Table of Contents
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 811-22975
AllianzGI Institutional Multi-Series Trust
(Exact name of registrant as specified in charter)
1633 Broadway, New York, New York 10019
(Address of principal executive offices) (Zip code)
Lawrence G. Altadonna
1633 Broadway,
New York, New York 10019
(Name and address of agent for service)
Registrant’s telephone number, including area code: 212-739-3371
Date of fiscal year end: September 30
Date of reporting period: September 30, 2017
Table of Contents
Item 1. Report to Shareholders
AllianzGI Institutional Multi-Series Trust
Annual Report
September 30, 2017
Table of Contents
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8-9 | ||||
10-33 | ||||
34 | ||||
35 | ||||
36-37 | ||||
38-39 | ||||
40-56 | ||||
57 | ||||
58 | ||||
Matters Relating to the Trustees’ Consideration of the Investment Management Agreements | 59-61 | |||
62-64 | ||||
65-67 |
Table of Contents
AllianzGI Advanced Core Bond Portfolio
(unaudited)
For the period of October 1, 2016 through September 30, 2017, as provided by Christian Tropp, CFA, Portfolio Manager.
Portfolio Insights
Performance Overview
For the twelve-month period ending September 30, 2017, the AllianzGI Advanced Core Bond Portfolio (the “Portfolio”) returned -0.43%, underperforming the Bloomberg Barclays US Aggregate Bond Index (the “benchmark”), which returned 0.07%.
Market Overview
Over the twelve-month period, the index yield of the benchmark, as provided by Bloomberg, increased by 59 basis points. Broken down by sub-indices of the benchmark, the strongest increase in yield was realized in Mortgage-Backed Securities (“MBS”) (74 basis points), followed by US Treasuries (69 basis points), Government-Related Bonds(52 basis points) and Corporate Bonds(32 basis points). The total return of the benchmark (0.07%) can be broken down into segment performance as follows: The US treasuries sub-index performed -1.67%, the US Government-related sub-index 0.62%, US Corporates 2.21% and US MBS 0.29%. Analyzing the various rating segments, we can observe that lower rated bonds outperformed higher rated points. Analyzing the maturity segments of the benchmark, we can observe that the 7-70 years maturity segment performed the worst
and was outperformed by bonds with maturities of more than 10 years. Bonds with maturities of less than 3 years outperformed, followed by bonds with maturities of more than 3 but less than 7 years.
Portfolio review
Based on the performance attribution analysis we conducted for the twelve-month period, positive contributors to the Portfolio’s active return were active allocations in overall interest rate risk, active allocations in rating buckets and single security selection. Negative contributors to the Portfolio’s active return were active allocation over the term structure, active allocation over fixed income sectors and active allocation in lower yielding bonds.
Outlook
At the end of the reporting period, the yield of the Portfolio’s investment universe, as measured by the benchmark yield, was 2.6%. The benchmark segment with the highest yield was US Corporate Bonds (3.2%), followed by US MBS (2.8%) and US Government-related Bonds (2.5%). The segment of the benchmark with the lowest average yield was US Treasuries, which yielded 2.0%.
Generally, we expect a slight improvement in economic dynamics. We believe this is supported by domestic demand given the positive labor market and housing conditions. We believe risks stem mainly from slow investment activity, and from global uncertainties. Also, we believe slow wage growth could become a problem for the recovery. The unspecified economic plans of president Trump have added to the uncertainty. The majority of the Federal Open Market Committee (“FOMC”) continues to expect inflation to pick up and reach the target level in 2019, supported by further growth above potential and a further strengthening labor market. The current FOMC consensus rate projections for 2018 are held together by the view that the current weak inflation is only transitory. Market pricing suggests that this FOMC expectation is dismissed as wishful thinking. The yet to be determined composition of the US Federal Reserve (“FED”) board of Governors including its chair in 2018, makes any forecast even more uncertain.
Nevertheless, we believe conditions will allow the FOMC to tighten monetary policy stronger over the next 18 months than currently implied by market pricing.
Average Annual Total Return for the period ended September 30, 2017
1 Year | Since Inception† | |||||||||
AllianzGI Advanced Core Bond Portfolio | -0.43% | 2.46% | ||||||||
Bloomberg Barclays US Aggregate Bond Index †† | 0.07% | 2.70% |
† The Portfolio began operations on October 30, 2015. Benchmark return comparisons began on the portfolio inception date.
†† The Bloomberg Barclays US Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index is composed of securities from the Bloomberg Barclays Capital Government/Credit Bond Index, Mortgage-Backed Securities Index, and Asset-Backed Securities Index. It is generally considered to be representative of the domestic, investment grade fixed rate, taxable bond market. Index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an index.
Performance quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value will fluctuate. Shares may be worth more or less than original cost when redeemed. Returns do not reflect deduction of taxes that a shareholder would pay on portfolio distributions or redemption of portfolio shares. Total return performance assumes that all dividends and capital gain distributions were reinvested on the payable date. The Portfolio’s gross expense ratio is 0.55%. This ratio does not include an expense reduction, contractually agreed to through January 31, 2018. The Portfolio’s expense ratio net of this reduction is 0.35%. Expense ratio information is as of the Portfolio’s current Private Placement Memorandum (“PPM”) dated February 1, 2017.
Portfolio Review commentary is based on the Wilshire Axiom Performance Attribution Analysis. Wilshire Axiom uses a position based approach and performance is linked daily. Please note that the different prices and different methodologies used in this attribution report, among others, may cause deviation in return figures to official performance.
2 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Advanced Core Bond Portfolio
(unaudited) (continued)
Industry/Sectors (as of September 30, 2017) |
| Cumulative Returns through September 30, 2017
| ||||||||
U.S. Treasury Obligations
| 29.8% |
(in thousands) | ||||||||
U.S. Government Agency Securities | 27.8% | |||||||||
Banks | 20.8% | |||||||||
Sovereign Debt Obligations | 13.3% | |||||||||
Auto Manufacturers | 4.4% | |||||||||
Oil, Gas & Consumable Fuels | 4.1% | |||||||||
Food & Beverage | 3.0% | |||||||||
Telecommunications | 2.6% | |||||||||
Other | 19.6% | |||||||||
Cash & Equivalents — Net | -25.4% | |||||||||
Moody’s Ratings (as of September 30, 2017) | ||||||||||
(as a % of total investments)
|
|
Bond ratings refer to the underlying holdings of the Portfolio and are categorized from highest to lowest credit quality using ratings provided by Moody’s. Moody’s ratings have been selected for several reasons, including the access to information and materials provided by Moody’s, as well as the Portfolio’s consideration of industry practice. See “Important Information” for more detail on the selection of Moody’s for the Portfolio’s ratings presentation. Bonds not rated by Moody’s and bonds that do not currently have a rating available are designated in the chart above, if applicable, as “NR” and “NA”, respectively.
Shareholder Expense Example
| Actual Performance
| |
Beginning Account Value (4/1/17) | $1,000.00 | |
Ending Account Value (9/30/17) | $1,021.70 | |
Expenses Paid During Period | $ 1.77 | |
Hypothetical Performance
| ||
(5% return before expenses) | ||
Beginning Account Value (4/1/17) | $1,000.00 | |
Ending Account Value (9/30/17) | $1,023.31 | |
Expenses Paid During Period | $ 1.78 |
Expenses (net of reimbursement, if any) are equal to the annualized expense ratio (0.35%), multiplied by the average account value over the period, multiplied by 183/365.
3 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Best Styles Global Managed Volatility Portfolio
(unaudited)
For the period of October 1, 2016 through September 30, 2017, as provided by Christian McCormick, Senior Product Specialist.
Portfolio Insights
Performance Overview
For the twelve-month period ended
September 30, 2017, the AllianzGI Best Styles Global Managed Volatility Portfolio (the “Portfolio”) returned 15.41%, outperforming the MSCI ACWI Minimum Volatility Index (the “benchmark”), which returned 9.30%.
Market Overview
The twelve-month period provided investors with a highly volatile ride, but overall equity markets have been upward trending as the S&P 500 Index, MSCI EAFE Index, and MSCI Emerging Market Index returned 19.56%, 18.76%, and 21.13%, respectively. Low volatility stocks underperformed the broad-cap weighted benchmarks, which is not surprising given the strong bull markets in addition to a broader “risk on” environment following the US election and supported by market friendly election results in Europe. The traditional lower volatility sectors of utilities, consumer staples, and telecom services all underperformed the broader benchmark by a meaningful margin during the period.
Portfolio Overview
The strategy aims to deliver a stable and sustainable pattern of excess returns over the benchmark, which itself has a strong tilt to low
risk stocks relative to the cap weighted MSCI ACWI Index. Therefore in absolute terms the fortunes of the strategy will be largely driven by the performance of low risk stocks.
The strategy has sector and regional constraints of +/- 3% around the benchmark, but during the twelve-month period there were meaningful contributions on a sector basis due to the large margin of tracking error between the benchmark and the MSCI ACWI Index. On the positive side, real estate and consumer staples contributed about 70 basis points to relative performance. This is a solid example of a small sector weight having a large impact as real estate was an average weight of 5.5% over the period in the benchmark, and the Portfolio held 3.8%, but as a sector it returned -5.68% versus the benchmark return 9.29%.
Stock selection dominated the relative return contribution, with the United States providing the top source of returns at approximately 240 basis points, while the worst country stock selection was South Africa, at only -19 basis points.
Outlook
The Best Styles approach seeks to harvest the long term risk premiums from Value, Momentum, Revisions, Growth, and Quality. The Portfolio is
managed with the goal to effectively manage and mitigate the risks associated with the premiums individually and as a multi style portfolio.
However, it is important to remember that these styles do carry additional risks to the benchmark, where the “premium” comes from, and therefore will underperform over certain shorter time periods, especially in shifty, risk-on/risk-off equity markets that are heavily influenced by macro-level interest policy. In terms of outlook for Best Styles, the long term investment style allocation of Best Styles with broadly half of the portfolio being invested in the investment style value, and the other half of the portfolio being invested in the investment styles momentum, revisions, growth and quality, remains unchanged.
The Portfolio will remain balanced in terms of the allocation to highest risk and lowest risk stocks, and cyclical vs. non-cyclical sectors in order to seek to immunize the Portfolio with respect to the impact of risk on/risk off moves and to make the performance of the Portfolio independent from the direction of the economic cycle. In our opinion, the balanced and well diversified blend of investment styles of the Best Styles investment approach has proven to be successful in macroeconomic conditions comparable to today’s several times in the past and therefore, we will not be set aside in favor of any tempting shorter term investment style timing efforts.
Average Annual Return for the period ended September 30, 2017
1 Year | Since Inception† | |||||||||
AllianzGI Best Styles Global Managed Volatility Portfolio | 15.41 | % | 14.24 | % | ||||||
MSCI ACWI Minimum Volatility Index †† | 9.30 | % | 9.54 | % |
† The Portfolio began operations on April 11, 2016. Benchmark return comparisons began on the portfolio inception date.
†† The MSCI ACWI Minimum Volatility Index aims to reflect the performance characteristics of a minimum variance strategy applied to large and mid cap equities across Developed Markets and Emerging Markets countries. The index is calculated by optimizing the MSCI ACWI Index, its parent index, for the lowest absolute risk (within a given set of constraints). Historically, the index has shown lower beta and volatility characteristics relative to the MSCI ACWI Index.
Performance quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value will fluctuate. Shares may be worth more or less than original cost when redeemed. Returns do not reflect deduction of taxes that a shareholder would pay on portfolio distributions or redemption of portfolio shares. Total return performance assumes that all dividends and capital gain distributions were reinvested on the payable date. The Portfolio’s gross expense ratio is 0.95%. This ratio does not include an expense reduction, contractually agreed to through January 31, 2018. The Portfolio’s expense ratio net of this reduction is 0.45%. Expense ratio information is as of the Portfolio’s current PPM dated February 1, 2017.
4 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Best Styles Global Managed Volatility Portfolio
(unaudited) (continued)
Country Allocation (as of September 30, 2017) |
| Cumulative Returns through September 30, 2017
| ||||||||
United States | 50.5% |
(in thousands) | ||||||||
Japan | 13.4% | |||||||||
Taiwan | 5.5% | |||||||||
Canada | 3.4% | |||||||||
France | 3.0% | |||||||||
Switzerland | 2.5% | |||||||||
United Kingdom | 2.2% | |||||||||
Hong Kong | 2.1% | |||||||||
Other | 15.8% | |||||||||
Cash & Equivalents — Net | 1.6% | |||||||||
Shareholder Expense Example
| Actual Performance
| ||||
Beginning Account Value (4/1/17) | $ | 1,000.00 | |||
Ending Account Value (9/30/17) | $ | 1,086.40 | |||
Expenses Paid During Period | $ | 2.35 | |||
Hypothetical Performance
| |||||
(5% return before expenses) | |||||
Beginning Account Value (4/1/17) | $ | 1,000.00 | |||
Ending Account Value (9/30/17) | $ | 1,022.81 | |||
Expenses Paid During Period | $ | 2.28 |
Expenses (net of reimbursement, if any) are equal to the annualized expense ratio (0.45%), multiplied by the average account value over the period, multiplied by 183/365.
5 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Global Small-Cap Opportunities Portfolio
(unaudited)
For the period of October 1, 2016 through September 30, 2017, as provided by Kunal Ghosh, Portfolio Manager.
Portfolio Insights
Performance Overview
For the twelve-month period ended September 30, 2017, the AllianzGI Global Small-Cap Opportunities Portfolio (the “Portfolio”) returned 30.06%, outperforming the MSCI All Country World Small-Cap Index (the “benchmark”), which returned 19.23%.
Market Overview
During the twelve-month period, the benchmark’s performance was decidedly positive, advancing in 11 of 12 months thanks to positive earnings growth and a favorable macroeconomic environment.
Initially, the benchmark posted a loss in October amid election uncertainty in the United States. Donald Trump’s surprise Presidential victory in the November 2016 presidential election raised hopes that his pro-growth policies would boost global profits, outweighing fears of greater protectionism, which was the beginning of the positive performance streak. The benchmark advanced in the low-single-digits for each of the remaining 10 months during the twelve-month period, as investors were consistently rewarded for the asset class exposure. In particular, higher earnings growth expectations and robust global demand helped drive the positive sentiment. Emerging market small-cap equities initially trailed their developed market counterparts at the beginning of the twelve-month period, but managed to lead performance in the latter half of the annual period in light of a more favorable growth and valuation mix.
Country results were primarily higher with 40 of 47 countries in the benchmark advancing. Small-cap emerging market equities were among the top performers, led by a 66% gain in Greece, followed by greater than 50% advances in the Czech Republic, Brazil and Poland. The United States, which accounts for over half of the benchmark, was up 19.7% for the reporting period. Meanwhile, Qatar declined 20% as investors sold shares and new benchmark addition, Pakistan, declined 18.7%. Sector results were mostly higher, with 10 of 11 sectors advancing. Financials, information technology and industrials were each up north of 27%, while energy was the only sector with negative returns, posting a 5.2% decline during the reporting period.
Portfolio Review
The Portfolio’s performance compared to the benchmark was due to significant bottom-up stockpicking at both a country and sector level.
During the twelve-month period, bottom-up stock selection in the energy sector contributed meaningfully, as did stockpicking in information technology, real estate and industrials. Meanwhile, only two sectors detracted from results, including more conservative stock selection in health care and the combination of a relative underweight and selections in financials. From a country standpoint, bottom-up selections in the United States contributed significantly, followed by overweight allocations to Poland and Greece as well as stockpicking in
Singapore. Conversely, a relative underweight to France offset results as did selections in Italy and the United Kingdom.
Outlook
We maintain a favorable viewpoint on global small-cap equities as positive earnings growth and a moderate valuation level are helping drive the turnaround in investor sentiment. We believe the expectation of positive global GDP growth and generally accommodative monetary policies provides a complementary macroeconomic backdrop. Lastly, we believe the greater levels of inefficiencies in both developed and emerging markets small-cap equities bode well for our active approach.
We continue to construct the Portfolio on a bottom-up basis with conviction at the stock level. We believe investment results will be supported by earnings growth and our behavioral finance-focused investment process and focus on higher quality securities with attractive company fundamentals will be a driver of returns for the coming quarters.
Average Annual Total Return for the period ended September 30, 2017
1 Year | Since Inception† | |||||||||
AllianzGI Global Small-Cap Opportunities Portfolio | 30.06 | % | 10.51 | % | ||||||
MSCI All Country World Small-Cap Index †† | 19.23 | % | 7.25 | % |
† The Portfolio began operations on July 23, 2014. Benchmark return comparisons began on the portfolio inception date.
†† The MSCI All Country World Small-Cap Index captures small-cap representation across developed markets and emerging markets countries. The Index covers about 14% of the free float-adjusted market capitalization in each country. Index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an index.
Performance quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value will fluctuate. Shares may be worth more or less than original cost when redeemed. Returns do not reflect deduction of taxes that a shareholder would pay on portfolio distributions or redemption of portfolio shares. Total return performance assumes that all dividends and capital gain distributions were reinvested on the payable date. The Portfolio’s gross expense ratio is 5.48%. This ratio does not include an expense reduction, contractually agreed to through January 31, 2018. The Portfolio’s expense ratio net of this reduction is 1.20%. Expense ratio information is as of the Portfolio’s current PPM dated February 1, 2017.
6 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Global Small-Cap Opportunities Portfolio
(unaudited) (continued)
Country Allocation (as of September 30, 2017) |
| Cumulative Returns through September 30, 2017
| ||||||||
United States | 49.6% |
(in thousands) | ||||||||
Japan | 10.8% | |||||||||
China | 6.4% | |||||||||
Taiwan | 3.5% | |||||||||
Hong Kong | 3.0% | |||||||||
Greece | 2.4% | |||||||||
Italy | 2.2% | |||||||||
Turkey | 2.1% | |||||||||
Other | 20.3% | |||||||||
Cash & Equivalents — Net | -0.3% | |||||||||
Shareholder Expense Example
|
Actual Performance
| ||||
Beginning Account Value (4/1/17) | $ | 1,000.00 | |||
Ending Account Value (9/30/17) | $ | 1,154.40 | |||
Expenses Paid During Period | $ | 6.48 | |||
Hypothetical Performance
| |||||
(5% return before expenses) | |||||
Beginning Account Value (4/1/17) | $ | 1,000.00 | |||
Ending Account Value (9/30/17) | $ | 1,019.05 | |||
Expenses Paid During Period | $ | 6.07 |
Expenses (net of reimbursement, if any) are equal to the annualized expense ratio (1.20%), multiplied by the average account value over the period, multiplied by 183/365.
7 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
Important Information (unaudited)
As of September 30, 2017, AllianzGI Institutional Multi-Series Trust (the “Trust”) consisted of three investment series, AllianzGI Advanced Core Bond Portfolio, AllianzGI Best Styles Global Managed Volatility Portfolio and AllianzGI Global Small-Cap Opportunities Portfolio, (each a “Portfolio” and collectively the “Portfolios”). The Portfolios each currently offer one share class.
The Cumulative Returns charts for each Portfolio assume the initial investment was made on the first day of each Portfolio’s initial fiscal year. Results assume that all dividends and capital gain distributions, if any, were reinvested. They do not take into account the effect of taxes. The benchmark cumulative return began on the last day of the month of each Portfolio’s inception date.
The following disclosure provides important information regarding each Portfolio’s Shareholder Expense Example, which appears on each Portfolio Summary page in this Annual report. Please refer to this information when reviewing the Shareholder Expense Example for each Portfolio.
Shareholder Expense Example
Shareholders incur two types of costs: (1) transaction costs; and (2) ongoing costs, including investment management fees and other Portfolio expenses. The Shareholder Expense Example is intended to help shareholders understand ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Shareholder Expense Example is based on $1,000.00 invested at the beginning of the period, as indicated, and held for the entire period through September 30, 2017.
Actual Expenses
The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the row titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the tables for “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Portfolio’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 the ongoing costs of investing in a Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information for “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs may have been higher.
Proxy Voting
The Portfolios’ Investment Manager has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Trust as the policies and procedures that the Investment Manager will use when voting proxies on behalf of each Portfolio. Copies of the written Proxy Policy and the factors that the Investment Manager may consider in determining how to vote proxies for each Portfolio, and information about how each Portfolio voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling 1-800-498-5413, on the Allianz Global Investors website at us.allianzgi.com and on the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
8 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
Important Information (unaudited) (continued)
Form N-Q
The Trust files complete schedules of each Portfolio’s holdings with the SEC on Form N-Q for the first and third quarters of each fiscal year, which are available on the SEC’s website at http://www.sec.gov. A copy of the Trust’s Form N-Q is available without charge, upon request, by calling 1-800-498-5413. In addition, the Trust’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Credit Ratings
Bond ratings apply to the underlying holdings of a Portfolio and not the Portfolio itself and are divided into categories ranging from highest to lowest credit quality, determined for purposes of presentations in this report by using ratings provided by Moody’s Investors Service, Inc. (“Moody’s”).
Unless otherwise noted, presentations of credit ratings information in this report use ratings provided by Moody’s because of, among other reasons, the access to background information and other materials provided by Moody’s, as well as the Portfolios’ considerations of industry practice.
Bonds not rated by Moody’s or bonds that do not have a rating available are designated as “NR” and “NA”, respectively. Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change periodically, even as frequently as daily. Ratings assigned by Moody’s or another rating agency are not absolute standards of credit quality and do not evaluate market risk. Rating agencies may fail to make timely changes in credit ratings, and an issuer’s current financial condition may be better or worse than a rating indicates. In formulating investment decisions for the applicable Portfolios, Allianz Global Investors U.S. LLC, the Investment Manager to the Portfolios, develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agencies or third-party research.
All the information on the Portfolio Summary pages, including Portfolio Insights, Average Annual Total Return Tables, Cumulative Return Charts, Shareholder Expense Examples and Allocation/Credit Rating Summaries is unaudited.
Allianz Global Investors Distributors LLC, 1633 Broadway, New York, NY, 10019, us.allianzgi.com, 1-800-498-5413.
9 | Annual Report/September 30, 2017 |
Table of Contents
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
CORPORATE BONDS & NOTES - 54.5% | ||||||||
Aerospace & Defense - 0.7% | ||||||||
United Technologies Corp., | ||||||||
1.90%, 5/4/20 | 350 | $ | 349,585 | |||||
1.95%, 11/1/21 | 400 | 394,257 | ||||||
4.15%, 5/15/45 | 200 | 206,308 | ||||||
|
| |||||||
950,150 | ||||||||
|
| |||||||
Agriculture - 1.1% | ||||||||
Altria Group, Inc., | ||||||||
5.375%, 1/31/44 | 300 | 360,848 | ||||||
Philip Morris International, Inc., | ||||||||
2.00%, 2/21/20 | 800 | 801,111 | ||||||
2.375%, 8/17/22 | 400 | 398,437 | ||||||
|
| |||||||
1,560,396 | ||||||||
|
| |||||||
Auto Manufacturers - 4.4% | ||||||||
American Honda Finance Corp., | ||||||||
1.95%, 7/20/20 | 500 | 500,220 | ||||||
2.00%, 2/14/20 | 800 | 801,487 | ||||||
Daimler Finance North America LLC (a)(b), | ||||||||
2.00%, 7/6/21 | 500 | 492,535 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2.681%, 1/9/20 | 850 | 857,817 | ||||||
2.979%, 8/3/22 | 400 | 400,138 | ||||||
General Motors Co., | ||||||||
5.15%, 4/1/38 | 200 | 205,606 | ||||||
General Motors Financial Co., Inc., | ||||||||
2.35%, 10/4/19 | 350 | 351,298 | ||||||
2.65%, 4/13/20 | 350 | 352,932 | ||||||
3.95%, 4/13/24 | 300 | 307,574 | ||||||
PACCAR Financial Corp., | ||||||||
1.65%, 8/11/21 | 500 | 488,984 | ||||||
2.30%, 8/10/22 | 500 | 499,380 | ||||||
Toyota Motor Credit Corp., | ||||||||
1.70%, 2/19/19 | 300 | 299,934 | ||||||
1.95%, 4/17/20 | 800 | 800,453 | ||||||
|
| |||||||
6,358,358 | ||||||||
|
| |||||||
Banks - 20.8% | ||||||||
Banco Bilbao Vizcaya Argentaria S.A., | ||||||||
3.00%, 10/20/20 | 1,000 | 1,020,294 | ||||||
Bank Nederlandse Gemeenten NV (a)(b), | ||||||||
1.625%, 4/19/21 | 800 | 790,772 | ||||||
2.375%, 3/16/26 | 500 | 491,884 | ||||||
Bank of America Corp., | ||||||||
2.65%, 4/1/19, Ser. L | 800 | 807,421 | ||||||
4.00%, 4/1/24 | 400 | 422,814 | ||||||
5.625%, 7/1/20 | 600 | 653,621 | ||||||
Bank of Montreal, | ||||||||
2.10%, 6/15/20 | 850 | 852,145 | ||||||
2.375%, 1/25/19 | 300 | 302,298 | ||||||
Bank of New York Mellon Corp., | ||||||||
2.60%, 2/7/22 | 800 | 808,229 | ||||||
Bank of Nova Scotia, | ||||||||
1.875%, 4/26/21 | 700 | 691,616 | ||||||
2.15%, 7/14/20 | 850 | 852,495 | ||||||
2.80%, 7/21/21 | 300 | 305,675 | ||||||
Barclays PLC, | ||||||||
2.75%, 11/8/19 | 850 | 859,605 | ||||||
4.375%, 1/12/26 | 550 | 574,989 | ||||||
Citigroup, Inc., | ||||||||
8.125%, 7/15/39 | 300 | 475,783 | ||||||
Commonwealth Bank of Australia (a)(b), | ||||||||
2.85%, 5/18/26 | 500 | 490,208 | ||||||
Credit Suisse AG, | ||||||||
2.30%, 5/28/19 | 850 | 855,872 | ||||||
Deutsche Bank AG, | ||||||||
2.85%, 5/10/19 | 850 | 858,737 | ||||||
3.375%, 5/12/21 | 400 | 407,748 |
See accompanying Notes to Financial Statements | 10 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
Dexia Credit Local S.A. (a)(b), | ||||||||
1.875%, 3/28/19 | 400 | $ | 399,582 | |||||
Fifth Third Bancorp, | ||||||||
2.60%, 6/15/22 | 400 | 400,063 | ||||||
Goldman Sachs Group, Inc., | ||||||||
2.375%, 1/22/18, Ser. GLOB | 500 | 501,214 | ||||||
2.55%, 10/23/19 | 500 | 505,905 | ||||||
6.00%, 6/15/20, Ser. D | 400 | 439,330 | ||||||
JPMorgan Chase & Co., | ||||||||
3.625%, 5/13/24 | 450 | 469,569 | ||||||
4.40%, 7/22/20 | 800 | 849,833 | ||||||
5.40%, 1/6/42 | 250 | 304,760 | ||||||
6.30%, 4/23/19 | 500 | 533,608 | ||||||
KFW, | ||||||||
1.125%, 8/6/18 | 650 | 648,170 | ||||||
1.25%, 9/30/19 | 800 | 793,646 | ||||||
1.50%, 4/20/20 | 1,200 | 1,193,341 | ||||||
Macquarie Bank Ltd. (a)(b), | ||||||||
2.35%, 1/15/19 | 300 | 301,281 | ||||||
3.90%, 1/15/26 | 700 | 729,283 | ||||||
Morgan Stanley, | ||||||||
2.50%, 1/24/19 | 600 | 605,159 | ||||||
2.50%, 4/21/21 | 500 | 501,759 | ||||||
2.80%, 6/16/20 | 850 | 864,585 | ||||||
4.375%, 1/22/47 | 200 | 213,323 | ||||||
National Australia Bank Ltd., | ||||||||
2.625%, 1/14/21 | 200 | 201,152 | ||||||
Royal Bank of Canada, | ||||||||
2.125%, 3/2/20 | 800 | 803,647 | ||||||
2.30%, 3/22/21 | 700 | 702,594 | ||||||
Santander UK PLC, | ||||||||
4.00%, 3/13/24 | 400 | 422,405 | ||||||
State Street Corp., | ||||||||
2.55%, 8/18/20 | 850 | 864,928 | ||||||
Svenska Handelsbanken AB, | ||||||||
2.50%, 1/25/19 | 500 | 504,570 | ||||||
Swedbank AB, | ||||||||
1.75%, 3/12/18 | 400 | 400,194 | ||||||
Toronto-Dominion Bank, | ||||||||
1.80%, 7/13/21 | 400 | 393,989 | ||||||
UBS AG, | ||||||||
2.375%, 8/14/19 | 550 | 554,740 | ||||||
Wells Fargo & Co., | ||||||||
2.125%, 4/22/19 | 350 | 351,971 | ||||||
2.50%, 3/4/21 | 600 | 604,278 | ||||||
3.45%, 2/13/23 | 400 | 410,014 | ||||||
Westpac Banking Corp., | ||||||||
2.00%, 3/3/20 | 350 | 349,703 | ||||||
2.85%, 5/13/26 | 800 | 782,599 | ||||||
|
| |||||||
30,123,401 | ||||||||
|
| |||||||
Biotechnology - 0.6% | ||||||||
Amgen, Inc., | ||||||||
2.25%, 8/19/23 | 500 | 486,385 | ||||||
Gilead Sciences, Inc., | ||||||||
1.85%, 9/20/19 | 400 | 400,427 | ||||||
|
| |||||||
886,812 | ||||||||
|
| |||||||
Chemicals - 0.9% | ||||||||
Dow Chemical Co., | ||||||||
7.375%, 11/1/29 | 300 | 400,542 | ||||||
Potash Corp. of Saskatchewan, Inc., | ||||||||
4.00%, 12/15/26 | 500 | 522,229 | ||||||
WPP Finance 2010, | ||||||||
4.75%, 11/21/21 | 300 | 323,313 | ||||||
|
| |||||||
1,246,084 | ||||||||
|
| |||||||
Commercial Services - 0.3% | ||||||||
Ecolab, Inc., | ||||||||
2.375%, 8/10/22 | 500 | 499,865 | ||||||
|
|
See accompanying Notes to Financial Statements | 11 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
Consumer Products - 0.9% | ||||||||
Colgate-Palmolive Co., | ||||||||
3.70%, 8/1/47 | 500 | $ | 493,898 | |||||
Unilever Capital Corp., | ||||||||
1.80%, 5/5/20 | 850 | 849,403 | ||||||
|
| |||||||
1,343,301 | ||||||||
|
| |||||||
Electric Utilities - 1.5% | ||||||||
Consolidated Edison Co. of New York, Inc., Ser. 12-A, | ||||||||
4.20%, 3/15/42 | 200 | 212,595 | ||||||
Electricite de France S.A. (a)(b), | ||||||||
2.15%, 1/22/19 | 300 | 301,202 | ||||||
4.875%, 1/22/44 | 300 | 318,464 | ||||||
Enel Finance International NV, | ||||||||
6.80%, 9/15/37 | 150 | 198,315 | ||||||
Georgia Power Co., Ser. C, | ||||||||
2.00%, 9/8/20 | 500 | 498,657 | ||||||
Pacific Gas & Electric Co., | ||||||||
4.00%, 12/1/46 | 300 | 315,049 | ||||||
8.25%, 10/15/18 | 300 | 319,435 | ||||||
|
| |||||||
2,163,717 | ||||||||
|
| |||||||
Electronics - 0.8% | ||||||||
Honeywell International, Inc., | ||||||||
1.85%, 11/1/21 | 400 | 395,304 | ||||||
Tyco Electronics Group S.A., | ||||||||
3.125%, 8/15/27 | 500 | 499,447 | ||||||
3.45%, 8/1/24 | 300 | 310,493 | ||||||
|
| |||||||
1,205,244 | ||||||||
|
| |||||||
Food & Beverage - 3.0% | ||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||
2.65%, 2/1/21 | 500 | 508,391 | ||||||
4.90%, 2/1/46 | 150 | 171,395 | ||||||
Coca-Cola Co., | ||||||||
1.375%, 5/30/19 | 850 | 847,367 | ||||||
Diageo Capital PLC, | ||||||||
3.875%, 4/29/43 | 250 | 254,884 | ||||||
Dr. Pepper Snapple Group, Inc., | ||||||||
4.42%, 12/15/46 | 300 | 315,988 | ||||||
Kraft Heinz Foods Co., | ||||||||
5.375%, 2/10/20 | 400 | 429,230 | ||||||
Kroger Co., | ||||||||
3.70%, 8/1/27 | 500 | 495,675 | ||||||
4.65%, 1/15/48 | 200 | 194,192 | ||||||
PepsiCo, Inc., | ||||||||
1.55%, 5/2/19 | 350 | 349,751 | ||||||
2.15%, 10/14/20 | 300 | 302,517 | ||||||
Sysco Corp., | ||||||||
3.25%, 7/15/27 | 500 | 499,259 | ||||||
|
| |||||||
4,368,649 | ||||||||
|
| |||||||
Healthcare-Products - 0.4% | ||||||||
Abbott Laboratories, | ||||||||
2.35%, 11/22/19 | 350 | 352,988 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
4.10%, 8/15/47 | 200 | 201,255 | ||||||
|
| |||||||
554,243 | ||||||||
|
| |||||||
Household Products - 0.3% | ||||||||
Procter & Gamble Co., | ||||||||
2.45%, 11/3/26 | 400 | 387,351 | ||||||
|
| |||||||
Insurance - 0.8% | ||||||||
Allstate Corp., | ||||||||
3.28%, 12/15/26 | 500 | 509,830 | ||||||
MetLife, Inc., | ||||||||
5.70%, 6/15/35 | 550 | 680,269 | ||||||
|
| |||||||
1,190,099 | ||||||||
|
|
See accompanying Notes to Financial Statements | 12 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
Internet - 0.3% | ||||||||
Priceline Group, Inc., | ||||||||
3.55%, 3/15/28 | 500 | $ | 501,232 | |||||
|
| |||||||
IT Services - 0.5% | ||||||||
International Business Machines Corp., | ||||||||
1.80%, 5/17/19 | 300 | 301,111 | ||||||
1.90%, 1/27/20 | 350 | 350,513 | ||||||
|
| |||||||
651,624 | ||||||||
|
| |||||||
Machinery-Construction & Mining - 0.9% | ||||||||
Caterpillar Financial Services Corp., | ||||||||
2.10%, 1/10/20 | 850 | 854,407 | ||||||
2.40%, 8/9/26 | 400 | 383,871 | ||||||
|
| |||||||
1,238,278 | ||||||||
|
| |||||||
Machinery-Diversified - 1.5% | ||||||||
CNH Industrial Capital LLC, | ||||||||
4.875%, 4/1/21 | 500 | 532,500 | ||||||
John Deere Capital Corp., | ||||||||
1.95%, 6/22/20 | 650 | 650,797 | ||||||
2.65%, 6/24/24 | 500 | 497,934 | ||||||
2.80%, 3/6/23 | 500 | 508,307 | ||||||
|
| |||||||
2,189,538 | ||||||||
|
| |||||||
Media - 1.6% | ||||||||
CBS Corp., | ||||||||
2.30%, 8/15/19 | 400 | 402,316 | ||||||
Comcast Corp., | ||||||||
6.45%, 3/15/37 | 300 | 401,654 | ||||||
Discovery Communications LLC, | ||||||||
3.80%, 3/13/24 | 500 | 515,866 | ||||||
6.35%, 6/1/40 | 150 | 174,072 | ||||||
Time Warner Cable LLC, | ||||||||
6.75%, 6/15/39 | 300 | 360,895 | ||||||
Time Warner, Inc., | ||||||||
4.875%, 3/15/20 | 300 | 319,467 | ||||||
Walt Disney Co., | ||||||||
2.45%, 3/4/22 | 150 | 151,806 | ||||||
|
| |||||||
2,326,076 | ||||||||
|
| |||||||
Miscellaneous Manufacturing - 0.5% | ||||||||
General Electric Co., | ||||||||
5.50%, 1/8/20 | 400 | 431,691 | ||||||
Siemens Financieringsmaatschappij NV (a)(b), | ||||||||
4.40%, 5/27/45 | 300 | 327,115 | ||||||
|
| |||||||
758,806 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 4.1% | ||||||||
BP Capital Markets PLC, | ||||||||
1.768%, 9/19/19 | 700 | 700,404 | ||||||
2.237%, 5/10/19 | 850 | 856,348 | ||||||
2.315%, 2/13/20 | 800 | 807,163 | ||||||
3.723%, 11/28/28 | 400 | 412,518 | ||||||
CNOOC Nexen Finance 2014 ULC, | ||||||||
4.25%, 4/30/24 | 300 | 319,767 | ||||||
Occidental Petroleum Corp., | ||||||||
3.00%, 2/15/27 | 500 | 492,638 | ||||||
Shell International Finance BV, | ||||||||
2.125%, 5/11/20 | 850 | 856,737 | ||||||
6.375%, 12/15/38 | 150 | 203,647 | ||||||
Sinopec Group Overseas Development 2016 Ltd. (a)(b), | ||||||||
2.125%, 5/3/19 | 200 | 199,653 | ||||||
Statoil ASA, | ||||||||
2.65%, 1/15/24 | 400 | 396,231 | ||||||
2.90%, 11/8/20 | 400 | 409,556 | ||||||
Total Capital International S.A., | ||||||||
2.10%, 6/19/19 | 350 | 352,729 | ||||||
|
| |||||||
6,007,391 | ||||||||
|
|
See accompanying Notes to Financial Statements | 13 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
Paper & Forest Products - 0.2% | ||||||||
International Paper Co., | ||||||||
4.35%, 8/15/48 | 350 | $ | 355,177 | |||||
|
| |||||||
Pharmaceuticals - 2.4% | ||||||||
AstraZeneca PLC, | ||||||||
1.95%, 9/18/19 | 400 | 400,109 | ||||||
Bristol-Myers Squibb Co., | ||||||||
1.60%, 2/27/19 | 850 | 849,651 | ||||||
Johnson & Johnson, | ||||||||
4.375%, 12/5/33 | 250 | 285,122 | ||||||
Merck & Co., Inc., | ||||||||
1.85%, 2/10/20 | 850 | 851,234 | ||||||
Novartis Capital Corp., | ||||||||
1.80%, 2/14/20 | 800 | 800,623 | ||||||
Pfizer, Inc., | ||||||||
1.70%, 12/15/19 | 350 | 349,879 | ||||||
|
| |||||||
3,536,618 | ||||||||
|
| |||||||
Pipelines - 0.6% | ||||||||
Enterprise Products Operating LLC, | ||||||||
4.85%, 3/15/44 | 100 | 107,714 | ||||||
Kinder Morgan, Inc., | ||||||||
3.15%, 1/15/23 | 350 | 352,043 | ||||||
TransCanada PipeLines Ltd., | ||||||||
7.125%, 1/15/19 | 350 | 372,994 | ||||||
|
| |||||||
832,751 | ||||||||
|
| |||||||
Retail - 1.0% | ||||||||
Macy’s Retail Holdings, Inc., | ||||||||
4.50%, 12/15/34 | 300 | 258,793 | ||||||
McDonald’s Corp., | ||||||||
4.875%, 12/9/45 | 200 | 225,816 | ||||||
Target Corp., | ||||||||
2.30%, 6/26/19 | 350 | 353,565 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
2.70%, 11/18/19 | 300 | 304,210 | ||||||
4.50%, 11/18/34 | 300 | 313,503 | ||||||
|
| |||||||
1,455,887 | ||||||||
|
| |||||||
Software - 0.3% | ||||||||
Microsoft Corp., | ||||||||
3.30%, 2/6/27 | 400 | 415,088 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 1.0% | ||||||||
Apple, Inc., | ||||||||
1.90%, 2/7/20 | 350 | 351,273 | ||||||
2.25%, 2/23/21 | 500 | 504,155 | ||||||
3.35%, 2/9/27 | 300 | 309,103 | ||||||
4.65%, 2/23/46 | 300 | 341,406 | ||||||
|
| |||||||
1,505,937 | ||||||||
|
| |||||||
Telecommunications - 2.6% | ||||||||
AT&T, Inc., | ||||||||
4.25%, 3/1/27 | 300 | 308,791 | ||||||
4.80%, 6/15/44 | 700 | 683,178 | ||||||
5.15%, 2/14/50 | 500 | 505,802 | ||||||
Cisco Systems, Inc., | ||||||||
2.45%, 6/15/20 | 700 | 711,642 | ||||||
5.50%, 1/15/40 | 250 | 313,065 | ||||||
Orange S.A., | ||||||||
1.625%, 11/3/19 | 850 | 844,510 | ||||||
Telefonica Emisiones SAU, | ||||||||
4.103%, 3/8/27 | 400 | 414,480 | ||||||
|
| |||||||
3,781,468 | ||||||||
|
| |||||||
Transportation - 0.5% | ||||||||
CSX Corp., | ||||||||
2.60%, 11/1/26 | 400 | 382,501 |
See accompanying Notes to Financial Statements | 14 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
FedEx Corp., | ||||||||
4.10%, 4/15/43 | 300 | $ | 300,295 | |||||
|
| |||||||
682,796 | ||||||||
|
| |||||||
Total Corporate Bonds & Notes (cost-$78,397,680) | 79,076,337 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS - 29.8% | ||||||||
U.S. Treasury Bonds, | ||||||||
2.25%, 8/15/46 | 1,900 | 1,669,552 | ||||||
2.50%, 2/15/45 | 670 | 624,670 | ||||||
3.125%, 2/15/42 | 1,305 | 1,379,757 | ||||||
3.125%, 2/15/43 | 800 | 843,734 | ||||||
3.50%, 2/15/39 | 1,550 | 1,749,623 | ||||||
4.75%, 2/15/37 | 200 | 265,523 | ||||||
4.75%, 2/15/41 | 1,260 | 1,692,264 | ||||||
5.50%, 8/15/28 | 400 | 520,820 | ||||||
6.00%, 2/15/26 | 650 | 837,154 | ||||||
U.S. Treasury Notes, | ||||||||
0.75%, 9/30/18 | 3,100 | 3,081,533 | ||||||
1.125%, 9/30/21 | 1,000 | 973,438 | ||||||
1.25%, 10/31/18 (d) | 6,560 | 6,550,903 | ||||||
1.375%, 3/31/20 | 400 | 398,133 | ||||||
1.50%, 12/31/18 | 2,335 | 2,337,828 | ||||||
1.50%, 8/15/26 | 1,000 | 936,016 | ||||||
1.625%, 5/15/26 | 350 | 331,892 | ||||||
1.75%, 10/31/20 | 1,530 | 1,534,632 | ||||||
1.75%, 3/31/22 | 770 | 765,518 | ||||||
1.75%, 1/31/23 | 5,790 | 5,718,530 | ||||||
1.875%, 10/31/22 | 1,620 | 1,614,052 | ||||||
2.00%, 11/15/26 | 2,000 | 1,948,477 | ||||||
2.125%, 1/31/21 | 2,240 | 2,271,019 | ||||||
2.125%, 6/30/22 | 800 | 807,500 | ||||||
2.125%, 3/31/24 | 700 | 699,945 | ||||||
2.125%, 5/15/25 | 2,000 | 1,986,758 | ||||||
2.25%, 3/31/21 | 1,630 | 1,658,811 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (cost-$43,589,934) | 43,198,082 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY SECURITIES - 27.8% | ||||||||
Fannie Mae, MBS, TBA (c), | ||||||||
2.50%, 10/17/32, 15 Year | 1,190 | 1,197,949 | ||||||
3.00%, 10/17/32, 15 Year | 1,330 | 1,366,315 | ||||||
3.00%, 10/12/47, 30 Year | 3,750 | 3,760,547 | ||||||
3.50%, 10/17/32, 15 Year | 930 | 968,336 | ||||||
3.50%, 10/12/47, 30 Year | 4,280 | 4,410,908 | ||||||
4.00%, 10/12/47, 30 Year | 2,940 | 3,094,580 | ||||||
4.50%, 10/12/47, 30 Year | 1,160 | 1,244,870 | ||||||
5.00%, 10/12/47, 30 Year | 1,150 | 1,254,481 | ||||||
Freddie Mac, | ||||||||
2.50%, 10/17/32 MBS, TBA, 15 Year (c) | 880 | 886,136 | ||||||
3.00%, 10/17/32 MBS, TBA, 15 Year (c) | 900 | 924,780 | ||||||
3.00%, 10/12/47 MBS, TBA, 30 Year (c) | 2,550 | 2,557,969 | ||||||
3.50%, 10/17/32 MBS, TBA, 15 Year (c) | 500 | 522,227 | ||||||
3.50%, 10/12/47 MBS, TBA, 30 Year (c) | 2,800 | 2,887,391 | ||||||
4.00%, 8/1/44 | 142 | 149,498 | ||||||
4.00%, 10/12/47 MBS, TBA, 30 Year (c) | 1,680 | 1,768,462 | ||||||
4.50%, 10/12/47 MBS, TBA, 30 Year (c) | 680 | 728,981 | ||||||
5.00%, 10/12/47 MBS, TBA, 30 Year (c) | 710 | 771,448 | ||||||
Ginnie Mae, MBS, TBA, 30 Year (c), | ||||||||
3.00%, 10/23/47 | 3,480 | 3,527,578 | ||||||
3.50%, 10/23/47 | 4,300 | 4,469,313 | ||||||
4.00%, 10/23/47 | 2,030 | 2,137,606 | ||||||
4.50%, 10/23/47 | 1,600 | 1,705,687 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (cost-$40,506,050) | 40,335,062 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS - 13.3% | ||||||||
Argentina - 0.2% | ||||||||
Argentine Republic Government International Bond, | ||||||||
6.25%, 4/22/19 | 250 | 263,750 | ||||||
|
|
See accompanying Notes to Financial Statements | 15 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
Brazil - 0.2% | ||||||||
Brazilian Government International Bond, | ||||||||
4.25%, 1/7/25 | 300 | $ | 303,375 | |||||
|
| |||||||
Canada - 0.8% | ||||||||
Export Development Canada, | ||||||||
1.25%, 12/10/18 | 350 | 348,179 | ||||||
Province of Alberta Canada, | ||||||||
1.90%, 12/6/19 | 350 | 350,029 | ||||||
Province of New Brunswick Canada, | ||||||||
2.75%, 6/15/18 | 500 | 504,154 | ||||||
|
| |||||||
1,202,362 | ||||||||
|
| |||||||
Chile - 0.4% | ||||||||
Chile Government International Bond, | ||||||||
3.25%, 9/14/21 | 400 | 417,512 | ||||||
3.86%, 6/21/47 | 200 | 204,375 | ||||||
|
| |||||||
621,887 | ||||||||
|
| |||||||
Colombia - 0.5% | ||||||||
Colombia Government International Bond, | ||||||||
4.00%, 2/26/24 | 400 | 417,300 | ||||||
5.00%, 6/15/45 | 300 | 309,375 | ||||||
|
| |||||||
726,675 | ||||||||
|
| |||||||
Croatia - 0.4% | ||||||||
Croatia Government International Bond, | ||||||||
6.75%, 11/5/19 | 500 | 542,335 | ||||||
|
| |||||||
Germany - 0.8% | ||||||||
FMS Wertmanagement AoeR, | ||||||||
1.75%, 1/24/20 | 1,200 | 1,201,284 | ||||||
|
| |||||||
Hungary - 0.4% | ||||||||
Hungary Government International Bond, | ||||||||
4.00%, 3/25/19 | 500 | 516,110 | ||||||
|
| |||||||
Indonesia - 0.9% | ||||||||
Indonesia Government International Bond, | ||||||||
3.75%, 4/25/22 | 550 | 571,746 | ||||||
11.625%, 3/4/19 | 600 | 682,235 | ||||||
|
| |||||||
1,253,981 | ||||||||
|
| |||||||
Japan - 0.4% | ||||||||
Japan Bank for International Cooperation, | ||||||||
2.125%, 7/21/20 | 500 | 501,486 | ||||||
|
| |||||||
Latvia - 0.5% | ||||||||
Latvia Government International Bond, | ||||||||
2.75%, 1/12/20 | 700 | 710,597 | ||||||
|
| |||||||
Lithuania - 0.4% | ||||||||
Lithuania Government International Bond (a)(b), | ||||||||
7.375%, 2/11/20 | 500 | 561,789 | ||||||
|
| |||||||
Mexico - 0.2% | ||||||||
Mexico Government International Bond, | ||||||||
4.75%, 3/8/44 | 200 | 206,600 | ||||||
|
| |||||||
Morocco - 0.4% | ||||||||
Morocco Government International Bond, | ||||||||
4.25%, 12/11/22 | 550 | 584,828 | ||||||
|
| |||||||
Panama - 0.5% | ||||||||
Panama Government International Bond, | ||||||||
7.125%, 1/29/26 | 550 | 713,075 | ||||||
|
| |||||||
Peru - 0.6% | ||||||||
Peruvian Government International Bond, | ||||||||
4.125%, 8/25/27 | 300 | 331,500 | ||||||
7.125%, 3/30/19 | 500 | 542,750 | ||||||
|
| |||||||
874,250 | ||||||||
|
|
See accompanying Notes to Financial Statements | 16 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Principal Amount (000s) | Value | |||||||
| ||||||||
Philippines - 0.2% | ||||||||
Philippine Government International Bond, | ||||||||
6.50%, 1/20/20 | 300 | $ | 331,879 | |||||
|
| |||||||
South Africa - 0.2% | ||||||||
Republic of South Africa Government International Bond, | ||||||||
4.875%, 4/14/26 | 290 | 293,050 | ||||||
|
| |||||||
Supranational - 4.5% | ||||||||
African Development Bank, | ||||||||
1.375%, 12/17/18 | 1,000 | 997,852 | ||||||
Asian Development Bank, | ||||||||
1.375%, 1/15/19 | 200 | 199,533 | ||||||
1.625%, 3/16/21 | 700 | 694,201 | ||||||
Corp. Andina de Fomento, | ||||||||
2.00%, 5/10/19 | 300 | 300,149 | ||||||
2.20%, 7/18/20 | 850 | 852,669 | ||||||
Council of Europe Development Bank, | ||||||||
1.00%, 2/4/19 | 1,000 | 992,051 | ||||||
European Investment Bank, | ||||||||
2.875%, 9/15/20 | 400 | 412,136 | ||||||
Inter-American Development Bank, | ||||||||
3.20%, 8/7/42 | 400 | 397,858 | ||||||
International Bank for Reconstruction & Development, | ||||||||
1.875%, 10/7/19 | 500 | 502,255 | ||||||
International Finance Corp., | ||||||||
1.75%, 9/16/19 | 1,200 | 1,203,025 | ||||||
|
| |||||||
6,551,729 | ||||||||
|
| |||||||
Sweden - 0.2% | ||||||||
Svensk Exportkredit AB, | ||||||||
1.75%, 5/18/20 | 350 | 349,054 | ||||||
|
| |||||||
Turkey - 0.6% | ||||||||
Turkey Government International Bond, | ||||||||
4.875%, 10/9/26 | 300 | 298,639 | ||||||
6.75%, 4/3/18 | 600 | 613,080 | ||||||
|
| |||||||
911,719 | ||||||||
|
| |||||||
Total Sovereign Debt Obligations (cost-$18,993,886) | 19,221,815 | |||||||
|
| |||||||
Repurchase Agreements - 0.6% | ||||||||
State Street Bank and Trust Co., | 846 | 846,000 | ||||||
|
| |||||||
Total Investments (cost-$182,333,550)-126.0% | 182,677,296 | |||||||
|
| |||||||
Liabilities in excess of other assets (e)-(26.0)% | (37,722,758) | |||||||
|
| |||||||
Net Assets-100.0% | $ | 144,954,538 | ||||||
|
|
See accompanying Notes to Financial Statements | 17 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Advanced Core Bond Portfolio
Notes to Schedule of Investments:
(a) | Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $5,403,768, representing 3.7% of net assets. |
(b) | 144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Securities with an aggregate value of $5,403,768, representing 3.7% of net assets. |
(c) | When-issued or delayed-delivery. To be settled/delivered after September 30, 2017. |
(d) | All or partial amount segregated for the benefit of the counterparty as collateral for when-issued or delayed delivery securities. |
(e) | Includes net unrealized appreciation (depreciation) of other financial instruments as follows: |
Futures contracts outstanding at September 30, 2017:
Type | Contracts | Expiration Date | Notional Amount (000s) | Market Value (000s) | Unrealized Appreciation | |||||||||||||||
Short position contracts: | ||||||||||||||||||||
2-Year U.S. Treasury Note | (188 | ) | 12/29/17 | $ | (37,600) | $ | (40,552) | $ | 115,250 |
(f) | At September 30, 2017, the Fund pledged $263,557 in cash as collateral for futures. |
Glossary:
MBS - Mortgage-Backed Securities
TBA - To Be Announced
See accompanying Notes to Financial Statements | 18 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
COMMON STOCK - 98.4% | ||||||||
Australia - 1.6% | ||||||||
Automotive Holdings Group Ltd. | 10,818 | $ | 28,231 | |||||
Breville Group Ltd. | 3,781 | 33,627 | ||||||
Brickworks Ltd. | 5,800 | 61,556 | ||||||
Cochlear Ltd. | 1,541 | 192,755 | ||||||
Harvey Norman Holdings Ltd. | 36,664 | 111,834 | ||||||
Regis Resources Ltd. | 34,827 | 98,236 | ||||||
Saracen Mineral Holdings Ltd. (e) | 36,737 | 37,830 | ||||||
St. Barbara Ltd. | 44,961 | 92,651 | ||||||
Tassal Group Ltd. | 10,892 | 32,946 | ||||||
Wesfarmers Ltd. | 7,076 | 229,712 | ||||||
|
| |||||||
919,378 | ||||||||
|
| |||||||
Austria - 0.3% | ||||||||
BUWOG AG (e) | 2,405 | 72,085 | ||||||
Flughafen Wien AG | 961 | 37,481 | ||||||
Telekom Austria AG | 6,385 | 57,924 | ||||||
|
| |||||||
167,490 | ||||||||
|
| |||||||
Belgium - 0.4% | ||||||||
Elia System Operator S.A. | 999 | 57,870 | ||||||
Groupe Bruxelles Lambert S.A. | 1,689 | 177,788 | ||||||
|
| |||||||
235,658 | ||||||||
|
| |||||||
Brazil - 0.0% | ||||||||
Linx S.A. | 3,300 | 20,381 | ||||||
|
| |||||||
Canada - 3.4% | ||||||||
AG Growth International, Inc. | 926 | 39,519 | ||||||
Bank of Montreal | 1,571 | 118,894 | ||||||
BCE, Inc. | 7,132 | 334,151 | ||||||
Canadian Imperial Bank of Commerce | 2,043 | 178,749 | ||||||
Canadian Real Estate Investment Trust REIT | 1,237 | 45,732 | ||||||
Canadian Tire Corp., Ltd., Class A | 1,237 | 154,002 | ||||||
Cascades, Inc. | 4,131 | 49,529 | ||||||
Cogeco Communications, Inc. | 1,783 | 131,494 | ||||||
Dorel Industries, Inc., Class B | 834 | 19,958 | ||||||
George Weston Ltd. | 1,801 | 156,825 | ||||||
Great-West Lifeco, Inc. | 3,093 | 89,016 | ||||||
Intact Financial Corp. | 924 | 76,327 | ||||||
Killam Apartment REIT | 2,174 | 22,981 | ||||||
Laurentian Bank of Canada | 1,286 | 62,159 | ||||||
Martinrea International, Inc. | 2,083 | 18,931 | ||||||
NorthWest Healthcare Properties Real Estate Investment Trust REIT | 3,841 | 34,878 | ||||||
Power Corp. of Canada | 5,617 | 142,749 | ||||||
Pure Industrial Real Estate Trust REIT | 20,064 | 102,270 | ||||||
Rogers Sugar, Inc. | 4,478 | 22,682 | ||||||
Saputo, Inc. | 4,422 | 153,064 | ||||||
Transcontinental, Inc., Class A | 2,390 | 49,399 | ||||||
Valener, Inc. | 1,411 | 24,946 | ||||||
|
| |||||||
2,028,255 | ||||||||
|
| |||||||
China - 1.7% | ||||||||
China Construction Bank Corp., Class H | 273,748 | 228,703 | ||||||
China Dongxiang Group Co., Ltd. | 128,883 | 22,499 | ||||||
China Evergrande Group (e) | 29,517 | 103,505 | ||||||
China Mobile Ltd. | 5,000 | 50,760 | ||||||
Jiangsu Expressway Co., Ltd., Class H | 16,811 | 25,817 | ||||||
Longfor Properties Co., Ltd. | 29,155 | 73,712 | ||||||
Orient Securities Co., Ltd., Class H (a) | 62,400 | 65,376 | ||||||
Postal Savings Bank of China Co., Ltd., Class H (a) | 194,000 | 111,719 | ||||||
Shenzhen Expressway Co., Ltd., Class H | 46,300 | 45,022 | ||||||
Tianneng Power International Ltd. | 79,658 | 82,536 | ||||||
Tong Ren Tang Technologies Co., Ltd., Class H | 10,274 | 13,141 | ||||||
Xtep International Holdings Ltd. | 23,349 | 8,053 | ||||||
Yuzhou Properties Co., Ltd. | 264,204 | 142,987 | ||||||
|
| |||||||
973,830 | ||||||||
|
| |||||||
Colombia - 0.0% | ||||||||
Corp. Financiera Colombiana S.A. | 1,034 | 10,098 | ||||||
|
|
See accompanying Notes to Financial Statements | 19 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Czech Republic - 0.0% | ||||||||
O2 Czech Republic AS | 1,324 | $ | 16,262 | |||||
|
| |||||||
Denmark - 0.2% | ||||||||
Matas A/S | 1,323 | 19,374 | ||||||
Solar A/S, Class B | 333 | 20,283 | ||||||
Spar Nord Bank A/S | 3,578 | 44,610 | ||||||
|
| |||||||
84,267 | ||||||||
|
| |||||||
Finland - 0.3% | ||||||||
Neste Oyj | 4,237 | 185,176 | ||||||
|
| |||||||
France - 3.0% | ||||||||
Atos SE | 1,534 | 237,936 | ||||||
Cegereal S.A. REIT | 2,277 | 102,238 | ||||||
Eiffage S.A. | 175 | 18,124 | ||||||
Nexity S.A. (e) | 1,869 | 114,211 | ||||||
SCOR SE | 3,781 | 158,571 | ||||||
SEB S.A. | 1,001 | 183,705 | ||||||
Sodexo S.A. | 1,666 | 207,685 | ||||||
Teleperformance | 1,361 | 203,046 | ||||||
Thales S.A. | 1,957 | 221,631 | ||||||
Vinci S.A. | 3,216 | 305,562 | ||||||
|
| |||||||
1,752,709 | ||||||||
|
| |||||||
Germany - 0.7% | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 216 | 46,230 | ||||||
Rhoen Klinikum AG | 1,973 | 66,512 | ||||||
RTL Group S.A. | 1,555 | 117,798 | ||||||
Talanx AG (e) | 3,095 | 125,221 | ||||||
TLG Immobilien AG | 1,393 | 32,143 | ||||||
WCM Beteiligungs & Grundbesitz AG | 5,562 | 23,922 | ||||||
|
| |||||||
411,826 | ||||||||
|
| |||||||
Hong Kong - 2.1% | ||||||||
CK Hutchison Holdings Ltd. | 3,703 | 47,429 | ||||||
CLP Holdings Ltd. | 61,219 | 628,512 | ||||||
Fairwood Holdings Ltd. | 11,000 | 44,142 | ||||||
Hang Seng Bank Ltd. | 2,600 | 63,564 | ||||||
Link REIT | 14,508 | 117,979 | ||||||
Swire Pacific Ltd., Class A | 11,844 | 115,307 | ||||||
WH Group Ltd. (a) | 201,000 | 214,065 | ||||||
Yue Yuen Industrial Holdings Ltd. | 2,802 | 10,691 | ||||||
|
| |||||||
1,241,689 | ||||||||
|
| |||||||
Hungary - 0.6% | ||||||||
Magyar Telekom Telecommunications PLC | 28,291 | 51,511 | ||||||
MOL Hungarian Oil & Gas PLC | 18,976 | 215,806 | ||||||
Richter Gedeon Nyrt | 4,294 | 106,701 | ||||||
|
| |||||||
374,018 | ||||||||
|
| |||||||
India - 0.2% | ||||||||
Genpact Ltd. | 3,508 | 100,855 | ||||||
|
| |||||||
Indonesia - 0.8% | ||||||||
Telekomunikasi Indonesia Persero Tbk PT | 1,268,800 | 441,262 | ||||||
|
| |||||||
Ireland - 0.1% | ||||||||
Irish Residential Properties REIT PLC | 15,872 | 27,670 | ||||||
Origin Enterprises PLC | 5,430 | 42,742 | ||||||
|
| |||||||
70,412 | ||||||||
|
| |||||||
Israel - 1.1% | ||||||||
Bank Hapoalim BM | 34,258 | 239,725 | ||||||
Bank Leumi Le-Israel BM | 23,092 | 122,723 | ||||||
Elbit Systems Ltd. | 765 | 112,471 | ||||||
Mizrahi Tefahot Bank Ltd. | 7,919 | 142,023 | ||||||
Teva Pharmaceutical Industries Ltd. | 80 | 1,424 | ||||||
|
| |||||||
618,366 | ||||||||
|
|
See accompanying Notes to Financial Statements | 20 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Italy - 0.1% | ||||||||
Fila SpA | 1,621 | $ | 36,133 | |||||
Societa Iniziative Autostradali e Servizi SpA | 1,168 | 18,658 | ||||||
|
| |||||||
54,791 | ||||||||
|
| |||||||
Japan - 13.4% | ||||||||
ADEKA Corp. | 374 | 6,825 | ||||||
Alpen Co., Ltd. | 1,215 | 23,669 | ||||||
ANA Holdings, Inc. | 9,254 | 350,543 | ||||||
Aoyama Trading Co., Ltd. | 3,189 | 114,120 | ||||||
Astellas Pharma, Inc. | 25,008 | 318,290 | ||||||
Bandai Namco Holdings, Inc. | 4,200 | 144,290 | ||||||
BML, Inc. | 1,682 | 36,006 | ||||||
Canon, Inc. | 4,190 | 143,386 | ||||||
Daiichi Sankyo Co., Ltd. | 7,053 | 159,163 | ||||||
DCM Holdings Co., Ltd. | 11,975 | 108,148 | ||||||
Doshisha Co., Ltd. | 1,215 | 27,272 | ||||||
Doutor Nichires Holdings Co., Ltd. | 2,149 | 46,167 | ||||||
DTS Corp. | 1,401 | 38,416 | ||||||
DyDo Group Holdings, Inc. | 974 | 46,395 | ||||||
EDION Corp. | 4,727 | 44,336 | ||||||
Fuji Media Holdings, Inc. | 7,505 | 106,906 | ||||||
Fuji Oil Holdings, Inc. | 5,184 | 135,341 | ||||||
Fuji Soft, Inc. | 1,028 | 30,055 | ||||||
FUJIFILM Holdings Corp. | 6,579 | 255,603 | ||||||
Fukuyama Transporting Co., Ltd. | 1,855 | 58,810 | ||||||
Geo Holdings Corp. | 4,164 | 60,213 | ||||||
Hankyu Hanshin Holdings, Inc. | 3,930 | 149,207 | ||||||
Heiwa Corp. | 4,397 | 87,131 | ||||||
Hogy Medical Co., Ltd. | 561 | 39,832 | ||||||
Honeys Holdings Co., Ltd. | 561 | 6,475 | ||||||
Japan Airlines Co., Ltd. | 7,980 | 270,133 | ||||||
Kagome Co., Ltd. | 4,400 | 138,043 | ||||||
Kajima Corp. | 28,000 | 278,304 | ||||||
KOMEDA Holdings Co., Ltd. | 2,600 | 43,374 | ||||||
Kyowa Exeo Corp. | 7,000 | 139,097 | ||||||
LaSalle Logiport REIT | 68 | 66,302 | ||||||
Mitsubishi Shokuhin Co., Ltd. | 841 | 24,584 | ||||||
Mitsubishi Tanabe Pharma Corp. | 14,814 | 340,085 | ||||||
NEC Networks & System Integration Corp. | 1,235 | 29,505 | ||||||
Nichias Corp. | 5,604 | 69,247 | ||||||
Nifco, Inc. | 654 | 39,958 | ||||||
Nihon Unisys Ltd. | 7,779 | 124,440 | ||||||
Nippon Flour Mills Co., Ltd. | 1,402 | 21,360 | ||||||
Nippon Paper Industries Co., Ltd. | 6,571 | 122,252 | ||||||
NIPPON REIT Investment Corp. | 31 | 89,183 | ||||||
Nippon Telegraph & Telephone Corp. | 6,444 | 295,268 | ||||||
Nisshin Oillio Group Ltd. | 1,308 | 42,920 | ||||||
NTT Data Corp. | 18,785 | 201,019 | ||||||
NTT DOCOMO, Inc. | 25,157 | 575,008 | ||||||
Obayashi Corp. | 9,573 | 114,823 | ||||||
Okamura Corp. | 3,269 | 37,364 | ||||||
Pacific Industrial Co., Ltd. | 576 | 7,689 | ||||||
Prima Meat Packers Ltd. | 6,538 | 44,257 | ||||||
Raito Kogyo Co., Ltd. | 4,537 | 45,121 | ||||||
Recruit Holdings Co., Ltd. | 9,700 | 210,039 | ||||||
Right On Co., Ltd. | 943 | 7,983 | ||||||
S Foods, Inc. | 2,728 | 105,932 | ||||||
Sakata INX Corp. | 2,802 | 51,752 | ||||||
Sanyo Chemical Industries Ltd. | 561 | 32,692 | ||||||
Sawai Pharmaceutical Co., Ltd. | 1,875 | 106,601 | ||||||
Sekisui House Ltd. | 9,700 | 163,500 | ||||||
Senko Group Holdings Co., Ltd. | 5,604 | 39,957 | ||||||
Stella Chemifa Corp. | 3,189 | 136,089 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 9,632 | 125,477 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 700 | 53,189 | ||||||
Takasago Thermal Engineering Co., Ltd. | 1,103 | 18,233 | ||||||
Takeda Pharmaceutical Co., Ltd. | 3,757 | 207,747 | ||||||
Tokyo Electron Ltd. | 1,000 | 153,949 | ||||||
Toppan Printing Co., Ltd. | 16,679 | 165,460 | ||||||
Toray Industries, Inc. | 9,274 | 89,989 | ||||||
Toshiba Plant Systems & Services Corp. | 5,800 | 97,570 | ||||||
Towa Pharmaceutical Co., Ltd. | 262 | 13,243 | ||||||
Toyo Construction Co., Ltd. | 2,989 | 13,753 | ||||||
Tv Tokyo Holdings Corp. | 934 | 19,356 | ||||||
Unipres Corp. | 483 | 13,440 |
See accompanying Notes to Financial Statements | 21 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Wacoal Holdings Corp. | 2,802 | $ | 79,989 | |||||
West Japan Railway Co. | 2,699 | 187,641 | ||||||
Yorozu Corp. | 841 | 17,998 | ||||||
Yoshinoya Holdings Co., Ltd. | 7,025 | 115,807 | ||||||
Yurtec Corp. | 1,868 | 14,637 | ||||||
|
| |||||||
7,937,958 | ||||||||
|
| |||||||
Korea (Republic of) - 1.9% | ||||||||
CJ Hellovision Co., Ltd. | 2,652 | 16,663 | ||||||
Daekyo Co., Ltd. | 2,318 | 16,800 | ||||||
Easy Bio, Inc. | 6,217 | 33,528 | ||||||
Hansol Paper Co., Ltd. | 1,424 | 20,713 | ||||||
Hyundai Engineering Plastics Co., Ltd. | 2,575 | 14,794 | ||||||
Hyundai Motor Co. | 1,906 | 250,738 | ||||||
KC Tech Co., Ltd. | 519 | 10,970 | ||||||
Kia Motors Corp. | 1,598 | 44,212 | ||||||
KT Corp. | 660 | 16,826 | ||||||
KT&G Corp. | 1,576 | 145,434 | ||||||
Kukdo Chemical Co., Ltd. | 388 | 18,700 | ||||||
Macquarie Korea Infrastructure Fund (g) | 8,318 | 61,730 | ||||||
Samjin Pharmaceutical Co., Ltd. Samsung | 1,581 | 45,092 | ||||||
Electronics Co., Ltd. Samyang Holdings | 175 | 393,789 | ||||||
Corp. | 267 | 20,631 | ||||||
Ubiquoss Holdings, Inc. | 1,318 | 6,547 | ||||||
Ubiquoss, Inc. (e) | 420 | 5,880 | ||||||
|
| |||||||
1,123,047 | ||||||||
|
| |||||||
Malaysia - 0.5% | ||||||||
KNM Group Bhd. (e) | 94,600 | 5,952 | ||||||
Maxis Bhd. | 9,800 | 13,461 | ||||||
MISC Bhd. | 33,000 | 57,130 | ||||||
Supermax Corp. Bhd. | 59,900 | 24,116 | ||||||
Tenaga Nasional Bhd. | 61,200 | 207,672 | ||||||
|
| |||||||
308,331 | ||||||||
|
| |||||||
Morocco - 0.1% | ||||||||
Douja Promotion Groupe Addoha S.A. | 10,225 | 46,849 | ||||||
Maroc Telecom | 2,136 | 31,023 | ||||||
|
| |||||||
77,872 | ||||||||
|
| |||||||
Netherlands - 0.4% | ||||||||
NN Group NV | 4,672 | 195,647 | ||||||
Vastned Retail NV REIT | 596 | 26,556 | ||||||
|
| |||||||
222,203 | ||||||||
|
| |||||||
New Zealand - 0.6% | ||||||||
Air New Zealand Ltd. | 32,303 | 78,693 | ||||||
Arvida Group Ltd. | 26,315 | 23,186 | ||||||
Auckland International Airport Ltd. | 27,027 | 125,833 | ||||||
Fonterra Co-operative Group Ltd. UNIT | 7,445 | 33,562 | ||||||
Kiwi Property Group Ltd. REIT | 22,494 | 21,934 | ||||||
Summerset Group Holdings Ltd. | 16,234 | 59,567 | ||||||
Tourism Holdings Ltd. | 9,034 | 32,365 | ||||||
|
| |||||||
375,140 | ||||||||
|
| |||||||
Norway - 0.5% | ||||||||
Avance Gas Holding Ltd. (a)(e) | 1,384 | 4,034 | ||||||
Gjensidige Forsikring ASA | 4,268 | 74,345 | ||||||
Marine Harvest ASA (e) | 2,103 | 41,587 | ||||||
Orkla ASA | 15,271 | 156,706 | ||||||
|
| |||||||
276,672 | ||||||||
|
| |||||||
Philippines - 0.1% | ||||||||
Aboitiz Equity Ventures, Inc. | 19,950 | 28,792 | ||||||
Bank of the Philippine Islands | 2,810 | 5,501 | ||||||
BDO Unibank, Inc. | 12,250 | 31,551 | ||||||
|
| |||||||
65,844 | ||||||||
|
| |||||||
Poland - 0.5% | ||||||||
Asseco Poland S.A. | 1,494 | 18,962 |
See accompanying Notes to Financial Statements | 22 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Ciech S.A. (e) | 1,701 | $ | 30,375 | |||||
Polski Koncern Naftowy Orlen S.A. | 6,512 | 217,282 | ||||||
|
| |||||||
266,619 | ||||||||
|
| |||||||
Portugal - 0.2% | ||||||||
Jeronimo Martins SGPS S.A. | 6,202 | 122,421 | ||||||
|
| |||||||
Russian Federation - 0.1% | ||||||||
PhosAgro PJSC GDR | 3,290 | 46,883 | ||||||
|
| |||||||
Singapore - 1.7% | ||||||||
Accordia Golf Trust UNIT | 37,500 | 20,181 | ||||||
BOC Aviation Ltd. (a) | 15,600 | 84,832 | ||||||
China Aviation Oil Singapore Corp., Ltd. | 22,500 | 26,587 | ||||||
Fortune Real Estate Investment Trust REIT | 32,000 | 37,593 | ||||||
Frasers Logistics & Industrial Trust REIT | 106,900 | 84,370 | ||||||
Keppel DC REIT | 39,000 | 38,125 | ||||||
Mapletree Industrial Trust REIT | 24,100 | 33,313 | ||||||
SATS Ltd. | 51,900 | 176,638 | ||||||
Sheng Siong Group Ltd. | 67,800 | 45,995 | ||||||
Singapore Airlines Ltd. | 35,400 | 262,496 | ||||||
Sino Grandness Food Industry Group Ltd. (e) | 77,400 | 12,623 | ||||||
Venture Corp., Ltd. | 15,900 | 206,817 | ||||||
|
| |||||||
1,029,570 | ||||||||
|
| |||||||
South Africa - 0.1% | ||||||||
Harmony Gold Mining Co., Ltd. | 26,046 | 46,661 | ||||||
Tsogo Sun Holdings Ltd. | 23,626 | 35,260 | ||||||
|
| |||||||
81,921 | ||||||||
|
| |||||||
Spain - 0.3% | ||||||||
Axiare Patrimonio SOCIMI S.A. REIT | 630 | 12,874 | ||||||
Ebro Foods S.A. | 5,628 | 133,367 | ||||||
Lar Espana Real Estate Socimi S.A. REIT | 1,947 | 18,925 | ||||||
|
| |||||||
165,166 | ||||||||
|
| |||||||
Sweden - 0.0% | ||||||||
Cloetta AB, Class B | 7,145 | 24,569 | ||||||
|
| |||||||
Switzerland - 2.5% | ||||||||
Bachem Holding AG, Class B | 875 | 105,151 | ||||||
Baloise Holding AG | 1,068 | 169,121 | ||||||
Banque Cantonale Vaudoise | 79 | 58,746 | ||||||
BKW AG | 433 | 26,013 | ||||||
Cembra Money Bank AG (e) | 151 | 13,211 | ||||||
Emmi AG (e) | 65 | 42,622 | ||||||
Intershop Holding AG | 49 | 24,289 | ||||||
Komax Holding AG | 287 | 82,616 | ||||||
Kudelski S.A. | 1,293 | 16,171 | ||||||
Nestle S.A. | 2,350 | 197,262 | ||||||
Partners Group Holding AG | 347 | 235,577 | ||||||
Schweiter Technologies AG | 24 | 30,807 | ||||||
Siegfried Holding AG (e) | 141 | 46,442 | ||||||
Swiss Life Holding AG (e) | 510 | 179,796 | ||||||
Swiss Re AG | 2,250 | 203,950 | ||||||
Valora Holding AG | 201 | 70,366 | ||||||
|
| |||||||
1,502,140 | ||||||||
|
| |||||||
Taiwan - 5.5% | ||||||||
Accton Technology Corp. | 75,000 | 241,733 | ||||||
Arcadyan Technology Corp. | 24,000 | 38,808 | ||||||
Asia Vital Components Co., Ltd. | 37,000 | 31,306 | ||||||
Chang Hwa Commercial Bank Ltd. | 46,746 | 25,305 | ||||||
Cheng Uei Precision Industry Co., Ltd. | 16,000 | 22,177 | ||||||
Chicony Power Technology Co., Ltd. | 16,080 | 30,127 | ||||||
Chin-Poon Industrial Co., Ltd. | 21,000 | 40,360 | ||||||
China Airlines Ltd. (e) | 148,000 | 55,898 | ||||||
China Metal Products | 25,000 | 24,633 | ||||||
China Motor Corp. | 30,000 | 26,483 | ||||||
Chunghwa Telecom Co., Ltd. | 137,000 | 471,955 | ||||||
Elite Material Co., Ltd. | 41,000 | 195,253 | ||||||
Farglory Land Development Co., Ltd. | 48,000 | 54,182 | ||||||
First Financial Holding Co., Ltd. | 314,160 | 201,776 | ||||||
Formosa Petrochemical Corp. | 105,000 | 362,684 |
See accompanying Notes to Financial Statements | 23 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Formosa Plastics Corp. | 24,000 | $ | 72,780 | |||||
Getac Technology Corp. | 49,000 | 68,042 | ||||||
Gintech Energy Corp. (e) | 19,000 | 10,874 | ||||||
Grape King Bio Ltd. | 5,000 | 30,179 | ||||||
Hon Hai Precision Industry Co., Ltd. | 130,500 | 453,214 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 50,179 | 27,251 | ||||||
King Yuan Electronics Co., Ltd. | 80,000 | 78,642 | ||||||
Kinsus Interconnect Technology Corp. | 20,000 | 47,143 | ||||||
Powertech Technology, Inc. | 48,000 | 138,726 | ||||||
Sercomm Corp. | 37,000 | 99,851 | ||||||
Sinbon Electronics Co., Ltd. | 43,139 | 114,250 | ||||||
Sitronix Technology Corp. | 11,000 | 31,982 | ||||||
Taiwan Business Bank | 217,690 | 59,343 | ||||||
Taiwan Hon Chuan Enterprise Co., Ltd. | 17,000 | 30,883 | ||||||
TXC Corp. | 42,000 | 54,541 | ||||||
Wistron NeWeb Corp. | 15,909 | 45,736 | ||||||
WT Microelectronics Co., Ltd. | 17,000 | 26,904 | ||||||
Yageo Corp. | 7,830 | 54,536 | ||||||
|
| |||||||
3,267,557 | ||||||||
|
| |||||||
Thailand - 0.9% | ||||||||
Bangkok Bank PCL | 31,800 | 186,218 | ||||||
Charoen Pokphand Foods PCL (c)(d) | 205,700 | 165,313 | ||||||
Siam Cement PCL | 12,000 | 180,857 | ||||||
|
| |||||||
532,388 | ||||||||
|
| |||||||
United Kingdom - 2.2% | ||||||||
British American Tobacco PLC | 1,406 | 88,021 | ||||||
British American Tobacco PLC ADR | 2,724 | 170,114 | ||||||
Burford Capital Ltd. | 4,254 | 58,999 | ||||||
Compass Group PLC | 19,210 | 407,589 | ||||||
Gamma Communications PLC | 6,635 | 52,901 | ||||||
HSBC Holdings PLC | 12,133 | 119,945 | ||||||
Imperial Brands PLC | 4,650 | 198,465 | ||||||
Johnson Service Group PLC | 17,486 | 34,561 | ||||||
Marston’s PLC | 15,385 | 22,409 | ||||||
Micro Focus International PLC ADR (e) | 1,508 | 48,105 | ||||||
Northgate PLC | 2,990 | 17,379 | ||||||
Primary Health Properties PLC REIT | 14,934 | 24,464 | ||||||
RSA Insurance Group PLC | 7,011 | 58,576 | ||||||
|
| |||||||
1,301,528 | ||||||||
|
| |||||||
United States - 50.3% | ||||||||
AbbVie, Inc. | 4,084 | 362,904 | ||||||
Accenture PLC, Class A | 2,269 | 306,474 | ||||||
Aetna, Inc. | 2,473 | 393,232 | ||||||
Aflac, Inc. | 2,792 | 227,241 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 5,011 | 96,412 | ||||||
AGNC Investment Corp. REIT | 16,248 | 352,257 | ||||||
Agree Realty Corp. REIT | 1,940 | 95,215 | ||||||
Align Technology, Inc. (e) | 1,328 | 247,367 | ||||||
Altria Group, Inc. | 7,314 | 463,854 | ||||||
American Electric Power Co., Inc. | 3,194 | 224,347 | ||||||
American Financial Group, Inc. | 1,465 | 151,554 | ||||||
American Public Education, Inc. (e) | 838 | 17,640 | ||||||
AmerisourceBergen Corp. | 375 | 31,031 | ||||||
Amgen, Inc. | 1,800 | 335,610 | ||||||
AngioDynamics, Inc. (e) | 4,463 | 76,273 | ||||||
Annaly Capital Management, Inc. REIT | 36,850 | 449,201 | ||||||
Anthem, Inc. | 1,386 | 263,174 | ||||||
Anworth Mortgage Asset Corp. REIT | 19,811 | 119,064 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 4,686 | 84,863 | ||||||
Ares Commercial Real Estate Corp. REIT | 4,387 | 58,391 | ||||||
ARMOUR Residential REIT, Inc. | 2,784 | 74,890 | ||||||
AT&T, Inc. | 21,312 | 834,791 | ||||||
Atmos Energy Corp. | 1,714 | 143,702 | ||||||
Automatic Data Processing, Inc. | 3,149 | 344,249 | ||||||
AutoZone, Inc. (e) | 513 | 305,291 | ||||||
AvalonBay Communities, Inc. REIT | 416 | 74,223 | ||||||
AVX Corp. | 2,097 | 38,228 | ||||||
Axis Capital Holdings Ltd. | 4,470 | 256,176 | ||||||
Baxter International, Inc. | 7,441 | 466,923 | ||||||
Becton Dickinson and Co. | 186 | 36,447 | ||||||
Bemis Co., Inc. | 153 | 6,972 |
See accompanying Notes to Financial Statements | 24 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Blackstone Mortgage Trust, Inc., Class A REIT | 3,420 | $ | 106,088 | |||||
Brixmor Property Group, Inc. REIT | 586 | 11,017 | ||||||
CA, Inc. | 4,796 | 160,090 | ||||||
Capitol Federal Financial, Inc. | 5,348 | 78,616 | ||||||
Capstead Mortgage Corp. REIT | 7,580 | 73,147 | ||||||
Cardinal Health, Inc. | 2,483 | 166,162 | ||||||
Carriage Services, Inc. | 1,268 | 32,461 | ||||||
CenturyLink, Inc. | 5,802 | 109,658 | ||||||
Chimera Investment Corp. REIT | 5,802 | 109,774 | ||||||
Chubb Ltd. | 1,985 | 282,962 | ||||||
Cincinnati Financial Corp. | 2,423 | 185,529 | ||||||
Cisco Systems, Inc. | 9,638 | 324,126 | ||||||
Clorox Co. | 4,182 | 551,648 | ||||||
CME Group, Inc. | 1,774 | 240,696 | ||||||
CMS Energy Corp. | 3,697 | 171,245 | ||||||
Colgate-Palmolive Co. | 2,134 | 155,462 | ||||||
Consolidated Edison, Inc. | 8,070 | 651,088 | ||||||
Convergys Corp. | 1,613 | 41,761 | ||||||
Cooper Cos., Inc. | 880 | 208,657 | ||||||
CYS Investments, Inc. REIT | 11,640 | 100,570 | ||||||
Darden Restaurants, Inc. | 2,063 | 162,523 | ||||||
Dominion Energy, Inc. | 179 | 13,770 | ||||||
Domino’s Pizza, Inc. | 797 | 158,244 | ||||||
Dr. Pepper Snapple Group, Inc. | 1,161 | 102,714 | ||||||
DTE Energy Co. | 1,785 | 191,638 | ||||||
Duke Energy Corp. | 8,072 | 677,402 | ||||||
DXC Technology Co. | 2,895 | 248,623 | ||||||
Dynex Capital, Inc. REIT | 3,574 | 25,983 | ||||||
Ennis, Inc. | 2,558 | 50,265 | ||||||
Equity LifeStyle Properties, Inc. REIT | 1,764 | 150,081 | ||||||
Everest Re Group Ltd. | 1,535 | 350,579 | ||||||
Express Scripts Holding Co. (e) | 2,964 | 187,680 | ||||||
Exxon Mobil Corp. | 963 | 78,947 | ||||||
Federal Agricultural Mortgage Corp., Class C | 365 | 26,550 | ||||||
First Busey Corp. | 1,059 | 33,210 | ||||||
FirstEnergy Corp. | 4,455 | 137,348 | ||||||
Garmin Ltd. | 3,125 | 168,656 | ||||||
General Mills, Inc. | 6,852 | 354,660 | ||||||
German American Bancorp, Inc. | 187 | 7,112 | ||||||
Getty Realty Corp. REIT | 1,279 | 36,592 | ||||||
Gilead Sciences, Inc. | 3,057 | 247,678 | ||||||
Hanover Insurance Group, Inc. | 1,120 | 108,562 | ||||||
HCA Healthcare, Inc. (e) | 1,798 | 143,103 | ||||||
Henry Schein, Inc. (e) | 222 | 18,202 | ||||||
Hewlett Packard Enterprise Co. | 8,579 | 126,197 | ||||||
Huntington Ingalls Industries, Inc. | 156 | 35,325 | ||||||
Independence Realty Trust, Inc. REIT | 3,309 | 33,653 | ||||||
Ingredion, Inc. | 1,199 | 144,647 | ||||||
Insight Enterprises, Inc. (e) | 184 | 8,449 | ||||||
Intel Corp. | 9,027 | 343,748 | ||||||
Intuitive Surgical, Inc. (e) | 655 | 685,051 | ||||||
Invesco Mortgage Capital, Inc. REIT | 1,887 | 32,324 | ||||||
John B Sanfilippo & Son, Inc. | 170 | 11,443 | ||||||
Johnson & Johnson | 9,221 | 1,198,822 | ||||||
Kellogg Co. | 622 | 38,794 | ||||||
Kimberly-Clark Corp. | 2,569 | 302,320 | ||||||
Laboratory Corp. of America Holdings (e) | 2,890 | 436,303 | ||||||
McDonald’s Corp. | 6,456 | 1,011,526 | ||||||
MedEquities Realty Trust, Inc. REIT | 6,502 | 76,398 | ||||||
MFA Financial, Inc. REIT | 13,453 | 117,848 | ||||||
Mid-America Apartment Communities, Inc. REIT | 1,305 | 139,478 | ||||||
Monmouth Real Estate Investment Corp. REIT | 2,481 | 40,167 | ||||||
Motorola Solutions, Inc. | 1,950 | 165,496 | ||||||
MTGE Investment Corp. REIT | 5,014 | 97,272 | ||||||
NextEra Energy, Inc. | 2,514 | 368,427 | ||||||
Northfield Bancorp, Inc. | 1,980 | 34,353 | ||||||
NVR, Inc. (e) | 28 | 79,940 | ||||||
Omega Protein Corp. | 2,656 | 44,222 | ||||||
Omnicom Group, Inc. | 2,100 | 155,547 | ||||||
Orchid Island Capital, Inc. REIT | 9,463 | 96,428 | ||||||
Oritani Financial Corp. | 2,816 | 47,309 | ||||||
Owens & Minor, Inc. | 3,031 | 88,505 | ||||||
Paychex, Inc. | 2,783 | 166,869 | ||||||
PepsiCo, Inc. | 1,210 | 134,830 | ||||||
PetMed Express, Inc. | 2,974 | 98,588 | ||||||
PG&E Corp. | 4,375 | 297,894 | ||||||
Pinnacle Foods, Inc. | 2,490 | 142,353 |
See accompanying Notes to Financial Statements | 25 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Shares | Value | |||||||
| ||||||||
Pinnacle West Capital Corp. | 1,650 | $ | 139,524 | |||||
Procter & Gamble Co. | 3,410 | 310,242 | ||||||
Progressive Corp. | 5,073 | 245,635 | ||||||
Quest Diagnostics, Inc. | 1,802 | 168,739 | ||||||
Republic Services, Inc. | 9,259 | 611,650 | ||||||
Ross Stores, Inc. | 3,697 | 238,715 | ||||||
Southern Co. | 13,599 | 668,255 | ||||||
Stryker Corp. | 3,549 | 504,029 | ||||||
SunTrust Banks, Inc. | 3,777 | 225,751 | ||||||
Symantec Corp. | 3,408 | 111,816 | ||||||
Target Corp. | 4,371 | 257,933 | ||||||
Teleflex, Inc. | 795 | 192,366 | ||||||
Towne Bank | 1,845 | 61,807 | ||||||
Travelers Cos., Inc. | 3,167 | 388,021 | ||||||
Triple-S Management Corp., Class B (e) | 1,294 | 30,642 | ||||||
Two Harbors Investment Corp. REIT | 4,285 | 43,193 | ||||||
United Financial Bancorp, Inc. | 1,393 | 25,478 | ||||||
UnitedHealth Group, Inc. | 3,213 | 629,266 | ||||||
Unum Group | 3,410 | 174,353 | ||||||
Vail Resorts, Inc. | 794 | 181,127 | ||||||
Validus Holdings Ltd. | 1,803 | 88,726 | ||||||
Verizon Communications, Inc. | 14,476 | 716,417 | ||||||
Waste Connections, Inc. | 2,790 | 195,188 | ||||||
Waste Management, Inc. | 9,537 | 746,461 | ||||||
Waterstone Financial, Inc. | 2,057 | 40,111 | ||||||
WEC Energy Group, Inc. | 8,368 | 525,343 | ||||||
Westar Energy, Inc. | 3,097 | 153,611 | ||||||
Xcel Energy, Inc. | 11,264 | 533,012 | ||||||
XL Group Ltd. | 3,929 | 154,999 | ||||||
Xylem, Inc. | 3,090 | 193,527 | ||||||
|
| |||||||
29,735,338 | ||||||||
|
| |||||||
Total Common Stock (cost-$49,695,715) | 58,169,890 | |||||||
|
| |||||||
PREFERRED STOCK - 0.0%(f) | ||||||||
Colombia - 0.0%(f) | ||||||||
Grupo Aval Acciones y Valores S.A. (cost-$10,562) | 27,464 | 12,438 | ||||||
|
| |||||||
RIGHTS - 0.0%(f) | ||||||||
New Zealand - 0.0%(f) | ||||||||
Arvida Group Ltd., strike price NZD 1.15, expires 10/9/17, (e) (cost-$0) | 5,263 | 175 | ||||||
|
|
Principal Amount (000s) | ||||||||
Repurchase Agreements - 0.9% | ||||||||
State Street Bank and Trust Co., | $ | 519 | 519,000 | |||||
|
| |||||||
Total Investments (cost-$50,225,277) (b)-99.3% | 58,701,503 | |||||||
|
| |||||||
Other assets less liabilities-0.7% | 414,954 | |||||||
|
| |||||||
Net Assets-100.0% | $ | 59,116,457 | ||||||
|
|
See accompanying Notes to Financial Statements | 26 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
Notes to Schedule of Investments:
(a) | 144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Securities with an aggregate value of $480,026, representing 0.8% of net assets. |
(b) | Securities with an aggregate value of $24,443,618, representing 41.3% of net assets, were valued utilizing modeling tools provided by a third-party vendor. See Note 1(a) and Note 1(b) in the Notes to Financial Statements. |
(c) | Fair-Valued—Security with a value of $165,313, representing 0.3% of net assets. See Note 1(a) and Note 1(b) in the Notes to Financial Statements. |
(d) | Level 3 security. See Note 1(b) in the Notes to Financial Statements. |
(e) | Non-income producing. |
(f) | Amount rounds to less than 0.05%. |
(g) | Mutual Fund. |
Glossary:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NZD – New Zealand Dollar
REIT - Real Estate Investment Trust
UNIT - More than one class of securities traded together.
See accompanying Notes to Financial Statements | 27 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Best Styles Global Managed Volatility Portfolio
The industry classification of portfolio holdings and other assets less liabilities shown as a percentage of net assets were as follows:
Insurance | 7.0% | |||
Electric Utilities | 7.0% | |||
Diversified Telecommunication Services | 5.8% | |||
Healthcare Providers & Services | 4.6% | |||
Pharmaceuticals | 4.6% | |||
Healthcare Equipment & Supplies | 4.5% | |||
Food Products | 4.4% | |||
Hotels, Restaurants & Leisure | 4.2% | |||
Banks | 4.0% | |||
Mortgage Real Estate Investment Trusts (REITs) | 3.5% | |||
Commercial Services & Supplies | 3.3% | |||
IT Services | 3.1% | |||
Equity Real Estate Investment Trusts (REITs) | 2.6% | |||
Multi-Utilities | 2.6% | |||
Household Products | 2.2% | |||
Electronic Equipment, Instruments & Components | 2.1% | |||
Oil, Gas & Consumable Fuels | 1.8% | |||
Tobacco | 1.8% | |||
Construction & Engineering | 1.7% | |||
Specialty Retail | 1.7% | |||
Technology Hardware, Storage & Peripherals | 1.7% | |||
Airlines | 1.7% | |||
Biotechnology | 1.6% | |||
Communications Equipment | 1.6% | |||
Semiconductors & Semiconductor Equipment | 1.4% | |||
Real Estate Management & Development | 1.4% | |||
Capital Markets | 1.1% | |||
Household Durables | 1.1% | |||
Wireless Telecommunication Services | 1.1% | |||
Food & Staples Retailing | 1.0% | |||
Media | 0.9% | |||
Multi-Line Retail | 0.9% | |||
Chemicals | 0.8% | |||
Road & Rail | 0.8% | |||
Transportation Infrastructure | 0.7% | |||
Professional Services | 0.7% | |||
Software | 0.7% | |||
Aerospace & Defense | 0.6% | |||
Automobiles | 0.5% | |||
Machinery | 0.5% | |||
Metals & Mining | 0.5% | |||
Thrifts & Mortgage Finance | 0.4% | |||
Construction Materials | 0.4% | |||
Beverages | 0.4% | |||
Leisure Equipment & Products | 0.4% | |||
Auto Components | 0.3% | |||
Diversified Financial Services | 0.3% | |||
Gas Utilities | 0.3% | |||
Life Sciences Tools & Services | 0.3% | |||
Paper & Forest Products | 0.2% | |||
Textiles, Apparel & Luxury Goods | 0.2% | |||
Building Products | 0.2% | |||
Trading Companies & Distributors | 0.2% | |||
Internet & Catalog Retail | 0.2% | |||
Containers & Packaging | 0.2% | |||
Industrial Conglomerates | 0.1% | |||
Diversified Consumer Services | 0.1% | |||
Marine | 0.1% | |||
Personal Products | 0.1% | |||
Electrical Equipment | 0.1% | |||
Distributors | 0.1% | |||
Repurchase Agreements | 0.9% | |||
Other assets less liabilities | 0.7% | |||
|
| |||
100.0% | ||||
|
|
See accompanying Notes to Financial Statements | 28 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Global Small-Cap Opportunities Portfolio
Shares | Value | |||||||
| ||||||||
COMMON STOCK - 100.3% | ||||||||
Australia - 0.9% | ||||||||
Qantas Airways Ltd. | 9,704 | $ | 44,447 | |||||
|
| |||||||
Canada - 1.6% | ||||||||
Celestica, Inc. (d) | 851 | 10,531 | ||||||
Granite Real Estate Investment Trust REIT | 1,001 | 40,168 | ||||||
Just Energy Group, Inc. | 5,570 | 32,275 | ||||||
|
| |||||||
82,974 | ||||||||
|
| |||||||
China - 6.4% | ||||||||
China Everbright Bank Co., Ltd., Class H | 129,000 | 59,743 | ||||||
China Vanke Co., Ltd., Class H | 6,700 | 22,167 | ||||||
Hopewell Highway Infrastructure Ltd. | 62,500 | 38,691 | ||||||
Jiangsu Expressway Co., Ltd., Class H | 22,000 | 33,786 | ||||||
Kingboard Chemical Holdings Ltd. | 12,000 | 63,909 | ||||||
Weichai Power Co., Ltd., Class H | 58,000 | 63,969 | ||||||
Yuexiu Real Estate Investment Trust REIT | 66,000 | 41,603 | ||||||
|
| |||||||
323,868 | ||||||||
|
| |||||||
Denmark - 1.7% | ||||||||
Topdanmark A/S (d) | 2,184 | 86,040 | ||||||
|
| |||||||
France - 0.1% | ||||||||
Advanced Accelerator Applications S.A. ADR (d) | 100 | 6,762 | ||||||
|
| |||||||
Germany - 1.2% | ||||||||
Deutsche Lufthansa AG | 2,266 | 63,015 | ||||||
|
| |||||||
Greece - 2.4% | ||||||||
Motor Oil Hellas Corinth Refineries S.A. | 5,082 | 121,390 | ||||||
|
| |||||||
Hong Kong - 3.0% | ||||||||
Hui Xian Real Estate Investment Trust REIT | 41,000 | 18,825 | ||||||
Hysan Development Co., Ltd. | 10,000 | 47,181 | ||||||
Kerry Properties Ltd. | 20,000 | 83,071 | ||||||
|
| |||||||
149,077 | ||||||||
|
| |||||||
Indonesia - 0.8% | ||||||||
Indo Tambangraya Megah Tbk PT | 19,000 | 28,584 | ||||||
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT | 96,200 | 10,076 | ||||||
|
| |||||||
38,660 | ||||||||
|
| |||||||
Ireland - 0.5% | ||||||||
Avadel Pharmaceuticals PLC ADR (d) | 2,640 | 27,720 | ||||||
|
| |||||||
Israel - 0.3% | ||||||||
Orbotech Ltd. (d) | 300 | 12,663 | ||||||
|
| |||||||
Italy - 2.2% | ||||||||
A2A SpA | 10,108 | 17,391 | ||||||
Hera SpA | 29,628 | 93,180 | ||||||
|
| |||||||
110,571 | ||||||||
|
| |||||||
Japan - 10.8% | ||||||||
Asahi Holdings, Inc. | 1,400 | 28,843 | ||||||
Benesse Holdings, Inc. | 1,200 | 43,295 | ||||||
GungHo Online Entertainment, Inc. | 24,300 | 65,736 | ||||||
Gunma Bank Ltd. | 2,200 | 13,629 | ||||||
Ibiden Co., Ltd. | 2,300 | 36,695 | ||||||
Ines Corp. | 1,600 | 14,860 | ||||||
Kamei Corp. | 2,100 | 34,413 | ||||||
Noritake Co., Ltd. | 500 | 23,923 | ||||||
Noritz Corp. | 700 | 12,590 | ||||||
Okamura Corp. | 1,800 | 20,574 | ||||||
Sankyu, Inc. | 2,200 | 93,175 | ||||||
Showa Corp. | 900 | 11,063 | ||||||
Skylark Co., Ltd. | 1,000 | 14,779 | ||||||
Sumitomo Forestry Co., Ltd. | 4,600 | 72,040 | ||||||
T-Gaia Corp. | 2,100 | 40,838 | ||||||
Toyo Engineering Corp. | 1,700 | 20,749 | ||||||
|
| |||||||
547,202 | ||||||||
|
|
See accompanying Notes to Financial Statements | 29 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Global Small-Cap Opportunities Portfolio
Shares | Value | |||||||
| ||||||||
Korea (Republic of) - 1.9% | ||||||||
AK Holdings, Inc. | 178 | $ | 10,105 | |||||
DGB Financial Group, Inc. | 2,468 | 22,652 | ||||||
Dongwon Development Co., Ltd. | 2,151 | 10,329 | ||||||
Orion Holdings Corp. | 1,512 | 30,019 | ||||||
Unid Co., Ltd. | 507 | 22,154 | ||||||
|
| |||||||
95,259 | ||||||||
|
| |||||||
Malaysia - 0.4% | ||||||||
Malaysian Pacific Industries Bhd. | 6,800 | 21,583 | ||||||
|
| |||||||
Netherlands - 1.0% | ||||||||
QIAGEN NV (d) | 1,540 | 48,510 | ||||||
|
| |||||||
New Zealand - 1.6% | ||||||||
Air New Zealand Ltd. | 33,990 | 82,803 | ||||||
|
| |||||||
Philippines - 1.0% | ||||||||
Semirara Mining & Power Corp. | 52,760 | 48,502 | ||||||
|
| |||||||
Poland - 2.8% | ||||||||
Energa S.A. (d) | 31,152 | 114,510 | ||||||
PGE Polska Grupa Energetyczna S.A. | 7,632 | 27,837 | ||||||
|
| |||||||
142,347 | ||||||||
|
| |||||||
Singapore - 1.8% | ||||||||
RHT Health Trust UNIT | 28,300 | 17,838 | ||||||
Venture Corp., Ltd. | 800 | 10,406 | ||||||
Yanlord Land Group Ltd. | 44,700 | 61,065 | ||||||
|
| |||||||
89,309 | ||||||||
|
| |||||||
Switzerland - 0.9% | ||||||||
BKW AG | 736 | 44,216 | ||||||
|
| |||||||
Taiwan - 3.5% | ||||||||
ChipMOS TECHNOLOGIES, Inc. | 45,000 | 43,948 | ||||||
Cleanaway Co., Ltd. | 1,000 | 5,606 | ||||||
Formosa Advanced Technologies Co., Ltd. | 8,000 | 8,981 | ||||||
Greatek Electronics, Inc. | 29,000 | 48,182 | ||||||
Huaku Development Co., Ltd. | 10,000 | 21,854 | ||||||
King’s Town Bank Co., Ltd. | 27,000 | 28,532 | ||||||
Sigurd Microelectronics Corp. | 25,000 | 20,764 | ||||||
|
| |||||||
177,867 | ||||||||
|
| |||||||
Thailand - 0.7% | ||||||||
Bangchak Corp. PCL | 9,600 | 11,540 | ||||||
Pruksa Holding PCL (b)(c) | 15,000 | 10,570 | ||||||
SPCG PCL (b)(c) | 19,400 | 11,875 | ||||||
|
| |||||||
33,985 | ||||||||
|
| |||||||
Turkey - 2.1% | ||||||||
Aygaz AS | 7,968 | 33,684 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 2,138 | 72,962 | ||||||
|
| |||||||
106,646 | ||||||||
|
| |||||||
United Kingdom - 1.1% | ||||||||
Greggs PLC | 1,466 | 24,497 | ||||||
Nomad Foods Ltd. (d) | 2,200 | 32,054 | ||||||
|
| |||||||
56,551 | ||||||||
|
| |||||||
United States - 49.6% | ||||||||
Advanced Energy Industries, Inc. (d) | 490 | 39,572 | ||||||
Caesars Entertainment Corp. (d) | 1,765 | 23,563 | ||||||
Central Garden & Pet Co. (d) | 2,515 | 97,683 | ||||||
Charles River Laboratories International, Inc. (d) | 960 | 103,699 | ||||||
Cherry Hill Mortgage Investment Corp. REIT | 2,990 | 54,119 | ||||||
Comfort Systems USA, Inc. | 585 | 20,884 | ||||||
Compass Diversified Holdings | 1,005 | 17,839 | ||||||
Dana, Inc. | 1,055 | 29,498 | ||||||
EMC Insurance Group, Inc. | 370 | 10,416 |
See accompanying Notes to Financial Statements | 30 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Global Small-Cap Opportunities Portfolio
Shares | Value | |||||||
Exactech, Inc. (d) | 1,100 | $ | 36,245 | |||||
Extended Stay America, Inc. UNIT | 4,220 | 84,400 | ||||||
Financial Institutions, Inc. | 1,160 | 33,408 | ||||||
Greif, Inc., Class A | 260 | 15,220 | ||||||
Halyard Health, Inc. (d) | 775 | 34,898 | ||||||
Herbalife Ltd. (d) | 200 | 13,566 | ||||||
Herman Miller, Inc. | 1,710 | 61,389 | ||||||
Hooker Furniture Corp. | 475 | 22,681 | ||||||
Huntington Bancshares, Inc. | 6,410 | 89,484 | ||||||
Hyatt Hotels Corp., Class A (d) | 330 | 20,391 | ||||||
Hyster-Yale Materials Handling, Inc. | 355 | 27,136 | ||||||
Imperva, Inc. (d) | 2,115 | 91,791 | ||||||
InfraREIT, Inc. REIT | 545 | 12,192 | ||||||
Innophos Holdings, Inc. | 1,095 | 53,863 | ||||||
Johnson Outdoors, Inc., Class A | 635 | 46,533 | ||||||
Kadant, Inc. | 745 | 73,420 | ||||||
Koppers Holdings, Inc. (d) | 960 | 44,304 | ||||||
Korn/Ferry International | 1,285 | 50,668 | ||||||
Lear Corp. | 190 | 32,885 | ||||||
ManpowerGroup, Inc. | 120 | 14,138 | ||||||
Mantech International Corp., Class A | 495 | 21,854 | ||||||
Marriott Vacations Worldwide Corp. | 890 | 110,832 | ||||||
Moog, Inc., Class A (d) | 1,200 | 100,116 | ||||||
MSA Safety, Inc. | 1,180 | 93,822 | ||||||
Owens & Minor, Inc. | 800 | 23,360 | ||||||
Park-Ohio Holdings Corp. | 280 | 12,768 | ||||||
Peapack Gladstone Financial Corp. | 575 | 19,400 | ||||||
Phibro Animal Health Corp., Class A | 665 | 24,638 | ||||||
PRA Health Sciences, Inc. (d) | 700 | 53,319 | ||||||
Premier, Inc., Class A (d) | 3,055 | 99,501 | ||||||
Progress Software Corp. | 2,300 | 87,791 | ||||||
Quintiles IMS Holdings, Inc. (d) | 680 | 64,648 | ||||||
Republic Bancorp, Inc., Class A | 515 | 20,028 | ||||||
RMR Group, Inc., Class A | 795 | 40,823 | ||||||
Rogers Corp. (d) | 585 | 77,969 | ||||||
Schweitzer-Mauduit International, Inc. | 365 | 15,133 | ||||||
Steelcase, Inc., Class A | 6,800 | 104,720 | ||||||
Surmodics, Inc. (d) | 950 | 29,450 | ||||||
Teleflex, Inc. | 475 | 114,936 | ||||||
Tower International, Inc. | 1,255 | 34,136 | ||||||
Triple-S Management Corp., Class B (d) | 1,040 | 24,627 | ||||||
West Pharmaceutical Services, Inc. | 795 | 76,527 | ||||||
|
| |||||||
2,506,283 | ||||||||
|
| |||||||
Total Investments (cost-$4,284,713) (a)-100.3% | 5,068,250 | |||||||
|
| |||||||
Liabilities in excess of other assets (e)-(0.3)% | (13,168) | |||||||
|
| |||||||
Net Assets-100.0% | $ | 5,055,082 | ||||||
|
|
See accompanying Notes to Financial Statements | 31 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Global Small-Cap Opportunities Portfolio
Notes to Schedule of Investments:
(a) | Securities with an aggregate value of $2,087,458, representing 41.3% of net assets, were valued utilizing modeling tools provided by a third-party vendor. See Note 1(a) and Note 1(b) in the Notes to Financial Statements. |
(b) | Fair-Valued—Securities with an aggregate value of $22,445, representing 0.4% of net assets. See Note 1(a) and Note 1(b) in the Notes to Financial Statements. |
(c) | Level 3 security. See Note 1(b) in the Notes to Financial Statements. |
(d) | Non-income producing. |
(e) | Includes net unrealized appreciation (depreciation) of other financial instruments as follows: |
Forward foreign currency contracts outstanding at September 30, 2017: |
Counterparty
| U.S.$ Value on
| U.S.$ Value
| Unrealized Appreciation (Depreciation) | |||||||||||||
Purchased: | ||||||||||||||||
4,105,139 Japanese Yen settling 10/2/17 | | Northern Trust Company | | $ | 36,273 | $ | 36,482 | $ | 209 | |||||||
Sold: | ||||||||||||||||
3,794,711 Japanese Yen settling 10/2/17 | | Northern Trust Company | | 33,530 | 33,723 | (193) | ||||||||||
121,180 Singapore Dollar settling 10/2/17 | | Northern Trust Company | | 89,065 | 89,336 | (271) | ||||||||||
|
| |||||||||||||||
$ | (255) | |||||||||||||||
|
|
Glossary:
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
UNIT - More than one class of securities traded together.
See accompanying Notes to Financial Statements | 32 | Annual Report/September 30, 2017 |
Table of Contents
Schedule of Investments
September 30, 2017
AllianzGI Global Small-Cap Opportunities Portfolio
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets were as follows:
Real Estate Management & Development | 5.9% | |||
Healthcare Equipment & Supplies | 5.8% | |||
Banks | 5.7% | |||
Commercial Services & Supplies | 5.7% | |||
Oil, Gas & Consumable Fuels | 5.6% | |||
Life Sciences Tools & Services | 5.3% | |||
Hotels, Restaurants & Leisure | 5.0% | |||
Software | 4.9% | |||
Electronic Equipment, Instruments & Components | 4.2% | |||
Machinery | 4.0% | |||
Airlines | 3.8% | |||
Electric Utilities | 3.7% | |||
Semiconductors & Semiconductor Equipment | 3.6% | |||
Healthcare Providers & Services | 3.3% | |||
Multi-Utilities | 2.8% | |||
Chemicals | 2.6% | |||
Equity Real Estate Investment Trusts (REITs) | 2.2% | |||
Auto Components | 2.1% | |||
Aerospace & Defense | 2.0% | |||
Household Products | 1.9% | |||
Insurance | 1.9% | |||
Household Durables | 1.9% | |||
Road & Rail | 1.8% | |||
Transportation Infrastructure | 1.4% | |||
Food Products | 1.4% | |||
Professional Services | 1.3% | |||
Mortgage Real Estate Investment Trusts (REITs) | 1.1% | |||
Pharmaceuticals | 1.0% | |||
Leisure Equipment & Products | 0.9% | |||
Diversified Consumer Services | 0.9% | |||
Construction & Engineering | 0.8% | |||
Specialty Retail | 0.8% | |||
IT Services | 0.7% | |||
Trading Companies & Distributors | 0.7% | |||
Gas Utilities | 0.7% | |||
Metals & Mining | 0.6% | |||
Food & Staples Retailing | 0.5% | |||
Diversified Financial Services | 0.4% | |||
Containers & Packaging | 0.3% | |||
Paper & Forest Products | 0.3% | |||
Personal Products | 0.3% | |||
Building Products | 0.2% | |||
Independent Power Producers & Energy Traders | 0.2% | |||
Biotechnology | 0.1% | |||
Liabilities in excess of other assets | (0.3)% | |||
|
| |||
100.0% | ||||
|
|
See accompanying Notes to Financial Statements | 33 | Annual Report/September 30, 2017 |
Table of Contents
Statements of Assets and Liabilities
September 30, 2017
AllianzGI Advanced Core Bond | AllianzGI Best Styles Global Managed Volatility | AllianzGI Global Small-Cap Opportunities | ||||||||||
Assets: | ||||||||||||
Investments, at value | $182,677,296 | $58,701,503 | $5,068,250 | |||||||||
|
|
|
|
|
|
| ||||||
Cash | 859,833 | 770 | – | |||||||||
|
|
|
|
|
|
| ||||||
Dividends and interest receivable (net of foreign withholding taxes) | 968,826 | 177,359 | 12,626 | |||||||||
|
|
|
|
|
|
| ||||||
Receivable for Fund shares sold | 579,256 | – | – | |||||||||
|
|
|
|
|
|
| ||||||
Deposits with brokers for derivatives collateral | 263,557 | – | – | |||||||||
|
|
|
|
|
|
| ||||||
Receivable for variation margin on futures contracts | 115,250 | – | – | |||||||||
|
|
|
|
|
|
| ||||||
Investments in Affiliated Funds - Trustees Deferred Compensation Plan (see Note 4) | 10,132 | 3,522 | 429 | |||||||||
|
|
|
|
|
|
| ||||||
Foreign currency, at value | – | 288,137 | 34,095 | |||||||||
|
|
|
|
|
|
| ||||||
Receivable for investments sold | – | – | 123,019 | |||||||||
|
|
|
|
|
|
| ||||||
Unrealized appreciation of forward foreign currency contracts | – | – | 209 | |||||||||
|
|
|
|
|
|
| ||||||
Tax reclaims receivable | – | 25,300 | 1,360 | |||||||||
|
|
|
|
|
|
| ||||||
Prepaid expenses and other assets | 8,992 | 5,804 | 4,062 | |||||||||
|
|
|
|
|
|
| ||||||
Total Assets | 185,483,142 | 59,202,395 | 5,244,050 | |||||||||
|
|
|
|
|
|
| ||||||
Liabilities: | ||||||||||||
Payable for investments purchased | – | – | 69,207 | |||||||||
|
|
|
|
|
|
| ||||||
Investment management fees payable | 80,884 | 11,305 | 2,907 | |||||||||
|
|
|
|
|
|
| ||||||
Payable for TBA investments purchased | 40,356,047 | – | – | |||||||||
|
|
|
|
|
|
| ||||||
Trustees Deferred Compensation Plan payable (see Note 4) | 10,132 | 3,522 | 429 | |||||||||
|
|
|
|
|
|
| ||||||
Payable to custodian for cash overdraft | – | – | 34,935 | |||||||||
|
|
|
|
|
|
| ||||||
Unrealized depreciation of forward foreign currency contracts | – | – | 464 | |||||||||
|
|
|
|
|
|
| ||||||
Accrued expenses and other liabilities | 81,541 | 71,111 | 81,026 | |||||||||
|
|
|
|
|
|
| ||||||
Total Liabilities | 40,528,604 | 85,938 | 188,968 | |||||||||
|
|
|
|
|
|
| ||||||
Net Assets | $144,954,538 | $59,116,457 | $5,055,082 | |||||||||
|
|
|
|
|
|
| ||||||
Net Assets Consist of: | ||||||||||||
Paid-in-capital | $146,891,179 | $46,984,490 | $3,614,122 | |||||||||
|
|
|
|
|
|
| ||||||
Undistributed (dividends in excess of) net investment income | (582,081) | 1,504,353 | 55,242 | |||||||||
|
|
|
|
|
|
| ||||||
Accumulated net realized gain (loss) | (1,813,556) | 2,198,341 | 602,377 | |||||||||
|
|
|
|
|
|
| ||||||
Net unrealized appreciation | 458,996 | 8,429,273 | 783,341 | |||||||||
|
|
|
|
|
|
| ||||||
Net Assets | $144,954,538 | $59,116,457 | $5,055,082 | |||||||||
|
|
|
|
|
|
| ||||||
Cost of Investments | $182,333,550 | $50,225,277 | $4,284,713 | |||||||||
|
|
|
|
|
|
| ||||||
Cost of Foreign Currency | $– | $290,549 | $34,124 | |||||||||
|
|
|
|
|
|
| ||||||
Shares Issued and Outstanding | 9,758,598 | 3,311,890 | 250,412 | |||||||||
|
|
|
|
|
|
| ||||||
Net Asset Value Per Share* | $14.85 | $17.85 | $20.19 | |||||||||
|
|
|
|
|
|
|
* | Net asset value and redemption price per share may not recalculate exactly due to rounding. |
See accompanying Notes to Financial Statements | 34 | Annual Report/September 30, 2017 |
Table of Contents
Year ended September 30, 2017
AllianzGI Advanced Core Bond | AllianzGI Best Styles Global Managed Volatility | AllianzGI Global Small-Cap Opportunities | ||||||||||
Investment Income: | ||||||||||||
Interest | $3,291,665 | $2,087 | $15 | |||||||||
|
|
|
|
|
|
| ||||||
Dividends, net of foreign withholding taxes* | – | 1,984,008 | 110,006 | |||||||||
|
|
|
|
|
|
| ||||||
Total Investment Income | 3,291,665 | 1,986,095 | 110,021 | |||||||||
|
|
|
|
|
|
| ||||||
Expenses: | ||||||||||||
Investment management | 488,009 | 276,361 | 42,928 | |||||||||
|
|
|
|
|
|
| ||||||
Custodian and accounting agent | 67,737 | 164,255 | 85,926 | |||||||||
|
|
|
|
|
|
| ||||||
Legal | 66,018 | 24,680 | 13,646 | |||||||||
|
|
|
|
|
|
| ||||||
Audit and tax services | 46,025 | 39,749 | 40,087 | |||||||||
|
|
|
|
|
|
| ||||||
Trustees | 15,941 | 7,298 | 461 | |||||||||
|
|
|
|
|
|
| ||||||
Insurance | 8,205 | 6,080 | 4,330 | |||||||||
|
|
|
|
|
|
| ||||||
Shareholder communications | 5,713 | 1,840 | 8,072 | |||||||||
|
|
|
|
|
|
| ||||||
Offering | 4,583 | 41,836 | – | |||||||||
|
|
|
|
|
|
| ||||||
Transfer agent | 4,061 | 4,468 | 3,468 | |||||||||
|
|
|
|
|
|
| ||||||
Line of credit commitment | 2,594 | 1,117 | 98 | |||||||||
|
|
|
|
|
|
| ||||||
Miscellaneous | 5,798 | 2,472 | 3,263 | |||||||||
|
|
|
|
|
|
| ||||||
Total Expenses | 714,684 | 570,156 | 202,279 | |||||||||
|
|
|
|
|
|
| ||||||
Less: Fee Waiver/Reimbursement from Investment Manager | (141,917) | (258,092) | (144,937) | |||||||||
|
|
|
|
|
|
| ||||||
Net Expenses | 572,767 | 312,064 | 57,342 | |||||||||
|
|
|
|
|
|
| ||||||
Net Investment Income | 2,718,898 | 1,674,031 | 52,679 | |||||||||
|
|
|
|
|
|
| ||||||
Realized and Change in Unrealized Gain (Loss): |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 470,570 | 1,842,117 | 1,001,914 | |||||||||
|
|
|
|
|
|
| ||||||
Futures contracts | 38,772 | 480,071 | – | |||||||||
|
|
|
|
|
|
| ||||||
Forward currency contracts | – | 1,464 | (3,594) | |||||||||
|
|
|
|
|
|
| ||||||
Foreign currency transactions | – | (5,449) | 2,659 | |||||||||
|
|
|
|
|
|
| ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (3,650,096) | 6,085,213 | 213,598 | |||||||||
|
|
|
|
|
|
| ||||||
Futures contracts | 110,856 | (59,016) | – | |||||||||
|
|
|
|
|
|
| ||||||
Forward currency contracts | – | – | (255) | |||||||||
|
|
|
|
|
|
| ||||||
Foreign currency transactions | – | (4,181) | 669 | |||||||||
|
|
|
|
|
|
| ||||||
Net realized and change in unrealized gain (loss) | (3,029,898) | 8,340,219 | 1,214,991 | |||||||||
|
|
|
|
|
|
| ||||||
Net Increase (Decrease) in Net Assets Resulting from Investment Operations | $(311,000) | $10,014,250 | $1,267,670 | |||||||||
|
|
|
|
|
|
| ||||||
*Foreign withholding taxes | $– | $111,541 | $9,405 | |||||||||
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements | 35 | Annual Report/September 30, 2017 |
Table of Contents
Statements of Changes in Net Assets
AllianzGI Advanced Core Bond | AllianzGI Best Styles Global Managed Volatility | |||||||||||||||
Year ended September 30, 2017 |
Period from | Year ended September 30, 2017 | Period from 4/11/2016** through September 30, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from: |
| |||||||||||||||
Investment Operations: |
| |||||||||||||||
Net investment income | $2,718,898 | $1,879,718 | $1,674,031 | $975,920 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net realized gain (loss) | 509,342 | 1,132,615 | 2,318,203 | 74,698 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net change in unrealized appreciation/depreciation | (3,539,240) | 3,998,236 | 6,022,016 | 2,451,997 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net increase (decrease) in net assets resulting from investment operations | (311,000) | 7,010,569 | 10,014,250 | 3,502,615 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Dividends and Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | (6,472,164) | (367,778) | (1,279,950) | – | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net realized gains | (1,796,268) | – | (152,963) | – | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total dividends and distributions to shareholders | (8,268,432) | (367,778) | (1,432,913) | – | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Fund Share Transactions: |
| |||||||||||||||
Net proceeds from the sale of shares | 37,516,867 | 181,178,096 | 10,754,112 | 75,229,813 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Issued in reinvestment of dividends and distributions | 8,268,432 | 367,778 | 1,432,913 | – | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Cost of shares redeemed | (65,662,163) | (14,827,831) | (38,991,208) | (1,443,125) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net increase (decrease) from Fund share transactions | (19,876,864) | 166,718,043 | (26,804,183) | 73,786,688 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total increase (decrease) in net assets | (28,456,296) | 173,360,834 | (18,222,846) | 77,289,303 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 173,410,834 | 50,000 | 77,339,303 | 50,000 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
End of period* | $144,954,538 | $173,410,834 | $59,116,457 | $77,339,303 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
*Including undistributed (dividends in excess of) net investment income of: | $(582,081) | $1,589,804 | $1,504,353 | $978,380 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Shares Activity: | ||||||||||||||||
Issued | 2,447,325 | 11,957,770 | 692,627 | 4,984,429 | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Issued in reinvestment of dividends and distributions | 561,646 | 24,700 | 92,545 | – | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Shares redeemed | (4,287,929) | (944,914) | (2,366,498) | (91,213) | ||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Net increase (decrease) | (1,278,958) | 11,037,556 | (1,581,326) | 4,893,216 | ||||||||||||
|
|
|
|
|
|
|
|
|
** | Commencement of operations. |
See accompanying Notes to Financial Statements | 36 | Annual Report/September 30, 2017 |
Table of Contents
Statements of Changes in Net Assets
AllianzGI Global Small-Cap Opportunities | ||||||
Year ended September 30, 2017 | Year ended September 30, 2016 | |||||
$52,679 | $50,785 | |||||
|
|
|
| |||
1,000,979 | (141,061) | |||||
|
|
|
| |||
214,012 | 521,287 | |||||
|
|
|
| |||
1,267,670 | 431,011 | |||||
|
|
|
| |||
(70,039) | (29,791) | |||||
|
|
|
| |||
– | – | |||||
|
|
|
| |||
(70,039) | (29,791) | |||||
|
|
|
| |||
– | – | |||||
|
|
|
| |||
70,039 | 29,791 | |||||
|
|
|
| |||
(1,500,000) | – | |||||
|
|
|
| |||
(1,429,961) | 29,791 | |||||
|
|
|
| |||
(232,330) | 431,011 | |||||
|
|
|
| |||
5,287,412 | 4,856,401 | |||||
|
|
|
| |||
$5,055,082 | $5,287,412 | |||||
|
|
|
| |||
$55,242 | $46,368 | |||||
|
|
|
| |||
– | – | |||||
|
|
|
| |||
4,255 | 2,035 | |||||
|
|
|
| |||
(90,199) | – | |||||
|
|
|
| |||
(85,944) | 2,035 | |||||
|
|
|
|
See accompanying Notes to Financial Statements | 37 | Annual Report/September 30, 2017 |
Table of Contents
For a share of common stock outstanding throughout each period:
AllianzGI Advanced Core Bond | AllianzGI Best Styles Global Managed Volatility | |||||||||||||||
Year ended September 30, 2017 | Period from 10/30/2015* through 9/30/2016 | Year ended September 30, 2017 | Period from 4/11/2016* through 9/30/2016 | |||||||||||||
Net asset value, beginning of period | $15.71 | $15.00 | $15.81 | $15.00 | ||||||||||||
Investment Operations: | ||||||||||||||||
Net investment income(a) | 0.25 | 0.21 | 0.40 | 0.22 | ||||||||||||
Net realized and change in unrealized gain (loss) | (0.34) | 0.57 | 1.99 | 0.59 | ||||||||||||
Total from investment operations | (0.09) | 0.78 | 2.39 | 0.81 | ||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income | (0.60) | (0.07) | (0.31) | — | ||||||||||||
Net realized gains | (0.17) | — | (0.04) | — | ||||||||||||
Total dividends and distributions to shareholders | (0.77) | (0.07) | (0.35) | — | ||||||||||||
Net asset value, end of period | $14.85 | $15.71 | $17.85 | $15.81 | ||||||||||||
Total Return(b) | (0.43)% | 5.23% | 15.41% | 5.40% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||
Net assets, end of period(000s) | $144,955 | $173,411 | $59,116 | $77,339 | ||||||||||||
Ratio of expenses to average net assets with fee reimbursement | 0.35% | 0.41%(c)(d) | 0.45%(f) | 0.45%(c)(d) | ||||||||||||
Ratio of expenses to average net assets without fee reimbursement | 0.44% | 0.62%(c)(d) | 0.83%(f) | 0.99%(c)(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.67% | 1.52%(c)(d) | 2.42%(f) | 2.96%(c)(d) | ||||||||||||
Portfolio turnover rate | 319% | 260% | 31%(e) | 1% | ||||||||||||
* | Commencement of operations. |
(a) | Calculated on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day of the period and a sale of a share on the last day of each period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested. Total return does not reflect sales charges and includes the effect of expense reimbursements. Total return may reflect adjustments to conform to U.S. GAAP. Total return for a period of less than one year is not annualized. |
(c) | Annualized, unless otherwise noted. |
(d) | Certain expenses incurred were not annualized. |
(e) | Portfolio turnover rate excludes securities received or delivered from in-kind transactions. |
(f) | Does not include expenses of the investment in which the Fund invests. |
See accompanying Notes to Financial Statements | 38 | Annual Report/September 30, 2017 |
Table of Contents
Financial Highlights
For a share of common stock outstanding throughout each period:
AllianzGI Global Small-Cap Opportunities | ||||||||||
Year ended September 30, 2017 | Year ended September 30, | Period from 12/1/2014 through 9/30/2015# | Period from through 11/30/2014 | |||||||
Net asset value, beginning of period | $15.72 | $14.53 | $14.70 | $15.00 | ||||||
| ||||||||||
Investment Operations: | ||||||||||
Net investment income(a) | 0.19 | 0.15 | 0.12 | 0.05 | ||||||
| ||||||||||
Net realized and change in unrealized gain (loss) | 4.49 | 1.13 | (0.25) | (0.35) | ||||||
| ||||||||||
Total from investment operations | 4.68 | 1.28 | (0.13) | (0.30) | ||||||
| ||||||||||
Dividend to Shareholders from net investment income | (0.21) | (0.09) | (0.04) | — | ||||||
| ||||||||||
Net asset value, end of period | $20.19 | $15.72 | $14.53 | $14.70 | ||||||
| ||||||||||
Total Return(b) | 30.06% | 8.85% | (0.86)% | (2.00)% | ||||||
| ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||
Net assets, end of period (000s) | $5,055 | $5,287 | $4,856 | $4,899 | ||||||
| ||||||||||
Ratio of expenses to average net assets with fee reimbursement | 1.20% | 1.20% | 1.22%(c)(d) | 1.20%(c)(d) | ||||||
| ||||||||||
Ratio of expenses to average net assets without fee reimbursement | 4.24% | 5.48% | 7.06%(c)(d) | 4.88%(c)(d) | ||||||
| ||||||||||
Ratio of net investment income to average net assets | 1.10% | 1.04% | 0.91%(c)(d) | 0.88%(c)(d) | ||||||
| ||||||||||
Portfolio turnover rate | 143% | 177% | 152% | 56% | ||||||
|
* | Commencement of operations. |
# | Fiscal year end changed from November 30th to September 30th. |
(a) | Calculated on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day of the period and a sale of a share on the last day of each period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested. Total return does not reflect sales charges and includes the effect of expense reimbursements. Total return may reflect adjustments to conform to U.S. GAAP. Total return for a period of less than one year is not annualized. |
(c) | Annualized, unless otherwise noted. |
(d) | Certain expenses incurred were not annualized. |
See accompanying Notes to Financial Statements | 39 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
September 30, 2017
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
AllianzGI Institutional Multi-Series Trust (the “Trust”) was organized on June 3, 2014 and is registered under the Investment Company Act of 1940, as amended (the “1940-Act”), as an open-end registered investment company. The Trust follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. As of September 30, 2017, the Trust consisted of three separate investment series, (each a “Portfolio” and together the “Portfolios”). Allianz Global Investors U.S. LLC (“AllianzGI U.S.” or the “Investment Manager”) serves as the Portfolios’ investment manager. AllianzGI U.S. is an indirect, wholly-owned subsidiary of Allianz Asset Management of America L.P. (“AAM”). AAM is an indirect, wholly-owned subsidiary of Allianz SE, a publicly traded European insurance and financial services company. Prior to October 1, 2016, Allianz Global Investors Fund Management LLC (“AGIFM”) and AllianzGI U.S. served as the Portfolios’ investment manager and sub-adviser, respectively. On October 1, 2016, AGIFM merged with and into AllianzGI U.S. (the “Merger”). Following the Merger, AllianzGI U.S. assumed the services and responsibilities previously provided by AGIFM as investment adviser. No Portfolio currently has a sub-adviser. Shares of the Portfolios have not been registered for public sale and are currently offered and sold on a private placement basis in accordance with Rule 506(c) of Regulation D under the Securities Act of 1933, as amended. Currently, the Trust has authorized one class of shares.
The following Portfolios sold and issued shares of beneficial interest to Allianz Fund Investments, Inc. (“AFI”), an indirect wholly-owned subsidiary of Allianz SE, during the periods ended September 30, 2017 and September 30, 2016:
AllianzGI Advanced Core Bond Portfolio | ||||||||||||
Date | Shares | Amount | ||||||||||
10/30/15 | 3,333 | $50,000 | ||||||||||
AllianzGI Best Styles Global Managed Volatility Portfolio | ||||||||||||
Date | Shares | Amount | ||||||||||
4/11/16 | 3,333 | $50,000 |
The investment objective of AllianzGI Advanced Core Bond is to seek long-term risk adjusted total net return. The investment objective of AllianzGI Best Styles Global Managed Volatility and AllianzGI Global Small-Cap Opportunities is to seek long-term capital appreciation. There can be no assurance that the Portfolios will meet their stated objective.
The preparation of the Portfolios’ financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires the Portfolios’ management to make estimates and assumptions that affect the reported amounts and disclosures in each Portfolios’ financial statements. Actual results could differ from those estimates.
In the normal course of business, the Portfolios enter into contracts that contain a variety of representations that provide general indemnifications. The Portfolios’ maximum exposures under these arrangements are unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, based on experience, the risk of loss is expected to be remote.
In October 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X require standardized, enhanced disclosure about derivatives in investment company financial statements, and also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X took effect on August 1, 2017 and the financial statements have been modified accordingly, as applicable.
The following is a summary of significant accounting policies consistently followed by the Portfolios:
(a) Valuation of Investments. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of official closing prices, last reported
40 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
sales prices, or if no sales or closing prices are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Portfolios’ investments are valued daily using prices supplied by an independent pricing service or broker/dealer quotations, or by using the last sale or settlement price on the exchange that is the primary market for such securities, or the mean between the last bid and ask quotations. The market value for NASDAQ Global Market and NASDAQ Capital Market securities may also be calculated using the NASDAQ Official Closing Price instead of the last reported sales price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange traded futures are valued at the price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement date.
The Board of Trustees of each Portfolio (together, the “Board”) has adopted procedures for valuing portfolio securities and other financial instruments in circumstances where market quotations are not readily available (including in cases where available market quotations are deemed to be unreliable), and has delegated primary responsibility for applying the valuation methods to the Investment Manager. The Trust’s Valuation Committee was established by the Board to oversee the implementation of the Portfolios’ valuation methods and to make fair value determinations on behalf of the Board, as necessary. The Investment Manager monitors the continued appropriateness of methods applied and identifies circumstances and events that may require fair valuation. The Investment Manager determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Investment Manager determines that a valuation method may no longer be appropriate, another valuation method previously approved by the Trust’s Valuation Committee may be selected or the Trust’s Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures adopted by the Board. The Board shall review and ratify the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Trust’s Valuation Committee.
Short-term debt instruments maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing premiums or discounts based on their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days.
Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of each Portfolio may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.
The prices used by the Portfolios to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material to the Portfolios’ financial statements. The NAV of each Portfolio is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern Time) on the NYSE on each day the NYSE is open for business.
The prices of certain portfolio securities or financial instruments may be determined at a time prior to the close of regular trading on the NYSE. When fair-valuing the securities, the Portfolios may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the time the NAV of a Portfolio is calculated. With respect to certain foreign securities, the Portfolios may fair-value securities using modeling tools provided by third-party vendors. The Portfolios have retained a statistical research service to assist in determining the fair value of foreign securities. This service utilizes statistics and programs based on historical performance of markets and other economic data to assist in making fair value estimates. Fair value estimates used by the Portfolios for foreign securities may differ from the value realized from the sale of those securities and the difference could be material to the financial statements. Fair value pricing may require subjective determinations about the value of a security or other assets, and fair values used to determine the NAV of a Portfolio may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities or other assets held by a Portfolio.
41 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
(b) Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:
● | Level 1 – quoted prices in active markets for identical investments that the Portfolios have the ability to access |
● | Level 2 – valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs |
● | Level 3 – valuations based on significant unobservable inputs (including the Investment Manager’s or Trust’s Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote) |
The valuation techniques used by the Portfolios to measure fair value during the year ended September 30, 2017 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.
The Portfolios’ policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Portfolios generally use to evaluate how to classify each major category of assets and liabilities within Level 2 and Level 3, in accordance with U.S. GAAP.
Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets and certain foreign equity securities are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Government Sponsored Enterprise and Mortgage-Backed Securities — Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic life caps and the next coupon reset date. To the extent that these inputs are observable, the values of government sponsored enterprise and mortgage-backed securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Sovereign Debt Obligations — Sovereign debt obligations are valued by independent pricing services based on discounted cash flow models that incorporate option adjusted spreads along with benchmark curves and credit spreads. In addition, international bond markets are monitored regularly for information pertaining to the issuer and/or the specific issue. To the extent that these inputs are observable, the values of sovereign debt obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
42 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
Corporate Bonds & Notes — Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
A summary of the inputs used at September 30, 2017 in valuing each Portfolio’s assets and liabilities is listed below (refer to the Schedules of Investments and Notes to Schedules of Investments for more detailed information on Investments in Securities and Other Financial Instruments.):
AllianzGI Advanced Core Bond:
Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant | Value at 9/30/17 | |||||||||||||
| ||||||||||||||||
Investments in Securities - Assets | ||||||||||||||||
Corporate Bonds & Notes | $ | — | $ | 79,076,337 | $ | — | $ | 79,076,337 | ||||||||
U.S. Treasury Obligations | — | 43,198,082 | — | 43,198,082 | ||||||||||||
U.S. Government Agency Securities | — | 40,335,062 | — | 40,335,062 | ||||||||||||
Sovereign Debt Obligations | — | 19,221,815 | — | 19,221,815 | ||||||||||||
Repurchase Agreements | — | 846,000 | — | 846,000 | ||||||||||||
| ||||||||||||||||
— | 182,677,296 | — | 182,677,296 | |||||||||||||
| ||||||||||||||||
Other Financial Instruments* – Assets | ||||||||||||||||
Interest Rate Contracts | 115,250 | — | — | 115,250 | ||||||||||||
| ||||||||||||||||
Totals | $ | 115,250 | $ | 182,677,296 | $ | — | $ | 182,792,546 | ||||||||
| ||||||||||||||||
AllianzGI Best Styles Global Managed Volatility: | ||||||||||||||||
Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value at 9/30/17 | |||||||||||||
| ||||||||||||||||
Investments in Securities - Assets | ||||||||||||||||
Common Stock: | ||||||||||||||||
Australia | $ | — | $ | 919,378 | $ | — | $ | 919,378 | ||||||||
Austria | 109,566 | 57,924 | — | 167,490 | ||||||||||||
Belgium | — | 235,658 | — | 235,658 | ||||||||||||
China | — | 973,830 | — | 973,830 | ||||||||||||
Denmark | 20,283 | 63,984 | — | 84,267 | ||||||||||||
Finland | — | 185,176 | — | 185,176 | ||||||||||||
France | 102,238 | 1,650,471 | — | 1,752,709 | ||||||||||||
Germany | 23,922 | 387,904 | — | 411,826 | ||||||||||||
Hong Kong | — | 1,241,689 | — | 1,241,689 | ||||||||||||
Hungary | — | 374,018 | — | 374,018 | ||||||||||||
Indonesia | — | 441,262 | — | 441,262 | ||||||||||||
Israel | — | 618,366 | — | 618,366 | ||||||||||||
Italy | 36,133 | 18,658 | — | 54,791 | ||||||||||||
Japan | — | 7,937,958 | — | 7,937,958 | ||||||||||||
Korea (Republic of) | 101,061 | 1,021,986 | — | 1,123,047 | ||||||||||||
Malaysia | 37,577 | 270,754 | — | 308,331 | ||||||||||||
Netherlands | 26,556 | 195,647 | — | 222,203 | ||||||||||||
New Zealand | 113,866 | 261,274 | — | 375,140 | ||||||||||||
Norway | 41,587 | 235,085 | — | 276,672 | ||||||||||||
Philippines | 5,501 | 60,343 | — | 65,844 | ||||||||||||
Poland | 30,375 | 236,244 | — | 266,619 | ||||||||||||
Portugal | — | 122,421 | — | 122,421 | ||||||||||||
Singapore | 53,494 | 976,076 | — | 1,029,570 | ||||||||||||
South Africa | — | 81,921 | — | 81,921 | ||||||||||||
Spain | 146,241 | 18,925 | — | 165,166 | ||||||||||||
Sweden | — | 24,569 | — | 24,569 |
43 | Annual Report/September 30, 2017 |
Table of Contents
AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
Switzerland | 177,271 | 1,324,869 | — | 1,502,140 | ||||||||||||
Taiwan | — | 3,267,557 | — | 3,267,557 | ||||||||||||
Thailand | — | 367,075 | 165,313 | 532,388 | ||||||||||||
United Kingdom | 428,932 | 872,596 | — | 1,301,528 | ||||||||||||
All Other | 32,106,356 | — | — | 32,106,356 | ||||||||||||
Preferred Stock | 12,438 | — | — | 12,438 | ||||||||||||
Rights | 175 | — | — | 175 | ||||||||||||
Repurchase Agreements | — | 519,000 | — | 519,000 | ||||||||||||
| ||||||||||||||||
Totals | $ | 33,573,572 | $ | 24,962,618 | $ | 165,313 | $ | 58,701,503 | ||||||||
| ||||||||||||||||
AllianzGI Global Small-Cap Opportunities: | ||||||||||||||||
Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant | Value at 9/30/17 | |||||||||||||
| ||||||||||||||||
Investments in Securities - Assets | ||||||||||||||||
Common Stock: | ||||||||||||||||
Australia | $ | — | $ | 44,447 | $ | — | $ | 44,447 | ||||||||
China | — | 323,868 | — | 323,868 | ||||||||||||
Denmark | — | 86,040 | — | 86,040 | ||||||||||||
Germany | — | 63,015 | — | 63,015 | ||||||||||||
Hong Kong | 18,825 | 130,252 | — | 149,077 | ||||||||||||
Indonesia | — | 38,660 | — | 38,660 | ||||||||||||
Italy | — | 110,571 | — | 110,571 | ||||||||||||
Japan | — | 547,202 | — | 547,202 | ||||||||||||
Korea (Republic of) | 10,329 | 84,930 | — | 95,259 | ||||||||||||
Malaysia | — | 21,583 | — | 21,583 | ||||||||||||
New Zealand | — | 82,803 | — | 82,803 | ||||||||||||
Poland | — | 142,347 | — | 142,347 | ||||||||||||
Singapore | 17,838 | 71,471 | — | 89,309 | ||||||||||||
Switzerland | — | 44,216 | — | 44,216 | ||||||||||||
Taiwan | — | 177,867 | — | 177,867 | ||||||||||||
Thailand | — | 11,540 | 22,445 | 33,985 | ||||||||||||
Turkey | — | 106,646 | — | 106,646 | ||||||||||||
All Other | 2,911,355 | — | — | 2,911,355 | ||||||||||||
| ||||||||||||||||
2,958,347 | 2,087,458 | 22,445 | 5,068,250 | |||||||||||||
| ||||||||||||||||
Other Financial Instruments* – Assets | ||||||||||||||||
Foreign Exchange Contracts | — | 209 | — | 209 | ||||||||||||
| ||||||||||||||||
Other Financial Instruments* – Liabilities | ||||||||||||||||
Foreign Exchange Contracts | — | (464 | ) | — | (464) | |||||||||||
| ||||||||||||||||
Totals | $ | 2,958,347 | $ | 2,087,203 | $ | 22,445 | $ | 5,067,995 | ||||||||
|
At September 30, 2017, the following Portfolios had transfers between Levels 1 and 2:
Transfers | ||||||
Level 1 to Level 2(a) | Level 2 to Level 1(b) | |||||
AllianzGI Best Styles Global Managed Volatility | $341,623 | $809,602 | ||||
AllianzGI Global Small-Cap Opportunities | 44,216 | — |
(a) This transfer was a result of securities trading outside the U.S. whose values were not adjusted by the application of a modeling tool at September 30, 2016, which was applied on September 30, 2017.
(b) This transfer was a result of securities trading outside the U.S. whose values were adjusted by the application of a modeling tool at September 30, 2016, which was not applied on September 30, 2017.
44 | Annual Report/September 30, 2017 |
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2017, was as follows:
AllianzGI Best Styles Global Managed Volatility:
Beginning Balance 9/30/16 | Purchases | Sales | Accrued Discount (Premiums) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation/ Depreciation | Transfers into Level 3 | Transfers
| Ending 9/30/17 | ||||||||||||||||||||||||||||||||||||
Investments in Securities - Assets |
| |||||||||||||||||||||||||||||||||||||||||||
Common Stock: | ||||||||||||||||||||||||||||||||||||||||||||
Thailand | $ | 679,583 | $ | 167,990 | $ | (678,207) | $ | — | $ | (9,075) | $ | 5,022 | $ | — | $ | — | $ | 165,313 | ||||||||||||||||||||||||||
|
AllianzGI Global Small-Cap Opportunities:
Beginning Balance 9/30/16 | Purchases | Sales | Accrued Discount (Premiums) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation/ Depreciation | Transfers into Level 3 | Transfers out of Level 3 | Ending Balance 9/30/17 | ||||||||||||||||||||||||||||||||||||
Investments in Securities - Assets |
| |||||||||||||||||||||||||||||||||||||||||||
Common Stock: | ||||||||||||||||||||||||||||||||||||||||||||
Thailand | $ | — | $ | 22,708 | $ | — | $ | — | $ | — | $ | (263) | $ | — | $ | — | $ | 22,445 | ||||||||||||||||||||||||||
|
The following tables present additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at September 30, 2017:
AllianzGI Best Styles Global Managed Volatility:
Ending Balance | Valuation Technique Used | Unobservable Inputs | Input Values | |||||||||||
| ||||||||||||||
Investments in Securities - Assets | ||||||||||||||
Common Stock |
|
$ 165,313 |
| Market/Value of Foreign Security Traded on Foreign Exchange | Price of Non-Resident Shares on Foreign Exchange | THB 26.80 |
AllianzGI Global Small-Cap Opportunities:
Ending Balance | Valuation Technique Used | Unobservable Inputs | Input Values | |||||||||
| ||||||||||||
Investments in Securities - Assets | ||||||||||||
Common Stock |
$ 22,445 | Market/Value of Foreign Security Traded on Foreign Exchange | Price of Non-Resident Shares on Foreign Exchange | THB 20.41-23.50 | ||||||||
THB – Thai Baht |
*Other financial instruments are derivatives, such as futures contracts and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.
The net change in unrealized appreciation/depreciation of Level 3 investments which the following Portfolios held at September 30, 2017 was:
AllianzGI Best Styles Global Managed Volatility | $ (2,677) | |
AllianzGI Global Small-Cap Opportunities | (263) |
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
Net realized gain (loss) and net change in unrealized appreciation/depreciation are reflected on the Statements of Operations.
(c) Investment Transactions and Investment Income. Investment transactions are accounted for on the trade date. Securities purchased and sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses on investments are determined on an identified cost basis. Interest income adjusted for the accretion of discounts and amortization of premiums is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized, respectively, to interest income. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, and then are recorded as soon after the ex-dividend date as the Portfolios, using reasonable diligence, become aware of such dividends. Dividend and interest income on the Statements of Operations are shown net of any foreign taxes withheld on income from foreign securities. Payments received from real estate investment trust securities may be comprised of dividends, realized gains and return of capital. The payment may initially be recorded as dividend income and may subsequently be reclassified as realized gains and/or return of capital upon receipt of information from the issuer. Payments considered return of capital reduce the cost basis of the respective security. Distributions, if any, in excess of the cost basis of a security are recognized as capital gains.
(d) Federal Income Taxes. The Portfolios intend to distribute all of their taxable income and to comply with the other requirements of Subchapter M of the U.S. Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. The Portfolios may be subject to excise tax based on distributions to shareholders.
Accounting for uncertainty in income taxes establishes for all entities, including pass-through entities such as the Portfolios, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. In accordance with provisions set forth under U.S. GAAP, the Investment Manager has reviewed the Portfolios’ tax positions for all open tax years. As of September 30, 2017, the Portfolios have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken. The Portfolios’ federal income tax returns since inception remain subject to examination by the Internal Revenue Service.
(e) Dividends and Distributions to Shareholders. The Portfolios (except AllianzGI Advanced Core Bond) declare dividends and distributions from net investment income and net realized capital gains, if any, annually. AllianzGI Advanced Core Bond declares dividends from net investment income quarterly and distributions from net realized capital gains, if any, annually. The Portfolios record dividends and distributions to their respective shareholders on the ex-dividend date. The amount of dividends from net investment income and distributions from net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book-tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. To the extent dividends and/or distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as dividends and/or distributions to shareholders from return of capital.
(f) Foreign Currency Translation. The Portfolios’ accounting records are maintained in U.S. dollars as follows: (1) the foreign currency market values of investments and other assets and liabilities denominated in foreign currencies are translated at the prevailing exchange rate at the end of the period; and (2) purchases and sales, income and expenses are translated at the prevailing exchange rate on the respective dates of such transactions. The resulting net foreign currency gain (loss) is included in the Portfolios’ Statements of Operations.
The Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign currency gain (loss) for both financial reporting and income tax reporting purposes.
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
(g) Repurchase Agreements. The Portfolios are parties to Master Repurchase Agreements (“Master Repo Agreements”) with select counterparties. The Master Repo Agreements include provisions for initiation of repurchase transactions, income payments, events of default, and maintenance of collateral.
The Portfolios enter into transactions, under the Master Repo Agreements, with their custodian bank or securities brokerage firms whereby they purchase securities under agreements (i.e., repurchase agreements) to resell such securities at an agreed upon price and date. The Portfolios, through their custodian, take possession of securities collateralizing the repurchase agreement. Such agreements are carried at the contract amount in the financial statements, which is considered to represent fair value. The collateral that is pledged (i.e. the securities received by the Portfolios), which consists primarily of U.S. government obligations and asset-backed securities, is held by the custodian bank for the benefit of the Portfolios until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Portfolios require that the market value of the collateral, including accrued interest thereon, be sufficient in the event of default by the counterparty. If the counterparty defaults under the Master Repo Agreements and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Portfolios may be delayed or limited. The gross values are included in the Portfolios’ Schedules of Investments. As of September 30, 2017, the value of the related collateral exceeded the value of the repurchase agreements.
(h) Rights. The Portfolios may receive rights. A right is a privilege granted to existing shareholders of a corporation to subscribe for shares of a new issue of common stock before it is issued. Rights normally have a short life, usually two to four weeks, are freely transferable and entitle the holder to buy the new common stock at a lower price than the public offering price. Rights may entail greater risks than certain other types of investments. Generally, rights do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the right, the right will expire worthless. Rights may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities.
(i) U.S. Government Agencies or Government-Sponsored Enterprises. Securities issued by U.S. Government agencies or government-sponsored enterprises may not be guaranteed by the U.S. Treasury. The Government National Mortgage Association (“GNMA” or “Ginnie Mae”), a wholly-owned U.S. Government corporation, is authorized to guarantee, with the full faith and credit of the U.S. Government, the timely payment of principal and interest on securities issued by institutions approved by GNMA and backed by pools of mortgages insured by the Federal Housing Administration or guaranteed by the Department of Veterans Affairs. Government-related guarantors not backed by the full faith and credit of the U.S. Government include the Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but its participation certificates are not backed by the full faith and credit of the U.S. Government.
(j) Exchange-Traded Funds. Certain Portfolios may invest in exchange-traded-funds (“ETFs”), which typically are index-based investment companies that hold substantially all of their assets in securities representing their specific index, but may also be actively-managed investment companies. Shares of ETFs trade throughout the day on an exchange and represent an investment in a portfolio of securities and other assets. As a shareholder of another investment company, the Portfolios would bear their pro rata portion of the other investment company’s expenses, including advisory fees, in addition to the expenses the Portfolios bear directly in connection with their own operations.
(k) When-Issued/Delayed-Delivery Transactions. When-issued or delayed-delivery transactions involve a commitment to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolios will set aside and maintain until the
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
settlement date in a designated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, the Portfolios assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations; consequently, such fluctuations are taken into account when determining the NAV. The Portfolios may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a realized gain or loss. When a security is sold on a delayed-delivery basis, the Portfolios do not participate in future gains and losses with respect to the security.
(l) Securities Traded on To-Be-Announced Basis. The Portfolios may from time to time purchase securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Portfolio commits to purchasing or selling securities for which all specific information is not yet known at the time of the trade, particularly the face amount and maturity date of the underlying security transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Portfolio, normally 15 to 45 days later. Beginning on the date the Portfolio enters into a TBA transaction, cash, U.S. government securities or other liquid securities are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations, and their current value is determined in the same manner as for other securities.
(m) Organizational and Offering Costs. Organizational costs are expensed at the inception of the Portfolios. Offering costs are amortized over a twelve-month period from the inception of each Portfolio.
2. PRINCIPAL RISKS
In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to, among other things, changes in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The Portfolios are also exposed to other risks such as, but not limited to, interest rate, foreign currency, credit and leverage risks.
Interest rate risk is the risk that fixed income securities’ valuations will change because of changes in interest rates. During periods of rising nominal interest rates, the values of fixed income instruments are generally expected to decline. Conversely, during periods of declining nominal interest rates, the values of fixed income instruments are generally expected to rise. To the extent that a fund effectively has short positions with respect to fixed income instruments, the values of such short positions would generally be expected to rise when nominal interest rates rise and to decline when nominal interest rates decline. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is used primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e., yield) movements. Interest rate changes can be sudden and unpredictable, and the Portfolios may lose money as a result of movements in interest rates. High-yield or junk bonds are subject to greater levels of credit and liquidity risk, may be speculative and may decline in value due to increase in interest rates or an issuer’s deterioration or default. The Portfolios may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended. The values of equity and other non-fixed income securities may decline due to fluctuations in interest rates.
Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When the Portfolios hold variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Portfolios’ shares.
The Portfolios are exposed to credit risk, which is the risk of losing money if the issuer or guarantor of a fixed income security is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
To the extent the Portfolios directly invest in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, they will be subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including economic growth, inflation, changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or the imposition of currency controls or other political developments in the United States or abroad. As a result, the Portfolios’ investments in foreign currency-denominated securities may reduce the returns of the Portfolios.
The Portfolios are subject to elements of risk not typically associated with investments in the U.S., due to concentrated investments in foreign issuers located in a specific country or region. Such concentrations will subject the Portfolios to additional risks resulting from future political or economic conditions in such country or region and the possible imposition of adverse governmental laws or currency exchange restrictions affecting such country or region, which could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies.
The market values of securities may decline due to general market conditions (market risk) which 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, adverse changes to credit markets or adverse investor sentiment. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity-related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by the Portfolios. Even when markets perform well, there is no assurance that the investments held by the Portfolios will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.
The Portfolios are exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will default. The potential loss to the Portfolios could exceed the value of the financial assets recorded in the Portfolios’ financial statements. Financial assets, which potentially expose the Portfolios to counterparty risk, consist principally of cash due from counterparties and investments. The Investment Manager seeks to minimize the Portfolios’ counterparty risk by performing reviews of each counterparty and by minimizing concentration of counterparty risk by undertaking transactions with multiple customers and counterparties on recognized and reputable exchanges. Delivery of securities sold is only made once the Portfolios’ have received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
The Portfolios are exposed to risks associated with leverage. Leverage may cause the value of the Portfolios’ shares to be more volatile than if the Portfolios did not use leverage. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolios’ portfolio securities. The Portfolios may engage in transactions or purchase instruments that give rise to forms of leverage. In addition, to the extent the Portfolios employ dividend and interest costs may not be recovered by any appreciation of the securities purchased with the leverage proceeds and could exceed the Portfolios’ investment returns, resulting in greater losses.
The Portfolios are party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, over-the-counter derivatives and foreign exchange contracts entered into by the Portfolios and those counterparties. The ISDA Master Agreements contain 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 transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements of the Portfolios.
The considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”) between the Portfolios and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.
49 | Annual Report/September 30, 2017 |
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
3. FINANCIAL DERIVATIVE INSTRUMENTS
Disclosure about derivatives and hedging activities requires qualitative disclosure regarding objectives and strategies for using derivatives, quantitative disclosure about fair value amounts of gains and losses on derivatives, and disclosure about credit-risk-related contingent features in derivative agreements. The disclosure requirements distinguish between derivatives which are accounted for as “hedges”, and those that do not qualify for such accounting. Although the Portfolios at times use derivatives for hedging purposes, the Portfolios reflect derivatives at fair value and recognize changes in fair value through the Portfolios’ Statements of Operations, and such derivatives do not qualify for hedge accounting treatment.
Futures Contracts. The Portfolios use futures contracts to manage their exposure to the securities markets or the movements in interest rates and currency values. A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into such a contract, the Portfolios are required to pledge to the broker an amount of cash or securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contracts, the Portfolios agree to receive from or pay to the broker an amount of cash or securities equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as “variation margin” and are recorded by the Portfolios as unrealized appreciation or depreciation. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contracts at the time they were opened and the value at the time they were closed. Any unrealized appreciation or depreciation recorded is simultaneously reversed. The use of futures transactions involves various risks, including the risk of an imperfect correlation in the movements in the price of futures contracts, interest rates and underlying hedging assets, and possible inability or unwillingness of counterparties to meet the terms of their contracts.
Forward Foreign Currency Contracts. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. The Portfolios enter into these contracts for purposes of increasing exposure to a foreign currency or shifting exposure to foreign currency fluctuations from one country to another. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. All commitments are marked to market daily at the applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties 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 addition, these contracts may involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Portfolios’ Statements of Assets and Liabilities.
The following is a summary of the Portfolios’ derivatives categorized by risk exposure.
The effect of derivatives on the Statements of Assets and Liabilities at September 30, 2017:
AllianzGI Advanced Core Bond:
Location | Interest Rate Contracts | |||
Asset derivatives: | ||||
Receivable for variation margin on futures contracts* | $ | 115,250 |
* | Included in net unrealized appreciation of $115,250 on futures contracts as reported in the Portfolio’s Notes to Schedule of Investments. |
AllianzGI Global Small-Cap Opportunities:
Location | Foreign Exchange Contracts | |||
Asset derivatives: | ||||
Unrealized appreciation of forward foreign currency contracts | $ | 209 | ||
Liability derivatives: | ||||
Unrealized depreciation of forward foreign currency contracts | $ | (464 | ) |
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
The effect of derivatives on the Statements of Operations for the year ended September 30, 2017:
AllianzGI Advanced Core Bond:
Location | Interest Rate Contracts | |||
Net realized gain on: | ||||
Futures contracts | $ | 38,772 | ||
Net change in unrealized appreciation/depreciation of: | ||||
Futures contracts | $ | 110,856 |
AllianzGI Best Styles Global Managed Volatility:
Location | Market Price | Foreign Exchange Contracts | Total | |||
Net realized gain on: | ||||||
Futures contracts | $ 480,071 | — | $ 480,071 | |||
Foreign currency transaction (forward currency contracts) | — | $ 1,464 | 1,464 | |||
Total net realized gain | $ 480,071 | $ 1,464 | $ 481,535 | |||
Net change in unrealized appreciation/depreciation of: | ||||||
Futures contracts | $ (59,016) | — | $ (59,016) |
AllianzGI Global Small-Cap Opportunities:
Location | Foreign Exchange Contracts | |
Net realized loss on: | ||
Foreign currency transaction (forward currency contracts) | $ (3,594) | |
Net change in unrealized appreciation/depreciation of: | ||
Foreign currency transaction (forward currency contracts) | $ (255) |
The average volume (based on open positions at each fiscal month-end) of derivative activity during the year ended September 30, 2017:
Forward Foreign Currency Contracts (2) | Futures Contracts (1) | |||||||
| ||||||||
Purchased | Sold | Long | Short | |||||
| ||||||||
AllianzGI Advanced Core Bond | — | — | — | 119 | ||||
AllianzGI Best Styles Global Managed Volatility | —† | —† | 34 | — | ||||
AllianzGI Global Small-Cap Opportunities | $ 4,050 | $ 12,293 | — | — |
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September 30, 2017
† | Portfolio had derivative activity during the period but it did not have open positions at any month-end in the period. |
(1) | Number of contracts |
(2) | U.S. $ value on origination date |
4. INVESTMENT MANAGER/DISTRIBUTOR FEES/DEFERRED COMPENSATION
Investment Management Fee. During the reporting period, each Portfolio had an Investment Management Agreement (for the purpose of this section, collectively the “Agreement”) with the Investment Manager. Subject to the supervision of the Trust’s Board, the Investment Manager was responsible for managing, either directly or through others selected by it, each Portfolio’s investment activities, business affairs and administrative matters. Pursuant to the Agreement, the Investment Manager received an annual fee, payable monthly, at an annual rate of each Portfolio’s average daily net assets (the “Investment Management Fee”).
The Investment Management fee was charged at an annual rate as indicated in the following table:
Management Fee | ||
AllianzGI Advanced Core Bond | 0.30% | |
AllianzGI Best Styles Global Managed Volatility | 0.40 | |
AllianzGI Global Small-Cap Opportunities | 0.90 |
Distribution Fees. Allianz Global Investors Distributors LLC (the “Distributor”), an affiliate of AAM and the Investment Manager, serves as the distributor of the Portfolios’ shares pursuant to a Distribution Contract. The Distributor, for each of the Portfolios, currently receives no compensation in connection with the services it provides under the Distribution Contract.
Deferred Compensation. Trustees do not currently receive any pension or retirement benefits from the Trust. The Trust has adopted a deferred compensation plan (the “Plan”) for the Trustees, which permits the Trustees to defer their receipt of compensation from the Trust, at their election, in accordance with the terms of the Plan. Under the Plan, each Trustee may elect not to receive all or a portion of his or her fees from the Trust on a current basis but to receive in a subsequent period chosen by the Trustee an amount equal to the value of such compensation if such compensation had been invested in one or more series of Allianz Funds Multi-Strategy Trust or Allianz Funds selected by the Trustees from and after the normal payment dates for such compensation. The deferred compensation program is structured such that the Trust remains in substantially the same financial position whether Trustee fees are paid when earned or deferred.
5. EXPENSE LIMITATION/MANAGEMENT FEE WAIVER AND RECOUPMENT
The Trust and the Investment Manager have entered into Expense Limitation and Management Fee Waiver Agreements as indicated below:
Expense Limitation | ||
AllianzGI Advanced Core Bond (1) | 0.35% | |
AllianzGI Best Styles Global Managed Volatility (2) | 0.45 | |
AllianzGI Global Small-Cap Opportunities (3) | 1.20 |
1. The Investment Manager has contractually agreed to irrevocably waive its management fee or reimburse the Portfolio through January 31, 2018, to the extent that Total Annual Portfolio Operating Expenses, including payment of organizational expenses but excluding interest, tax and extraordinary expenses, and certain credits and other expenses, exceed 0.35%. Under the Expense Limitation Agreement, the Investment Manager may recoup waived or reimbursed amounts for three years, provided total expenses, including such recoupment, do not exceed the annual expense limit in effect at the time of such waiver/reimbursement or recoupment. The Expense Limitation Agreement is terminable by the Trust upon 90 days’ prior written notice to the Manager or at any time by mutual agreement of the parties.
2. The Investment Manager has contractually agreed to irrevocably waive its management fee or reimburse the Portfolio through January 31, 2018, to the extent that Total Annual Portfolio Operating Expenses, including payment of organizational expenses but excluding interest, tax and extraordinary expenses, and certain credits and other expenses, exceed 0.45%. Under the Expense Limitation Agreement, the Investment Manager may recoup waived or reimbursed amounts for three years, provided total expenses, including such recoupment, do not exceed the annual expense limit in effect at the time of such
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Notes to Financial Statements (continued)
September 30, 2017
waiver/reimbursement or recoupment. The Expense Limitation Agreement is terminable by the Trust upon 90 days’ prior written notice to the Manager or at any time by mutual agreement of the parties.
3. The Investment Manager has contractually agreed to irrevocably waive its management fee or reimburse the Portfolio through January 31, 2018, to the extent that Total Annual Portfolio Operating Expenses, including payment of organizational expenses but excluding interest, tax and extraordinary expenses, and certain credits and other expenses, exceed 1.20%. Under the Expense Limitation Agreement, the Investment Manager may recoup waived or reimbursed amounts for three years, provided total expenses, including such recoupment, do not exceed the annual expense limit in effect at the time of such waiver/reimbursement or recoupment. The Expense Limitation Agreement is terminable by the Trust upon 90 days’ prior written notice to the Manager or at any time by mutual agreement of the parties.
During the year ended September 30, 2017, the Investment Manager did not recoup any expenses from the Portfolios. The following represents the amounts that still can be recouped by the Investment Manager:
Unrecouped Expenses Waived/Reimbursed through Fiscal Period or Year ended | ||||||||||||||||
9/30/2015 | 9/30/2016 | 9/30/2017 | Totals | |||||||||||||
AllianzGI Advanced Core Bond | — | $275,685 | $141,917 | $417,602 | ||||||||||||
AllianzGI Best Styles Global Managed Volatility | — | 205,431 | 258,092 | 463,523 | ||||||||||||
AllianzGI Global Small-Cap Opportunities | $260,824 | 209,673 | 144,937 | 615,434 |
6. INVESTMENTS IN SECURITIES
For the year ended September 30, 2017, purchases and sales of investments, other than short-term securities, U.S. government obligations and in-kind transactions were:
Purchases | Sales | |||
AllianzGI Advanced Core Bond | $74,284,451 | $60,682,799 | ||
AllianzGI Best Styles Global Managed Volatility # | 20,464,317 | 38,658,901 | ||
AllianzGI Global Small-Cap Opportunities | 6,868,747 | 8,224,232 |
Purchases and sales in U.S. government obligations were:
Purchases | Sales | |||||||
AllianzGI Advanced Core Bond | $581,351,752 | $628,601,216 |
# See Note 10 for information on in-kind transactions.
7. INCOME TAX INFORMATION
The tax character of dividends and distributions paid was:
Year ended September 30, 2017 | Period ended September 30, 2016 | |||||||||||||||||||||||||||
Ordinary Income (1) | 15% Long-Term Capital Gain | 25% Long-Term Capital Gain | Ordinary Income (1) | |||||||||||||||||||||||||
AllianzGI Advanced Core Bond | $ | 8,178,660 | $ | 89,772 | - | $ | 367,778 | |||||||||||||||||||||
AllianzGI Best Styles Global Managed Volatility | 1,341,272 | 90,973 | $ | 668 | - | |||||||||||||||||||||||
AllianzGI Global Small-Cap Opportunities | 70,039 | - | - | 29,791 |
(1) Includes short-term capital gains, if any.
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
At September 30, 2017, the components of distributable earnings were:
Long-Term | Post-October Capital Loss (Gain) (2) | |||||||||||||||
Ordinary Income | Capital Gains | Short-Term | Long-Term | |||||||||||||
AllianzGI Advanced Core Bond | $ | 132,654 | - | $ | 573,994 | $ | 1,005,000 | |||||||||
AllianzGI Best Styles Global Managed Volatility | 3,061,856 | 934,801 | - | - | ||||||||||||
AllianzGI Global Small-Cap Opportunities | 291,663 | 412,189 | - | - |
(2) Capital losses realized during the period November 1, 2016 through September 30, 2017 which the Portfolios elected to defer to the following taxable year pursuant to income tax regulations.
For the year ended September 30, 2017, the Portfolio had capital loss carryforwards which were utilized as follows:
Post-Enactment Utilized | ||||||||
Short-Term | Long-Term | |||||||
AllianzGI Global Small-Cap Opportunities Portfolio | $ | 240,666 | $ | - |
For the year ended September 30, 2017, permanent “book-tax” adjustments were:
Undistributed (Dividends in Excess of) Net Investment Income | Accumulated Net Realized Gain(Loss) | Paid-in Capital | Net unrealized appreciation (depreciation) | |||||||||||||
AllianzGI Advanced Core Bond (a)(e) | $ | 1,581,381 | $ | (1,581,381 | ) | - | - | |||||||||
AllianzGI Best Styles Global Managed Volatility (b)(c)(d)(f)(g) | 131,892 | (64,484 | ) | $ | (48,015 | ) | $ | (19,393 | ) | |||||||
AllianzGI Global Small-Cap Opportunities Portfolio (b)(c)(d) | 26,234 | (26,823 | ) | - | 589 |
These permanent “book-tax” differences were primarily attributable to:
(a) | Reclassification of dividends/distributions |
(b) | Reclassifications related to investments in Real Estate Investment Trusts (REITs) |
(c) | Reclassification of gains and losses from foreign currency transactions |
(d) | Reclassification of gains from securities classified as Passive Foreign Investment Companies (“PFICs”) for tax purposes |
(e) | Reversal of bond premium amortization |
(f) | Gain/Loss on redemption in kind |
(g) | Section 1291(f) gain recognition on PFIC redemption in kind sales |
Net investment income, net realized gains or losses and net assets were not affected by these adjustments.
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
At September 30, 2017, the aggregate cost basis and the net unrealized appreciation (depreciation) of investments in securities and other financial instruments for federal income tax purposes were:
Federal Tax Cost Basis(3) | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
AllianzGI Advanced Core Bond | $183,153,404 | $1,062,244 | $1,423,102 | ($360,858 | ) | |||||||||||
AllianzGI Best Styles Global Managed Volatility | 50,561,846 | 9,216,735 | 1,077,078 | 8,139,657 | ||||||||||||
AllianzGI Global Small-Cap Opportunities | 4,329,312 | 780,452 | 41,769 | 738,683 |
(3) Differences, if any, between book and tax cost basis are primarily attributable to wash sale loss deferrals, return of capital distributions from REITs, PFIC mark-to-market, and Section 1256 futures contracts mark-to-market.
8. SIGNIFICANT ACCOUNT HOLDERS
From time to time, a Portfolio may have a concentration of shareholders, which may include the Investment Manager or affiliates of the Investment Manager, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact to a Portfolio.
At September 30, 2017, the significant account-holders, owners of 5% or greater of each respective Portfolio’s outstanding shares, were as follows:
| Unaffiliated
| Affiliated*
| ||||||||||||
Number of Account Holders | Approximate Ownership | Number of Account Holders | Approximate Ownership | AFI | ||||||||||
AllianzGI Advanced Core Bond | — | — | 3 | 94% | — | |||||||||
AllianzGI Best Styles Global Managed Volatility | — | — | 2 | 100% | — | |||||||||
AllianzGI Global Small-Cap Opportunities | — | — | — | — | 100 | % |
*This represents the aggregate percentage of affiliated entities that own 5% or more of the Fund’s outstanding shares. These affiliated entities include funds/portfolios of the Allianz Funds Multi-Strategy Trust and Allianz Multi-Series Collective Investment Trust.
9. FUND EVENTS
On July 31, 2017, the AllianzGI Discovery U.S. Portfolio liquidated as a series of the Trust.
On October 1, 2016, AGIFM merged into AllianzGI U.S., and AllianzGI U.S. assumed responsibility as the Portfolios’
Investment Manager, as described in greater detail in Note 1.
10. IN-KIND TRANSACTIONS
During the year ended September 30, 2017, AllianzGI Best Styles Global Managed Volatility transferred securities and cash to its shareholders in connection with redemption in-kind transactions. These transactions were treated as a sale of securities for U.S. GAAP, and the resulting gains of $189,396 and losses of $228,285 were recognized based on the market value of the securities on the date of the transfer. For tax purposes, no gains or losses were recognized. The realized gains and losses from the redemption in-kind are netted and recorded as net realized loss on investments on the Statements of Operations.
AllianzGI Best Styles Global Managed Volatility redeemed 281,327 shares in-kind with a redemption value of $4,428,093. The number of shares redeemed and redemption value are included in the “Shares Redeemed” and the “Cost of shares Redeemed” on the Statement of Changes in Net Assets.
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AllianzGI Institutional Multi-Series Trust
Notes to Financial Statements (continued)
September 30, 2017
11. BORROWINGS
During a portion of the reporting period, the Trust was party to a credit agreement (the “Northern Trust Agreement”), among the Trust, Allianz Funds, Allianz Funds Multi-Strategy Trust and Premier Multi-Series VIT, as borrowers (collectively, the “AllianzGI Borrowers” and each series thereof, an “AllianzGI Borrower Fund”), and Northern Trust Company, as lender, for a committed line of credit. The Northern Trust Agreement permitted the AllianzGI Borrowers to borrow up to $200 million in aggregate, subject to (i) a requirement that each AllianzGI Borrower Fund’s asset coverage with respect to senior securities representing indebtedness be 300% or higher, and (ii) certain other limitations and conditions. Each AllianzGI Borrower Fund paid interest on any amounts borrowed under the facility at the greater of (i) the federal funds overnight rate plus 1.00% or (ii) 1.50%, subject to upward adjustment when any past-due payments were outstanding. The AllianzGI Borrowers also paid a usage fee at an annualized rate of 0.15% on undrawn amounts, allocated pro rata among the AllianzGI Borrower Funds on the basis of net assets.
The Northern Trust Agreement had an original maturity date of July 29, 2016, which was extended by 90 days and expired on October 27, 2016.
On October 27, 2016, the Trust entered into a credit agreement (the “State Street Agreement”), among AllianzGI Borrowers and State Street Bank and Trust Company, as agent and lender, for a committed line of credit. The State Street Agreement replaced a preexisting credit agreement with the Northern Trust Company. The State Street Agreement had a 364 day term through October 26, 2017 and permitted the AllianzGI Borrowers to borrow up to $200 million in aggregate, subject to (i) a requirement that each AllianzGI Borrower Fund’s asset coverage with respect to senior securities representing indebtedness be 300% or higher, and (ii) certain other limitations and conditions. Each AllianzGI Borrower Fund will pay interest on any amounts borrowed under the facility at a rate per annum equal to 1.25% plus the higher of the then-current federal funds overnight rate or the one-month LIBOR rate, subject to upward adjustment when any past due payments are outstanding. The AllianzGI Borrowers also pay a usage fee at an annualized rate of 0.25% on undrawn amounts, allocated pro rata among the AllianzGI Borrower Funds on the basis of net assets. Amounts borrowed may be repaid and reborrowed on a revolving basis during the term of the facility.
The Portfolios did not utilize either line of credit during the year ended September 30, 2017.
Pursuant to an exemptive order issued by the SEC (the “Order”), the Portfolios are authorized to enter into a master interfund lending agreement (the “Interfund Program”) with each other and certain funds advised by the Investment Manager. The Order permits certain Portfolios to lend money directly to and borrow money directly from other Portfolios for temporary purposes through the Interfund Program.
During the year ended September 30, 2017, the Portfolios did not participate as a borrower or lender in the Interfund Program.
12. SUBSEQUENT EVENTS
In preparing these financial statements, the Portfolios’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
The State Street Agreement had an original maturity date of October 26, 2017, which was extended by an additional 364-day period by amendment effective October 26, 2017. The Amendment permits the AllianzGI Borrowers to borrow up to $200 million in aggregate, subject to (i) a requirement that each AllianzGI Borrower Fund’s asset coverage with respect to senior securities representing indebtedness be 300% or higher, and (ii) certain other limitations and conditions.
There were no other subsequent events identified that require recognition or disclosure.
56 | Annual Report/September 30, 2017 |
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of AllianzGI Institutional Multi-Series Trust and the Shareholders of AllianzGI Advanced Core Bond Portfolio, AllianzGI Best Styles Global Managed Volatility Portfolio, and AllianzGI Global Small-Cap Opportunities Portfolio
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of AllianzGI Advanced Core Bond Portfolio, AllianzGI Best Styles Global Managed Volatility Portfolio, and AllianzGI Global Small-Cap Opportunities Portfolio (each a portfolio constituting the AllianzGI Institutional Multi-Series Trust, hereafter referred to as the “Funds”) as of September 30, 2017, the results of operations for the year then ended, the changes in net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated for AllianzGI Global Small-Cap Opportunities Portfolio, the results of operations for the year then ended, the changes in net assets and the financial highlights for the year then ended and for the period October 30, 2015 (commencement of operations) through September 30, 2016 for AllianzGI Advanced Core Bond Portfolio, and the results of operations for the year then ended, the changes in net assets and the financial highlights for the year then ended and for the period April 11, 2016 (commencement of operations) through September 30, 2016 for AllianzGI Best Styles Global Managed Volatility Portfolio, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian, agent banks, brokers and transfer agents, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 21, 2017
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AllianzGI Institutional Multi-Series Trust
Federal Tax Information (unaudited)
As required by the Internal Revenue Code, shareholders must be notified regarding certain tax attributes of distributions made by each Fund.
During the period ended September 30, 2017, the following Portfolios distributed long-term capital gains in the amounts indicated (or the maximum amount allowable):
15% Long-Term Capital Gain | 25% Long-Term Capital Gain | |||||||
AllianzGI Advanced Core Bond | $ | 89,772 | - | |||||
AllianzGI Best Styles Global Managed Volatility | 90,973 | $668 |
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended September 30, 2017, are designated as “qualified dividend income”:
AllianzGI Advanced Core Bond | 0 | % | ||
AllianzGI Best Styles Global Managed Volatility | 62 | % | ||
AllianzGI Global Small-Cap Opportunities | 85 | % |
Corporate shareholders are generally entitled to take the dividend received deduction on the portion of a Portfolio’s dividend distribution that qualifies under tax law. The percentage of the following Portfolios’ ordinary income dividends paid during the fiscal year ended September 30, 2017, that qualify for the corporate dividend received deduction is set forth below:
AllianzGI Advanced Core Bond | 0 | % | ||
AllianzGI Best Styles Global Managed Volatility | 32 | % | ||
AllianzGI Global Small-Cap Opportunities | 22 | % |
Since the Portfolios tax year is not the calendar year, another notification will be sent with respect to calendar year 2017. In January 2018, shareholders will be advised on IRS Form 1099-DIV as to the federal tax status of the dividends and distributions received during calendar year 2017. The amount that will be reported will be the amount to use on the shareholder’s 2017 federal income tax return and may differ from the amount which must be reported in connection with the Portfolios tax year ended September 30, 2017. Shareholders are advised to consult their tax advisers as to the federal, state and local tax status of the dividend income received from the Portfolios.
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AllianzGI Institutional Multi-Series Trust
Matters Relating to the Trustees’ Consideration of the Investment Management
Agreements (unaudited)
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees (the “Board” or “Trustees”) and a majority of the Trustees who are not interested persons of the Trust (the “Independent Trustees”), voting separately, annually approve the continuation of the Trust’s Investment Management Agreement (the “Investment Management Agreement”) on behalf of AllianzGI Global Small-Cap Opportunities Portfolio, AllianzGI Advanced Core Bond Portfolio, AllianzGI Discovery U.S. Portfolio and AllianzGI Best Styles Global Managed Volatility Portfolio (each a “Portfolio” together the “Portfolios”) with Allianz Global Investor U.S. LLC (“AllianzGI U.S.” or the “Investment Manager”).
The Trustees met in person on June 6, 2017 for the specific purpose of considering whether to approve the continuation of the Investment Management Agreement for an additional year. The Contracts Committee of the Board of Trustees, which is comprised of all of the Independent Trustees, met on May 22, 2017 and June 6, 2017 with independent counsel to discuss the materials provided by the Investment Manager in response to the Independent Trustees’ written request for information regarding the annual renewal. Representatives from fund management attended portions of those meetings to, among other topics, review the comparative fee and expense information and comparative performance information prepared and provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third party, for each Portfolio using its respective Broadridge peer groups for performance and expense comparisons.
At their meeting held on June 6, 2017, the Board and the Independent Trustees unanimously approved the continuation of the Investment Management Agreement for an additional one-year period through June 30, 2018, with respect to the Portfolios.
In connection with their deliberations regarding the approval of the Investment Management Agreement, the Independent Trustees considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. As described below, the Independent Trustees considered the nature, quality and extent of the various investment management, administrative and other services to be performed by the Investment Manager under the Investment Management Agreement.
The material factors and conclusions that formed the basis of these approvals for the Portfolios are discussed below.
It was noted that, on October 1, 2016, during the period under review, Allianz Global Investors Fund Management LLC (“AGIFM”), the former investment manager to the Portfolios, merged into AllianzGI U.S., the former sub-adviser to the Portfolios, after which AllianzGI U.S. assumed AGIFM’s roles as investment manager and administrator to the Portfolios and continued to provide the day-to-day portfolio management services it previously provided as sub-adviser in its new capacity as Investment Manager, and the applicable sub-advisory agreements with AllianzGI U.S. were terminated. It was noted that the merger was not expected to have any impact on the nature or quality of investment advisory or administrative services provided to the Portfolios.
In connection with their contract review meetings, the Independent Trustees received and relied upon materials provided by the Investment Manager which included, among other items: (i) information provided by Broadridge Financial Solutions Inc. (“Broadridge”), an independent third party, for the Portfolios on the investment performance of a group of funds with investment classifications and/or objectives comparable to those of the Portfolios identified by Broadridge (the “Broadridge Performance Universe”), the performance of applicable benchmark indices and the total return investment performance (based on net assets) of the Portfolios for various time periods; (ii) information on the Portfolios’ management fees and other expenses and information provided by Broadridge, as applicable, on the management fees and other expenses of comparable funds identified by Broadridge (the “Broadridge Expense Group”), as applicable; (iii) to the extent applicable, information regarding the investment performance, fees and expenses for other mutual funds and separately managed accounts managed by the Investment Manager, or its affiliates with similar investment objective(s) and policies to those of each Portfolio, if any; (iv) an estimate of profitability to the Investment Manager from its relationship with the Portfolios for the twelve months ended December 31, 2016; (v) descriptions of various functions performed or to be performed by Investment Manager, such as portfolio management, compliance monitoring, portfolio trading practices and oversight of third party service providers; (vi) information regarding the overall organization and business functions of the Investment Manager, including, without limitation, information regarding senior management, portfolio managers and other personnel providing or proposed to provide investment management, administrative and other services and corporate ownership and business operations unrelated to each Portfolio; (vii) fact cards for each Portfolio including, among other information, performance comparisons
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AllianzGI Institutional Multi-Series Trust
Matters Relating to the Trustees’ Consideration of the Investment Management
Agreements (unaudited) (continued)
between each Portfolio and its Broadridge Performance Universe, investment objectives, total net assets, annual fund operating expenses for each share class, portfolio managers, total expense ratio and contractual management fee comparisons between each Portfolio and its Broadridge Expense Group and trends in profitability to the Investment Manager of its advisory relationship with each Portfolio; and (viii) summaries assigning a quadrant placement to each Portfolio for an institutional share class based on an average of certain measures of performance and fees/expenses versus peer group medians.
The Independent Trustees’ conclusions as to the approval of the Investment Management Agreement were based on a comprehensive consideration of all information provided to the Independent Trustees and were not the result of any single factor. Some of the factors that figured particularly in their deliberations are described below, although individual Independent Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors. The Independent Trustees recognized that the fee arrangements for the Portfolios are the result of review and discussion in the prior years between the Independent Trustees and the Investment Manager, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Independent Trustees’ conclusions may be based, in part, on their consideration of these same arrangements during the course of the year and in prior years. The Independent Trustees evaluated information available to them on a Portfolio-by-Portfolio basis, and their determinations were made separately in respect of each Portfolio. However, they also took into account the common interests of all series of the Trust in their review. The Independent Trustees also took into account that the Investment Manager had agreed to certain advisory fee waivers and expense caps for the Portfolios and had agreed to observe certain management fee waivers and/or expense limitations for certain Portfolios. The Independent Trustees also considered the risk profile of each Portfolio.
As part of their review, the Independent Trustees examined the ability of the Investment Manager to provide high-quality investment management and other services to each Portfolio. Among other information, the Independent Trustees considered the investment philosophy and research and decision-making processes of the Investment Manager; the experience of key advisory personnel of the Investment Manager or its affiliates who would be responsible for portfolio management of each Portfolio; the ability of the Investment Manager to attract and retain capable personnel; and the background and capabilities of the senior management and staff of the Investment Manager; employee compensation; and the operational infrastructure, including technology and systems, of the Investment Manager. In addition, the Independent Trustees reviewed the extent and quality of the Investment Manager’s services with respect to regulatory compliance and ability to comply with the investment policies of the Portfolios; the compliance programs and risk controls of the Investment Manager; the specific contractual obligations of the Investment Manager pursuant to the Investment Management Agreement; the nature, extent and quality of certain administrative services the Investment Manager is responsible for providing to the Portfolios; the Investment Manager’s risk management function; and conditions that might affect the Investment Manager’s ability to provide high quality services to the Portfolios in the future under the Investment Management Agreement, including, but not limited to, each organization’s respective financial condition and operational stability. Based on the foregoing, the Independent Trustees concluded that the Investment Manager’s and its affiliates’ investment processes, research capabilities and philosophy were well suited to each Portfolios, given each Portfolio’s respective investment objective and policies, that the Investment Manager would be able to continue to meet any reasonably foreseeable obligations under the Investment Management Agreement and that the Investment Manager would otherwise be able to provide services to the Portfolios of sufficient extent and quality.
Performance Information
Specific performance results for the Portfolios reviewed by the Independent Trustees are discussed below. The comparative performance information was prepared and provided by Broadridge and was not independently verified by the Independent Trustees. With respect to the Portfolios, the Independent Trustees reviewed, among other information, comparative information showing performance for each Portfolio against its respective Broadridge Performance Universe for the one-year period ended March 31, 2017. For the Advanced Core Bond Portfolio and the Discovery U.S. Portfolio, performance was below median (in the fifth quintile) for the one-year period against its respective Broadridge Performance Universe. For the Best Styles Global Managed Volatility Portfolio, performance was below median (in the fourth quintile) for the since inception period against its respective Broadridge Performance Universe. For the Global Small-Cap Opportunities Portfolio, AllianzGI Institutional Multi-Series Trust performance was above median (in the first quintile) for the one-year period against its respective Broadridge Performance Universe.
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AllianzGI Institutional Multi-Series Trust
Matters Relating to the Trustees’ Consideration of the Investment Management
Agreements (unaudited) (continued)
In addition, the Trustees considered matters bearing on the Portfolios and the advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting.
As part of their review, the Independent Trustees examined the ability of the Investment Manager to provide high-quality investment management and other services to the Portfolios.
Fee and Expense Information
In assessing the reasonableness of each Portfolio’s fees and expenses under the Investment Management Agreement, the Independent Trustees considered, among other information, each Portfolio’s contractual management fee and its total expense ratio (in comparison to each Portfolio’s Broadridge Expense Group). The Independent Trustees also noted the management fee waiver and/or expense limitation agreement observed by the Investment Manager for each Portfolio that caps fees or expenses of its shares.
In comparing each Portfolio to its respective Broadridge Expense Groups, with respect to expenses, the Independent Trustees noted that the Portfolios were not charged a separate administration fee, recognizing that its management fee includes a component for administrative services, while certain funds in the Portfolios’ Broadridge Expense Groups have separate advisory and administration agreements with separate fees.
The Independent Trustees noted that both contractual management fees and total expense ratios (taking fee waivers and/or expense limitations into account) (“Total Expense Ratio”) for shares of the Advanced Core Bond Portfolio, Best Styles Global Managed Volatility Portfolio and Global Small-Cap Opportunities Portfolio were below median for shares of each Portfolio’s Broadridge Expense Group. For the Discovery U.S. Portfolio, contractual management fees were at the median, and Total Expense Ratios (taking fee waivers and/or expense limitations into account) were above median and the highest expenses among the five funds in the Discovery U.S. Portfolio’s Broadridge Expense Group.
The Independent Trustees also considered, with respect to each Portfolio, the management fees charged by the Investment Manager to other funds and accounts, if any, with similar investment strategies to each Portfolio.
The Independent Trustees also considered the estimated profitability to the Investment Manager from its relationship with the Portfolios and determined that such profitability did not appear to be excessive. The Independent Trustees considered the extent to which the Investment Manager may realize economies of scale or other efficiencies in managing and supporting the Portfolios. The Independent Trustees indicated that they also took into account that, as open-end investment companies, the Portfolios intend to raise additional assets, so as the assets of the Portfolios grow over time, certain economies of scale and other efficiencies may be realized through spreading certain fixed costs across a larger asset base or across a variety of products and services, while also taking into account the management fee waiver and/or expense limitation arrangements observed by or proposed to be observed by the Investment Manager for each Portfolio. Additionally, the Independent Trustees considered so-called “fall-out benefits” to the Investment Manager and its affiliates, such as reputational value derived from serving as Investment Manager to the Portfolios. The Independent Trustees also took into account the entrepreneurial, legal, regulatory and business risks the Investment Manager has undertaken as investment manager and sponsor of the Portfolios.
After reviewing these and other factors described herein, the Independent Trustees concluded, with respect to each Portfolio, within the context of their overall conclusions regarding the Investment Management Agreement, and based on the information provided and related representations made by management, they were satisfied with the Investment Manager’s responses and on-going efforts relating to the investment performance of the Portfolios. The Independent Trustees also concluded that the fees payable under each of the Investment Management Agreement represent reasonable compensation in light of the nature, extent and quality of services provided by the Investment Manager and should be continued. After further discussion, and based on their evaluation of factors they deemed to be material, including those factors described above, the Independent Trustees concluded that the continuation of the Investment Management Agreement with respect to the Portfolios were in the interests of each applicable Portfolio and its shareholders and determined to recommend that the Investment Management Agreement be approved by the full Board.
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AllianzGI Institutional Multi-Series Trust
Please read this Policy carefully. It gives you important information about how Allianz Global Investors U.S. and its U.S. affiliates (“AllianzGI US,” “we” or “us”) handle non-public personal information (“Personal Information”) that we may receive about you. It applies to all of our past, present and future clients and shareholders of AllianzGI US and the funds and accounts it manages, advises, sub-advises, administers or distributes, and will continue to apply when you are no longer a client or shareholder. As used throughout this Policy, “AllianzGI US” means Allianz Global Investors U.S. LLC, Allianz Global Investors Distributors LLC, and the family of registered and unregistered funds managed by one or more of these firms. AllianzGI US is part of a global investment management group, and the privacy policies of other Allianz Global Investors entities outside of the United States may have provisions in their policies that differ from this Privacy Policy. Please refer to the website of the specific non-US Allianz Global Investors entity for its policy on privacy.
We Care about Your Privacy
We consider your privacy to be a fundamental aspect of our relationship with you, and we strive to maintain the confidentiality, integrity and security of your Personal Information. To ensure your privacy, we have developed policies that are designed to protect your Personal Information while allowing your needs to be served.
Information We May Collect
In the course of providing you with products and services, we may obtain Personal Information about you, which may come from sources such as account application and other forms, from other written, electronic, or verbal communications, from account transactions, from a brokerage or financial advisory firm, financial advisor or consultant, and/or from information you provide on our website.
You are not required to supply any of the Personal Information that we may request. However, failure to do so may result in us being unable to open and maintain your account, or to provide services to you.
How Your Information Is Shared
We do not disclose your Personal Information to anyone for marketing purposes. We disclose your Personal Information only to those service providers, affiliated and non-affiliated, who need the information for everyday business purposes, such as to respond to your inquiries, to perform services, and/or to service and maintain your account. This applies to all of the categories of Personal Information we collect about you. The affiliated and non-affiliated service providers who receive your Personal Information also may use it to process your transactions, provide you with materials (including preparing and mailing prospectuses and shareholder reports and gathering shareholder proxies), and provide you with account statements and other materials relating to your account. These service providers provide services at our direction, and under their agreements with us, are required to keep your Personal Information confidential and to use it only for providing the contractually required services. Our service providers may not use your Personal Information to market products and services to you except in conformance with applicable laws and regulations. We also may provide your Personal Information to your respective brokerage or financial advisory firm, custodian, and/or to your financial advisor or consultant.
In addition, we reserve the right to disclose or report Personal Information to non-affiliated third parties, in limited circumstances, where we believe in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities or pursuant to other legal process, or to protect our rights or property, including to enforce our Privacy Policy or other agreements with you. Personal Information collected by us may also be transferred as part of a corporate sale, restructuring, bankruptcy, or other transfer of assets.
Security of Your Information
We maintain your Personal Information for as long as necessary for legitimate business purposes or otherwise as required by law. In maintaining this information, we have implemented appropriate procedures that are designed to restrict access to your Personal Information only to those who need to know that information in order to provide products and/or services to you. In addition, we have implemented physical, electronic and procedural safeguards to help protect your Personal Information.
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AllianzGI Institutional Multi-Series Trust
Privacy Policy (unaudited) (continued)
Privacy and the Internet
The Personal Information that you provide through our website, as applicable, is handled in the same way as the Personal Information that you provide by any other means, as described above. This section of the Policy gives you additional information about the way in which Personal Information that is obtained online is handled.
• Online Enrollment, Account Access and Transactions: When you visit our website, you can visit pages that are open to the general public, or, where available, log into protected pages to enroll online, access information about your account, or conduct certain transactions. Access to the secure pages of our website is permitted only after you have created a User ID and Password. The User ID and Password must be supplied each time you want to access your account information online. This information serves to verify your identity. When you enter Personal Information into our website to enroll or access your account online, you will log into secure pages. By using our website, you consent to this Privacy Policy and to the use of your Personal Information in accordance with the practices described in this Policy. If you provide Personal Information to effect transactions, a record of the transactions you have performed while on the site is retained by us. For additional terms and conditions governing your use of our website, please refer to the Investor Mutual Fund Access – Disclaimer which is incorporated herein by reference and is available on our website.
• Cookies and Similar Technologies: Cookies are small text files stored in your computer’s hard drive when you visit certain web pages. Clear GIFs (also known as Web Beacons) are typically transparent very small graphic images (usually 1 pixel x 1 pixel) that are placed on a website that may be included on our services provided via our website and typically work in conjunction with cookies to identify our users and user behavior. We may use cookies and automatically collected information to: (i) personalize our website and the services provided via our website, such as remembering your information so that you will not have to re-enter it during your use of, or the next time you use, our website and the services provided via our website; (ii) provide customized advertisements, content, and information; (iii) monitor and analyze the effectiveness of our website and the services provided via our website and third-party marketing activities; (iv) monitor aggregate site usage metrics such as total number of visitors and pages viewed; and (v) track your entries, submissions, and status in any promotions or other activities offered through our website and the services provided via our website. Tracking technology also helps us manage and improve the usability of our website, (i) detecting whether there has been any contact between your computer and us in the past and (ii) to identify the most popular sections of our website. Because an industry-standard Do-Not-Track protocol is not yet established, our website will continue to operate as described in this Privacy Policy and will not be affected by any Do-Not-Track signals from any browser.
• | Use of Social Media Plugins Our website uses the following Social Media Plugins (“Plugins”): |
¡ | Facebook Share Button operated by Facebook Inc., 1601 S. California Ave, Palo Alto, CA 94304, USA |
¡ | Tweet Button operated by Twitter Inc., 795 Folsom St., Suite 600, San Francisco, CA 94107, USA |
¡ | LinkedIn Share Button operated by LinkedIn Corporation, 2029 Stierlin Court, Mountain View, CA 94043, USA |
All Plugins are marked with the brand of the respective operators Facebook, Twitter and LinkedIn (“Operators”). When you visit our website that contains a social plugin, your browser establishes a direct connection to the servers of the Operator. The Operator directly transfers the plugin content to your browser which embeds the latter into our website, enabling the Operator to receive information about you having accessed the respective page of our website. Thus, AllianzGI US has no influence on the data gathered by the plugin and we inform you according to our state of knowledge: The embedded plugins provide the Operator with the information that you have accessed the corresponding page of our website. If you do not wish to have such data transferred to the Operators, you need to log out of your respective account before visiting our website. Please see the Operators’ data privacy statements in order to get further information about purpose and scope of the data collection and the processing and use:
¡ | Facebook: https://de-de.facebook.com/about/privacy/ |
¡ | Twitter: https://twitter.com/privacy |
¡ | Linked In: https://www.linkedin.com/legal/privacy-policy |
63 | Annual Report/September 30, 2017 |
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AllianzGI Institutional Multi-Series Trust
Privacy Policy (unaudited) (continued)
Changes to Our Privacy Policy
We may modify this Privacy Policy from time-to-time to reflect changes in related practices and procedures, or applicable laws and regulations. If we make changes, we will notify you on our website and the revised Policy will become effective immediately upon posting to our website. We also will provide account owners with a copy of our Privacy Policy annually if required. We encourage you to visit our website periodically to remain up to date on our Privacy Policy. You acknowledge that by using our website after we have posted changes to this Privacy Policy, you are agreeing to the terms of the Privacy Policy as modified.
Obtaining Additional Information
If you have any questions about this Privacy Policy or our privacy related practices in the United States, you may contact us via our dedicated email at PrivacyUS@allianzgi.com.
64 | Annual Report/September 30, 2017 |
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AllianzGI Institutional Multi-Series Trust – Board of Trustees
(unaudited)
Name, Year of Birth, Position(s) Held with Trust, Length of Service, Other Trusteeships/Directorships Held by Trustee; Number of Portfolios in Fund Complex/Outside Fund Complexes Currently Overseen by Trustee
| Principal Occupation(s) During Past 5 Years:
| |
The address of each trustee is 1633 Broadway, New York, NY 10019. | ||
Deborah A. DeCotis Year of Birth: 1952 Trustee since: 2014 Trustee/Director of 84 funds in Fund Complex Trustee/Director of no funds outside of Fund Complex | Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); Trustee, Smith College (since 2017); and Director, Watford Re (Since 2017). Formerly, Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005-2015); Trustee, Stanford University (2010-2015); Principal, LaLoop LLC, a retail accessories company (1999-2014). | |
F. Ford Drummond Year of Birth: 1962 Trustee since: 2014 Trustee/Director of 59 funds in Fund Complex Trustee/Director of no funds outside of Fund Complex Director, BancFirst Corporation | Owner/Operator, Drummond Ranch; and Director, Oklahoma Water Resources Board. Formerly, Director, The Cleveland Bank; and General Counsel, BMI-Health Plans (benefits administration). | |
Bradford K. Gallagher Year of Birth:1944 Trustee since: 2014 Trustee/Director of 84 funds in Fund Complex Trustee/Director of no funds outside of Fund Complex | Retired. Founder, Spyglass Investments LLC, a private investment vehicle (since 2001). Formerly, Chairman and Trustee, The Common Fund (2005-2014); Partner, New Technology Ventures Capital Management LLC, a venture capital fund (2011-2013). | |
James A. Jacobson Year of Birth:1945 Trustee since: 2014 Trustee/Director of 84 funds in Fund Complex Formerly, Trustee, Alpine Mutual Funds Complex (consisting of 18 funds) (2009-2019). | Retired. Trustee (since 2002) and Chairman of Investment Committee (since 2007), Ronald McDonald House of New York; and Trustee, New Jersey City University (since 2014). | |
Hans W. Kertess Year of Birth: 1939 Trustee since: 2014 Trustee/Director of 84 funds in Fund Complex Trustee/Director of no funds outside the Fund Complex | President, H. Kertess & Co., a financial advisory company; and Senior Adviser (formerly, Managing Director), Royal Bank of Canada Capital Markets (since 2004). | |
James S. MacLeod Year of Birth: 1947 Trustee since: 2014 Trustee/Director of 59 funds in Fund Complex Trustee/Director of no funds outside the Fund Complex Non-Executive Chairman & Director, Sykes Enterprises, Inc. | Executive Chairman of the Board, CoastalSouth Bancshares, Inc.; Chairman, CoastalStates Bank; Chairman, Homeowners Mortgage; and Vice Chairman of the Board and Member of Executive Committee, University of Tampa. Formerly, Executive Vice President, Mortgage Guaranty Insurance Corporation; and Chief Executive Officer, Homeowners Mortgage. | |
William B. Ogden, IV Year of Birth: 1945 Trustee since: 2014 Trustee/Director of 84 funds in Fund Complex; Trustee/Director of no funds outside of Fund Complex | Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc. | |
Alan Rappaport Year of Birth: 1953 Trustee since: 2014 Trustee/Director of 84 funds in Fund Complex Trustee/Director of no funds outside of Fund Complex | Advisory Director (formerly, Vice Chairman), Roundtable Investment Partners (since 2009); Adjunct Professor, New York University Stern School of Business (since 2011); Lecturer, Stanford University Graduate School of Business (since 2013); and Director, Victory Capital Holdings, Inc., an asset management firm (since 2013). Formerly, Trustee, American Museum of Natural History (2005-2015); Trustee and Member of Board of Overseers, NYU Langone Medical Center (2007-2015). |
65 | Annual Report/September 30, 2017 |
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AllianzGI Institutional Multi-Series Trust – Board of Trustees
(unaudited)(cont’d)
Davey S. Scoon Year of Birth: 1946 Trustee since: 2014 Trustee/Director of 59 funds in Fund Complex Trustee/Director of no funds outside the Fund Complex Director, Albireo Pharma, Inc. (since 2016); and Director, AMAG | Adjunct Professor, University of Wisconsin-Madison (since 2011). | |
A. Douglas Eu Year of Birth: 1961 Trustee since: 2016 Trustee/Director of 59 funds in Fund Complex Trustee/Director of no funds outside the Fund Complex Formerly, Director, Securities and Futures Commission Advisory Committee Hong Kong (2007-2013). | Chief Executive Officer, Managing Director and Chairman of the Executive Committee of Allianz Global Investors U.S. Holdings LLC (since 2016); and Member of the Global Executive Committee of Allianz Global Investors GmbH (since 2006). Formerly, Chief Executive Officer of Allianz Global Investors Asia Pacific GmbH (2006-2015). | |
Barbara R. Claussen Year of Birth: 1956 Trustee since: 2015 Trustee/Director of 59 funds in Fund Complex Trustee/Director of no funds outside the Fund Complex | Chief Operating Officer (since 2016), Managing Director (since 2012), and member of the Executive Committee (since 2012) of Allianz Global Investors U.S. Holdings LLC; Managing Director of Allianz Global Investors U.S. LLC (since 2014); Formerly, Managing Director of NFJ Investment Group LLC (2003-2017); Chief Administrative Officer of Allianz Global Investors U.S. Holdings LLC (2013-2016); Interim Global Chief Operating Officer Liaison of Allianz Global Investors Capital LLC (a predecessor of Allianz Global Investors U.S. LLC) (2012-2014); Chairman of the Management Board of Allianz Global Investors Capital LLC (2012); and Member of Management Board and Chief Risk Officer of Allianz Global Fund Management LLC (2008-2011). |
66 | Annual Report/September 30, 2017 |
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AllianzGI Institutional Multi-Series Trust – Officers
(unaudited)
Name, Year of Birth, Position(s) Held with Trust
| Principal Occupation(s) During Past 5 Years
| |
Thomas J. Fuccillo 1633 Broadway, 43rd Floor New York, NY 10019 Year of Birth: 1968 President and Chief Executive Officer
| Managing Director, Chief Regulatory Counsel and Head of Retail and Funds Legal of Allianz Global Investors U.S. Holdings LLC; Managing Director, Chief Legal Officer and Secretary of Allianz Global Investors Distributors LLC; Secretary and Chief Legal Officer of the Korea Fund, Inc. President and Chief Executive Officer of 59 funds in the Fund Complex. Formerly, Vice President, Secretary and Chief Legal Officer of numerous funds in the Fund Complex (2004-2016). | |
Lawrence G. Altadonna 1633 Broadway, 43rd Floor New York, NY 10019 Year of Birth: 1966 Treasurer, Principal Financial and Accounting Officer | Director, Director of Fund Administration of Allianz Global Investors U.S. LLC; Treasurer, Principal Financial and Accounting Officer of 59 funds in the Fund Complex and of The Korea Fund, Inc. | |
Angela Borreggine 1633 Broadway, 43rd Floor New York, NY 10019 Year of Birth: 1964 Chief Legal Officer and Secretary
| Director and Senior Counsel of Allianz Global Investors U.S. Holdings LLC; Chief Legal Officer and Secretary of 59 funds in the Fund Complex. Formerly, Assistant Secretary of numerous funds in the Fund Complex (2015-2016). | |
Thomas L. Harter, CFA 600 West Broadway, San Diego, CA 92101 Year of Birth: 1975 Chief Compliance Officer | Director of Allianz Global Investors U.S. Holdings LLC; Director, Deputy Chief Compliance Officer of Allianz Global Investors U.S. LLC; Chief Compliance Officer of 59 funds in the Fund Complex and of The Korea Fund, Inc. | |
Scott Whisten 1633 Broadway, 43rd Floor Year of Birth: 1971 Year of Birth: 1971 Assistant Treasurer | Director of Allianz Global Investors U.S. LLC; and Assistant Treasurer of 59 funds in the Fund Complex. | |
Richard J. Cochran 1633 Broadway, 43rd Floor New York, NY 10019 Year of Birth: 1961 Assistant Treasurer | Vice President of Allianz Global Investors U.S. LLC; Assistant Treasurer of 59 funds in the Fund Complex and of The Korea Fund, Inc. | |
Orhan Dzemaili 1633 Broadway, 43rd Floor New York, NY 10019 Year of Birth: 1974 Assistant Treasurer | Director of Allianz Global Investors U.S. LLC; and Assistant Treasurer of 59 funds in the Fund Complex and of The Korea Fund, Inc. | |
Debra Rubano 1633 Broadway, 43rd Floor New York, NY 10019 Year of Birth: 1975 Assistant Secretary | Director and Senior Counsel of Allianz Global Investors U.S. Holdings LLC; and Assistant Secretary of 59 funds in the Fund Complex. | |
Paul Koo(1) 555 Mission Street, Suite 1700 San Francisco, CA 94105 Year of Birth: 1964 Assistant Secretary | Director, Head of US Compliance, Chief Compliance Officer of Allianz Global Investors U.S. LLC and Assistant Secretary of 53 funds in the Fund Complex. Formerly, Chief Compliance Officer of NFJ Investment Group LLC (2016-2017); and Associate Chief Compliance Officer, Dodge & Cox (2010-2011). |
* | The officers of the Trust are elected annually by the Board of Trustees. |
(1) | Paul Koo is Assistant Secretary of the Trust with a limited authority to open, maintain and close certain custodial and trading accounts for all series of the Trust. |
67 | Annual Report/September 30, 2017 |
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Trustees Davey S. Scoon Chairman of the Board of Trustees Barbara R. Claussen Deborah A. DeCotis F. Ford Drummond A. Douglas Eu Bradford K. Gallagher James A. Jacobson Hans W. Kertess James S. MacLeod William B. Ogden, IV Alan Rappaport
Officers Thomas J. Fuccillo President and Chief Executive Officer Lawrence G. Altadonna Treasurer, Principal Financial and Accounting Officer Angela Borreggine Chief Legal Officer and Secretary Thomas L. Harter Chief Compliance Officer, CFA Scott Whisten Assistant Treasurer Richard J. Cochran Assistant Treasurer Orhan Dzemaili Assistant Treasurer Debra Rubano Assistant Secretary Paul Koo(1) Assistant Secretary | Investment Manager Allianz Global Investors U.S. LLC 1633 Broadway New York, NY 10019
Distributor Allianz Global Investors Distributors LLC 1633 Broadway New York, NY 10019
Custodian & Accounting Agent State Street Bank & Trust Co. 801 Pennsylvania Avenue Kansas City, MO 64105
Transfer Agent Boston Financial Data Services, Inc. 330 West 9th Street, 5th Floor Kansas City, MO 64105
Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP 300 Madison Avenue New York, NY 10017
Legal Counsel Ropes & Gray LLC Prudential Tower 800 Boylston Street Boston, MA 02199 |
This report, including the financial information herein, is transmitted to the shareholders of the Trust for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of each Portfolio or any securities mentioned in this report.
(1) | Paul Koo is assistant secretary of the Portfolios with a limited authority to open, maintain and close certain custodial and trading accounts for each Portfolio. |
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ITEM 2. CODE OF ETHICS
(a)As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s President and Chief Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-926-4456. The code of ethics are included as an Exhibit 99.CODE ETH hereto.
(b)During the period covered by this report, there were not any amendments to a provision of the code of ethics adopted in 2(a) above.
(c)During the period covered by this report, there were not any waivers or implicit waivers to a provision of the code of ethics adopted in 2(a) above.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant’s Board has determined that Messrs. James A. Jacobson and Davey S. Scoon, members of the Board’s Audit Oversight Committee are “audit committee financial experts,” and that they are “independent,” for purposes of this Item.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
a)Audit fees. The aggregate fees billed for each of the last two fiscal years (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $93,987 in 2016 and $74,425 in 2017.
b)Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the principal accountants that are reasonably related to the performance of the audit registrant’s financial statements and are not reported under paragraph (e) of this Item were $0 in 2016 and $0 in 2017.
c)Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax service and tax planning (“Tax Services”) were $48,829 in 2016 and $50,295 in 2017. These services consisted of review or preparation of U.S. federal, state, local and excise tax returns and calculations of excise tax distributions.
d)All Other Fees. There were no other Fees billed in the Reporting Periods for products and services provided by the Auditor to the Registrant.
e)1. Audit Committee Pre-Approval Policies and Procedures. The Registrant’s Audit Committee has established policies and procedures for pre-approval of all audit and permissible non-audit services by the Auditor for the Registrant, as well as the Auditor’s engagements related directly to the operations and financial reporting of the Registrant. The Registrant’s policy is stated below.
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AllianzGI Institutional Multi-Series Trust (The “Trust”)
AUDIT OVERSIGHT COMMITTEE POLICY
FOR
PRE-APPROVAL OF SERVICES PROVIDED BY THE INDEPENDENT ACCOUNTANTS
The Trust’s Audit Oversight Committee (“Committee”) is charged with the oversight of the Trust’s financial reporting policies and practices and their internal controls. As part of this responsibility, the Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services to the Trust as well as to the Trust’s investment adviser(1) or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Trust (“Applicable Service Providers”), if the engagement relates directly to operations and financial reporting of the Trust. In evaluating a proposed engagement by the independent accountants, the Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
a review of the nature of the professional services expected to be provided, the fees to be charged in connection with the services expected to be provided a review of the safeguards put into place by the accounting firm to safeguard independence, and periodic meetings with the accounting firm.
POLICY FOR PRE-APPROVAL OF AUDIT AND NON-AUDIT SERVICES TO BE PROVIDED TO THE TRUST
On an annual basis, the Committee of the Trust will review and if the Committee so determines, pre-approve the scope of the audits of the Trust and proposed audit fees, and permitted non-audit (including audit under related) services that are proposed to be performed by the Trust’s independent accountants for the Trust and its Applicable Service Providers (to the extent the services to be provided to the Applicable Service Providers relate directly to the operations and financial reporting of the Trust). The Committee may also pre-approve services at any other in-person or telephonic Committee meeting. At least annually, the Committee will receive a report of all audit and non-audit services that were rendered in the previous calendar year by the independent accountants for the Trust and its Applicable Service Providers pursuant to this Policy.
In addition to the Committee’s pre-approval of services pursuant to this Policy, the engagement of the independent accounting firm for any permitted non-audit service provided to the fund with also require the separate written pre-approval of the President, Treasurer or Assistant Treasurer of the Trust, who may only grant such approval if he or she believes that the accounting firm’s engagement will not adversely affect the firm’s independence. All non-audit services performed by the independent accounting firm will be disclosed, as required, in filings with the Securities and Exchange Commission.
AUDIT SERVICES
The categories of audit services and related fees to be reviewed and pre-approved annually by the Committee are:
Annual Trust financial statement audits
Seed audits (related to new product filings, as required)
SEC and regulatory filings and consents
Semiannual financial statement reviews
(1)For purposes of this requirement, the term “adviser” does not include sub-advisers that are not affiliated with a Trust’s investment adviser, are overseen by that investment adviser, and whose role is primarily portfolio management.
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AUDIT-RELATED SERVICES
The following categories of audit-related services are considered to be consistent with the role of the Trust’s independent accountants and services falling under one of these categories will be pre-approved by the Committee on an annual basis if the Committee deems those services to be consistent with the accounting firm’s independence:
Accounting consultations
Trust merger support services
Agreed upon procedure reports
Other Attestation reports
Comfort letters
Other internal control reports
Individual audit-related services that fall within one of these categories and are not presented to the Committee as part of the annual pre-approval process described above, may be pre-approved, if deemed consistent with the accounting firm’s independence, by the Committee Chair (or any other Committee member who is a disinterested trustee under the Investment Company to whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $500,000. Any pre-approval by a Committee member shall be reported to the full Committee at its next regularly scheduled meeting.
TAX SERVICES
The following categories of tax services are considered to be consistent with the role of the Trust’s independent accountants and services falling under one of these categories will be pre-approved by the Committee on an annual basis if the Committee deems those services to be consistent with the accounting firm’s independence:
Tax compliance services related to the filing or amendment of the following:
Federal, state and local income tax compliance; and, sales and use tax compliance
Timely RIC qualification reviews
Tax distribution analysis and planning
Tax authority examination services
Tax appeals support services
Accounting methods studies
Trust merger support services
Other tax consulting services and related projects
Individual tax services that fall within one of these categories and are not presented to the Committee as part of the annual pre-approval process described above, may be pre-approved, if deemed consistent with the accounting firm’s independence, by the Committee at any regular or special meeting. Such services may also be pre-approved by the Committee Chair (or any other Committee member who is a disinterested trustee under the Investment Company Act to whom this responsibility has been delegated) so long as the estimated fee for the particular service for which pre-approval is sought does not exceed $500,000. Any pre-approval by a Committee Member shall be reported to the full Committee at its next regularly scheduled meeting.
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OTHER SERVICES
Services that are proposed to be provided to the Trust which are not audit, audit-related or tax services may be pre-approved, if deemed consistent with the accounting firm’s independence, by the Committee at any regular or special meeting. Such services may also be pre-approved by the Committee Chair (or any other Committee member who is a disinterested trustee under the Investment Company Act to whom this responsibility has been delegated) so long as the estimated fee for the particular service for which pre-approval is sought does not exceed the limit assigned within the Policy. Any pre-approval by a Committee member shall be reported to the full Committee at its next regularly scheduled meeting.
PROHIBITED SERVICES
The Trust’s independent accountants will not render services in the following categories of non-audit services:
Bookkeeping or other services related to the accounting records or financial statements of the Trust
Financial information systems design and implementation
Appraisal or valuation services, fairness opinions, or contribution-in-kind reports
Actuarial services
Internal audit outsourcing services
Management functions or human resources
Broker or dealer, investment adviser or investment banking services
Legal services and expert services unrelated to the audit
Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
PRE-APPROVAL OF NON-AUDIT SERVICES PROVIDED TO OTHER ENTITIES WITHIN THE FUND COMPLEX
Rule 2-01(c)(7) of Regulation S-X provides that an accountant is not independent of the Trust unless the Trust’s Committee approves any permitted non-audit services to be provided to the Trust’s Applicable Service Providers, provided, in each case, that the engagement relates directly to the operations and financial reporting of the Trust.
Services to be provided to Applicable Service Providers that are required to be pre-approved, may be pre-approved, if deemed consistent with the accounting firm’s independence, by the Committee at a regular or special meeting or by the Committee Chair (or any other Committee member who is a disinterested trustee under the Investment Company Act to whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $500,000. If a service is approved by a Committee member, the full Committee is notified of such pre-approval at its next regularly scheduled meeting.
Although the Committee will not be required to pre-approve all services provided to Applicable Service Providers and their affiliates, the Committee will receive an annual report from the Trust’s independent accounting firm showing the aggregate fees for all services provided to Applicable Service Providers and their affiliates.
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DE MINIMUS EXCEPTION TO REQUIREMENT OF PRE-APPROVAL OF NON-AUDIT SERVICES
With respect to the provision of permitted non-audit services to the Trust or Accounting Affiliates, the pre-approval requirement is waived if:
(1)The aggregate fees and costs of all non-audit services that, but for the limited exception provided by this section, would require pre-approval by the Committee constitutes no more than five percent of the total fees and costs paid by the Trust and Applicable Service Providers to the independent accountant during the fiscal year during which such non-audit services are provided;
(2)At the time of the engagement for such services, the Trust did not recognize that the services were “non-audit services” that required preapproval; and
(3)Each such service is brought promptly to the attention of the Committee and approved prior to the completion of the audit by the Committee, Committee Chair or any other Committee member who is a disinterested trustee under the Investment Company Act to whom this responsibility has been delegated.
e)2. No services were approved pursuant to the procedures contained in paragraph (C) (7) (i) (C) of Rule 2-01 of Registration S-X.
f)Not applicable.
g)Non-audit fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to the Adviser, for the 2016 Reporting Period was $4,543,386 and the 2017 Reporting Period was $3,602,643.
h)Auditor Independence. The Registrant’s Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to the Adviser which were not pre-approved is compatible with maintaining the Auditor’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT
Disclosure not required for open-end management investment companies.
ITEM 6. INVESTMENTS
(a)Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
(b)Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Disclosure not required for open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Disclosure not required for open-end management investment companies.
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ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED COMPANIES.
Disclosure not required for open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last provided disclosure in response to this item.
ITEM 11.CONTROLS AND PROCEDURES
(a) | The registrant’s President & Chief executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) (17 CFR 270.30a-3(c)), as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document. |
(b)There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12.EXHIBITS
(a)(1) Exhibit 99.CODE ETH – Code of Ethics
(a)(2) Exhibit 99_ CERT. – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
(a)(3) Not applicable
(b) Exhibit 99.906 CERT. – Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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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) AllianzGI Institutional Multi-Series Trust |
By: /s/ Thomas J. Fuccillo |
Thomas J. Fuccillo, President & Chief Executive Officer |
Date: December 1, 2017 |
By: /s/ Lawrence G. Altadonna |
Lawrence G. Altadonna ,Treasurer, Principal Financial & Accounting Officer |
Date: December 1, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Thomas J. Fuccillo |
Thomas J. Fuccillo, President & Chief Executive Officer |
Date: December 1, 2017 |
By: /s/ Lawrence G. Altadonna |
Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting Officer |
Date: December 1, 2017 |