797,558 | ||||||
31,751 | CTS Corp. | 636,290 | ||||||
38,331 | Daktronics, Inc. | 166,740 | ||||||
13,691 | ePlus, Inc.* | 967,680 | ||||||
36,801 | Fabrinet* | 2,297,118 | ||||||
17,894 | FARO Technologies, Inc.* | 959,118 | ||||||
35,406 | Insight Enterprises, Inc.* | 1,741,975 | ||||||
35,801 | Itron, Inc.* | 2,371,817 | ||||||
85,856 | Knowles Corp.* | 1,310,163 | ||||||
4,109 | Mesa Labs, Inc. | 890,831 |
See accompanying notes to the financial statements.
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
37,074 | Methode Electronics, Inc., Class A | $ | 1,158,933 | |||||
18,183 | MTS Systems Corp. | 319,839 | ||||||
16,848 | OSI Systems, Inc.* | 1,257,535 | ||||||
10,844 | PC Connection, Inc. | 502,728 | ||||||
29,254 | Plexus Corp.* | 2,064,162 | ||||||
18,671 | Rogers Corp.* | 2,326,407 | ||||||
68,206 | Sanmina Corp.* | 1,707,878 | ||||||
25,527 | ScanSource, Inc.* | 614,945 | ||||||
98,750 | TTM Technologies, Inc.* | 1,171,175 | ||||||
|
| |||||||
25,394,846 | ||||||||
|
| |||||||
Energy Equipment & Services (1.4%): | ||||||||
130,128 | Archrock, Inc. | 844,531 | ||||||
7,146 | Bristow Group, Inc.* | 99,544 | ||||||
44,606 | Core Laboratories NV^ | 906,394 | ||||||
35,087 | Dril-Quip, Inc.* | 1,045,242 | ||||||
28,447 | Exterran Corp.* | 153,329 | ||||||
14,748 | Geospace Technologies Corp.* | 110,905 | ||||||
146,291 | Helix Energy Solutions Group, Inc.* | 507,630 | ||||||
108,274 | Helmerich & Payne, Inc. | 2,112,425 | ||||||
27,205 | Matrix Service Co.* | 264,433 | ||||||
7,120 | Nabors Industries, Ltd.*^ | 263,582 | ||||||
94,852 | Newpark Resources, Inc.* | 211,520 | ||||||
98,675 | Oceaneering International, Inc.* | 630,533 | ||||||
62,116 | Oil States International, Inc.* | 295,051 | ||||||
140,732 | Patterson-UTI Energy, Inc. | 488,340 | ||||||
84,324 | Propetro Holding Corp.* | 433,425 | ||||||
54,959 | RPC, Inc.*^ | 169,274 | ||||||
18,200 | SEACOR Holdings, Inc.* | 515,424 | ||||||
76,464 | U.S. Silica Holdings, Inc. | 276,035 | ||||||
207,223 | Valaris plc*^ | 135,089 | ||||||
|
| |||||||
9,462,706 | ||||||||
|
| |||||||
Entertainment (0.2%): | ||||||||
131,564 | Glu Mobile, Inc.* | 1,219,598 | ||||||
23,340 | Marcus Corp. | 309,722 | ||||||
|
| |||||||
1,529,320 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (7.4%): | ||||||||
86,060 | Acadia Realty Trust | 1,117,059 | ||||||
54,199 | Agree Realty Corp. | 3,561,416 | ||||||
69,260 | Alexander & Baldwin, Inc. | 844,279 | ||||||
48,583 | American Assets Trust, Inc. | 1,352,551 | ||||||
57,532 | Armada Hoffler Properties, Inc. | 572,443 | ||||||
171,380 | Brandywine Realty Trust | 1,866,328 | ||||||
96,011 | CareTrust REIT, Inc. | 1,647,549 | ||||||
93,529 | Cedar Realty Trust, Inc. | 92,594 | ||||||
48,170 | Chatham Lodging Trust | 294,800 | ||||||
20,946 | Community Healthcare Trust, Inc. | 856,691 | ||||||
199,695 | DiamondRock Hospitality Co. | 1,104,313 | ||||||
208,367 | Diversified Healthcare Trust | 922,024 | ||||||
75,276 | Easterly Government Properties, Inc. | 1,740,381 | ||||||
70,594 | Four Corners Property Trust, Inc. | 1,722,494 | ||||||
108,568 | Franklin Street Properties Corp. | 552,611 | ||||||
34,276 | Getty Realty Corp. | 1,017,312 | ||||||
90,593 | Global Net Lease, Inc. | 1,515,621 | ||||||
37,663 | Hersha Hospitality Trust | 216,939 | ||||||
94,668 | Independence Realty Trust, Inc. | 1,087,735 | ||||||
65,507 | Industrial Logistics Properties Trust | 1,346,169 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
18,696 | Innovative Industrial Properties, Inc.^ | $ | 1,645,622 | |||||
12,345 | Investors Real Estate Trust | 870,199 | ||||||
74,002 | iStar, Inc.^ | 911,705 | ||||||
85,546 | Kite Realty Group Trust | 987,201 | ||||||
277,505 | Lexington Realty Trust | 2,927,678 | ||||||
39,360 | LTC Properties, Inc. | 1,482,691 | ||||||
62,234 | National Storage Affiliates | 1,783,626 | ||||||
22,188 | NexPoint Residential Trust, Inc. | 784,346 | ||||||
48,255 | Office Properties Income Trust | 1,253,182 | ||||||
62,446 | Pennsylvania Real Estate Investment Trust^ | 84,927 | ||||||
116,521 | Retail Opportunity Investments Corp. | 1,320,183 | ||||||
215,269 | Retail Properties of America, Inc., Class A | 1,575,769 | ||||||
81,403 | Rpt Realty | 566,565 | ||||||
13,481 | Safehold, Inc.^ | 775,023 | ||||||
11,870 | Saul Centers, Inc. | 383,045 | ||||||
150,614 | SITE Centers Corp. | 1,219,973 | ||||||
107,139 | Summit Hotel Properties, Inc. | 635,334 | ||||||
94,389 | Tanger Factory Outlet Centers, Inc.^ | 672,994 | ||||||
196,119 | Uniti Group, Inc. | 1,833,713 | ||||||
12,824 | Universal Health Realty Income Trust | 1,019,380 | ||||||
30,590 | Urstadt Biddle Properties, Inc., Class A | 363,409 | ||||||
197,511 | Washington Prime Group, Inc.^ | 166,067 | ||||||
82,523 | Washington Real Estate | 1,832,011 | ||||||
43,274 | Whitestone REIT | 314,602 | ||||||
113,690 | Xenia Hotels & Resorts, Inc. | 1,060,728 | ||||||
|
| |||||||
49,901,282 | ||||||||
|
| |||||||
Food & Staples Retailing (0.6%): | ||||||||
22,373 | PriceSmart, Inc. | 1,349,764 | ||||||
35,648 | SpartanNash Co. | 757,520 | ||||||
32,883 | The Andersons, Inc. | 452,470 | ||||||
31,356 | The Chefs’ Warehouse, Inc.* | 425,814 | ||||||
54,287 | United Natural Foods, Inc.* | 988,566 | ||||||
|
| |||||||
3,974,134 | ||||||||
|
| |||||||
Food Products (1.2%): | ||||||||
64,177 | B&G Foods, Inc.^ | 1,564,635 | ||||||
16,538 | Calavo Growers, Inc. | 1,040,406 | ||||||
30,114 | Cal-Maine Foods, Inc.* | 1,339,471 | ||||||
29,842 | Fresh Del Monte Produce, Inc. | 734,710 | ||||||
14,877 | J & J Snack Foods Corp. | 1,891,312 | ||||||
9,032 | John B Sanfilippo And Son, Inc. | 770,701 | ||||||
6,739 | Seneca Foods Corp., Class A* | 227,846 | ||||||
|
| |||||||
7,569,081 | ||||||||
|
| |||||||
Gas Utilities (0.6%): | ||||||||
30,429 | Northwest Natural Holding Co. | 1,697,634 | ||||||
92,370 | South Jersey Industries, Inc. | 2,308,326 | ||||||
|
| |||||||
4,005,960 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.7%): | ||||||||
38,730 | AngioDynamics, Inc.* | 393,884 | ||||||
14,016 | Anika Therapeutics, Inc.* | 528,824 | ||||||
35,616 | Cardiovascular Systems, Inc.* | 1,123,685 | ||||||
28,761 | CONMED Corp. | 2,070,504 | ||||||
37,949 | CryoLife, Inc.* | 727,482 | ||||||
17,736 | Cutera, Inc.* | 215,847 | ||||||
39,839 | Glaukos Corp.*^ | 1,530,614 | ||||||
8,574 | Heska Corp.*^ | 798,840 | ||||||
18,391 | Inogen, Inc.* | 653,248 |
See accompanying notes to the financial statements.
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
33,138 | Integer Holdings Corp.* | $ | 2,420,731 | |||||
35,237 | Invacare Corp. | 224,460 | ||||||
55,503 | Lantheus Holdings, Inc.* | 793,693 | ||||||
16,670 | LeMaitre Vascular, Inc. | 440,088 | ||||||
43,045 | Meridian Bioscience, Inc.* | 1,002,518 | ||||||
55,641 | Merit Medical Systems, Inc.* | 2,540,012 | ||||||
34,298 | Natus Medical, Inc.* | 748,382 | ||||||
52,989 | Neogen Corp.* | 4,111,946 | ||||||
72,140 | OraSure Technologies, Inc.* | 838,988 | ||||||
19,096 | Orthofix Medical, Inc.* | 611,072 | ||||||
13,545 | Surmodics, Inc.* | 585,686 | ||||||
19,285 | Tactile Systems Technology, Inc.* | 798,978 | ||||||
38,568 | Varex Imaging Corp.* | 584,305 | ||||||
15,815 | Zynex, Inc.*^ | 393,319 | ||||||
|
| |||||||
24,137,106 | ||||||||
|
| |||||||
Health Care Providers & Services (2.8%): | ||||||||
13,562 | Addus HomeCare Corp.* | 1,255,299 | ||||||
47,102 | AMN Healthcare Services, Inc.* | 2,130,893 | ||||||
34,394 | BioTelemetry, Inc.* | 1,554,265 | ||||||
122,012 | Community Health Systems, Inc.* | 367,256 | ||||||
8,908 | CorVel Corp.* | 631,488 | ||||||
98,026 | Covetrus, Inc.* | 1,753,685 | ||||||
38,847 | Cross Country Healthcare, Inc.* | 239,298 | ||||||
50,402 | Ensign Group, Inc. (The) | 2,109,324 | ||||||
38,385 | Hanger, Inc.* | 635,656 | ||||||
22,458 | Magellan Health, Inc.* | 1,638,985 | ||||||
64,483 | Owens & Minor, Inc. | 491,360 | ||||||
11,437 | Providence Service Corp.* | 902,494 | ||||||
42,237 | RadNet, Inc.* | 670,301 | ||||||
107,725 | Select Medical Holdings Corp.* | 1,586,789 | ||||||
26,421 | The Pennant Group, Inc.* | 597,115 | ||||||
44,721 | Tivity Health, Inc.* | 506,689 | ||||||
12,858 | U.S. Physical Therapy, Inc. | 1,041,755 | ||||||
|
| |||||||
18,112,652 | ||||||||
|
| |||||||
Health Care Technology (1.6%): | ||||||||
164,185 | Allscripts Healthcare Solutions, Inc.* | 1,111,532 | ||||||
12,829 | Computer Programs & Systems, Inc. | 292,373 | ||||||
25,578 | HealthStream, Inc.* | 566,041 | ||||||
88,610 | HMS Holdings Corp.* | 2,870,078 | ||||||
49,782 | NextGen Healthcare, Inc.* | 546,606 | ||||||
42,657 | Omnicell, Inc.* | 3,012,438 | ||||||
12,463 | Simulations Plus, Inc. | 745,537 | ||||||
20,774 | Tabula Rasa Healthcare, Inc.*^ | 1,136,961 | ||||||
|
| |||||||
10,281,566 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.9%): | ||||||||
22,580 | BJ’s Restaurants, Inc. | 472,825 | ||||||
87,356 | Bloomin’ Brands, Inc. | 931,215 | ||||||
44,927 | Brinker International, Inc. | 1,078,248 | ||||||
41,506 | Cheesecake Factory, Inc. (The)^ | 951,318 | ||||||
17,532 | Chuy’s Holdings, Inc.* | 260,876 | ||||||
48,117 | Dave & Buster’s Entertainment, Inc.^ | 641,400 | ||||||
16,680 | Dine Brands Global, Inc. | 702,228 | ||||||
19,714 | El Pollo Loco Holdings, Inc.*^ | 290,979 | ||||||
20,550 | Fiesta Restaurant Group, Inc.* | 131,109 | ||||||
12,300 | Monarch Casino & Resort, Inc.* | 419,184 | ||||||
13,105 | Red Robin Gourmet Burgers*^ | 133,671 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
31,904 | Ruth’s Hospitality Group, Inc. | $ | 260,337 | |||||
35,246 | Shake Shack, Inc., Class A* | 1,867,333 | ||||||
29,793 | Wingstop, Inc. | 4,140,332 | ||||||
|
| |||||||
12,281,055 | ||||||||
|
| |||||||
Household Durables (2.5%): | ||||||||
8,694 | Cavco Industries, Inc.* | 1,676,638 | ||||||
28,670 | Century Communities, Inc.* | 879,022 | ||||||
23,705 | Ethan Allen Interiors, Inc. | 280,430 | ||||||
21,242 | Installed Building Products, Inc.* | 1,461,025 | ||||||
27,965 | iRobot Corp.*^ | 2,346,263 | ||||||
45,850 | La-Z-Boy, Inc. | 1,240,701 | ||||||
21,902 | LGI Homes, Inc.* | 1,928,033 | ||||||
50,765 | M.D.C. Holdings, Inc. | 1,812,311 | ||||||
28,959 | M/I Homes, Inc.* | 997,348 | ||||||
35,613 | Meritage Corp.* | 2,710,861 | ||||||
48,889 | Tupperware Brands Corp.^ | 232,223 | ||||||
13,819 | Universal Electronics, Inc.* | 647,006 | ||||||
|
| |||||||
16,211,861 | ||||||||
|
| |||||||
Household Products (0.7%): | ||||||||
9,343 | Central Garden & Pet Co.* | 336,255 | ||||||
39,395 | Central Garden & Pet Co., Class A* | 1,331,157 | ||||||
13,657 | WD-40 Co. | 2,708,183 | ||||||
|
| |||||||
4,375,595 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
35,740 | Raven Industries, Inc. | 768,767 | ||||||
|
| |||||||
Insurance (3.1%): | ||||||||
46,810 | AMBAC Financial Group, Inc.* | 670,319 | ||||||
92,559 | American Equity Investment Life Holding Co. | 2,287,133 | ||||||
19,675 | Amerisafe, Inc. | 1,203,323 | ||||||
25,785 | eHealth, Inc.* | 2,533,118 | ||||||
30,944 | Employers Holdings, Inc. | 932,962 | ||||||
11,676 | Fidelity National Financial, Inc. | 357,986 | ||||||
6,202 | HCI Group, Inc. | 286,408 | ||||||
42,274 | Horace Mann Educators Corp. | 1,552,724 | ||||||
30,699 | James River Group Holdings | 1,381,455 | ||||||
20,862 | Kinsale Capital Group, Inc. | 3,237,991 | ||||||
15,257 | Palomar Holdings, Inc.* | 1,308,440 | ||||||
54,497 | ProAssurance Corp. | 788,572 | ||||||
14,603 | Safety Insurance Group, Inc. | 1,113,625 | ||||||
24,064 | Stewart Information Services Corp. | 782,321 | ||||||
81,213 | Third Point Reinsurance, Ltd.* | 609,910 | ||||||
21,557 | United Fire Group, Inc. | 597,344 | ||||||
21,220 | United Insurance Holdings Co. | 165,940 | ||||||
29,574 | Universal Insurance Holdings, Inc. | 524,939 | ||||||
|
| |||||||
20,334,510 | ||||||||
|
| |||||||
Interactive Media & Services (0.1%): | ||||||||
47,507 | QuinStreet, Inc.* | 496,923 | ||||||
|
| |||||||
Internet & Direct Marketing Retail (0.7%): | ||||||||
29,160 | Liquidity Services, Inc.* | 173,794 | ||||||
20,077 | PetMed Express, Inc.^ | 715,544 | ||||||
19,156 | Shutterstock, Inc. | 669,885 | ||||||
16,329 | Stamps.com, Inc.* | 2,999,474 | ||||||
|
| |||||||
4,558,697 | ||||||||
|
| |||||||
IT Services (2.1%): | ||||||||
36,555 | Cardtronics plc* | 876,589 |
See accompanying notes to the financial statements.
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
33,136 | CSG Systems International, Inc. | $ | 1,371,499 | |||||
59,794 | Evertec, Inc. | 1,680,211 | ||||||
34,418 | Exlservice Holdings, Inc.* | 2,182,101 | ||||||
27,116 | ManTech International Corp., Class A | 1,857,175 | ||||||
67,002 | NIC, Inc. | 1,538,366 | ||||||
33,073 | Perficient, Inc.* | 1,183,352 | ||||||
37,572 | Sykes Enterprises, Inc.* | 1,039,242 | ||||||
17,774 | TTEC Holdings, Inc. | 827,557 | ||||||
51,401 | Unisys Corp.* | 560,785 | ||||||
30,617 | Virtusa Corp.* | 994,134 | ||||||
|
| |||||||
14,111,011 | ||||||||
|
| |||||||
Leisure Products (1.0%): | ||||||||
94,277 | Callaway Golf Co. | 1,650,790 | ||||||
16,570 | Sturm, Ruger & Co., Inc. | 1,259,320 | ||||||
57,986 | Vista Outdoor, Inc.* | 837,898 | ||||||
67,389 | YETI Holdings, Inc.* | 2,879,532 | ||||||
|
| |||||||
6,627,540 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.1%): | ||||||||
43,125 | Luminex Corp. | 1,402,856 | ||||||
26,980 | Medpace Holdings, Inc.* | 2,509,680 | ||||||
110,457 | Neogenomics, Inc.* | 3,421,958 | ||||||
|
| |||||||
7,334,494 | ||||||||
|
| |||||||
Machinery (5.6%): | ||||||||
9,811 | Alamo Group, Inc. | 1,007,001 | ||||||
30,744 | Albany International Corp., Class A | 1,804,980 | ||||||
22,927 | Astec Industries, Inc. | 1,061,749 | ||||||
47,288 | Barnes Group, Inc. | 1,870,713 | ||||||
35,281 | Chart Industries, Inc.* | 1,710,776 | ||||||
19,826 | CIRCOR International, Inc.* | 505,166 | ||||||
15,002 | DMC Global, Inc. | 414,055 | ||||||
53,793 | Enerpac Tool Group Corp. | 946,757 | ||||||
20,510 | EnPro Industries, Inc. | 1,010,938 | ||||||
25,986 | ESCO Technologies, Inc. | 2,196,597 | ||||||
60,535 | Federal Signal Corp. | 1,799,706 | ||||||
38,378 | Franklin Electric Co., Inc. | 2,015,613 | ||||||
78,243 | Harsco Corp.* | 1,057,063 | ||||||
74,860 | Hillenbrand, Inc. | 2,026,460 | ||||||
31,732 | John Bean Technologies Corp. | 2,729,586 | ||||||
10,948 | Lindsay Corp. | 1,009,515 | ||||||
17,873 | Lydall, Inc.* | 242,358 | ||||||
73,181 | Meritor, Inc.* | 1,448,984 | ||||||
56,778 | Mueller Industries, Inc. | 1,509,159 | ||||||
26,713 | Proto Labs, Inc.* | 3,004,410 | ||||||
44,730 | SPX Corp.* | 1,840,640 | ||||||
42,681 | SPX FLOW, Inc.* | 1,597,977 | ||||||
12,254 | Standex International Corp. | 705,218 | ||||||
18,517 | Tennant Co. | 1,203,790 | ||||||
32,951 | The Greenbrier Cos., Inc. | 749,635 | ||||||
51,332 | Titan International, Inc. | 74,945 | ||||||
53,787 | Wabash National Corp. | 571,218 | ||||||
27,669 | Watts Water Technologies, Inc., Class A | 2,241,189 | ||||||
|
| |||||||
38,356,198 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
42,995 | Matson, Inc. | 1,251,155 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Media (0.4%): | ||||||||
55,981 | E.W. Scripps Co. (The), Class A | $ | 489,834 | |||||
136,472 | Gannett Co, Inc.* | 188,331 | ||||||
40,709 | Meredith Corp. | 592,316 | ||||||
30,025 | Scholastic Corp. | 898,949 | ||||||
23,067 | TechTarget, Inc.* | 692,702 | ||||||
|
| |||||||
2,862,132 | ||||||||
|
| |||||||
Metals & Mining (1.2%): | ||||||||
96,055 | Arconic Corp.* | 1,338,047 | ||||||
49,893 | Century Aluminum Co.* | 355,737 | ||||||
398,874 | Cleveland-Cliffs, Inc.^ | 2,201,785 | ||||||
12,362 | Haynes International, Inc. | 288,776 | ||||||
15,678 | Kaiser Aluminum Corp. | 1,154,214 | ||||||
20,178 | Materion Corp. | 1,240,745 | ||||||
9,407 | Olympic Steel, Inc. | 110,532 | ||||||
84,389 | SunCoke Energy, Inc. | 249,791 | ||||||
42,676 | TimkenSteel Corp.* | 166,010 | ||||||
51,806 | Warrior Met Coal, Inc. | 797,294 | ||||||
|
| |||||||
7,902,931 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (1.2%): | ||||||||
143,334 | Apollo Commercial Real Estate Finance, Inc. | 1,406,106 | ||||||
65,948 | Armour Residential REIT, Inc. | 619,252 | ||||||
96,546 | Capstead Mortgage Corp. | 530,038 | ||||||
55,331 | Granite Point Mortgage Trust, Inc. | 397,277 | ||||||
137,451 | Invesco Mortgage Capital, Inc.^ | 514,067 | ||||||
23,815 | KKR Real Estate Finance Trust, Inc. | 394,853 | ||||||
383,217 | New York Mortgage Trust, Inc. | 1,000,196 | ||||||
100,654 | Pennymac Mortgage Investment Trust | 1,764,464 | ||||||
38,731 | Ready Capital Corp. | 336,572 | ||||||
116,689 | Redwood Trust, Inc. | 816,823 | ||||||
|
| |||||||
7,779,648 | ||||||||
|
| |||||||
Multiline Retail (0.6%): | ||||||||
39,425 | Big Lots, Inc. | 1,655,850 | ||||||
313,290 | Macy’s, Inc.^ | 2,155,435 | ||||||
|
| |||||||
3,811,285 | ||||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
67,196 | Avista Corp. | 2,445,262 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.5%): | ||||||||
19,423 | Bonanza Creek Energy, Inc.* | 287,849 | ||||||
404,168 | Callon Petroleum Co.*^ | 464,793 | ||||||
27,245 | CONSOL Energy, Inc.* | 138,132 | ||||||
509,514 | Denbury Resources, Inc.* | 140,677 | ||||||
27,360 | Dorian LPG, Ltd.* | 211,766 | ||||||
34,064 | Green Plains, Inc.*^ | 347,964 | ||||||
149,563 | Gulfport Energy Corp.* | 163,024 | ||||||
9,469 | Laredo Petroleum, Inc.*^ | 131,240 | ||||||
111,287 | Matador Resources Co.*^ | 945,940 | ||||||
293,501 | Oasis Petroleum, Inc.*^ | 220,126 | ||||||
39,139 | PAR Pacific Holdings, Inc.* | 351,860 | ||||||
95,709 | PDC Energy, Inc.* | 1,190,620 | ||||||
12,526 | Penn Virginia Corp.*^ | 119,373 | ||||||
248,219 | QEP Resources, Inc. | 320,203 | ||||||
212,217 | Range Resources Corp.^ | 1,194,782 | ||||||
39,035 | Renewable Energy Group, Inc.* | 967,287 | ||||||
5,526 | REX American Resources Corp.* | 383,339 | ||||||
66,821 | Ring Energy, Inc.*^ | 77,512 |
See accompanying notes to the financial statements.
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
107,560 | SM Energy Co. | $ | 403,350 | |||||
542,734 | Southwestern Energy Co.* | 1,389,398 | ||||||
20,736 | Talos Energy, Inc.* | 190,771 | ||||||
|
| |||||||
9,640,006 | ||||||||
|
| |||||||
Paper & Forest Products (0.8%): | ||||||||
39,178 | Boise Cascade Co. | 1,473,485 | ||||||
16,899 | Clearwater Paper Corp.* | 610,561 | ||||||
40,028 | Mercer International, Inc. | 326,628 | ||||||
16,637 | Neenah, Inc. | 822,866 | ||||||
45,288 | P.H. Glatfelter Co. | 726,872 | ||||||
31,316 | Schweitzer-Mauduit International, Inc. | 1,046,268 | ||||||
|
| |||||||
5,006,680 | ||||||||
|
| |||||||
Personal Products (0.5%): | ||||||||
17,788 | Inter Parfums, Inc. | 856,492 | ||||||
11,751 | Medifast, Inc.^ | 1,630,687 | ||||||
12,077 | Usana Health Sciences, Inc.* | 886,814 | ||||||
|
| |||||||
3,373,993 | ||||||||
|
| |||||||
Pharmaceuticals (1.3%): | ||||||||
33,658 | Amphastar Pharmaceuticals, Inc.* | 755,959 | ||||||
9,593 | ANI Pharmaceuticals, Inc.* | 310,238 | ||||||
103,272 | Corcept Therapeutics, Inc.* | 1,737,035 | ||||||
208,098 | Endo International plc* | 713,776 | ||||||
67,342 | Innoviva, Inc.* | 941,441 | ||||||
34,575 | Lannett Co., Inc.*^ | 251,015 | ||||||
42,321 | Pacira BioSciences, Inc.* | 2,220,582 | ||||||
20,716 | Phibro Animal Health Corp., Class A | 544,209 | ||||||
52,260 | Supernus Pharmaceuticals, Inc.* | 1,241,175 | ||||||
|
| |||||||
8,715,430 | ||||||||
|
| |||||||
Professional Services (1.2%): | ||||||||
51,627 | Exponent, Inc. | 4,178,174 | ||||||
10,808 | Forrester Research, Inc.* | 346,288 | ||||||
19,326 | Heidrick & Struggles International, Inc. | 417,828 | ||||||
33,338 | Kelly Services, Inc., Class A | 527,240 | ||||||
54,843 | Korn Ferry | 1,685,326 | ||||||
30,074 | Resources Connection, Inc. | 359,986 | ||||||
36,635 | Trueblue, Inc.* | 559,416 | ||||||
|
| |||||||
8,074,258 | ||||||||
|
| |||||||
Real Estate Management & Development (0.6%): | ||||||||
92,242 | Essential Properties Realty Trust, Inc. | 1,368,871 | ||||||
23,328 | Marcus & Millichap, Inc.* | 673,246 | ||||||
18,441 | RE/MAX Holdings, Inc., Class A | 579,601 | ||||||
116,537 | Realogy Holdings Corp. | 863,539 | ||||||
31,662 | The St Joe Co.* | 614,876 | ||||||
|
| |||||||
4,100,133 | ||||||||
|
| |||||||
Road & Rail (0.8%): | ||||||||
25,187 | ArcBest Corp. | 667,707 | ||||||
46,437 | Heartland Express, Inc. | 966,818 | ||||||
39,241 | Marten Transport, Ltd. | 987,304 | ||||||
26,111 | Saia, Inc.* | 2,903,021 | ||||||
|
| |||||||
5,524,850 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.0%): | ||||||||
38,363 | Advanced Energy Industries, Inc.* | 2,600,628 | ||||||
33,420 | Axcelis Technologies, Inc.* | 930,747 | ||||||
73,779 | Brooks Automation, Inc. | 3,263,983 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
22,230 | CEVA, Inc.* | $ | 831,847 | |||||
41,665 | Cohu, Inc. | 722,471 | ||||||
41,846 | Diodes, Inc.* | 2,121,592 | ||||||
22,394 | DSP Group, Inc.* | 355,617 | ||||||
76,876 | FormFactor, Inc.* | 2,254,773 | ||||||
23,144 | Ichor Holdings, Ltd.* | 615,168 | ||||||
62,153 | Kulicke & Soffa Industries, Inc. | 1,294,647 | ||||||
65,832 | MaxLinear, Inc., Class A* | 1,412,755 | ||||||
47,655 | Onto Innovation, Inc.* | 1,622,176 | ||||||
28,190 | PDF Solutions, Inc.* | 551,396 | ||||||
65,882 | Photronics, Inc.* | 733,267 | ||||||
29,888 | Power Integrations, Inc. | 3,530,668 | ||||||
113,564 | Rambus, Inc.* | 1,726,173 | ||||||
14,160 | SMART Global Holdings, Inc.* | 384,869 | ||||||
40,549 | Ultra Clean Holdings, Inc.* | 917,624 | ||||||
50,216 | Veeco Instruments, Inc.* | 677,414 | ||||||
|
| |||||||
26,547,815 | ||||||||
|
| |||||||
Software (2.7%): | ||||||||
103,594 | 8x8, Inc.* | 1,657,504 | ||||||
19,677 | Agilysys, Inc.* | 353,005 | ||||||
42,391 | Alarm.com Holding, Inc.* | 2,747,361 | ||||||
37,941 | Bottomline Technologies, Inc.* | 1,926,265 | ||||||
22,040 | Ebix, Inc.^ | 492,814 | ||||||
61,954 | LivePerson, Inc.* | 2,566,754 | ||||||
7,651 | MicroStrategy, Inc., Class A* | 905,037 | ||||||
32,911 | OneSpan, Inc.* | 919,204 | ||||||
44,675 | Progress Software Corp. | 1,731,156 | ||||||
34,946 | Sps Commerce, Inc.* | 2,625,144 | ||||||
116,567 | Xperi Holding Corp. | 1,720,529 | ||||||
|
| |||||||
17,644,773 | ||||||||
|
| |||||||
Specialty Retail (3.4%): | ||||||||
62,474 | Abercrombie & Fitch Co., Class A | 664,723 | ||||||
6,329 | America’s Car Mart, Inc.* | 556,129 | ||||||
19,323 | Asbury Automotive Group, Inc.* | 1,494,248 | ||||||
39,564 | Barnes & Noble Education, Inc.* | 63,302 | ||||||
126,859 | Bed Bath & Beyond, Inc.^ | 1,344,705 | ||||||
29,476 | Boot Barn Holdings, Inc.* | 635,503 | ||||||
40,156 | Caleres, Inc. | 334,901 | ||||||
20,179 | Cato Corp., Class A | 165,064 | ||||||
119,051 | Chico’s FAS, Inc. | 164,290 | ||||||
18,617 | Conn’s, Inc.*^ | 187,846 | ||||||
54,862 | Designer Brands, Inc., Class A | 371,416 | ||||||
60,302 | Express, Inc.* | 92,865 | ||||||
65,871 | GameStop Corp., Class A*^ | 285,880 | ||||||
14,199 | Genesco, Inc.* | 307,550 | ||||||
17,093 | Group 1 Automotive, Inc. | 1,127,625 | ||||||
44,449 | Guess?, Inc. | 429,822 | ||||||
17,606 | Haverty Furniture Cos., Inc. | 281,696 | ||||||
16,874 | Hibbett Sports, Inc.* | 353,342 | ||||||
22,275 | Lithia Motors, Inc., Class A | 3,370,877 | ||||||
28,807 | Lumber Liquidators Holdings, Inc.* | 399,265 | ||||||
21,873 | MarineMax, Inc.* | 489,736 | ||||||
77,859 | Michaels Cos., Inc. (The)*^ | 550,463 | ||||||
33,564 | Monro, Inc. | 1,844,006 | ||||||
526,072 | Office Depot, Inc. | 1,236,269 | ||||||
48,375 | Rent-A-Center, Inc. | 1,345,793 |
See accompanying notes to the financial statements.
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
8,975 | Shoe Carnival, Inc.^ | $ | 262,698 | |||||
53,249 | Signet Jewelers, Ltd. | 546,867 | ||||||
27,585 | Sleep Number Corp.* | 1,148,639 | ||||||
24,544 | Sonic Automotive, Inc., Class A | 783,199 | ||||||
29,073 | The Buckle, Inc.^ | 455,865 | ||||||
14,515 | The Children’s Place, Inc.^ | 543,151 | ||||||
20,302 | Zumiez, Inc.* | 555,869 | ||||||
|
| |||||||
22,393,604 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.2%): | ||||||||
119,927 | 3D Systems Corp.*^ | 838,290 | ||||||
76,774 | Diebold Nixdorf, Inc.* | 465,250 | ||||||
|
| |||||||
1,303,540 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.7%): | ||||||||
149,707 | Capri Holdings, Ltd.* | 2,339,920 | ||||||
67,799 | Crocs, Inc.* | 2,496,360 | ||||||
46,662 | Fossil Group, Inc.*^ | 216,978 | ||||||
43,604 | G-III Apparel Group, Ltd.* | 579,497 | ||||||
47,156 | Kontoor Brands, Inc. | 839,848 | ||||||
16,852 | Movado Group, Inc. | 182,676 | ||||||
16,630 | Oxford Industries, Inc. | 731,886 | ||||||
76,347 | Steven Madden, Ltd. | 1,885,008 | ||||||
14,271 | Unifi, Inc.* | 183,810 | ||||||
24,235 | Vera Bradley, Inc.* | 107,603 | ||||||
81,888 | Wolverine World Wide, Inc. | 1,949,754 | ||||||
|
| |||||||
11,513,340 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (1.5%): | ||||||||
51,810 | Axos Financial, Inc.* | 1,143,965 | ||||||
29,140 | Dime Community Bancshares, Inc. | 400,092 | ||||||
34,973 | Flagstar Bancorp, Inc. | 1,029,255 | ||||||
23,731 | HomeStreet, Inc. | 584,020 | ||||||
32,477 | Meta Financial Group, Inc. | 590,107 | ||||||
84,859 | NMI Holdings, Inc., Class A* | 1,364,533 | ||||||
43,710 | Northfield Bancorp, Inc. | 503,539 | ||||||
119,571 | Northwest Bancshares, Inc. | 1,222,613 | ||||||
60,912 | Provident Financial Services, Inc. | 880,178 | ||||||
98,067 | TrustCo Bank Corp NY | 620,764 | ||||||
28,984 | Wawlker & Dunlop, Inc. | 1,472,678 | ||||||
|
| |||||||
9,811,744 | ||||||||
|
| |||||||
Tobacco (0.3%): | ||||||||
24,263 | Universal Corp. | 1,031,420 | ||||||
119,238 | Vector Group, Ltd. | 1,199,534 | ||||||
|
| |||||||
2,230,954 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (1.0%): | ||||||||
38,651 | Applied Industrial Technologies, Inc. | $ | 2,411,436 | |||||
16,511 | DXP Enterprises, Inc.* | 328,734 | ||||||
18,273 | Foundation Building Materials, Inc.* | 285,242 | ||||||
42,885 | GMS, Inc.* | 1,054,542 | ||||||
27,442 | Kaman Corp., Class A | 1,141,587 | ||||||
108,625 | NOW, Inc.* | 937,434 | ||||||
12,781 | Veritiv Corp.* | 216,766 | ||||||
7,353 | WESCO International, Inc.* | 258,165 | ||||||
|
| |||||||
6,633,906 | ||||||||
|
| |||||||
Water Utilities (0.8%): | ||||||||
36,886 | American States Water Co. | 2,900,346 | ||||||
48,651 | California Water Service Group | 2,320,653 | ||||||
|
| |||||||
5,220,999 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
46,963 | Shenandoah Telecommunications Co. | 2,314,807 | ||||||
16,538 | Spok Holdings, Inc. | 154,630 | ||||||
|
| |||||||
2,469,437 | ||||||||
|
| |||||||
Total Common Stocks (Cost $619,932,559) | 648,611,136 | |||||||
|
| |||||||
Preferred Stock (0.1%): | ||||||||
Trading Companies & Distributors (0.1%): | ||||||||
19,498 | WESCO International, Inc., Series A, 10.63% | 517,078 | ||||||
|
| |||||||
Total Preferred Stock (Cost $516,688) | 517,078 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (4.6%): | ||||||||
30,279,504 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d) | 30,279,504 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 30,279,504 | ||||||
|
| |||||||
Unaffiliated Investment Companies (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
2,727,842 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(d) | 2,727,842 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $2,727,842) | 2,727,842 | |||||||
|
| |||||||
Total Investment Securities (Cost $653,456,593) — 103.6% | 682,135,560 | |||||||
Net other assets (liabilities) — (3.6)% | (23,637,468 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 658,498,092 | ||||||
|
|
Amount shown as“—”are $0 or round to less than $1.
Percentages indicated are based on net assets as of June 30, 2020.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2020. The total value of securities on loan as of June 30, 2020 was $29,642,807. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2020. The total of all such securities represent 0.00% 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, 2020, 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, 2020. |
(d) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Futures Contracts
Cash of $905,600 has been segregated to cover margin requirements for the following open contracts as of June 30, 2020:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Russell 2000 Mini Index September Futures (U.S. Dollar) | 9/18/20 | 140 | $ | 10,063,200 | $ | 160,732 | ||||||||||
|
| |||||||||||||||
$ | 160,732 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 653,456,593 | |||
|
| ||||
Investment securities, at value(a) | $ | 682,135,560 | |||
Segregated cash for collateral for futures contracts | 905,600 | ||||
Interest and dividends receivable | 669,512 | ||||
Receivable for investments sold | 12,142,750 | ||||
Receivable for variation margin on futures contracts | 44,602 | ||||
Reclaims receivable | 5 | ||||
Prepaid expenses | 1,407 | ||||
|
| ||||
Total Assets | 695,899,436 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 65,334 | ||||
Payable for investments purchased | 6,080,942 | ||||
Payable for capital shares redeemed | 620,693 | ||||
Payable for collateral received on loaned securities | 30,279,504 | ||||
Manager fees payable | 143,025 | ||||
Administration fees payable | 3,283 | ||||
Distribution fees payable | 130,702 | ||||
Custodian fees payable | 9,007 | ||||
Administrative and compliance services fees payable | 1,308 | ||||
Transfer agent fees payable | 2,328 | ||||
Trustee fees payable | 8,895 | ||||
Other accrued liabilities | 56,323 | ||||
|
| ||||
Total Liabilities | 37,401,344 | ||||
|
| ||||
Net Assets | $ | 658,498,092 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 597,615,080 | |||
Total distributable earnings | 60,883,012 | ||||
|
| ||||
Net Assets | $ | 658,498,092 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 33,126,938 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,185,515 | ||||
Net Asset Value (offering and redemption price per share) | $ | 7.91 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 625,371,154 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 57,705,149 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.84 | |||
|
|
(a) | Includes securities on loan of $29,642,807. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Dividends | $ | 5,600,398 | |||
Interest | 1,274 | ||||
Income from securities lending | 203,315 | ||||
Foreign withholding tax | (8,125 | ) | |||
|
| ||||
Total Investment Income | 5,796,862 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 897,212 | ||||
Administration fees | 103,844 | ||||
Distribution fees — Class 2 | 819,579 | ||||
Custodian fees | 19,234 | ||||
Administrative and compliance services fees | 6,297 | ||||
Transfer agent fees | 5,493 | ||||
Trustee fees | 19,801 | ||||
Professional fees | 17,121 | ||||
Shareholder reports | 18,216 | ||||
Other expenses | 75,718 | ||||
|
| ||||
Total expenses | 1,982,515 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,814,347 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities | (14,772,691 | ) | |||
Net realized gains/(losses) on futures contracts | 2,636,181 | ||||
Change in net unrealized appreciation/depreciation on securities | (137,515,008 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 155,644 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (149,495,874 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (145,681,527 | ) | ||
|
|
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, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,814,347 | $ | 8,022,162 | ||||||
Net realized gains/(losses) on investments | (12,136,510 | ) | 37,815,671 | |||||||
Change in unrealized appreciation/depreciation on investments | (137,359,364 | ) | 116,937,869 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (145,681,527 | ) | 162,775,702 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (6,106,200 | ) | |||||||
Class 2 | — | (81,746,245 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (87,852,445 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 144,487 | 281,407 | ||||||||
Proceeds from dividends reinvested | — | 6,106,200 | ||||||||
Value of shares redeemed | (3,219,464 | ) | (6,263,508 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (3,074,977 | ) | 124,099 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 74,843,896 | 10,475,140 | ||||||||
Proceeds from dividends reinvested | — | 81,746,245 | ||||||||
Value of shares redeemed | (115,207,888 | ) | (74,193,135 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (40,363,992 | ) | 18,028,250 | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (43,438,969 | ) | 18,152,349 | |||||||
|
|
|
| |||||||
Change in net assets | (189,120,496 | ) | 93,075,606 | |||||||
Net Assets: | ||||||||||
Beginning of period | 847,618,588 | 754,542,982 | ||||||||
|
|
|
| |||||||
End of period | $ | 658,498,092 | $ | 847,618,588 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 21,168 | 26,661 | ||||||||
Dividends reinvested | — | 705,919 | ||||||||
Shares redeemed | (405,047 | ) | (623,565 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (383,879 | ) | 109,015 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 8,134,116 | 787,490 | ||||||||
Dividends reinvested | — | 6,886,794 | ||||||||
Shares redeemed | (11,158,919 | ) | (5,537,516 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (3,024,803 | ) | 2,136,768 | |||||||
|
|
|
| |||||||
Change in shares | (3,408,682 | ) | 2,245,783 | |||||||
|
|
|
|
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 June 30, 2020 | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.65 | $ | 9.26 | $ | 11.68 | $ | 11.38 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.05 | (a) | 0.12 | (a) | 0.16 | 0.16 | 0.06 | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.79 | ) | 1.78 | (0.93 | ) | 1.24 | 1.32 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from Investment Activities | (1.74 | ) | 1.90 | (0.77 | ) | 1.40 | 1.38 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.17 | ) | (0.18 | ) | (0.08 | ) | — | ||||||||||||||||||||||
Net Realized Gains | — | (1.34 | ) | (1.47 | ) | (1.02 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Dividends | — | (1.51 | ) | (1.65 | ) | (1.10 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value, End of Period | $ | 7.91 | $ | 9.65 | $ | 9.26 | $ | 11.68 | $ | 11.38 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return(b) | (18.03 | )%(c) | 22.42 | % | (8.59 | )% | 12.94 | % | 13.80 | %(c) | ||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 33,127 | $ | 44,098 | $ | 41,285 | $ | 53,319 | $ | 54,672 | ||||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.34 | % | 1.21 | % | 1.17 | % | 1.21 | % | 1.46 | % | ||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.34 | % | 0.33 | % | 0.33 | % | 0.32 | % | 0.32 | % | ||||||||||||||||||||
Expenses Net of Reductions(d) | 0.34 | % | 0.33 | % | 0.33 | % | 0.32 | % | 0.32 | % | ||||||||||||||||||||
Portfolio Turnover Rate(f) | 14 | % | 14 | % | 19 | % | 16 | % | 86 | %(g) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.23 | $ | 12.17 | $ | 14.88 | $ | 14.23 | $ | 13.49 | $ | 15.43 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | (a) | 0.13 | (a) | 0.15 | 0.15 | 0.07 | 0.19 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.45 | ) | 2.40 | (1.25 | ) | 1.59 | 3.06 | (0.58 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.39 | ) | 2.53 | (1.10 | ) | 1.74 | 3.13 | (0.39 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.14 | ) | (0.07 | ) | (0.16 | ) | (0.17 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.34 | ) | (1.47 | ) | (1.02 | ) | (2.23 | ) | (1.38 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.47 | ) | (1.61 | ) | (1.09 | ) | (2.39 | ) | (1.55 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.84 | $ | 13.23 | $ | 12.17 | $ | 14.88 | $ | 14.23 | $ | 13.49 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (18.06 | )%(c) | 22.19 | % | (8.93 | )% | 12.75 | % | 25.71 | % | (2.49 | )% | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 625,371 | $ | 803,521 | $ | 713,258 | $ | 869,770 | $ | 909,979 | $ | 276,006 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.09 | % | 0.96 | % | 0.93 | % | 0.96 | % | 1.19 | % | 0.96 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.59 | % | 0.58 | % | 0.58 | % | 0.57 | % | 0.58 | % | 0.59 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.59 | % | 0.58 | % | 0.58 | % | 0.57 | % | 0.58 | % | 0.59 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 14 | % | 14 | % | 19 | % | 16 | % | 86 | %(g) | 16 | % |
^ | Class 1 activity is for the period October 17, 2016 (commencement of operations) to December 31, 2016. |
(a) | Calculated using the average shares method. |
(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. |
(g) | 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, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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
13
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
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.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.
Securities Lending
To generate additional income, the Fund may lend up to 331/3% 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $19,999 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $30,279,504 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund did not engage in any Rule 17a-7 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, 2020, 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 $9.6 million for the period ended June 30, 2020. 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, 2020:
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* | $ | 160,732 | Payable for variation margin on futures 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. |
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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 | $ | 2,636,181 | $ | 155,644 |
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, 2021.
For the period ended June 30, 2020, 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, 2020, 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, 2020, 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 SEC. 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, 2020, $2,958 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 in total for both trusts.
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2020 (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 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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 648,611,136 | $ | — | $ | — | # | $ | 648,611,136 | |||||||||||
Preferred Stocks+ | 517,078 | — | — | 517,078 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 30,279,504 | — | — | 30,279,504 | ||||||||||||||||
Unaffiliated Investment Companies | 2,727,842 | — | — | 2,727,842 | ||||||||||||||||
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Total Investment Securities | 682,135,560 | — | — | 682,135,560 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 160,732 | — | — | 160,732 | ||||||||||||||||
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Total Investments | $ | 682,296,292 | $ | — | $ | — | $ | 682,296,292 | ||||||||||||
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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, 2020. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 98,170,998 | $ | 127,716,444 |
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, 2020 are identified below:
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Calamos Asset Management Escrow Shares | 2/13/20 | $ | — | 22,124 | $ | — | 0.00 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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 derivativessegregates 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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2019 was $719,059,883. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 232,582,289 | ||
Unrealized (depreciation) | (71,307,891 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 161,274,398 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Small Cap Stock Index Fund | $ | 9,043,377 | $ | 78,809,068 | $ | 87,852,445 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 11,392,438 | $ | 33,897,705 | $ | – | $ | 161,274,398 | $ | 206,564,541 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
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, 2020, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 60% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
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-PORT. 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.
18
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
AZL® T. Rowe Price Capital Appreciation Fund
Semi-Annual Report
June 30, 2020
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Page 8 |
Statements of Changes in Net Assets Page 9 |
Page 10 |
Notes to the Financial Statements Page 11 |
Page 18 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 996.40 | $ | 4.96 | 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid During Period 1/1/20 - 6/30/20* | Annualized Expense Ratio During Period 1/1/20 - 6/30/20 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 1,019.89 | $ | 5.02 | 1.00 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 66.0 | % | |||
Corporate Bonds | 15.7 | ||||
Unaffiliated Investment Companies | 10.0 | ||||
Bank Loans | 6.5 | ||||
Preferred Stocks | 3.3 | ||||
Convertible Preferred Stocks | 1.0 | ||||
Asset Backed Securities | 0.4 | ||||
Short-Term Securities Held as Collateral for Securities on Loan | 0.3 | ||||
Yankee Dollars | 0.2 | ||||
|
| ||||
Total Investment Securities | 103.4 | ||||
Net other assets (liabilities) | (3.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (66.0%): | ||||||||
Auto Components (0.5%): | ||||||||
71,332 | Aptiv plc | $ | 5,558,189 | |||||
|
| |||||||
Banks (0.5%): | ||||||||
51,731 | PNC Financial Services Group, Inc. (The) | 5,442,619 | ||||||
|
| |||||||
Beverages (1.7%): | ||||||||
698,030 | Keurig Dr Pepper, Inc. | 19,824,052 | ||||||
|
| |||||||
Capital Markets (2.2%): | ||||||||
51,900 | CME Group, Inc. | 8,435,826 | ||||||
191,099 | Intercontinental Exchange, Inc. | 17,504,668 | ||||||
|
| |||||||
25,940,494 | ||||||||
|
| |||||||
Chemicals (1.3%): | ||||||||
70,302 | Linde plc | 14,911,758 | ||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
61,441 | Waste Connections, Inc. | 5,762,551 | ||||||
|
| |||||||
Electric Utilities (6.1%): | ||||||||
141,494 | Alliant Energy Corp. | 6,769,073 | ||||||
436,033 | American Electric Power Co., Inc. | 34,725,667 | ||||||
329,968 | Exelon Corp. | 11,974,540 | ||||||
27,958 | NextEra Energy, Inc. | 6,714,673 | ||||||
168,233 | Xcel Energy, Inc. | 10,514,563 | ||||||
|
| |||||||
70,698,516 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.5%): | ||||||||
72,952 | TE Connectivity, Ltd. | 5,949,236 | ||||||
|
| |||||||
Gas Utilities (0.8%): | ||||||||
91,663 | Atmos Energy Corp. | 9,127,802 | ||||||
|
| |||||||
Health Care Equipment & Supplies (6.9%): | ||||||||
172,945 | Alcon, Inc.* | 9,911,711 | ||||||
125,961 | Becton Dickinson & Co. | 30,138,687 | ||||||
212,660 | Boston Scientific Corp.* | 7,466,493 | ||||||
138,632 | Danaher Corp. | 24,514,297 | ||||||
336,896 | Envista Holdings Corp.* | 7,105,137 | ||||||
|
| |||||||
79,136,325 | ||||||||
|
| |||||||
Health Care Providers & Services (3.9%): | ||||||||
67,313 | Humana, Inc. | 26,100,615 | ||||||
64,367 | UnitedHealth Group, Inc. | 18,985,047 | ||||||
|
| |||||||
45,085,662 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.7%): | ||||||||
240,884 | Hilton Worldwide Holdings, Inc. | 17,692,929 | ||||||
90,641 | Marriott International, Inc., Class A | 7,770,653 | ||||||
202,570 | Yum! Brands, Inc. | 17,605,359 | ||||||
|
| |||||||
43,068,941 | ||||||||
|
| |||||||
Industrial Conglomerates (4.4%): | ||||||||
6,209,471 | General Electric Co. | 42,410,687 | ||||||
22,078 | Roper Technologies, Inc. | 8,572,004 | ||||||
|
| |||||||
50,982,691 | ||||||||
|
| |||||||
Insurance (2.8%): | ||||||||
295,798 | Marsh & McLennan Cos., Inc. | 31,759,831 | ||||||
|
| |||||||
Interactive Media & Services (4.1%): | ||||||||
1,201 | Alphabet, Inc., Class A* | 1,703,078 | ||||||
20,134 | Alphabet, Inc., Class C* | 28,461,624 | ||||||
73,300 | Facebook, Inc., Class A* | 16,644,231 | ||||||
|
| |||||||
46,808,933 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.1%): | ||||||||
8,934 | Amazon.com, Inc.* | 24,647,298 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
IT Services (5.9%): | ||||||||
285,028 | Fiserv, Inc.* | $ | 27,824,433 | |||||
123,455 | Global Payments, Inc. | 20,940,437 | ||||||
98,127 | Visa, Inc., Class A | 18,955,193 | ||||||
|
| |||||||
67,720,063 | ||||||||
|
| |||||||
Life Sciences Tools & Services (3.9%): | ||||||||
271,011 | Avantor, Inc.* | 4,607,187 | ||||||
180,174 | PerkinElmer, Inc. | 17,673,268 | ||||||
61,716 | Thermo Fisher Scientific, Inc. | 22,362,175 | ||||||
|
| |||||||
44,642,630 | ||||||||
|
| |||||||
Machinery (3.5%): | ||||||||
413,696 | Fortive Corp. | 27,990,671 | ||||||
427,148 | Ingersoll-Rand, Inc.* | 12,011,402 | ||||||
|
| |||||||
40,002,073 | ||||||||
|
| |||||||
Multi-Utilities (2.9%): | ||||||||
268,554 | Ameren Corp. | 18,895,460 | ||||||
657,011 | NiSource, Inc. | 14,940,430 | ||||||
|
| |||||||
33,835,890 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.7%): | ||||||||
171,134 | Maxim Integrated Products, Inc. | 10,372,432 | ||||||
186,210 | NXP Semiconductors NV | 21,235,388 | ||||||
|
| |||||||
31,607,820 | ||||||||
|
| |||||||
Software (5.1%): | ||||||||
291,600 | Microsoft Corp. | 59,343,516 | ||||||
|
| |||||||
Total Common Stocks (Cost $638,198,703) | 761,856,890 | |||||||
|
| |||||||
Preferred Stocks (3.3%): | ||||||||
Banks (1.2%): | ||||||||
4,556 | JPMorgan Chase & Co., Series DD, 5.75%, 10/31/19 | 120,370 | ||||||
26,034 | U.S. Bancorp, Series K, 5.50%, 12/30/19 | 679,487 | ||||||
3,130 | U.S. Bancorp, Series F, 6.50%, 9/27/19 | 81,630 | ||||||
9,553 | Wells Fargo & Co., Series L, Class A, 7.50%, 11/27/19 | 12,390,241 | ||||||
|
| |||||||
13,271,728 | ||||||||
|
| |||||||
Capital Markets (0.1%): | ||||||||
23,920 | Charles Schwab Corp. (The), Series C, 6.00%, 11/14/19 | 609,721 | ||||||
3,600 | Charles Schwab Corp. (The), Series D, 5.95%, 11/14/19 | 93,168 | ||||||
|
| |||||||
702,889 | ||||||||
|
| |||||||
Electric Utilities (0.7%): | ||||||||
29,162 | Alabama Power Co., Series A, 5.00% | 750,047 | ||||||
96,887 | Duke Energy Corp., 3.56%, 9/15/78^ | 2,570,412 | ||||||
66,256 | NextEra Energy, Inc., 3.30%, 3/1/23 | 2,812,566 | ||||||
1,201 | SCE Trust III, Series H, 5.75%, 12/12/19, Perpetual Bond | 26,014 | ||||||
98,681 | SCE Trust IV, Series J, 3.13%, 12/31/49 | 2,007,172 | ||||||
|
| |||||||
8,166,211 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
36,473 | Boston Scientific Corp., 5.50%, 6/1/23 | 3,818,358 | ||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
163,900 | CMS Energy Corp., 1.55%, 3/1/79 | 4,295,819 | ||||||
122,500 | CMS Energy Corp., 1.59%, 10/15/78 | 3,133,550 | ||||||
99,022 | DTE Energy Co., Series E, 5.25%, 12/1/77 | 2,487,433 | ||||||
80,120 | NiSource, Inc., Series B, 6.50%, 11/21/19 | 2,067,897 | ||||||
|
| |||||||
11,984,699 | ||||||||
|
| |||||||
Total Preferred Stocks (Cost $37,770,104) | 37,943,885 | |||||||
|
|
See accompanying notes to the financial statements.
2
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Convertible Preferred Stocks (1.0%): | ||||||||
Electric Utilities (0.1%): | ||||||||
27,961 | American Electric Power Co., Inc., 5.54%, 3/15/22^ | $ | 1,353,592 | |||||
|
| |||||||
Life Sciences Tools & Services (0.7%): | ||||||||
136,585 | Avantor, Inc., Series A, 6.25%, 5/15/22 | 7,839,979 | ||||||
|
| |||||||
Machinery (0.2%): | ||||||||
2,609 | Fortive Corp., Series A, 0.03%, 7/1/21 | 2,246,897 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Cost $10,792,902) | 11,440,468 | |||||||
|
| |||||||
Asset Backed Securities (0.4%): | ||||||||
$ | 641,775 | Dominos Pizza Master Issuer LLC, Class A2, Series 2019-1A, 3.67%, 10/25/49, Callable 10/25/26 @ 100(a) | 651,305 | |||||
1,439,100 | Dominos Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a) | 1,545,870 | ||||||
1,365,675 | Dominos Pizza Master Issuer LLC, Class A2I, Series 2018-1A, 4.12%, 7/25/48, Callable 10/25/22 @ 100(a) | 1,451,922 | ||||||
908,700 | Wendy’s Funding LLC, Class A2I, Series 2018-1A, 3.57%, 3/15/48, Callable 3/15/22 @ 100(a) | 940,144 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $4,319,567) | 4,589,241 | |||||||
|
| |||||||
Bank Loans (6.5%): | ||||||||
Airlines (0.3%): | ||||||||
4,100,000 | Delta 2 Lux Sarl, 0.02%, 2/1/24 | 3,892,458 | ||||||
|
| |||||||
Chemicals (1.1%): | ||||||||
537,556 | H.B. Fuller Co. Term Loan B-1, 0.03% (US0003M ), 10/20/24, Callable 8/5/20 @ 100 | 517,919 | ||||||
12,442,014 | Kronos, Inc./ M.A. Term Loan B-1, 0.02% (US0003M ), 11/1/23, Callable 8/5/20 @ 100 | 12,414,767 | ||||||
|
| |||||||
12,932,686 | ||||||||
|
| |||||||
Insurance (1.5%): | ||||||||
352,257 | AmWINS Group, Inc., 0.03% (US0003M ), 1/25/24, Callable 8/5/20 @ 100 | 341,580 | ||||||
17,980,175 | HUB International, Ltd., 0.03% (US0003M ), 4/25/25, Callable 8/5/20 @ 100 | 17,066,243 | ||||||
|
| |||||||
17,407,823 | ||||||||
|
| |||||||
IT Services (2.6%): | ||||||||
78,250 | Gartner, Inc., 0.02% (US0003M ), 3/20/22 | 77,076 | ||||||
30,360,809 | Refinitiv US Holdings, Inc. Term Loan B-1, 0.03% (US0001M ), 10/1/25 | 29,624,559 | ||||||
|
| |||||||
29,701,635 | ||||||||
|
| |||||||
Pharmaceuticals (0.0%†): | ||||||||
62,961 | Prestige Brands, Inc. Term Loan B5-1, 0.33% (US0003M ), 1/26/24, Callable 8/5/20 @ 100 | 61,765 | ||||||
|
| |||||||
Software (1.0%): | ||||||||
11,437,899 | CCC Information Services, Inc. Term Loan B-1, 0.03% (US0003M ), 4/29/24, Callable 8/5/20 @ 100 | 11,032,768 | ||||||
501,213 | Ultimate Software Term Loan B-1l Bankdebt, 0.00%, 4/8/26 | 484,753 | ||||||
|
| |||||||
11,517,521 | ||||||||
|
| |||||||
Total Bank Loans (Cost $77,220,838) | 75,513,888 | |||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds (15.7%): | ||||||||
Airlines (0.1%): | ||||||||
$ | 820,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27, Callable 6/30/23 @ 103.25(a) | $ | 821,025 | ||||
224,567 | U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24 | 188,980 | ||||||
|
| |||||||
1,010,005 | ||||||||
|
| |||||||
Banks (0.1%): | ||||||||
1,580,000 | PNC Financial Services Group, Inc., Series S, 5.00% (US0003M+330 bps), 12/31/49, Callable 11/1/26 @ 100 | 1,589,875 | ||||||
|
| |||||||
Building Products (0.1%): | ||||||||
463,913 | Filteration Group Corp., 3.30%, 3/29/25, Callable 8/5/20 @ 100 | 440,717 | ||||||
280,000 | Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100 | 289,183 | ||||||
|
| |||||||
729,900 | ||||||||
|
| |||||||
Capital Markets (0.3%): | ||||||||
1,415,000 | Bank of New York Mellon Corp. (The), Series E, 3.73% (US0003M+342 bps), Callable 9/20/20 @ 100 | 1,347,787 | ||||||
840,000 | Bank of New York Mellon Corp. (The), 4.62% (US0003M+313 bps), 12/29/49, Callable 9/20/26 @ 100 | 822,150 | ||||||
1,355,000 | State Street Corp., Series F, 5.25% (US0003M+360 bps), Callable 9/15/20 @ 100 | 1,288,944 | ||||||
|
| |||||||
3,458,881 | ||||||||
|
| |||||||
Chemicals (0.5%): | ||||||||
5,290,794 | USI, Inc., 3.34% (US0003M ), 5/16/24, Callable 8/5/20 @ 100 | 5,010,381 | ||||||
1,180,000 | USI, Inc., 4.50%, 12/2/26 | 1,143,621 | ||||||
|
| |||||||
6,154,002 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
1,235,000 | Reynolds Group Issuer, Inc., 4.72% (US0003M+350 bps), 7/15/21, Callable 8/6/20 @ 100(a) | 1,225,738 | ||||||
1,230,000 | Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 8/6/20 @ 101.28(a) | 1,236,150 | ||||||
|
| |||||||
2,461,888 | ||||||||
|
| |||||||
Diversified Consumer Services (0.4%): | ||||||||
3,580,000 | Lgc Group TL, 0.00%, 1/24/27 | 3,432,325 | ||||||
1,075,000 | Service Corp. International, 5.38%, 5/15/24, Callable 8/6/20 @ 101.79 | 1,093,813 | ||||||
|
| |||||||
4,526,138 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
815,000 | Level 3 Communications, Inc., 5.38%, 8/15/22, Callable 7/15/20 @ 100 | 815,000 | ||||||
|
| |||||||
Electric Utilities (0.0%†): | ||||||||
205,000 | Alliant Holdings Intermediate LLC, 3.43%, 5/10/25, Callable 8/5/20 @ 100 | 193,866 | ||||||
|
| |||||||
Entertainment (2.2%): | ||||||||
300,000 | Netflix, Inc., 5.50%, 2/15/22 | 313,500 | ||||||
1,690,000 | Netflix, Inc., 5.88%, 2/15/25^ | 1,867,450 | ||||||
4,385,000 | Netflix, Inc., 4.38%, 11/15/26 | 4,554,919 |
See accompanying notes to the financial statements.
3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Entertainment, continued | ||||||||
$ | 5,093,000 | Netflix, Inc., 4.88%, 4/15/28 | $ | 5,411,313 | ||||
7,145,000 | Netflix, Inc., 5.88%, 11/15/28 | 8,109,574 | ||||||
3,940,000 | Netflix, Inc., 6.38%, 5/15/29 | 4,580,250 | ||||||
|
| |||||||
24,837,006 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.3%): | ||||||||
2,332,000 | SBA Communications Corp., 4.00%, 10/1/22, Callable 8/6/20 @ 102 | 2,358,236 | ||||||
891,000 | SBA Communications Corp., 4.88%, 9/1/24, Callable 8/6/20 @ 103.66 | 912,161 | ||||||
605,000 | SBA Communications Corp., 3.88%, 2/15/27, Callable 2/15/23 @ 101.94(a) | 602,731 | ||||||
|
| |||||||
3,873,128 | ||||||||
|
| |||||||
Food & Staples Retailing (0.2%): | ||||||||
2,600,000 | Dino Grandparent, Inc., 2.44%, 2/19/23 | 2,548,000 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
379,050 | CPI Holdco LLC, 4.41%, 11/4/26, Callable 8/5/20 @ 100 | 363,888 | ||||||
1,190,000 | Hologic, Inc., 4.38%, 10/15/25, Callable 10/15/20 @ 102.19(a) | 1,201,900 | ||||||
1,260,000 | Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44 | 1,297,800 | ||||||
860,000 | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | 903,000 | ||||||
|
| |||||||
3,766,588 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.0%): | ||||||||
2,200,000 | Cedar Fair, LP, 5.25%, 7/15/29, Callable 7/15/24 @ 102.63(a) | 1,991,000 | ||||||
2,500,000 | Cedar Fair, LP /Canada’s Wonderland Co. /Magnum Management Corp., 5.38%, 6/1/24, Callable 8/6/20 @ 101.79 | 2,356,250 | ||||||
2,127,000 | Cedar Fair, LP /Canada’s Wonderland Co. /Magnum Management Corp., 5.38%, 4/15/27, Callable 4/15/22 @ 102.69 | 1,919,618 | ||||||
852,861 | Four Seasons Hotels, Ltd., 2.30%, 11/30/23, Callable 8/5/20 @ 100 | 805,953 | ||||||
690,000 | Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24, Callable 7/22/20 @ 102.13 | 667,575 | ||||||
3,280,000 | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 5.25%, 6/1/26, Callable 6/1/21 @ 102.63(a) | 3,353,800 | ||||||
4,548,000 | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 4.75%, 6/1/27, Callable 6/1/22 @ 102.38(a) | 4,650,329 | ||||||
2,021,000 | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell Of America LLC, 5.00%, 6/1/24, Callable 8/6/20 @ 102.5(a) | 2,058,894 | ||||||
1,500,000 | Life Time, Inc., 3.75%, 6/15/22, Callable 8/5/20 @ 100 | 1,324,695 | ||||||
415,000 | Marriott International, Inc., 0.97% (US0003M+65 bps), 3/8/21 | 410,333 | ||||||
355,000 | Marriott International, Inc., 3.13%, 6/15/26, Callable 3/15/26 @ 100 | 345,274 | ||||||
2,574,000 | Six Flags Entertainment Corp., 4.88%, 7/31/24, Callable 8/6/20 @ 102.44(a) | 2,303,730 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 2,815,000 | Six Flags Entertainment Corp., 5.50%, 4/15/27, Callable 4/15/22 @ 102.75^(a) | $ | 2,515,906 | ||||
536,000 | Six Flags Theme Parks, Inc., 7.00%, 7/1/25, Callable 7/1/22 @ 103.5(a) | 556,100 | ||||||
1,695,000 | Yum! Brands, Inc., 3.88%, 11/1/20, Callable 8/6/20 @ 100 | 1,695,000 | ||||||
3,169,000 | Yum! Brands, Inc., 3.75%, 11/1/21, Callable 8/1/21 @ 100 | 3,200,690 | ||||||
1,312,000 | Yum! Brands, Inc., 3.88%, 11/1/23, Callable 8/1/23 @ 100 | 1,343,160 | ||||||
370,000 | Yum! Brands, Inc., 4.75%, 1/15/30, Callable 10/15/29 @ 100(a) | 376,475 | ||||||
1,042,000 | Yum! Brands, Inc., 6.88%, 11/15/37 | 1,120,150 | ||||||
1,889,000 | Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100 | 1,858,304 | ||||||
|
| |||||||
34,853,236 | ||||||||
|
| |||||||
Industrial Conglomerates (0.6%): | ||||||||
8,402,000 | General Electric Co., Series D, 5.00% (US0003M+333 bps), Callable 1/21/21 @ 100 | 6,636,413 | ||||||
|
| |||||||
Insurance (0.7%): | ||||||||
4,091,300 | HUB International, Ltd., 5.00% (US0001M ), 4/25/25, Callable 8/5/20 @ 100 | 4,013,565 | ||||||
2,657,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a) | 2,650,358 | ||||||
1,045,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/6/20 @ 103.44(a) | 1,054,144 | ||||||
|
| |||||||
7,718,067 | ||||||||
|
| |||||||
IT Services (0.3%): | ||||||||
1,645,000 | Refinitiv US Holdings, Inc., 6.25%, 5/15/26, Callable 11/15/21 @ 103.13(a) | 1,743,700 | ||||||
1,835,000 | Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a) | 1,986,388 | ||||||
|
| |||||||
3,730,088 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.5%): | ||||||||
2,505,000 | Avantor, Inc., 6.00%, 10/1/24, Callable 10/1/20 @ 104.5(a) | 2,611,463 | ||||||
9,837,000 | Avantor, Inc., 9.00%, 10/1/25, Callable 10/1/20 @ 106.75(a) | 10,574,774 | ||||||
3,714,513 | Nestle Skin Health, 0.00%, 10/1/26 | 3,548,920 | ||||||
|
| |||||||
16,735,157 | ||||||||
|
| |||||||
Machinery (0.2%): | ||||||||
340,000 | Gardner Denver, Inc., 2.92%, 2/28/27, Callable 8/5/20 @ 101 | 329,800 | ||||||
1,042,000 | Manitowoc Foodservice, Inc., 9.50%, 2/15/24, Callable 8/6/20 @ 104.75 | 995,110 | ||||||
500,000 | Welbilt, Inc., 3.49%, 10/23/25, Callable 8/5/20 @ 100 | 430,000 | ||||||
|
| |||||||
1,754,910 | ||||||||
|
| |||||||
Media (1.3%): | ||||||||
1,405,000 | CCO Holdings LLC, 4.00%, 3/1/23, Callable 7/22/20 @ 102(a) | 1,408,513 | ||||||
1,775,000 | CCO Holdings LLC, 5.88%, 4/1/24, Callable 8/6/20 @ 102.94(a) | 1,830,469 |
See accompanying notes to the financial statements.
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 4,304,000 | CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a) | $ | 4,454,639 | ||||
6,381,000 | CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a) | 6,588,382 | ||||||
175,000 | Sirius XM Radio, Inc., 3.88%, 8/1/22, Callable 8/6/20 @ 101.94(a) | 175,438 | ||||||
1,020,000 | Sirius XM Radio, Inc., 4.63%, 5/15/23, Callable 7/9/20 @ 100.77(a) | 1,027,650 | ||||||
|
| |||||||
15,485,091 | ||||||||
|
| |||||||
Metals & Mining (0.3%): | ||||||||
3,485,000 | Thyssenkrupp Term Loan B-1l Bankdebt, 0.00%, 6/30/27 | 3,432,725 | ||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
1,705,000 | NiSource, Inc., 5.65% (H15T5Y+284 bps), 12/31/99, Callable 6/15/23 @ 100 | 1,688,237 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
715,000 | Nustar Logistics, LP, 4.80%, 9/1/20 | 713,213 | ||||||
|
| |||||||
Pharmaceuticals (0.1%): | ||||||||
1,239,000 | Elanco Animal Health, Inc., 3.91%, 8/27/21 | 1,269,909 | ||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
405,000 | Korn Ferry, 4.63%, 12/15/27, Callable 12/15/22 @ 102.31(a) | 392,850 | ||||||
|
| |||||||
Software (2.4%): | ||||||||
3,211,833 | Emerald Topco, Inc., 3.68% (US0001M ), 7/26/26, Callable 8/5/20 @ 100 | 3,107,448 | ||||||
8,530,000 | Solera LLC, 10.50%, 3/1/24, Callable 8/6/20 @ 105.25(a) | 8,679,275 | ||||||
525,000 | Ultimate Software Group Inc. (The), 0.00%, 5/3/27 | 532,875 | ||||||
15,595,000 | Ultimate Software Term Loan B-1l Bankdebt, 0.00%, 5/3/26 | 15,383,063 | ||||||
|
| |||||||
27,702,661 | ||||||||
|
| |||||||
Sovereign Bond (0.2%): | ||||||||
1,765,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 0.00%, 6/25/27 | 1,751,021 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services (0.1%): | ||||||||
$ | 515,000 | T-Mobile USA, Inc., 6.00%, 3/1/23, Callable 7/17/20 @ 101.5 | $ | 516,931 | ||||
240,000 | T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/15/21 @ 103.25 | 250,800 | ||||||
|
| |||||||
767,731 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $178,968,820) | 180,595,586 | |||||||
|
| |||||||
Yankee Dollars (0.2%): | ||||||||
Electrical Equipment (0.2%): | ||||||||
745,000 | Sensata Technologies BV, 4.88%, 10/15/23(a) | 773,869 | ||||||
260,000 | Sensata Technologies BV, 5.63%, 11/1/24(a) | 275,600 | ||||||
925,000 | Sensata Technologies BV, 5.00%, 10/1/25(a) | 980,500 | ||||||
300,000 | Sensata Technologies UK Financing Co. plc, 6.25%, 2/15/26, Callable 2/15/21 @ 103.13(a) | 310,875 | ||||||
|
| |||||||
2,340,844 | ||||||||
|
| |||||||
Total Yankee Dollars (Cost $2,270,313) | 2,340,844 | |||||||
|
| |||||||
Short-Term Securities Held as Collateral for Securities on Loan (0.3%): | ||||||||
2,983,489 | BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c) | 2,983,489 | ||||||
|
| |||||||
| Total Short-Term Securities Held as Collateral for Securities on | 2,983,489 | ||||||
|
| |||||||
Unaffiliated Investment Companies (10.0%): | ||||||||
Money Markets (10.0%): | ||||||||
115,481,381 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.08%(c) | 115,481,381 | ||||||
|
| |||||||
Total Unaffiliated Investment Companies (Cost $115,481,381) | 115,481,381 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,068,006,117) — 103.4% | 1,192,745,672 | |||||||
Net other assets (liabilities) — (3.4)% | (39,157,907 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,153,587,765 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2020.
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
US0001M—1 Month US Dollar LIBOR
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, 2020. The total value of securities on loan as of June 30, 2020 was $2,877,154. |
† | Represents less than 0.05%. |
(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, 2020. |
(c) | The rate represents the effective yield at June 30, 2020. |
See accompanying notes to the financial statements.
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Options Contracts
At June 30, 2020, 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 | |||||||||||||||||||
Alphabet, Inc. | Citigroup | Call | 1500.00 USD | 1/15/21 | 22 | $ | 33,000 | $ | (200,216 | ) | ||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 1740.00 USD | 1/15/21 | 7 | 12,180 | (18,892 | ) | ||||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 1760.00 USD | 1/15/21 | 7 | 12,320 | (16,924 | ) | ||||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 1780.00 USD | 1/15/21 | 7 | 12,460 | (15,148 | ) | ||||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 1800.00 USD | 1/15/21 | 7 | 12,600 | (13,549 | ) | ||||||||||||||||||
American Electric Power Co., Inc. | Citigroup | Call | 105.00 USD | 1/15/21 | 341 | 35,805 | (11,664 | ) | ||||||||||||||||||
American Electric Power Co., Inc. | Citigroup | Call | 115.00 USD | 1/15/21 | 101 | 11,615 | (1,145 | ) | ||||||||||||||||||
Aptiv plc | Goldman Sachs | Call | 97.50 USD | 1/15/21 | 75 | 7,313 | (39,730 | ) | ||||||||||||||||||
Aptiv plc | Goldman Sachs | Call | 100.00 USD | 1/15/21 | 74 | 7,400 | (34,555 | ) | ||||||||||||||||||
Avantor, Inc. | Credit Suisse First Boston | Call | 15.00 USD | 1/15/21 | 100 | 1,500 | (38,566 | ) | ||||||||||||||||||
Avantor, Inc. | Credit Suisse First Boston | Call | 20.00 USD | 1/15/21 | 147 | 2,940 | (16,798 | ) | ||||||||||||||||||
Avantor, Inc. | Credit Suisse First Boston | Call | 22.50 USD | 1/15/21 | 147 | 3,308 | (9,946 | ) | ||||||||||||||||||
Becton Dickinson & Co. | Goldman Sachs | Call | 260.00 USD | 1/15/21 | 20 | 5,200 | (24,185 | ) | ||||||||||||||||||
Becton Dickinson & Co. | Goldman Sachs | Call | 270.00 USD | 1/15/21 | 20 | 5,400 | (17,680 | ) | ||||||||||||||||||
Becton Dickinson & Co. | Goldman Sachs | Call | 280.00 USD | 1/15/21 | 30 | 8,400 | (19,054 | ) | ||||||||||||||||||
Becton Dickinson & Co. | Goldman Sachs | Call | 300.00 USD | 1/15/21 | 152 | 45,600 | (48,426 | ) | ||||||||||||||||||
CME Group, Inc. | Credit Suisse First Boston | Call | 170.00 USD | 1/15/21 | 44 | 7,480 | (51,152 | ) | ||||||||||||||||||
CME Group, Inc. | Credit Suisse First Boston | Call | 175.00 USD | 1/15/21 | 44 | 7,700 | (42,196 | ) | ||||||||||||||||||
CME Group, Inc. | Credit Suisse First Boston | Call | 180.00 USD | 1/15/21 | 44 | 7,920 | (34,584 | ) | ||||||||||||||||||
CME Group, Inc. | Credit Suisse First Boston | Call | 185.00 USD | 1/15/21 | 44 | 8,140 | (28,245 | ) | ||||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | 150.00 USD | 1/15/21 | 30 | 4,500 | (98,801 | ) | ||||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | 160.00 USD | 1/15/21 | 30 | 4,800 | (76,439 | ) | ||||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | 180.00 USD | 1/15/21 | 30 | 5,400 | (39,743 | ) | ||||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | 185.00 USD | 1/15/21 | 59 | 10,915 | (64,126 | ) | ||||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | 190.00 USD | 1/15/21 | 89 | 16,910 | (78,251 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 195.00 USD | 1/15/21 | 40 | 7,800 | (180,457 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 200.00 USD | 1/15/21 | 40 | 8,000 | (166,776 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 265.00 USD | 1/15/21 | 59 | 15,635 | (67,319 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 270.00 USD | 1/15/21 | 59 | 15,930 | (59,934 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 275.00 USD | 1/15/21 | 59 | 16,225 | (53,304 | ) | ||||||||||||||||||
General Electric Co. | JPMorgan Chase | Call | 8.00 USD | 1/15/21 | 992 | 7,936 | (71,294 | ) | ||||||||||||||||||
General Electric Co. | JPMorgan Chase | Call | 15.00 USD | 1/15/21 | 5,937 | 89,055 | (26,168 | ) | ||||||||||||||||||
Global Payments, Inc. | Goldman Sachs | Call | 185.00 USD | 12/18/20 | 30 | 5,550 | (36,034 | ) | ||||||||||||||||||
Global Payments, Inc. | Goldman Sachs | Call | 195.00 USD | 12/18/20 | 30 | 5,850 | (26,123 | ) | ||||||||||||||||||
Hilton Worldwide Holding, Inc. | Citigroup | Call | 125.00 USD | 1/15/21 | 30 | 3,750 | (1,189 | ) | ||||||||||||||||||
Hilton Worldwide Holding, Inc. | Citigroup | Call | 130.00 USD | 1/15/21 | 30 | 3,900 | (844 | ) | ||||||||||||||||||
Hilton Worldwide Holdings, Inc. | Credit Suisse First Boston | Call | 87.50 USD | 1/15/21 | 10 | 875 | (4,736 | ) | ||||||||||||||||||
Hilton Worldwide Holdings, Inc. | Credit Suisse First Boston | Call | 90.00 USD | 1/15/21 | 10 | 900 | (4,057 | ) | ||||||||||||||||||
Humana, Inc. | Credit Suisse First Boston | Call | 370.00 USD | 1/15/21 | 20 | 7,400 | (103,808 | ) | ||||||||||||||||||
Humana, Inc. | Credit Suisse First Boston | Call | 380.00 USD | 1/15/21 | 20 | 7,600 | (91,824 | ) | ||||||||||||||||||
Humana, Inc. | Credit Suisse First Boston | Call | 420.00 USD | 1/15/21 | 15 | 6,300 | (38,826 | ) | ||||||||||||||||||
Humana, Inc. | Credit Suisse First Boston | Call | 430.00 USD | 1/15/21 | 15 | 6,450 | (32,920 | ) | ||||||||||||||||||
Ingersoll-Rand, Inc. | JPMorgan Chase | Call | 35.00 USD | 12/18/20 | 293 | 10,255 | (28,414 | ) | ||||||||||||||||||
Intercontinental Exchange, Inc. | JPMorgan Chase | Call | 100.00 USD | 1/15/21 | 59 | 5,900 | (22,740 | ) | ||||||||||||||||||
Intercontinental Exchange, Inc. | JPMorgan Chase | Call | 105.00 USD | 1/15/21 | 59 | 6,195 | (14,505 | ) | ||||||||||||||||||
Keurig Dr Pepper, Inc. | Citigroup | Call | 29.00 USD | 10/16/20 | 197 | 5,713 | (28,212 | ) | ||||||||||||||||||
Keurig Dr Pepper, Inc. | Citigroup | Call | 30.00 USD | 10/16/20 | 200 | 6,000 | (20,504 | ) | ||||||||||||||||||
Keurig Dr Pepper, Inc. | Citigroup | Call | 31.00 USD | 10/16/20 | 200 | 6,200 | (14,251 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 165.00 USD | 1/15/21 | 421 | 69,465 | (1,874,358 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 165.00 USD | 1/15/21 | 120 | 19,800 | (534,259 | ) | ||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 170.00 USD | 1/15/21 | 461 | 78,370 | (1,872,946 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 170.00 USD | 1/15/21 | 119 | 20,230 | (483,472 | ) | ||||||||||||||||||
NextEra Energy, Inc. | Credit Suisse First Boston | Call | 310.00 USD | 1/15/21 | 23 | 7,130 | (3,742 | ) | ||||||||||||||||||
NextEra Energy, Inc. | Credit Suisse First Boston | Call | 320.00 USD | 1/15/21 | 24 | 7,680 | (2,654 | ) | ||||||||||||||||||
NXP Semiconductors NV | JPMorgan Chase | Call | 115.00 USD | 1/15/21 | 25 | 2,875 | (37,598 | ) |
See accompanying notes to the financial statements.
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2020 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||
NXP Semiconductors NV | JPMorgan Chase | Call | 125.00 USD | 1/15/21 | 25 | $ | 3,125 | $ | (26,336 | ) | ||||||||||||||||
NXP Semiconductors NV | Credit Suisse First Boston | Call | 140.00 USD | 1/15/21 | 267 | 37,380 | (152,269 | ) | ||||||||||||||||||
PerkinElmer, Inc. | JPMorgan Chase | Call | 110.00 USD | 12/18/20 | 40 | 4,400 | (19,014 | ) | ||||||||||||||||||
PerkinElmer, Inc. | JPMorgan Chase | Call | 115.00 USD | 12/18/20 | 40 | 4,600 | (14,227 | ) | ||||||||||||||||||
Roper Technologies, Inc. | Goldman Sachs | Call | 430.00 USD | 8/21/20 | 20 | 8,600 | (7,351 | ) | ||||||||||||||||||
Roper Technologies, Inc. | Goldman Sachs | Call | 370.00 USD | 11/20/20 | 20 | 7,400 | (84,305 | ) | ||||||||||||||||||
Roper Technologies, Inc. | Goldman Sachs | Call | 390.00 USD | 11/20/20 | 20 | 7,800 | (60,870 | ) | ||||||||||||||||||
Roper Technologies, Inc. | Goldman Sachs | Call | 420.00 USD | 11/20/20 | 20 | 8,400 | (33,597 | ) | ||||||||||||||||||
Roper Technologies, Inc. | Goldman Sachs | Call | 440.00 USD | 11/20/20 | 20 | 8,800 | (20,949 | ) | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | Royal Bank of Canada | Call | 370.00 USD | 1/15/21 | 20 | 7,400 | (51,822 | ) | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | Royal Bank of Canada | Call | 390.00 USD | 1/15/21 | 19 | 7,410 | (32,276 | ) | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | Royal Bank of Canada | Call | 400.00 USD | 1/15/21 | 104 | 41,600 | (140,282 | ) | ||||||||||||||||||
UnitedHealth Group, Inc. | JPMorgan Chase | Call | 320.00 USD | 1/15/21 | 20 | 6,400 | (36,552 | ) | ||||||||||||||||||
UnitedHealth Group, Inc. | JPMorgan Chase | Call | 330.00 USD | 1/15/21 | 20 | 6,600 | (29,238 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 185.00 USD | 1/15/21 | 20 | 3,700 | (44,672 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 195.00 USD | 1/15/21 | 20 | 3,900 | (33,289 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 200.00 USD | 1/15/21 | 39 | 7,800 | (55,074 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 210.00 USD | 1/15/21 | 138 | 28,980 | (134,639 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 215.00 USD | 1/15/21 | 30 | 6,450 | (23,765 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 220.00 USD | 1/15/21 | 50 | 11,000 | (31,596 | ) | ||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 230.00 USD | 1/15/21 | 137 | 31,510 | (51,885 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 230.00 USD | 1/15/21 | 47 | 10,810 | (17,800 | ) | ||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 235.00 USD | 1/15/21 | 137 | 32,195 | (38,835 | ) | ||||||||||||||||||
Visa, Inc. | Credit Suisse First Boston | Call | 240.00 USD | 1/15/21 | 137 | 32,880 | (28,420 | ) | ||||||||||||||||||
Visa, Inc. | Goldman Sachs | Call | 240.00 USD | 1/15/21 | 46 | 11,040 | (9,542 | ) | ||||||||||||||||||
Xcel Energy, Inc. | Credit Suisse First Boston | Call | 60.00 USD | 10/16/20 | 72 | 4,320 | (38,548 | ) | ||||||||||||||||||
Xcel Energy, Inc. | Credit Suisse First Boston | Call | 65.00 USD | 10/16/20 | 172 | 11,180 | (44,517 | ) | ||||||||||||||||||
Xcel Energy, Inc. | Credit Suisse First Boston | Call | 70.00 USD | 12/18/20 | 157 | 10,990 | (28,457 | ) | ||||||||||||||||||
Xcel Energy, Inc. | Credit Suisse First Boston | Call | 75.00 USD | 12/18/20 | 78 | 5,850 | (6,242 | ) | ||||||||||||||||||
Yum! Brands, Inc. | Bank of America | Call | 95.00 USD | 1/15/21 | 59 | 5,605 | (18,816 | ) | ||||||||||||||||||
Yum! Brands, Inc. | Citigroup | Call | 100.00 USD | 1/15/21 | 98 | 9,800 | (46,156 | ) | ||||||||||||||||||
Yum! Brands, Inc. | Bank of America | Call | 100.00 USD | 1/15/21 | 58 | 5,800 | (27,317 | ) | ||||||||||||||||||
Yum! Brands, Inc. | Citigroup | Call | 105.00 USD | 1/15/21 | 98 | 10,290 | (20,836 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total (Premiums $4,933,555) |
| $ | (8,352,777 | ) | ||||||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
Balances Reported in the Statement of Assets and Liabilities for Options Written
Value | ||
Options Written | $(8,352,777) |
See accompanying notes to the financial statements.
7
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
June 30, 2020
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 1,068,006,117 | |||
|
| ||||
Investment securities, at value(a) | $ | 1,192,745,672 | |||
Cash | 655,091 | ||||
Interest and dividends receivable | 2,183,303 | ||||
Receivable for capital shares issued | 15,157 | ||||
Receivable for investments sold | 12,179,728 | ||||
Prepaid expenses | 2,283 | ||||
|
| ||||
Total Assets | 1,207,781,234 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 41,831,482 | ||||
Payable for capital shares redeemed | 32,672 | ||||
Written Options (Premiums received $4,933,555) | 8,352,777 | ||||
Payable for collateral received on loaned securities | 2,983,489 | ||||
Manager fees payable | 668,918 | ||||
Administration fees payable | 4,276 | ||||
Distribution fees payable | 238,899 | ||||
Custodian fees payable | 10,667 | ||||
Administrative and compliance services fees payable | 2,365 | ||||
Transfer agent fees payable | 1,265 | ||||
Trustee fees payable | 14,663 | ||||
Other accrued liabilities | 51,996 | ||||
|
| ||||
Total Liabilities | 54,193,469 | ||||
|
| ||||
Net Assets | $ | 1,153,587,765 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 840,563,717 | |||
Total distributable earnings | 313,024,048 | ||||
|
| ||||
Net Assets | $ | 1,153,587,765 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 58,879,165 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.59 | |||
|
|
(a) | Includes securities on loan of $2,877,154. |
For the Six Months Ended June 30, 2020
(Unaudited)
Investment Income: | |||||
Interest | $ | 6,054,041 | |||
Dividends | 5,900,107 | ||||
Income from securities lending | 5,951 | ||||
Foreign withholding tax | (29,364 | ) | |||
|
| ||||
Total Investment Income | 11,930,735 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 4,344,667 | ||||
Administration fees | 162,128 | ||||
Distribution fees | 1,448,222 | ||||
Custodian fees | 24,980 | ||||
Administrative and compliance services fees | 10,154 | ||||
Transfer agent fees | 3,045 | ||||
Trustee fees | 32,042 | ||||
Professional fees | 28,490 | ||||
Shareholder reports | 25,648 | ||||
Other expenses | 12,343 | ||||
|
| ||||
Total expenses before reductions | 6,091,719 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (289,640 | ) | |||
|
| ||||
Net expenses | 5,802,079 | ||||
|
| ||||
Net Investment Income/(Loss) | 6,128,656 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | |||||
Net realized gains/(losses) on securities and foreign currencies | 88,982,827 | ||||
Net realized gains/(losses) on written options contracts | 643,262 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (112,598,479 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 3,529,171 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (19,443,219 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (13,314,563 | ) | ||
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See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 | For the Year Ended December 31, 2019 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,128,656 | $ | 16,358,437 | ||||||
Net realized gains/(losses) on investments | 89,626,089 | 83,171,528 | ||||||||
Change in unrealized appreciation/depreciation on investments | (109,069,308 | ) | 157,151,966 | |||||||
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Change in net assets resulting from operations | (13,314,563 | ) | 256,681,931 | |||||||
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Distributions to Shareholders: | ||||||||||
Distributions | — | (79,892,987 | ) | |||||||
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Change in net assets resulting from distributions to shareholders | — | (79,892,987 | ) | |||||||
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Capital Transactions: | ||||||||||
Proceeds from shares issued | 36,469,654 | 27,854,993 | ||||||||
Proceeds from dividends reinvested | — | 79,892,987 | ||||||||
Value of shares redeemed | (141,077,615 | ) | (92,633,961 | ) | ||||||
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Change in net assets resulting from capital transactions | (104,607,961 | ) | 15,114,019 | |||||||
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Change in net assets | (117,922,524 | ) | 191,902,963 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,271,510,289 | 1,079,607,326 | ||||||||
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End of period | $ | 1,153,587,765 | $ | 1,271,510,289 | ||||||
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Share Transactions: | ||||||||||
Shares issued | 2,077,377 | 1,439,519 | ||||||||
Dividends reinvested | — | 4,332,592 | ||||||||
Shares redeemed | (7,888,953 | ) | (4,857,076 | ) | ||||||
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Change in shares | (5,811,576 | ) | 915,035 | |||||||
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See accompanying notes to the financial statements.
9
AZL T. Rowe Price Capital Appreciation Fund
Financial Highlights
((Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 19.66 | $ | 16.93 | $ | 18.03 | $ | 16.48 | $ | 16.04 | $ | 15.90 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | (a) | 0.26 | (a) | 0.41 | 0.17 | 0.21 | 0.11 | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.17 | ) | 3.79 | (0.31 | ) | 2.28 | 1.03 | 0.68 | ||||||||||||||||||||||
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Total from Investment Activities | (0.07 | ) | 4.05 | 0.10 | 2.45 | 1.24 | 0.79 | |||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.42 | ) | (0.17 | ) | (0.24 | ) | (0.12 | ) | (0.10 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.90 | ) | (1.03 | ) | (0.66 | ) | (0.68 | ) | (0.55 | ) | |||||||||||||||||||
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Total Dividends | — | (1.32 | ) | (1.20 | ) | (0.90 | ) | (0.80 | ) | (0.65 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 19.59 | $ | 19.66 | $ | 16.93 | $ | 18.03 | $ | 16.48 | $ | 16.04 | ||||||||||||||||||
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Total Return(b) | (0.36 | )%(c) | 24.38 | % | 0.38 | % | 15.04 | % | 7.84 | % | 5.07 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,153,588 | $ | 1,271,510 | $ | 1,079,607 | $ | 1,146,974 | $ | 997,346 | $ | 1,150,906 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.06 | % | 1.36 | % | 2.25 | % | 0.97 | % | 1.10 | % | 0.98 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | 1.05 | % | ||||||||||||||||||
Expenses Net of Reductions (d) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||||||||
Portfolio Turnover Rate | 58 | %(c) | 45 | % | 70 | % | 65 | % | 89 | % | 73 | % | ||||||||||||||||||
(a) | Calculated using the average shares method. |
(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.
10
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (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 21 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 20 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.
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.
Distributions to Shareholders
Distributions 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 distributions 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. Distributions 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 T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (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 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, 2020 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which 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 $590 during the period ended June 30, 2020. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,983,489 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2020. At June 30, 2020, there were no master netting provisions in the securities lending agreement.
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, 2020, the Fund participated in the following cross-trade transactions:
Purchases | Sales | Realized | |||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,843,839 | $ | 2,861,542 | $ | 18,900 |
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, 2020, 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, 2020, 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 written options contracts” on the Statement of Operations.
12
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020:
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 | $ | 8,352,777 |
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, 2020:
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 | $ | 643,262 | $ | 3,529,171 |
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, 2020. 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, 2020.
As of June 30, 2020, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Written option contracts | $ | — | $ | 8,352,777 | ||||||
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Total derivative assets and liabilities in the Statement of Assets and Liabilities | — | 8,352,777 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | — | ||||||||
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Total assets and liabilities subject to a MNA | $ | — | $ | 8,352,777 | ||||||
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The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral pledged by the Fund as of June 30, 2020:
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 | $ | 46,133 | $ | — | $ | — | $ | — | $ | 46,133 | |||||||||||||||
Citigroup | 1,362,748 | — | — | — | 1,362,748 | ||||||||||||||||||||
Credit Suisse First Boston | 2,767,585 | — | — | — | 2,767,585 | ||||||||||||||||||||
Goldman Sachs | 867,749 | — | — | — | 867,749 | ||||||||||||||||||||
JPMorgan Chase | 3,084,182 | — | — | — | 3,084,182 | ||||||||||||||||||||
Royal Bank of Canada | 224,380 | — | — | — | 224,380 | ||||||||||||||||||||
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Total | $ | 8,352,777 | $ | — | $ | — | $ | — | $ | 8,352,777 | |||||||||||||||
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* | The actual collateral 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, 2021.
13
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (Unaudited)
For the period ended June 30, 2020, 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, 2020, 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 SEC. 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, 2020, $4,926 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 $182,500 annual Board retainer, the Lead Director receives an additional $45,625, the Chair of the Nominating and Corporate Governance Committee receives an additional $9,125 annually and the Chair of the Audit Committee receives an additional $9,125 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, 2020, actual Trustee compensation was $579,438 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 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. For options where market quotations are not readily available, fair value procedures as described below may be applied.
14
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (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.
The following is a summary of the valuation inputs used as of June 30, 2020 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 751,945,179 | $ | 9,911,711 | $ | — | $ | 761,856,890 | ||||||||||||
Preferred Stocks+ | 37,943,885 | — | — | 37,943,885 | ||||||||||||||||
Convertible Preferred Stocks | 11,440,468 | — | — | 11,440,468 | ||||||||||||||||
Asset Backed Securities | — | 4,589,241 | — | 4,589,241 | ||||||||||||||||
Bank Loans | — | 75,513,888 | — | 75,513,888 | ||||||||||||||||
Corporate Bonds+ | — | 180,595,586 | — | 180,595,586 | ||||||||||||||||
Yankee Dollars+ | — | 2,340,844 | — | 2,340,844 | ||||||||||||||||
Short-Term Securities Held as Collateral for Securities on Loan | 2,983,489 | — | — | 2,983,489 | ||||||||||||||||
Unaffiliated Investment Companies | 115,481,381 | — | — | 115,481,381 | ||||||||||||||||
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Total Investment Securities | 919,794,402 | 272,951,270 | — | 1,192,745,672 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Written Options | — | (8,352,777 | ) | — | (8,352,777 | ) | ||||||||||||||
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| |||||||||||||
Total Investments | $ | 919,794,402 | $ | 264,598,493 | $ | — | $ | 1,184,392,895 | ||||||||||||
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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. |
5. Security Purchases and Sales
For the period ended June 30, 2020, 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 | $ | 606,204,423 | $ | 655,827,647 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
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.
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (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.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority expects the use of LIBOR will be phased out by the end of 2021. Currently, there are no definitive details regarding the future utilization of LIBOR or of any particular replacement floating rate of interest. Abandonment of or modifications to LIBOR could lead to market uncertainty and instability. To the extent that the Fund’s investments have maturities which extend beyond 2021, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
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 December 31, 2020 was $1,047,027,645. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 237,494,877 | ||
Unrealized (depreciation) | (14,204,386 | ) | ||
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| |||
Net unrealized appreciation/(depreciation) | $ | 223,290,491 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2019 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 49,574,951 | $ | 30,318,036 | $ | 79,892,987 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2019, 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 | $ | 78,724,092 | $ | 25,826,432 | $ | — | $ | 223,290,185 | $ | 327,840,709 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales and straddles. |
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2020 (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, 2020, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. 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-PORT. 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.
18
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each such trust a “Trust” and, together, the “Trusts”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”); (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trusts who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 18, 2020, the Program Administrators provided a written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2019 through December 31, 2019 (the “Reporting Period”). This Report included an overview of the Program and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; and, as applicable, (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Program Administrators reviewed each Fund’s HLIM and concluded that no changes were recommended. During the Reporting Period, no Fund fell below its approved HLIM. The Program includes provisions reasonably designed to comply with the HLIM for each Fund.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Program Administrators did not recommend any material changes to the Program.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0620 08/20 |
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) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) are furnished herewith. |
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 31, 2020 |
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 31, 2020 |
By (Signature and Title) | /s/ Bashir C. Asad | |
Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer |
Date | August 31, 2020 |